Q1. Portfolio Rebalancing You have 100 million dollars in your investment account and choose to keep your money allocated in the following proportion
and rebalance each quarter: i. 50% in stocks via ETF SPY; ii. 40% in bonds via ETF TLT. iii. 10% in cash Over the first quarter, SPY went UP from $375 to $391, and TLT went down from $143 per share to $134 per share.

Cash has an interest rate of zero. a. What is your account $ balance before rebalancing? What proportion of that is in SPY, TLT, and CASH respectively?

 b. How do you rebalance your account to keep the allocation at 50-40-10 for SPY TLT and cash respectively? What to buy and what to sell in dollar amount? How many SHARES of SPY and TLT to buy or sell? 


Q2. Write your calculations please. (15 points) VXX is the 1x vix futures ETF. ETF SVXY manages leverage of -0.5x of vix futures ETF (a short fund, shorting 50% of AUM). You can view SVXY as holding 50% of its asset value in short position in VXX. a. Below is the price path for VXX, the 1x long etf?