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Statistics Help

**Question: **2 - Acquire “monthly” prices for your ETF for the last 5 years (do 3 years if 5 years is not

available), and provide a time-series graph. Then calculate the monthly returns in Excel, and

provide a histogram of the monthly returns (use 1% intervals from -10% to +10%).

3 - Acquire “monthly” prices for Dow Jones Index for the last 5 years (do 3 years if 5 years is

not available), and provide a time-series graph. Then calculate the monthly returns in Excel, and

provide a histogram of the monthly returns (use 1% intervals from -10% to +10%).

4 - Using Linear Regression and Capital Asset Pricing Model (CAPM) calculate the Beta for

your ETF and compare it with the one reported online at Google Finance. Do you observe any

discrepancies? What do you think might be the reason(s)?

5 - Acquire “monthly” price data for 3 more international investments (ETFs, ADRs, Bond

ETFs) for the last 5 (or 3) years to create a portfolio. Examples for various ETFs can be found at

Google Finance.com. Provide a time-series chart of “growth” of all of your investments and Dow

Jones Index in one single graph.

6 - What is the Beta of Your Portfolio (assume equal weights)? (You will need to calculate the

Beta of each investment).

7 - Following the Excel - Portfolio Example posted on BlackBoard, calculate the expected return

and volatility of the portfolio for the next “month”. How would your answer change if the

question asked the estimates for next “year” instead? (Hint: You need to use the “time

aggregation” rule.)

8 - Following the Excel Portfolio Optimization Example posted on BlackBoard, and using Excel

Solver:

A - Minimize the volatility of the portfolio for a given (say 6% annual) level of return, and note

the weights of each investment in solution.

B - Maximize the expected return of the portfolio for a given (say 20% annual) level of volatility,

and note the weights of each investment in solution.

C - Maximize the Sharpe Ratio, and note the weights of each investment in solution.

Why do you think the solver gave you those solutions? Do they make sense?

Edit

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