Date	Consumer Discretionary	Consumer Staples	Energy	Financials	Health Care	Industrials	Materials	Technology	Utilities
Nov-11	-0.718%	2.771%	1.664%	-5.111%	0.954%	1.406%	0.203%	-1.499%	1.033%
Dec-11	0.723%	1.850%	-2.455%	1.483%	2.391%	-0.413%	-2.955%	-0.664%	2.187%
Jan-12	6.509%	-0.525%	2.689%	8.847%	3.779%	8.038%	11.758%	6.673%	-2.534%
Feb-12	4.526%	3.746%	5.927%	4.979%	1.061%	2.789%	-0.565%	7.103%	0.606%
Mar-12	4.399%	2.558%	-4.180%	7.046%	3.952%	0.510%	0.000%	4.180%	0.430%
Apr-12	1.465%	0.824%	-0.327%	-2.030%	0.237%	-0.635%	-0.434%	-0.810%	2.711%
May-12	-5.503%	-1.170%	-10.682%	-9.203%	-3.626%	-6.323%	-7.772%	-6.338%	0.561%
Jun-12	1.578%	2.931%	4.306%	4.497%	5.145%	2.884%	4.347%	2.864%	3.151%
Jul-12	-0.197%	3.179%	5.449%	0.618%	1.544%	0.868%	-0.740%	2.240%	3.468%
Aug-12	4.616%	-0.477%	2.699%	3.411%	1.172%	1.536%	2.325%	4.204%	-4.140%
Sep-12	2.722%	1.043%	2.656%	2.836%	3.296%	0.468%	3.226%	1.115%	0.110%
Oct-12	-1.195%	-0.531%	-1.590%	2.412%	0.272%	0.537%	-1.580%	-5.971%	2.474%
Nov-12	3.169%	1.837%	-1.223%	-0.881%	0.525%	1.754%	1.860%	0.901%	-4.282%
Dec-12	-0.189%	-3.163%	0.507%	3.997%	-0.895%	2.074%	2.289%	-0.961%	-1.133%
Jan-13	6.348%	6.830%	8.855%	6.705%	8.179%	6.528%	4.861%	2.493%	5.936%
Feb-13	1.596%	3.309%	0.440%	1.208%	1.258%	2.221%	-1.358%	0.782%	2.324%
Mar-13	4.064%	4.411%	2.085%	3.525%	5.754%	1.928%	1.793%	2.160%	4.462%
Apr-13	3.346%	3.451%	-0.869%	3.037%	3.449%	-0.312%	1.360%	2.167%	6.879%
May-13	2.765%	-2.174%	2.849%	6.096%	1.648%	5.018%	1.896%	2.792%	-9.051%
Jun-13	0.499%	-0.949%	-2.733%	-1.966%	-1.039%	-2.045%	-4.839%	-3.380%	-0.133%
Jul-13	5.603%	5.017%	5.766%	5.772%	7.648%	6.451%	6.362%	4.250%	5.405%
Aug-13	-2.847%	-4.542%	-1.031%	-5.124%	-3.528%	-2.480%	-0.124%	-1.040%	-4.992%
Sep-13	5.114%	0.734%	1.643%	2.418%	2.783%	5.381%	3.908%	2.038%	0.188%
Oct-13	4.892%	7.080%	4.681%	3.722%	4.739%	5.245%	4.711%	5.533%	4.767%
Nov-13	3.454%	1.558%	0.058%	4.424%	4.719%	3.661%	1.302%	3.091%	-1.934%
Dec-13	1.875%	-0.070%	2.395%	1.769%	0.326%	3.690%	4.240%	3.027%	-0.158%
Jan-14	-5.624%	-4.444%	-5.357%	-3.207%	1.354%	-3.780%	-4.117%	-2.094%	4.078%
Feb-14	6.399%	3.901%	5.121%	3.039%	6.219%	4.058%	6.903%	4.394%	3.453%
Mar-14	-3.172%	1.676%	1.609%	2.949%	-1.598%	0.519%	0.425%	0.000%	2.497%
Apr-14	-1.049%	3.262%	5.773%	-1.337%	-0.289%	1.779%	1.228%	0.707%	5.089%
May-14	2.882%	1.808%	1.675%	1.503%	2.873%	1.923%	2.958%	3.759%	-1.088%
Jun-14	1.614%	-0.933%	5.026%	2.019%	1.739%	0.018%	1.141%	1.401%	3.556%
Jul-14	-0.958%	-2.654%	-3.018%	-1.061%	0.508%	-3.688%	-1.535%	2.164%	-6.004%
Aug-14	4.447%	4.613%	2.184%	4.239%	4.843%	4.225%	3.864%	3.282%	4.921%
Sep-14	-3.095%	-0.044%	-8.224%	-0.813%	0.078%	-1.611%	-1.860%	-0.943%	-2.750%
Oct-14	2.456%	4.203%	-3.035%	3.317%	5.633%	4.366%	-1.947%	2.041%	9.004%
Nov-14	5.448%	5.545%	-8.694%	2.349%	3.479%	3.079%	1.570%	4.810%	1.166%
Dec-14	0.474%	-1.643%	-0.827%	1.352%	-1.767%	-0.580%	-1.180%	-2.683%	2.652%
Jan-15	-2.592%	-0.257%	-3.968%	-6.480%	1.677%	-3.011%	-1.213%	-3.005%	3.242%
Feb-15	8.544%	4.144%	4.593%	5.824%	4.288%	5.351%	7.968%	7.995%	-6.395%
Mar-15	-0.816%	-2.539%	-1.822%	-0.986%	0.360%	-2.992%	-5.263%	-3.829%	-1.769%
Apr-15	0.283%	-0.151%	7.298%	0.457%	-0.813%	0.207%	3.753%	3.172%	0.311%
May-15	1.315%	0.868%	-5.189%	1.948%	4.504%	0.324%	0.377%	1.855%	0.633%
Jun-15	0.236%	-2.439%	-4.120%	-0.894%	-0.734%	-3.136%	-4.386%	-4.542%	-6.831%
Jul-15	5.224%	6.348%	-7.077%	3.857%	3.312%	0.794%	-4.608%	3.313%	7.067%
Aug-15	-6.532%	-5.963%	-4.252%	-7.061%	-7.964%	-5.404%	-5.637%	-5.519%	-3.478%
Sep-15	-0.960%	-0.254%	-7.873%	-3.286%	-6.043%	-2.730%	-7.934%	-1.815%	1.955%
Oct-15	9.447%	6.382%	11.980%	6.786%	8.106%	9.367%	14.058%	11.005%	2.017%
Nov-15	-0.235%	-0.922%	-0.015%	1.993%	-0.322%	0.866%	0.994%	0.710%	-2.126%
Dec-15	-3.243%	2.165%	-11.320%	-2.972%	1.294%	-3.160%	-5.051%	-2.570%	1.074%
Jan-16	-4.789%	1.275%	-2.624%	-8.283%	-7.328%	-5.124%	-10.040%	-3.229%	6.030%
Feb-16	0.445%	0.315%	-2.800%	-2.901%	-0.361%	4.261%	7.815%	-0.655%	1.937%
Mar-16	6.260%	4.203%	9.385%	6.686%	2.340%	6.427%	7.201%	8.274%	7.171%
Apr-16	0.539%	-0.926%	9.843%	4.060%	3.335%	1.763%	5.475%	-4.547%	-1.685%
May-16	0.051%	0.688%	-0.933%	1.888%	2.235%	-0.427%	-0.340%	4.890%	1.508%
Jun-16	-1.489%	4.728%	2.049%	-3.747%	0.505%	0.161%	-1.278%	-1.856%	6.755%
Jul-16	4.932%	-0.219%	-0.610%	4.009%	5.289%	4.196%	5.597%	7.623%	0.145%
Aug-16	-1.299%	-0.585%	1.677%	3.848%	-3.245%	0.948%	-0.267%	1.163%	-5.545%
Sep-16	-0.645%	-2.152%	3.065%	-3.264%	-0.893%	-0.358%	-1.668%	1.681%	-0.487%
Oct-16	-2.052%	-0.156%	-2.231%	2.769%	-6.225%	-1.469%	-1.590%	-0.343%	1.759%
Nov-16	4.802%	-4.205%	8.467%	14.032%	2.064%	9.089%	6.824%	0.169%	-5.422%
Dec-16	-0.550%	2.234%	1.196%	3.287%	0.276%	-0.304%	-0.481%	1.811%	3.893%
Jan-17	4.831%	2.460%	-2.701%	0.713%	2.741%	2.488%	5.238%	4.014%	2.236%
Feb-17	1.815%	4.773%	-2.085%	5.277%	6.339%	3.913%	0.558%	4.533%	5.266%
Mar-17	1.829%	-0.944%	-2.073%	-3.301%	-0.840%	-1.215%	0.306%	1.834%	-0.889%
Apr-17	2.705%	1.631%	-2.365%	-0.489%	1.901%	2.431%	1.578%	2.400%	1.526%
May-17	1.099%	2.646%	-3.538%	-1.190%	0.768%	1.779%	0.019%	3.954%	4.139%
Jun-17	-1.560%	-3.001%	-0.795%	6.108%	4.154%	0.874%	1.375%	-3.202%	-3.492%
Jul-17	2.241%	1.468%	3.325%	2.091%	1.221%	0.768%	2.018%	4.880%	3.256%
Aug-17	-1.861%	-1.103%	-5.479%	-1.554%	1.752%	0.220%	0.787%	2.922%	3.288%
Sep-17	0.468%	-1.334%	8.750%	4.696%	0.541%	3.710%	3.141%	0.459%	-3.493%
Oct-17	2.482%	-1.031%	0.474%	3.291%	-0.393%	1.207%	4.433%	6.895%	4.694%
Nov-17	5.066%	5.575%	1.752%	3.459%	2.910%	4.166%	0.949%	1.414%	2.685%
Dec-17	2.111%	1.499%	4.573%	1.417%	-0.946%	1.557%	1.629%	0.172%	-6.926%
Jan-18	9.613%	2.390%	4.274%	7.052%	6.981%	5.938%	4.508%	7.436%	-2.210%
Feb-18	-3.469%	-7.627%	-10.835%	-2.925%	-4.495%	-3.863%	-5.274%	-0.409%	-3.879%
Mar-18	-2.671%	-1.460%	1.004%	-4.503%	-3.256%	-3.079%	-4.511%	-4.034%	2.996%
Apr-18	2.681%	-3.604%	10.274%	-0.073%	1.412%	-2.395%	0.505%	0.374%	2.831%
May-18	1.987%	-1.566%	2.994%	-0.984%	0.182%	3.074%	2.052%	6.783%	-1.106%
Jun-18	3.347%	3.766%	-0.105%	-2.171%	1.274%	-3.775%	-0.189%	-0.615%	1.902%
Jul-18	2.070%	4.764%	2.240%	5.570%	6.949%	7.816%	3.337%	2.449%	2.506%
Aug-18	5.105%	0.392%	-3.475%	1.360%	4.329%	0.234%	-0.770%	6.599%	1.288%
Sep-18	0.231%	0.279%	1.746%	-2.647%	2.554%	1.686%	-2.261%	-0.357%	-1.534%
Oct-18	-9.832%	2.723%	-10.718%	-4.291%	-6.415%	-10.437%	-8.751%	-7.693%	2.892%
Nov-18	2.477%	2.272%	-1.563%	2.626%	8.083%	3.807%	3.802%	-1.962%	3.539%
Dec-18	-8.316%	-9.740%	-13.251%	-11.680%	-9.763%	-11.208%	-7.489%	-8.772%	-4.803%
Jan-19	10.298%	6.102%	12.252%	9.579%	5.284%	12.115%	6.289%	7.402%	4.356%
Feb-19	1.315%	1.779%	2.305%	2.236%	1.081%	6.368%	3.187%	6.910%	4.109%
Mar-19	3.303%	3.257%	1.333%	-3.054%	0.109%	-1.716%	0.817%	4.431%	2.035%
Apr-19	5.823%	3.415%	0.769%	9.541%	-2.352%	4.571%	3.961%	6.709%	1.677%
May-19	-7.604%	-3.639%	-11.103%	-7.173%	-2.218%	-7.640%	-8.181%	-8.665%	-0.784%
Jun-19	7.445%	4.424%	8.406%	6.113%	6.141%	7.453%	10.900%	8.555%	2.369%
Jul-19	1.624%	3.122%	-0.687%	2.877%	-1.199%	0.954%	0.323%	3.864%	0.663%
Aug-19	-0.944%	2.171%	-8.325%	-4.708%	-0.592%	-2.647%	-2.828%	-1.535%	5.088%
Sep-19	0.937%	1.153%	2.992%	4.012%	-0.519%	2.468%	2.664%	1.257%	3.452%
Oct-19	0.456%	0.166%	-1.199%	3.023%	5.563%	1.670%	0.486%	4.223%	0.011%
Nov-19	1.324%	1.373%	1.605%	5.052%	5.003%	4.496%	3.179%	5.366%	-1.868%
Dec-19	2.425%	1.581%	1.953%	2.090%	2.382%	-0.695%	2.298%	3.981%	2.490%
Jan-20	0.250%	1.139%	-7.436%	-2.169%	-1.631%	0.053%	-5.653%	4.332%	7.581%
Feb-20	-7.573%	-8.215%	-15.288%	-11.248%	-6.587%	-9.900%	-8.520%	-7.301%	-9.858%
Mar-20	-15.324%	-6.070%	-35.807%	-21.700%	-4.352%	-19.253%	-14.568%	-9.053%	-10.888%
Apr-20	19.459%	7.570%	33.690%	10.390%	13.134%	9.657%	15.956%	14.330%	4.373%
May-20	6.509%	1.665%	2.000%	2.720%	3.289%	5.389%	6.881%	7.176%	4.244%
Jun-20	2.834%	-0.996%	-2.348%	-1.153%	-2.854%	1.522%	1.623%	6.655%	-5.462%
Jul-20	7.524%	7.757%	-3.588%	4.509%	5.903%	4.874%	7.705%	5.976%	8.697%
Aug-20	9.555%	4.593%	-1.055%	4.286%	2.587%	8.476%	4.357%	11.881%	-2.597%
Sep-20	-2.072%	-2.257%	-15.989%	-3.951%	-2.568%	-1.067%	1.032%	-5.544%	0.219%
Oct-20	-2.521%	-2.292%	-2.529%	-0.327%	-3.238%	-1.059%	-0.255%	-4.794%	5.956%
Nov-20	9.995%	7.469%	27.994%	16.848%	7.948%	16.027%	12.362%	11.384%	0.737%
Dec-20	2.238%	0.807%	3.101%	5.739%	3.372%	0.591%	1.972%	5.296%	-0.223%
Jan-21	0.952%	-4.186%	5.134%	-1.271%	1.820%	-3.873%	-1.930%	-0.607%	-0.040%
Feb-21	-0.531%	-1.233%	22.457%	11.606%	-2.104%	6.889%	4.119%	1.365%	-6.098%
Mar-21	4.294%	7.915%	1.890%	5.385%	3.668%	8.652%	7.138%	1.622%	9.733%
Apr-21	6.625%	2.410%	1.741%	6.962%	4.293%	3.853%	5.826%	5.410%	4.963%
May-21	-3.398%	1.768%	5.710%	4.771%	1.871%	3.130%	5.082%	-0.931%	-2.338%
Jun-21	3.304%	-1.186%	3.179%	-3.422%	1.901%	-2.588%	-5.673%	6.691%	-2.962%
Jul-21	1.203%	2.865%	-7.379%	-0.069%	5.332%	1.257%	2.521%	4.078%	5.144%
Aug-21	1.785%	1.049%	-2.004%	5.148%	2.316%	1.113%	1.892%	3.559%	3.896%
Sep-21	-2.287%	-4.733%	7.624%	-2.266%	-5.850%	-6.382%	-7.593%	-6.005%	-6.799%
Oct-21	1.924%	2.392%	9.920%	4.420%	-0.283%	3.512%	3.065%	1.947%	1.393%
average	1.508%	0.965%	0.419%	1.359%	1.326%	1.206%	1.010%	1.713%	0.889%
standard deviation	0.04478	0.034037899	0.07817	0.05189	0.0379686	0.047313	0.04915	0.045012	0.04078

Portfolios with Standard \& Poor's Sectors The famous S\&P 500 Index represents Standard \& Poor's 11 sectors of the economy. You can invest in the market as a whole through several available S\&P 500 Index exchange-traded funds (ETFs). You can also focus a portfolio on one or more sectors through Standard \& Poor's SPDR ETFs. All 11 sectors have an associated SPDR ETF. However, only nine of them have been available for at least 10 years. The file, ch6_case_study.xlsx, shows 10 years of monthly returns for the nine sector ETFs with available data (prices obtained from Yahoo! Finance). The sectors are Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Materials, Technology, and Utilities. The two missing sectors are Communications Services and Real Estate. This case explores the risk/return relationships between the sectors and the various portfolios that can be formed with them. a. Compute the average monthly returns and standard deviation of returns for each of the nine sectors. What do you notice about the risk and return of these sectors? b. Compute the correlation between each of the nine sectors. What sector(s) appears to be less correlated with the others? c. Compute the minimum variance portfolio. What is the standard deviation and sector allocation for this portfolio? What do you observe about the portfolio allocation? d. Compute eight points on the efficient frontier and show the efficient frontier on a graph. Portfolios with Standard \& Poor's Sectors The famous S\&P 500 Index represents Standard \& Poor's 11 sectors of the economy. You can invest in the market as a whole through several available S\&P 500 Index exchange-traded funds (ETFs). You can also focus a portfolio on one or more sectors through Standard \& Poor's SPDR ETFs. All 11 sectors have an associated SPDR ETF. However, only nine of them have been available for at least 10 years. The file, ch6_case_study.xlsx, shows 10 years of monthly returns for the nine sector ETFs with available data (prices obtained from Yahoo! Finance). The sectors are Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Materials, Technology, and Utilities. The two missing sectors are Communications Services and Real Estate. This case explores the risk/return relationships between the sectors and the various portfolios that can be formed with them. a. Compute the average monthly returns and standard deviation of returns for each of the nine sectors. What do you notice about the risk and return of these sectors? b. Compute the correlation between each of the nine sectors. What sector(s) appears to be less correlated with the others? c. Compute the minimum variance portfolio. What is the standard deviation and sector allocation for this portfolio? What do you observe about the portfolio allocation? d. Compute eight points on the efficient frontier and show the efficient frontier on a graph