Suppose the annual rate of return on the risk-free asset is 2%. Construct the tangency portfolio consisting of the 5 selected stocks, M.

1. Find the weights of the selected 5 stocks in M.
2. Find the monthly expected return and standard deviation of M.
3. Explicitly label M in the efficient frontier graph below
4. What is the Sharpe ratio of M?

Mar-21 Feb-21 Jan-21 Dec-20 Nov-20 Oct-20 Sep-20 Aug-20 Jul-20 Jun-20 May-20 Apr-20 Mar-20 Feb-20 Jan-20 Monthly Adjusted Close Prices Name Issuer Code Commonwealth Bank of Australia CBA Resmed Inc RMD Seek Ltd SEK Sydney Airport SYD Woolworths Group Ltd WOW 86.10 25.25 28.51 6.19 40.87 81.56 24.55 25.70 5.86 38.88 82.06 27.18 28.05 80.68 27.19 28.53 6.41 38.79 77.70 28.22 26.05 6.71 36.49 67.82 27.84 21.51 5.45 37.65 62.50 23.82 21.29 5.86 35.95 67.09 2429 20.67 5.72 38.871 68.99 28.16 21.67 5.10 37.71 67.27 27.42 21.89 5.53 36.34 61.77 23.62 20.13 5.70 34.45 60.74 23.30 17.41 6.14 34.85 59.90 24.58 14.83 5.45 34.22 79.24 2434 20.46 7.58 37.36 80.78 24.90 22.45 8.39 40.29 5.72 40.32 Dec-19 Nov-19 Oct-19 Sep-19 Aug-19 Jul - 19 Jun-19 May-19 Apr-19 Mar-19 Feb-19 Jan-19 Dec-18 Nov-18 Oct-18 Sep-18 74.90 75.71 75.70 21.77 22.31 8.66 34.821 76.58 22.05 22.94 8.99 38.29 74.53 2110 22.44 8.60 35.94 76.59 19.68 21.24 7.86 35.90 20.43 19.90 8.26 35.82 76.15 17.00 20.71 7.87 31.51 18.82 20.47 8.19 33.78 7222 16.16 20.46 7.09 29.75 68.55 14.53 17.83 7.29 30.20 64.98 14.31 17.17 7.11 28.83 68.03 14.37 17.79 6.89 64.78 15.77 16.34 62 56 12.94 16.41 6.28 27.421 63.74 14.85 17.85 6.33 27.00 61.95 14.66 17-25 6.00 26.54 63.90 15.72 20.05 6.42 26.21 27.19 27.46 Aug-18 Jul - 18 Jun-18 May-18 Apr-18 Mar-18 Feb-18 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul - 17 Jun-17 May-17 Apr-17 64.04 68.74 9.44 67.98 9.81 63.75 1533 21.42 6.72 26.33 64.89 13.95 20.43 6.59 27.99 63.22 13.96 20.85 6.67 28.39 60.12 13.39 19.31 6.62 26.48 62.31 12 52 18.58 6.48 25.92 62.74 1221 17.78 6.10 24.46 66.28 12.15 19.08 5.99 25.28 66.63 12.28 18.46 6.19 67.88 10.82 17.95 6.41 25.00 67.11 11.06 1745 6.57 65.59 10.63 17.35 6.31 23.70 63.58 9.56 15.69 6.31 23.09 15.62 6.56 23.35 15.95 5.97 23.98 15.77 6.29 22.93 65.39 9.19 15.75 6.46 23.39 71.75 8.92 15.89 5.98 24.14 24.68 24.64 Efficient Frontier 2.5000% 2.0000% 1.5000% Er) 1.0000% 0.5000% 0.0000% 0.0000% 1.0000% 2.0000% 4.0000% 5.0000% 6.0000% 3.0000% Std Dev. (0) Mar-21 Feb-21 Jan-21 Dec-20 Nov-20 Oct-20 Sep-20 Aug-20 Jul-20 Jun-20 May-20 Apr-20 Mar-20 Feb-20 Jan-20 Monthly Adjusted Close Prices Name Issuer Code Commonwealth Bank of Australia CBA Resmed Inc RMD Seek Ltd SEK Sydney Airport SYD Woolworths Group Ltd WOW 86.10 25.25 28.51 6.19 40.87 81.56 24.55 25.70 5.86 38.88 82.06 27.18 28.05 80.68 27.19 28.53 6.41 38.79 77.70 28.22 26.05 6.71 36.49 67.82 27.84 21.51 5.45 37.65 62.50 23.82 21.29 5.86 35.95 67.09 2429 20.67 5.72 38.871 68.99 28.16 21.67 5.10 37.71 67.27 27.42 21.89 5.53 36.34 61.77 23.62 20.13 5.70 34.45 60.74 23.30 17.41 6.14 34.85 59.90 24.58 14.83 5.45 34.22 79.24 2434 20.46 7.58 37.36 80.78 24.90 22.45 8.39 40.29 5.72 40.32 Dec-19 Nov-19 Oct-19 Sep-19 Aug-19 Jul - 19 Jun-19 May-19 Apr-19 Mar-19 Feb-19 Jan-19 Dec-18 Nov-18 Oct-18 Sep-18 74.90 75.71 75.70 21.77 22.31 8.66 34.821 76.58 22.05 22.94 8.99 38.29 74.53 2110 22.44 8.60 35.94 76.59 19.68 21.24 7.86 35.90 20.43 19.90 8.26 35.82 76.15 17.00 20.71 7.87 31.51 18.82 20.47 8.19 33.78 7222 16.16 20.46 7.09 29.75 68.55 14.53 17.83 7.29 30.20 64.98 14.31 17.17 7.11 28.83 68.03 14.37 17.79 6.89 64.78 15.77 16.34 62 56 12.94 16.41 6.28 27.421 63.74 14.85 17.85 6.33 27.00 61.95 14.66 17-25 6.00 26.54 63.90 15.72 20.05 6.42 26.21 27.19 27.46 Aug-18 Jul - 18 Jun-18 May-18 Apr-18 Mar-18 Feb-18 Jan-18 Dec-17 Nov-17 Oct-17 Sep-17 Aug-17 Jul - 17 Jun-17 May-17 Apr-17 64.04 68.74 9.44 67.98 9.81 63.75 1533 21.42 6.72 26.33 64.89 13.95 20.43 6.59 27.99 63.22 13.96 20.85 6.67 28.39 60.12 13.39 19.31 6.62 26.48 62.31 12 52 18.58 6.48 25.92 62.74 1221 17.78 6.10 24.46 66.28 12.15 19.08 5.99 25.28 66.63 12.28 18.46 6.19 67.88 10.82 17.95 6.41 25.00 67.11 11.06 1745 6.57 65.59 10.63 17.35 6.31 23.70 63.58 9.56 15.69 6.31 23.09 15.62 6.56 23.35 15.95 5.97 23.98 15.77 6.29 22.93 65.39 9.19 15.75 6.46 23.39 71.75 8.92 15.89 5.98 24.14 24.68 24.64 Efficient Frontier 2.5000% 2.0000% 1.5000% Er) 1.0000% 0.5000% 0.0000% 0.0000% 1.0000% 2.0000% 4.0000% 5.0000% 6.0000% 3.0000% Std Dev. (0)