Create a drift portfolio with 20% invested in EM and EAFE, and 60% invested in the US market at the start of the investment period
Create a "drift" portfolio with 20% invested in EM and EAFE, and 60% invested in the US market at the start of the investment period using a "notional value" of $100 invested at time 0. Calculate the average return and volatility of the Drift Portfolio.
| Quarter | EM | EAFE | US | Portfolio | |
| 1 | -0.64 | 4.16 | 7.67 | 5.306 | |
| 2 | -1.36 | 4.05 | 5.67 | 3.937 | |
| 3 | 6.04 | 2.92 | 6.44 | 5.657 | |
| 4 | 4.10 | 1.64 | 3.74 | 3.394 | |
| 5 | -3.69 | -0.05 | 2.27 | 0.615 | |
| 6 | -0.59 | 1.65 | 7.28 | 4.579 | |
| 7 | 8.13 | -1.51 | 1.13 | 2.004 | |
| 8 | 8.21 | 12.27 | 15.84 | 13.602 | |
| 9 | -9.40 | -0.64 | 8.96 | 3.369 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Authors: Stephen Asbury
1st Edition
9780750680264, 978-0750680264
