QUESTION 1 Macro Data 1a) Compute the average return, volatility, average beta, and the Sharpe Ratio of each Portfolio Annual Returns of Beta-sorted Portfolos(Low to High) Other Portfolios portfolio Portfolio 1 2 portfolio Portfolio portfolio market port risk-free port. 4 IN Mean Volatility Sharpe Avg. Beta 0.70 0.89 0.96 1.191 1.46 1b) Asa mean variance investor who needs to pick one of the five beta sorted portfolios, which portfolio would you choose and why? Input your answer here year 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Annual Returns of Beta-sorted Portfolos(Low to High) pi p2 p3 p! 16.87 19.84 17.56 8.73 8.72 6.98 15.53 24.76 .9.24 12.18 -9.08 -2.94 13.44 22.07 32.01 42.65 15.83 9.16 13.53 12.41 -12.59 -3.74 -6.72 -18.641 8.69 2.59 -3.57 -6.64 11.67 17.23 21.89 20.28 21.77 15.27 15.19 12.49 - 11.4 -14.11 -23.68 -35.22 -24.56 -27.26 -29.75 -34.83 30.42 42.42 46.81 59.11 29.67 19.63 30.55 31.77 -1.7 -9.6 -1.21 3.33 6.13 6.03 11.14 10.21 23.99 17.59 22.84 26.921 29.59 31.81 31.153 42.11 7.95 -9.57 -2.75 -3.26 31.33 38.34 18.15 2.76 15.94 29.46 25.13 29.17 14.38 8.23 4.81 -4.28 37.22 37.25 27.69 25.88 29.43 16.45 15.27 5.65 2.45 7.6 2.78 1.92 18.513 16.44 16.4 22.86 33.79 29.02 29.54 23.16 -1.52 -3.321 -7.64 -8.45 21.86 29.75 39.31 42.05 4.5 5.4 13.04 19.17 12 7.39 7.68 17.46 -2.29 6.91 -2.4 -3.52 35.14 40.07 33.81 39.85 16.33 18.72 26.4 24.43 29.27 29.95 37.92) 35.05 18.66 30.68 23.61 -4.86 19.82 14.63 29.78 27.77 7.85 -7.56 -5.25 -7.97 -6.28 3.38 -8.28 -9.74 - 13.64 -13.45 -25.04 18.07 27.65 20.78 35.21 10.81 15.25 15.47 12.99 4.67 10.2 6.37 8.58 15.55 16.73 12.38 21.95 3.77 6.18 6.141 8.11 -28.98 -33.45 -36.76 -48.59 9.85 23.26 38.25 52.5 11.81 13.37 20.14 27.59 12.23 1.45 -2.11 -10.5 11.69 14.9 19.53 22.92 27.56 40.86 33.47 37.48 17.3 14.08 9.29 5.98 4.53 5.16 -3.66 -6.4 7.46 13.4 14.41 18.63 18.76 24.68 23.18 21.421 -1.17 -1.6 -4.43 -9.16 27.02 29.68 30.35 37.5 p5 12.4 49.06 -2.13 50.98 24.61 -22.6 - 19.57 22.99 -1.15 -42.51 -32.85 78.05 32.05 8.48 23.8 32.87 45.77 -6.4 9.5 16.47 -13.92 24.2 4.35 -9.56 12.93 25.03 -8.21 55.51 17.07 16.78 2.05 38.96 29.24 27.5 27.21 52.57 -28.04 -24.56 -35.42 53.73 5.15 1.68 8.31 7.02 -50.39 86.94 33.69 -18.08 25.03 44.35 -1.36 - 15.4 27.38 23.47 -16.94 31.61 Wan mkt 16.08 14.45 -8.75 28.7 14 -10.96 0.03 16.17 16.89 19.26 -27.75 38.241 26.99 -3.14 8.21 23.47 33.37 -3.42 21.2 22.54 3.81 32.63 16.28 1.6 17.9 28.86 -6.141 34.78 9.74 11.11 -0.2 36.82 21.17 31.22 24.32 25.25 -11.71 - 11.37 -21.11 31.77 11.92 6.07 15.4 5.7 -36.74 28.36 17.49 0.48 16.33 35.22 11.73 0.11 13.5 22.31 -5.12 30.42 3.54 3.93 4.76 4.21 5.21 6.58 6.52 4.39 3.84 6.93 8 5.8 5.08 5.12 7.18 10.38 11.24 14.71 10.54 8.8 9.85 7.72 6.16 5.47 6.35 8.37 7.81 5.6 3.51 2.9 3.9 5.6 5.21 5.26 4.86 4.68 5.89 3.83 1.65 1.02 1.2 2.98 4.8 4.66 1.6 0.1 0.12 0.04 0.06 0.02 0.02 0.02 0.2 0.8 1.81 2.14 22.21 QUESTION 1 Macro Data 1a) Compute the average return, volatility, average beta, and the Sharpe Ratio of each Portfolio Annual Returns of Beta-sorted Portfolos(Low to High) Other Portfolios portfolio Portfolio 1 2 portfolio Portfolio portfolio market port risk-free port. 4 IN Mean Volatility Sharpe Avg. Beta 0.70 0.89 0.96 1.191 1.46 1b) Asa mean variance investor who needs to pick one of the five beta sorted portfolios, which portfolio would you choose and why? Input your answer here year 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Annual Returns of Beta-sorted Portfolos(Low to High) pi p2 p3 p! 16.87 19.84 17.56 8.73 8.72 6.98 15.53 24.76 .9.24 12.18 -9.08 -2.94 13.44 22.07 32.01 42.65 15.83 9.16 13.53 12.41 -12.59 -3.74 -6.72 -18.641 8.69 2.59 -3.57 -6.64 11.67 17.23 21.89 20.28 21.77 15.27 15.19 12.49 - 11.4 -14.11 -23.68 -35.22 -24.56 -27.26 -29.75 -34.83 30.42 42.42 46.81 59.11 29.67 19.63 30.55 31.77 -1.7 -9.6 -1.21 3.33 6.13 6.03 11.14 10.21 23.99 17.59 22.84 26.921 29.59 31.81 31.153 42.11 7.95 -9.57 -2.75 -3.26 31.33 38.34 18.15 2.76 15.94 29.46 25.13 29.17 14.38 8.23 4.81 -4.28 37.22 37.25 27.69 25.88 29.43 16.45 15.27 5.65 2.45 7.6 2.78 1.92 18.513 16.44 16.4 22.86 33.79 29.02 29.54 23.16 -1.52 -3.321 -7.64 -8.45 21.86 29.75 39.31 42.05 4.5 5.4 13.04 19.17 12 7.39 7.68 17.46 -2.29 6.91 -2.4 -3.52 35.14 40.07 33.81 39.85 16.33 18.72 26.4 24.43 29.27 29.95 37.92) 35.05 18.66 30.68 23.61 -4.86 19.82 14.63 29.78 27.77 7.85 -7.56 -5.25 -7.97 -6.28 3.38 -8.28 -9.74 - 13.64 -13.45 -25.04 18.07 27.65 20.78 35.21 10.81 15.25 15.47 12.99 4.67 10.2 6.37 8.58 15.55 16.73 12.38 21.95 3.77 6.18 6.141 8.11 -28.98 -33.45 -36.76 -48.59 9.85 23.26 38.25 52.5 11.81 13.37 20.14 27.59 12.23 1.45 -2.11 -10.5 11.69 14.9 19.53 22.92 27.56 40.86 33.47 37.48 17.3 14.08 9.29 5.98 4.53 5.16 -3.66 -6.4 7.46 13.4 14.41 18.63 18.76 24.68 23.18 21.421 -1.17 -1.6 -4.43 -9.16 27.02 29.68 30.35 37.5 p5 12.4 49.06 -2.13 50.98 24.61 -22.6 - 19.57 22.99 -1.15 -42.51 -32.85 78.05 32.05 8.48 23.8 32.87 45.77 -6.4 9.5 16.47 -13.92 24.2 4.35 -9.56 12.93 25.03 -8.21 55.51 17.07 16.78 2.05 38.96 29.24 27.5 27.21 52.57 -28.04 -24.56 -35.42 53.73 5.15 1.68 8.31 7.02 -50.39 86.94 33.69 -18.08 25.03 44.35 -1.36 - 15.4 27.38 23.47 -16.94 31.61 Wan mkt 16.08 14.45 -8.75 28.7 14 -10.96 0.03 16.17 16.89 19.26 -27.75 38.241 26.99 -3.14 8.21 23.47 33.37 -3.42 21.2 22.54 3.81 32.63 16.28 1.6 17.9 28.86 -6.141 34.78 9.74 11.11 -0.2 36.82 21.17 31.22 24.32 25.25 -11.71 - 11.37 -21.11 31.77 11.92 6.07 15.4 5.7 -36.74 28.36 17.49 0.48 16.33 35.22 11.73 0.11 13.5 22.31 -5.12 30.42 3.54 3.93 4.76 4.21 5.21 6.58 6.52 4.39 3.84 6.93 8 5.8 5.08 5.12 7.18 10.38 11.24 14.71 10.54 8.8 9.85 7.72 6.16 5.47 6.35 8.37 7.81 5.6 3.51 2.9 3.9 5.6 5.21 5.26 4.86 4.68 5.89 3.83 1.65 1.02 1.2 2.98 4.8 4.66 1.6 0.1 0.12 0.04 0.06 0.02 0.02 0.02 0.2 0.8 1.81 2.14 22.21