Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Exhibit 1 YEAR LyxorChinaH LyxorMSindia LyxorUSDJIA LyxorWorld 2009 0.02 0.0586 0.0556 0.0769 2010 -0.0425 0.224 0.0611 0.0579 2011 -0.294 -0.2707 0.0794 -0.0328 2012 0.1323 0.006
Exhibit 1
YEAR LyxorChinaH LyxorMSindia LyxorUSDJIA LyxorWorld
2009 0.02 0.0586 0.0556 0.0769
2010 -0.0425 0.224 0.0611 0.0579
2011 -0.294 -0.2707 0.0794 -0.0328
2012 0.1323 0.006 0.1829 0.2075
2013 0.0886 -0.0684 0.1709 0.1414
2014 0.0231 0.3387 0.142 0.1506
2015 -0.0296 -0.0928 -0.0471 -0.0428
- Using the annual data provided in Exhibit 1, of the case for LyxorChinaH and LyxorMSindia, calculate their mean return, standard deviation, covariance and correlation. with these numbers calculate the standard deviation, and return for susie's entire portfolio.
- After adding LyxorUSDJIA , what is the portfolio's new standard deviation and return? How does the new portfolio compare with calculations in QUESTION 1.
- Based on your data, should susie diversify her portfolio or remain invested in china and india?
- Calculate the beta of Lyxor ChinaH Lyxor MSindia and Lyxor USDJIA. To calculate the covariance with the proxy , use Lyxor World return data shown in Exhibit 1. Assuming a risk free rate 2.5 percent and makrket risk premium of 5.5 percent. what are the required returns for each of three ETFs?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
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