(b) (2 points) Estimate the annualized volatility o, Sharpe ratio, Sortino ratio with a 0, and the maximum drawdown for both securities, as well as the correlation between the returns. (c) (2 points) Suppose you set up a portfolio that consists of SPY and your stock Find the weights for these two securities based on the global minimum variance portfolio. Estimate the Sharpe ratio and maximum drawdown for this portfolio (d) (2 points) Use SPY as the market portfolio, estimate the CAPM beta for your stock based the data from this time period (e) (2 points) Use the beta estimated from part (d) to construct a portfolio with 1/(1 - B) in your stock and 1 - w = return statistics (mean and variance) of this portfolio with that of the global minimum variance portfolio in part (c). -B/(1 B) in SPY. Compare the W = SPY FB: Close Close Date Close Date Date Date Close 2019/7/31 194.2299962019/9/17 188.080002 2019/8/1 192.729996 2019/9/18 188.139999 2019/8/2 189.0200042019/9/19 190.139999 2019/8/5 181.729996 2019/9/20 189.929993 2019/8/6 184.509995 2019/9/23 186.820007 2019/8/7 185.1499942019/9/24 181.279999 2019/8/8 190.1600042019/9/25 182.800003 2019/8/9 187.850006 2019/7/31 297.429993 2019/9/17 300.920013 2019/8/1 294.839996 2019/9/18 301.100006 2019/8/2 292.619995 2019/9/19 301.079987 2019/9/20 298.279999 2019/8/5 283.820007 2019/8/6 287.799988 2019/9/23 298.209991 2019/8/7 287.970001 2019/9/24 295.869995 2019/8/8 293.619995 2019/9/25 297.619995 2019/8/9 291.619995 2019/9/26 297 2019/9/26 180.110001 2019/8/12 185.3699952019/9/27 177.100006 2019/8/13 188.449997 2019/9/30 178.080002 2019/8/14 179.710007 2019/10/1 175.809998 2019/8/15 182.5899962019/10/2 174.600006 2019/8/16 183.6999972019/10/3 179.380005 2019/8/19 186.1699982019/10/4 180.449997 2019/8/20 183.8099982019/10/7 179.679993 2019/8/21 183.5500032019/10/8 2019/8/22 182.0399932019/10/9 179.850006 2019/8/12 288.070007 2019/9/27 295.399994 2019/8/13 292.549988 2019/9/30 296.769989 2019/8/14 283.899994 2019/10/1 293.23999 2019/8/15 284.649994 2019/10/2 288.059998 2019/8/16 288.850006 2019/10/3 290.420013 2019/8/19 292.329987 2019/10/4 294.350006 2019/8/20 290.089996 2019/10/7 293.079987 177.75 2019/8/21 292.4500 12 2019/10/8 288.529999 2019/10/9 291.269989 2019/8/22 292.359985 177.75 2019/10/10 180.029999 2019/8/23 284.850006 2019/10/10 293.23999 2019/8/23 2019/8/26 180.360001 2019/10/11 184.190002 2019/8/27 181.3000032019/10/14 183.279999 2019/8/28 181.759995 2019/10/15 188.889999 2019/8/29 185.570007 2019/10/16 189.550003 2019/8/30 185.669998 2019/10/17 190.389999 2019/9/3 182.3899992019/10/18 185.850006 2019/9/4 187.139999 2019/10/21 189.759995 2019/9/5 190.899994 2019/10/22 182.339996 2019/9/6 187.490005 2019/10/23 186.149994 2019/9/9 188.7599952019/10/24 186.380005 2019/9/10 186.169998 2019/10/25 187.889999 2019/9/11 188.490005 2019/10/28 189.399994 2019/9/12 187.470001 2019/10/29 189.309998 2019/9/13 187.190002 2019/10/30 2019/9/16 186.220001 2019/10/31 191.649994 2019/8/26 288 2019/10/11 296.279999 2019/8/27 286.869995 2019/10/14 295.950012 2019/8/28 288.890015 2019/10/15 298.880005 2019/8/29 292.579987 2019/10/16 298.399994 2019/8/30 292.450012 2019/10/17 299.279999 290.73999 2019/10/18 297.970001 2019/9/3 2019/9/4 294.040009 2019/10/21 299.98999 2019/9/5 297.820007 2019/10/22 299.01001 2019/9/6 298.049988 2019/10/23 299.880005 2019/9/9 298.200012 2019/10/24 300.369995 2019/9/10 298.130005 2019/10/25 301.600006 2019/9/11 300.25 2019/10/28 303.299988 2019/9/12 301.290009 2019/10/29 303.209991 2019/9/13 301.089996 2019/10/30 304.140015 188.25 2019/9/16 300.160004 2019/10/31 303.329987 (b) (2 points) Estimate the annualized volatility o, Sharpe ratio, Sortino ratio with a 0, and the maximum drawdown for both securities, as well as the correlation between the returns. (c) (2 points) Suppose you set up a portfolio that consists of SPY and your stock Find the weights for these two securities based on the global minimum variance portfolio. Estimate the Sharpe ratio and maximum drawdown for this portfolio (d) (2 points) Use SPY as the market portfolio, estimate the CAPM beta for your stock based the data from this time period (e) (2 points) Use the beta estimated from part (d) to construct a portfolio with 1/(1 - B) in your stock and 1 - w = return statistics (mean and variance) of this portfolio with that of the global minimum variance portfolio in part (c). -B/(1 B) in SPY. Compare the W = SPY FB: Close Close Date Close Date Date Date Close 2019/7/31 194.2299962019/9/17 188.080002 2019/8/1 192.729996 2019/9/18 188.139999 2019/8/2 189.0200042019/9/19 190.139999 2019/8/5 181.729996 2019/9/20 189.929993 2019/8/6 184.509995 2019/9/23 186.820007 2019/8/7 185.1499942019/9/24 181.279999 2019/8/8 190.1600042019/9/25 182.800003 2019/8/9 187.850006 2019/7/31 297.429993 2019/9/17 300.920013 2019/8/1 294.839996 2019/9/18 301.100006 2019/8/2 292.619995 2019/9/19 301.079987 2019/9/20 298.279999 2019/8/5 283.820007 2019/8/6 287.799988 2019/9/23 298.209991 2019/8/7 287.970001 2019/9/24 295.869995 2019/8/8 293.619995 2019/9/25 297.619995 2019/8/9 291.619995 2019/9/26 297 2019/9/26 180.110001 2019/8/12 185.3699952019/9/27 177.100006 2019/8/13 188.449997 2019/9/30 178.080002 2019/8/14 179.710007 2019/10/1 175.809998 2019/8/15 182.5899962019/10/2 174.600006 2019/8/16 183.6999972019/10/3 179.380005 2019/8/19 186.1699982019/10/4 180.449997 2019/8/20 183.8099982019/10/7 179.679993 2019/8/21 183.5500032019/10/8 2019/8/22 182.0399932019/10/9 179.850006 2019/8/12 288.070007 2019/9/27 295.399994 2019/8/13 292.549988 2019/9/30 296.769989 2019/8/14 283.899994 2019/10/1 293.23999 2019/8/15 284.649994 2019/10/2 288.059998 2019/8/16 288.850006 2019/10/3 290.420013 2019/8/19 292.329987 2019/10/4 294.350006 2019/8/20 290.089996 2019/10/7 293.079987 177.75 2019/8/21 292.4500 12 2019/10/8 288.529999 2019/10/9 291.269989 2019/8/22 292.359985 177.75 2019/10/10 180.029999 2019/8/23 284.850006 2019/10/10 293.23999 2019/8/23 2019/8/26 180.360001 2019/10/11 184.190002 2019/8/27 181.3000032019/10/14 183.279999 2019/8/28 181.759995 2019/10/15 188.889999 2019/8/29 185.570007 2019/10/16 189.550003 2019/8/30 185.669998 2019/10/17 190.389999 2019/9/3 182.3899992019/10/18 185.850006 2019/9/4 187.139999 2019/10/21 189.759995 2019/9/5 190.899994 2019/10/22 182.339996 2019/9/6 187.490005 2019/10/23 186.149994 2019/9/9 188.7599952019/10/24 186.380005 2019/9/10 186.169998 2019/10/25 187.889999 2019/9/11 188.490005 2019/10/28 189.399994 2019/9/12 187.470001 2019/10/29 189.309998 2019/9/13 187.190002 2019/10/30 2019/9/16 186.220001 2019/10/31 191.649994 2019/8/26 288 2019/10/11 296.279999 2019/8/27 286.869995 2019/10/14 295.950012 2019/8/28 288.890015 2019/10/15 298.880005 2019/8/29 292.579987 2019/10/16 298.399994 2019/8/30 292.450012 2019/10/17 299.279999 290.73999 2019/10/18 297.970001 2019/9/3 2019/9/4 294.040009 2019/10/21 299.98999 2019/9/5 297.820007 2019/10/22 299.01001 2019/9/6 298.049988 2019/10/23 299.880005 2019/9/9 298.200012 2019/10/24 300.369995 2019/9/10 298.130005 2019/10/25 301.600006 2019/9/11 300.25 2019/10/28 303.299988 2019/9/12 301.290009 2019/10/29 303.209991 2019/9/13 301.089996 2019/10/30 304.140015 188.25 2019/9/16 300.160004 2019/10/31 303.329987
