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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

  1. 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.
  2. After adding LyxorUSDJIA , what is the portfolio's new standard deviation and return? How does the new portfolio compare with calculations in QUESTION 1.
  3. Based on your data, should susie diversify her portfolio or remain invested in china and india?
  4. 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?

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