Date	APP	Total Return	Total Return %	FMF	Total Return	Tota Return %
21/12/2000	0.70	-0.171	-17%	0.29	0.069	7%
31/12/2001	0.58	-0.017	-2%	0.31	-0.065	-6%
31/12/2002	0.57	0.140	14%	0.29	0.034	3%
31/12/2003	0.65	0.569	57%	0.30	0.867	87%
31/12/2004	1.02	0.127	13%	0.56	0.732	73%
30/12/2005	1.15	0.035	3%	0.97	-0.010	-1%
29/12/2006	1.19	-0.328	-33%	0.96	-0.167	-17%
31/12/2007	0.80	0.100	10%	0.80	0.062	6%
31/12/2008	0.88	0.000	0%	0.85	-0.188	-19%
31/12/2009	0.88	-0.125	-13%	0.69	-0.420	-42%
31/12/2010	0.77	0.000	0%	0.40	0.250	25%
31/12/2011	0.77	-0.078	-8%	0.50	-0.200	-20%
31/12/2012	0.71	-0.014	-1%	0.40	0.100	10%
31/12/2013	0.70	0.000	0%	0.44	0.432	43%
31/12/2014	0.70	0.357	36%	0.63	0.190	19%
31/12/2015	0.95	0.105	11%	0.75	0.067	7%
31/12/2016	1.05	0.000	0%	0.80	0.438	44%
29/12/2017	1.05	0.429	43%	1.15	0.826	83%
31/12/2018	1.50	0.067	7%	2.10	0.010	1%
31/12/2019	1.60	0.062	6%	2.12	-0.005	0%
31/12/2020	1.70	-1.000	-100%	2.11	-1.000	-100%

Compute, for each asset:
i. Total Returns
ii. Expected returns
iii. standard deviation
iv. Correlation Coefficient 10
2. Construct the variance-covariance matrix 10
3. Construct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio. 10
4. Reconstruct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio. 5
5. Use Solver to determine optimal risky portfolio. 5
6. Create hypothetical portfolios (commencing from Weight A=0 and weight B=100) 10
7. Calculate Expected return and Standard Deviation for all the above combinations 10
8. Graph the efficient frontier 10
9. Graph the optimal portfolio 5
10. Assuming that the investors prefers lower level of risk than what a portfolio of risky assets offer, introduce a risk free asset in the portfolio with a return of 3%
11. Using hypothetical weights (A= Portfolio of Risky Assets, B= 1 Risk Free Asset) calculate portfolio Expected Return and Standard Deviation 15
12. Graph the risk and returns - Capital Allocation Line.

Answer rating: 100% (QA)

1 For Asset APP i Total Returns 0171 0017 0140 0569 0127 0035 0328 0100 0000 0125 0000 0078 0014 0000 0357 0105 0000 0429 0067 0062 1000 ii Expected R... View the full answer