In his book Unconventional Success: A Fundamental Approach to Personal Investment, the late David Swenson of Yale endowment management fame recommended the portfolio in the table below. I have added ETF tickers for representative ETFs. Obtain the Adjusted Close data from Yahoo finance for the time frame of December 8, 2003 to November 11, 2022 for each of the tickers. Calculate the expected return for each ticker and return covariances for each ticker pair. For the expected return, use the average annual return. To calculate the average annual return, remember that the daily returns rd,t are related to the annual returns ra by t=1Tdays(1+rd,t)=(1+ra)Tyears where Tdays is the number of daily returns in the time frame and Tyears is length of the time frame in years. To calculate the number of years you need the number of days in a year, and since the days in question are trading days we use the 250 as the number of trading days in a year. Annualization of the covariance can also be accomplished by multiplying the daily return covariances by 250 . In his book Unconventional Success: A Fundamental Approach to Personal Investment, the late David Swenson of Yale endowment management fame recommended the portfolio in the table below. I have added ETF tickers for representative ETFs. Obtain the Adjusted Close data from Yahoo finance for the time frame of December 8, 2003 to November 11, 2022 for each of the tickers. Calculate the expected return for each ticker and return covariances for each ticker pair. For the expected return, use the average annual return. To calculate the average annual return, remember that the daily returns rd,t are related to the annual returns ra by t=1Tdays(1+rd,t)=(1+ra)Tyears where Tdays is the number of daily returns in the time frame and Tyears is length of the time frame in years. To calculate the number of years you need the number of days in a year, and since the days in question are trading days we use the 250 as the number of trading days in a year. Annualization of the covariance can also be accomplished by multiplying the daily return covariances by 250