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Posted on Aug 04, 2024

EXHIBIT 1: ANNUAL RETURNS (%) Year ALUWORKS AGA Lyxor USDJIA Lyxor World 2.00 5.86 5.56 769 2010 425 22.40 6.11 5.79 2011 -29.40 27.07 7.94

EXHIBIT 1: ANNUAL RETURNS (%) Year ALUWORKS AGA Lyxor USDJIA Lyxor World 2.00 5.86 5.56 769 2010 425 22.40 6.11 5.79 2011 -29.40 27.07 7.94 -3.28 2012 13.23 0.60 18.29 20.75 2013 8.86 -6.14 17.09 1414 2014 231 33.87 14.20 15.06 2015 -9.28 4.71 EXAMINERS: DOKU, BOADI, BOAMAH & AGOBA Page 3 of 4 EXHIBIT 2: PORTFOLIO WEIGHTS (%) Assets Existing New Portfolio Portfolio ALUWORK 60 40 AGA 40 Lyxor Required 1. Using the annual retum data provided in Exhibit 1 of the case for ALUWORKS and AGA, calculate their mean returns, standard deviations, covariance, and correlation. With these numbers, calculate the standard deviation and retum for Desiree Mofakye's entire portfolio (6 marks). 2. After adding Lyxor USDJIA, what is the portfolio's new standard deviation and return? How does the new portfolio compare with the calculation in Question 1? (6 marks). 3. Based on your data analysis, should Desiree Mofakye diversify her portfolio or remain invested in SA and GHANA only! (6 marks). 4. Calculate the betas of ALUWORKS. AGA, and Lyxor USDJIA. To calculate the covariance with the market proxy, use the Lyxor World return data shown in Exhibit in the case. Assuming a risk-free rate of 2.5 per cent and a market risk premium of 55 per cent, what are the required returns for each of the three ETF? (6 marks). 5.Calculate the existing portfolio's beta and the new portfolio's beta. Assuming a risk-free rate of 2.5 percent and a market risk premium of 55 per cent, what are the two portfolios required returns? (6 marks) Total Marks (30) EXHIBIT 1: ANNUAL RETURNS (%) Year ALUWORKS AGA Lyxor USDJIA Lyxor World 2.00 5.86 5.56 769 2010 425 22.40 6.11 5.79 2011 -29.40 27.07 7.94 -3.28 2012 13.23 0.60 18.29 20.75 2013 8.86 -6.14 17.09 1414 2014 231 33.87 14.20 15.06 2015 -9.28 4.71 EXAMINERS: DOKU, BOADI, BOAMAH & AGOBA Page 3 of 4 EXHIBIT 2: PORTFOLIO WEIGHTS (%) Assets Existing New Portfolio Portfolio ALUWORK 60 40 AGA 40 Lyxor Required 1. Using the annual retum data provided in Exhibit 1 of the case for ALUWORKS and AGA, calculate their mean returns, standard deviations, covariance, and correlation. With these numbers, calculate the standard deviation and retum for Desiree Mofakye's entire portfolio (6 marks). 2. After adding Lyxor USDJIA, what is the portfolio's new standard deviation and return? How does the new portfolio compare with the calculation in Question 1? (6 marks). 3. Based on your data analysis, should Desiree Mofakye diversify her portfolio or remain invested in SA and GHANA only! (6 marks). 4. Calculate the betas of ALUWORKS. AGA, and Lyxor USDJIA. To calculate the covariance with the market proxy, use the Lyxor World return data shown in Exhibit in the case. Assuming a risk-free rate of 2.5 per cent and a market risk premium of 55 per cent, what are the required returns for each of the three ETF? (6 marks). 5.Calculate the existing portfolio's beta and the new portfolio's beta. Assuming a risk-free rate of 2.5 percent and a market risk premium of 55 per cent, what are the two portfolios required returns? (6 marks) Total Marks (30)