Question: Project #1 This project requires you to analyze performance, correlation, and expenses for Exchange Traded Funds (ETFs). You will need to download data and perform
Project #1
This project requires you to analyze performance, correlation, and expenses for Exchange Traded Funds (ETFs). You will need to download data and perform some calculations. Below is a list of Vanguard ETFs:
| Ticker: | Asset Class: | Expense Ratio | Comparable ETF | Comparable ETF Expense Ratio | 10-year Monthly Correlation |
| BLV | Long-Term Bond | .07% | ILTB | .06% | 3.03%, 2.90% |
| BSV | Short term bond | .04% | SCHO | .06% |
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| VUG | Vanguard growth | .06% | QQQ | .2% |
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| VTV | Vanguard value | .04% | SCGV | .04% |
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| VOO | Vanguard S&P 500 | .03% | SCHX | .03% |
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| VO | Vanguard mid cap | .04% | IWR | .19% |
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| VB | Vanguard small cap | .05% | SCHA | .04% |
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- For each of the ETFs, identify distribution of assets and the top 10 holdings based on percentage of assets.
- For each of the above ETFs you will need to download the last 10 years of monthly price data (can use YahooFinance). Transform the price data into monthly returns. Calculate for each ETF:
- Arithmetic Return
- Geometric Return
- Standard Deviation
| Ticker: | Arithmetic Return | Geometric Return | Standard Deviation |
| BLV |
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| BSV |
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| VUG |
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| VTV |
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| VOO |
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| VO |
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| VB |
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