Exhibit 1 YEAR LyxorChinaH LyxorMSindia LyxorUSDJIA LyxorWorld 2009 0.02 0.0586 0.0556 0.0769 2010 -0.0425 0.224 0.0611 0.0579
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Question:
Exhibit 1
YEAR LyxorChinaH LyxorMSindia LyxorUSDJIA LyxorWorld
2009 0.02 0.0586 0.0556 0.0769
2010 -0.0425 0.224 0.0611 0.0579
2011 -0.294 -0.2707 0.0794 -0.0328
2012 0.1323 0.006 0.1829 0.2075
2013 0.0886 -0.0684 0.1709 0.1414
2014 0.0231 0.3387 0.142 0.1506
2015 -0.0296 -0.0928 -0.0471 -0.0428
- Using the annual data provided in Exhibit 1, of the case for LyxorChinaH and LyxorMSindia, calculate their mean return, standard deviation, covariance and correlation. with these numbers calculate the standard deviation, and return for susie's entire portfolio.
- After adding LyxorUSDJIA , what is the portfolio's new standard deviation and return? How does the new portfolio compare with calculations in QUESTION 1.
- Based on your data, should susie diversify her portfolio or remain invested in china and india?
- Calculate the beta of Lyxor ChinaH Lyxor MSindia and Lyxor USDJIA. To calculate the covariance with the proxy , use Lyxor World return data shown in Exhibit 1. Assuming a risk free rate 2.5 percent and makrket risk premium of 5.5 percent. what are the required returns for each of three ETFs?
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