BBY		GD		STT		Russell 1000		1-Year T-Bill
Date		Price	Shrout	Dividend		Price	Shrout	Dividend		Price	Shrout	Dividend		Total Return Index		Annual YTM (%)
12/31/15		30.45	342720			137.36	316128			66.36	403486			5796.184
01/31/16		27.93	342720			133.77	312987	0.69		55.73	403486			5521.710		0.64
02/29/16		32.39	323828			136.27	311162			54.78	400017			6170.515		0.54
03/31/16		32.44	323348	0.28		131.37	311162			58.52	400017	0.34		6233.915		0.57
04/30/16		32.08	323348			140.52	305647	0.76		62.30	400025			6337.749		0.54
05/31/16		32.17	324078			141.87	305647			63.06	395940			6354.602		0.50
06/30/16		30.60	322753	0.28		139.24	305647			53.92	395940	0.34		6559.555		0.55
07/31/16		33.60	322753			146.89	305279	0.76		65.78	395940			6603.076		0.58
08/31/16		38.48	322753			152.22	305279			70.24	390015			6585.035		0.64
09/30/16		38.18	317274	0.28		155.16	305279			69.63	390015	0.38		6479.233		0.71
10/31/16		38.91	317274			150.74	304520	0.76		70.21	390015			6740.992		0.84
11/30/16		45.70	317274			175.35	304520			78.80	385735			6829.891		0.80
12/31/16		42.67	313826	0.28		172.66	304520			77.72	385735	0.38		6999.172		0.79
01/31/17		44.52	313826			181.08	302419	0.76		76.20	385735			7266.206		0.98
02/28/17		44.13	313826			189.81	302742			79.71	381940			7241.378		1.01
03/31/17		49.15	309111	0.34		187.20	303371			79.61	381940	0.38		7347.937		1.09
04/30/17		51.81	309111			193.79	301685	0.84		83.90	381658			7442.134		1.17
05/31/17		59.39	307410			203.25	301685			81.46	376236			7495.327		1.19
06/30/17		57.33	304962	0.34		198.10	301685			89.73	376236	0.38		7602.824		1.20
07/31/17		58.34	304962			196.33	299462	0.84		93.23	373955			7662.762		1.25
08/31/17		54.26	304962			201.35	299462			92.49	373955			7786.902		1.36
09/30/17		56.96	299185	0.34		205.58	299462			95.54	373955	0.42		8001.294		1.51
10/31/17		55.98	299185			202.98	298583	0.84		92.00	373955			8242.829		1.65
11/30/17		59.61	299185			207.16	298583			95.35	370837			8308.802		1.75
12/31/17		68.47	292326	0.34		203.45	298583			97.61	370837	0.42		8796.139		1.90
01/31/18		73.06	292326			222.48	296896	0.84		110.17	375477			8470.462		2.00
02/28/18		72.44	292326			222.45	296934			106.15	367653			8246.415		2.08
03/31/18		69.99	292326	0.45		220.90	298078			99.73	367875	0.42		8302.312		2.20
04/30/18		76.53	282714			201.31	297033	0.93		99.78	367875			8516.016		2.25
05/31/18		68.25	281904			201.71	297033			96.11	365408			8569.582		2.31
06/30/18		74.58	279392	0.45		186.41	297033			93.09	365408	0.42		8825.577		2.36
07/31/18		75.03	279392			199.76	296281	0.93		88.31	379415			9165.888		2.47
08/31/18		79.56	279392			193.40	296281			86.91	379415			9159.093		2.56
09/30/18		79.36	274558	0.45		204.72	296281			83.78	379415	0.47		8548.360		2.60
10/31/18		70.16	274558			172.58	296150	0.93		68.75	379536			8712.796		2.57
11/30/18		64.59	274558			184.89	296150			73.02	379536			7891.189		2.50
12/31/18		52.96	269102	0.45		157.21	296150			63.07	379536	0.47		8587.516		2.47
01/31/19		59.24	269102			171.17	288698	0.93		70.90	379536			8879.908		2.41
02/28/19		68.84	269102			170.22	288236			71.87	378660			9001.214		2.34
03/31/19		71.06	267804	0.5		169.28	288770			65.81	378660	0.47		9392.710		2.27
04/30/19		74.41	267804			178.72	288872	1.02		67.66	378660			8798.126		1.94
05/31/19		62.67	267916			160.82	288872			55.25	373164			9351.922		1.91
06/30/19		69.73	267043	0.5		181.82	288872			56.06	373164	0.47		9556.694		1.73
07/31/19		76.53	267043			185.94	288844	1.02		58.09	372580			9378.210		1.75
08/31/19		63.65	267043			191.27	288844			51.31	372580			9504.129		1.57
09/30/19		68.99	263573	0.5		182.73	288844			59.19	372580	0.52		9745.743		1.53
10/31/19		71.83	263573			176.80	289306	1.02		66.07	363623			10117.031		1.51
11/30/19		80.64	263573			181.74	289306			75.10	363623			10350.827		1.49
12/31/19		87.80	258777	0.5		176.35	289306			79.10	363623	0.52		10413.117		1.37
01/31/20		75.65	256494			159.56	286865	1.02		68.11	351944			9573.143		0.32
02/29/20		57.00	256494			132.31	286865			53.27	351944			8249.935		0.18
03/31/20		76.73	256494	0.55		130.62	286865			63.04	351944	0.52		9390.700		0.16
04/30/20		78.09	257000			146.83	286932	1.10		60.96	352383			9874.859		0.18
05/31/20		87.27	257000			149.46	286932			63.55	352383			10063.013		0.15
06/30/20		99.59	257000	0.55		146.74	286932			63.79	352383	0.52		10698.339		0.13
07/31/20		110.91	258000			149.35	286972	1.10		68.09	352798			11479.522		0.13
08/31/20		111.29	258000			138.43	286972			59.33	352798			11008.929		0.13
09/30/20		111.55	258000	0.55		131.11	286972			58.90	352798	0.52		10800.588		0.12
10/31/20		108.80	258431			149.35	287163	1.10		70.48	353156			12063.462		0.10
11/30/20		99.79	258431			148.82	287163			72.78	353156			12512.969		0.10
12/31/20		114.93	258431	0.55		152.77	287163			74.17	353156	0.52		12903.580		0.07
1) You have $1,000,000 to invest and create a portfolio invested 65% in BBY, 15% in GD, and 20% in STT. Assume that dividend income is received at the end of the month based on the shares held during the month and is reinvested at the portfolio level according to your initial target weights of {65%, 15%, 20%}. Suppose you implement your portfolio weights at the close of December 31, 2015, and then do not rebalance. For each month in the sample period calculate the number of shares of each stock held, the value of each stock position, the overall portfolio value, and the weight of each stock in your portfolio after dividend reinvestment. 2) ) Based on the shares held, share prices, and dividend income, compute the monthly total return earned on your portfolio. 3) Using the 1-year T-Bill as the risk-free rate, what was the Sharpe ratio of your portfolio over the sample period? Note that the T-Bill YTM is quoted on an annual basis, so it must be reduced to a monthly equivalent yield to be comparable to the monthly return on your portfolio 4) Create an equal-weighted index from your three stocks and set the index level on December 31, 2015, equal to 100. Rebalance back to equal weights at the end of each month, showing the trades necessary to accomplish this rebalancing. Calculate the price return index level (numerator and divisor each month), the price return, the total return, and total return index level for each month in the sample period. Hint: Assume a notional value for the size of the portfolio underlying the index, for instance $1,000,000 5) Create a price-weighted index from your three stocks and set the index level on December 31, 2015, equal to 100. For each month in the sample, calculate the price return index level (numerator and divisor each month), the price return, the total return, and the total return index level. Two hints: You can drop the assumption of a $1,000,000 portfolio; If you do not find this problem significantly easier than #4 then your approach is probably off. 6) Create a value-weighted index from your three stocks and set the index level on December 31, 2015, equal to 100. For each month in the sample calculate the price return index level (numerator and divisor each month), the price return, the total return, and the total return index level. Hint: Market cap changes for two reasons and changes in the index levels should only capture one of them. 7) This problem is focused on adjusting a price-weighted index for a stock split. Assume that General Dynamics conducts a 3:1 split and you must make the adjustment to the index. Assume the split occurs in the overnight period between 6/30/2018 and 7/1/2018, and divide GD's stock price and dividend beginning with the July 31, 2018 observation. For the priceweighted index, recompute the price return index level (numerator and divisor each month), price return, total return, and total return index level for the entire sample period 2016- 2020. Calculate the weights for the three stocks at the end of each month for the entire sample 2016-2020 and then plot these weights. 8) This problem is focused on adjusting a value-weighted index for the deletion of a constituent. Assume that State Street is deleted from the index after the close of the market on June 30, 2018. For the value-weighted index, recompute the price return index level (numerator and divisor each month), the price return, the total return, and the total return index level for the entire sample period 2016 - 2020. This question is separate from #7, so do not assume that General Dynamics splits (do not use the adjusted price and dividend series you created in the previous question) 9) For each month t in the sample, calculate the cumulative total return to your portfolio, the cumulative total return on the equal-weighted index, the cumulative total return on the priceweighted index, and the cumulative total return on the value-weighted index (before changes in questions 7 and 8). These cumulative returns are what an investor would earn if buying your portfolio or one of the indexes at the beginning of the sample period and holding through the end of month t. Plot these four time series together for the sample period 2016 - 2020. Put in another, equivalent way: This graph should show how $1 invested in each of these four assets would grow over this five year sample period. 12) Estimate the alpha and beta of your portfolio relative to Russell 1000. 13mine the various performance measures that you have calculated for the portfolio described in #1. Which, if any, of these measures paint a favorable picture of the portfolio's performance and would be impressive to a client investor? Which, if any, of these measures indicates that the portfolio did not perform well?