Dennis is the Vice President of Digital Banking, Mobile Development at a major Thai bank. Recently, his Aunt Grace, whom he didnt know about, passed on and left him $1 million as part of her estate. As his job is keeping him busy, he has no time to manage this money and is looking for professional help.

2(c) Assuming returns for the portfolios in Exhibit 2 are normally distributed, compute the five percent yearly Value at Risk for each of the three (3) proposed portfolios.

Exhibit 1. Annualised ETF Return and Risk ETF SPDR STI (STI) ABF SG BOND (ABF) SPDR S&P 500 (S&P) iShares Core US Aggregate Bond (AGG) Asset class Equities Fixed Income Equities Fixed Income Country Return Std Dev SG 2.51% 18.50% SG 2.42% 6.70% US 8.94% 15.71% 3.60% 4.02% US Exhibit 2. Candidate Portfolios ETF SPDR STI (STI) ABF SG BOND (ABF) SPDR S&P 500 (S&P) iShares Core US Aggregate Bond (AGG) $ XXX $ 140,000 $ 210,000 $ 70,000 Portfolio B $ 140,000 $ 70,000 $ XXX $ 140,000 $ 105,000 $ 70,000 $ XXX $ 70,000 Standard Deviation 11.86% 11.26% 12.66% Correlations STI ABF S&P AGG STI 1.00 0.20 0.78 0.22 ABF 0.20 1.00 0.10 0.52 S&P 0.78 0.10 1.00 0.09 AGG 0.22 0.52 0.09 1.00 Exhibit 1. Annualised ETF Return and Risk ETF SPDR STI (STI) ABF SG BOND (ABF) SPDR S&P 500 (S&P) iShares Core US Aggregate Bond (AGG) Asset class Equities Fixed Income Equities Fixed Income Country Return Std Dev SG 2.51% 18.50% SG 2.42% 6.70% US 8.94% 15.71% 3.60% 4.02% US Exhibit 2. Candidate Portfolios ETF SPDR STI (STI) ABF SG BOND (ABF) SPDR S&P 500 (S&P) iShares Core US Aggregate Bond (AGG) $ XXX $ 140,000 $ 210,000 $ 70,000 Portfolio B $ 140,000 $ 70,000 $ XXX $ 140,000 $ 105,000 $ 70,000 $ XXX $ 70,000 Standard Deviation 11.86% 11.26% 12.66% Correlations STI ABF S&P AGG STI 1.00 0.20 0.78 0.22 ABF 0.20 1.00 0.10 0.52 S&P 0.78 0.10 1.00 0.09 AGG 0.22 0.52 0.09 1.00