table split up

Expected Return = R Beta ?? 1.08 QQQ ?? 1.01 SPY ?? 0.34 HYG ?? 0.0 XBT 0.8% 0.0 5.2% 1.0 US-Treasury Equity Risk Premium Expected Market Return 6.0% 1.0 a) Based on two years of historic data provided by Bloomberg, calculate expected annual return, annual standard deviation and Sharpe ratio for each of the four exchange-traded funds (ETFs) portfolios (QQQ - Nasdaq 100, SPY - S&P 500, HYG 18.oxx High Yield Bond, XBT Bitcoin). Hint: build up from monthly returns to annual. Am MR. UST towy Ades or NICE NE LE NOS STOV 12 1920 0001 1.000 BAN . . 36 D DE 10 . 1 10 ONE w SO BAN I . SAN 14 10 2715 18 9t E 10 104 LO WE NST 18 VO 31 10 1100 10 NA 102 10 MS 04 $ NE RO IN 2011 II MI W 23 22 21 WE R 101 LUS 031 2019 13 D . . 01 OL M MY TH 16 MIN WIT SIL REE NET 11 16.30 GET NO NINI WI NAT NE IL NE 1 14 w 1916 15 14 14 111 18 HOT OT NE MER NE NET 20013 62.00 11 NUL ME DOCTO VO 12 222.00 MET CE 101 ROSE SE NI SHE 999 10 SOME RE 1064 11 10 NE NESE 141 1.4 WON WE 11 11 200 19 WIE or 1 NET MS MYE NOT 11.14 1167 SUT BOON 10 W ET I MET NE NE MENY ME NH MET 10 OTT 000 2010 3000 TE 1108 10 NAT BE 12 275.90 10 Beta1010 GET SYEN 100 23 24 DAN PERIOD 000 ST100 500 000 NONIM PERIOD DATE 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 NDX 100 S&P 500 Hi Yld Bond BITCOIN QQQ ETF SPY ETF HYG ETF XBT / USD Beta = 1.08 Beta = 1.01 Beta = 0.34 Beta = 0 10.2020 275.92 342.58 93.42 13,850 09.2020 284.30 350.64 93.03 10,707 08.2020 301.44 365.01 93.86 11,679 07.2020 271.43 340.51 93.83 11,346 06.2020 252.60 320.93 89.29 9,147 05.2020 237.83 316.09 89.76 9,505 04.2020 222.88 301.12 87.20 8,827 03.2020 193.66 266.66 83.18 6,481 02.2020 209.12 305.88 92.45 8,633 01.2020 222.38 331.52 93.63 9,354 12.2019 215.61 330.99 93.65 7,158 11.2019 207.78 322.58 92.17 7,710 10.2019 199.46 310.69 91.62 9,189 09.2019 190.90 303.36 91.58 8,241 08.2019 189.35 298.35 91.16 9,626 07.2019 192.83 302.83 90.51 10,027 06.2019 188.24 297.72 90.37 11,393 05.2019 175.17 279.15 87.61 8,503 04.2019 190.68 297.57 89.31 5,238 03.2019 180.56 285.32 88.43 4,093 02.2019 173.88 280.92 87.30 3,803 01.2019 168.66 271.55 86.26 3,417 12.2018 154.57 250.92 81.83 3,674 11.2018 169.54 276.20 83.98 3,930 10.2018 169.82 270.63 84.35 6,302 3 2 1 0 12 month ST DEV Equity Risk Premium 5.2% US Treasury 10Yr = 0.8% Exp Mkt Return = 5.2% 0.8% = 6.0% QQQ ETF Monthly Return SPY ETF HYG ETF XT / USD D 7 1 3 4 D -2.95% -5.68% 11.06% 7.45% 6.21% 6.71% 15.09% -7.39% -5.96% 3.14% 3.77% 417% 448% 0.82% -1.80% 2.44% 7.46% 8.13% 5.60% 3.84% 3.09% 9.12% -8.83% -0.17% 0.00% -2 30% -3.94% 7.19% 6.10% 1.53% 4.97% 12.92% -12.82% -7.73% 0.16% 2.61% 3.83% 2.41% 1.68% -1.48% 1.715 6,65% -6.19% 4.29% 1.57% 3.45% 8.22% -9.15% 2.06% 0.00% 0.43% -0.88% 0.03% 5,09% -0.53% 2.94% 4.83% -10.02% -1.26% 0.02% 1.61% 0.60% 0.04% 0.46% 0.72% 0.16% 3.15% -1915 1.00% 1.29% 1.21% 5.42% -2.55X 0.44% 0.00% 29.36% 8.32% 2.93% 24.00% -3.77% 7.69% 36.18% -24.93% -7.71% 30.68% -7.16% -16.10% 11.51% -14.39% 3.99% -11.99% 33. 98% 62 34% 27.97% 7.64% 11.28% -7.00% -6.52% -37.64 0.00% 1 6 7 3 3 3 3 7 4 D 2 25.70% 21.40% 13.32% 20.04% 5.44% 10.33% 65.33% 77.81% Set ETFs = 1.00 QQQ ETF SPY ETF HYG ETF XBT/USD 1.625 1.674 1.775 1.598 1.487 1.401 1.312 1.140 1.231 1.309 1.270 1.224 1.175 1.124 1.115 1.135 1.108 1.032 1.123 1.063 1.024 0.993 0.910 0.998 1.000 1.266 1.296 1.349 1.258 1.186 1.168 1.113 0.985 1.130 1.225 1.223 1.192 1.148 1.121 1.102 1.119 1.100 1.031 1.100 1.054 1.038 1.003 0.927 1.021 1.000 1.108 1.103 1.113 1.112 1.059 1.064 1.034 0.986 1.096 1.110 1.110 1.093 1.086 1.086 1.081 1.073 1.071 1.039 1.059 1.048 1.035 1.023 0.970 0.996 1.000 2.198 1.699 1.853 1.800 1451 1.508 1.401 1028 1370 1.484 1136 1.223 1.458 1.308 1.527 1.591 1.808 1.349 0.831 0.649 0.603 0.542 0.583 0.624 1.000 Equal Weight Portfolio Change /Return 1.549 1.443 -5.231 1.522 - 1442 1.296 1.285 1.215 L 1.035 _1.207 1.282 1.185 5.6% 11.3% 0.8% 5.8% 17491 -14.2% _-5.9% -8.2% 0.131 _28% 1.183 28 09 53 00 31 08 1 28 MO 34 36 23 58 08 27 21 08 99 31 09 03 2 33 24 00 1217 1.160 1.206 1.230 L 1.272 1113 1028 _0.954 -3.9% -1.9% -3.3% 14.331 _8.2% _7.8% 3.131 _3.9% 5.0% _6.8% _0925 _0.890 _0.848 _0910 1.000 L Annual Return STDEV 0.0% 25.41% 26.50% Annual Retun 24.46% Expected Return = R Beta ?? 1.08 QQQ ?? 1.01 SPY ?? 0.34 HYG ?? 0.0 XBT 0.8% 0.0 5.2% 1.0 US-Treasury Equity Risk Premium Expected Market Return 6.0% 1.0 a) Based on two years of historic data provided by Bloomberg, calculate expected annual return, annual standard deviation and Sharpe ratio for each of the four exchange-traded funds (ETFs) portfolios (QQQ - Nasdaq 100, SPY - S&P 500, HYG 18.oxx High Yield Bond, XBT Bitcoin). Hint: build up from monthly returns to annual. Am MR. UST towy Ades or NICE NE LE NOS STOV 12 1920 0001 1.000 BAN . . 36 D DE 10 . 1 10 ONE w SO BAN I . SAN 14 10 2715 18 9t E 10 104 LO WE NST 18 VO 31 10 1100 10 NA 102 10 MS 04 $ NE RO IN 2011 II MI W 23 22 21 WE R 101 LUS 031 2019 13 D . . 01 OL M MY TH 16 MIN WIT SIL REE NET 11 16.30 GET NO NINI WI NAT NE IL NE 1 14 w 1916 15 14 14 111 18 HOT OT NE MER NE NET 20013 62.00 11 NUL ME DOCTO VO 12 222.00 MET CE 101 ROSE SE NI SHE 999 10 SOME RE 1064 11 10 NE NESE 141 1.4 WON WE 11 11 200 19 WIE or 1 NET MS MYE NOT 11.14 1167 SUT BOON 10 W ET I MET NE NE MENY ME NH MET 10 OTT 000 2010 3000 TE 1108 10 NAT BE 12 275.90 10 Beta1010 GET SYEN 100 23 24 DAN PERIOD 000 ST100 500 000 NONIM PERIOD DATE 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 NDX 100 S&P 500 Hi Yld Bond BITCOIN QQQ ETF SPY ETF HYG ETF XBT / USD Beta = 1.08 Beta = 1.01 Beta = 0.34 Beta = 0 10.2020 275.92 342.58 93.42 13,850 09.2020 284.30 350.64 93.03 10,707 08.2020 301.44 365.01 93.86 11,679 07.2020 271.43 340.51 93.83 11,346 06.2020 252.60 320.93 89.29 9,147 05.2020 237.83 316.09 89.76 9,505 04.2020 222.88 301.12 87.20 8,827 03.2020 193.66 266.66 83.18 6,481 02.2020 209.12 305.88 92.45 8,633 01.2020 222.38 331.52 93.63 9,354 12.2019 215.61 330.99 93.65 7,158 11.2019 207.78 322.58 92.17 7,710 10.2019 199.46 310.69 91.62 9,189 09.2019 190.90 303.36 91.58 8,241 08.2019 189.35 298.35 91.16 9,626 07.2019 192.83 302.83 90.51 10,027 06.2019 188.24 297.72 90.37 11,393 05.2019 175.17 279.15 87.61 8,503 04.2019 190.68 297.57 89.31 5,238 03.2019 180.56 285.32 88.43 4,093 02.2019 173.88 280.92 87.30 3,803 01.2019 168.66 271.55 86.26 3,417 12.2018 154.57 250.92 81.83 3,674 11.2018 169.54 276.20 83.98 3,930 10.2018 169.82 270.63 84.35 6,302 3 2 1 0 12 month ST DEV Equity Risk Premium 5.2% US Treasury 10Yr = 0.8% Exp Mkt Return = 5.2% 0.8% = 6.0% QQQ ETF Monthly Return SPY ETF HYG ETF XT / USD D 7 1 3 4 D -2.95% -5.68% 11.06% 7.45% 6.21% 6.71% 15.09% -7.39% -5.96% 3.14% 3.77% 417% 448% 0.82% -1.80% 2.44% 7.46% 8.13% 5.60% 3.84% 3.09% 9.12% -8.83% -0.17% 0.00% -2 30% -3.94% 7.19% 6.10% 1.53% 4.97% 12.92% -12.82% -7.73% 0.16% 2.61% 3.83% 2.41% 1.68% -1.48% 1.715 6,65% -6.19% 4.29% 1.57% 3.45% 8.22% -9.15% 2.06% 0.00% 0.43% -0.88% 0.03% 5,09% -0.53% 2.94% 4.83% -10.02% -1.26% 0.02% 1.61% 0.60% 0.04% 0.46% 0.72% 0.16% 3.15% -1915 1.00% 1.29% 1.21% 5.42% -2.55X 0.44% 0.00% 29.36% 8.32% 2.93% 24.00% -3.77% 7.69% 36.18% -24.93% -7.71% 30.68% -7.16% -16.10% 11.51% -14.39% 3.99% -11.99% 33. 98% 62 34% 27.97% 7.64% 11.28% -7.00% -6.52% -37.64 0.00% 1 6 7 3 3 3 3 7 4 D 2 25.70% 21.40% 13.32% 20.04% 5.44% 10.33% 65.33% 77.81% Set ETFs = 1.00 QQQ ETF SPY ETF HYG ETF XBT/USD 1.625 1.674 1.775 1.598 1.487 1.401 1.312 1.140 1.231 1.309 1.270 1.224 1.175 1.124 1.115 1.135 1.108 1.032 1.123 1.063 1.024 0.993 0.910 0.998 1.000 1.266 1.296 1.349 1.258 1.186 1.168 1.113 0.985 1.130 1.225 1.223 1.192 1.148 1.121 1.102 1.119 1.100 1.031 1.100 1.054 1.038 1.003 0.927 1.021 1.000 1.108 1.103 1.113 1.112 1.059 1.064 1.034 0.986 1.096 1.110 1.110 1.093 1.086 1.086 1.081 1.073 1.071 1.039 1.059 1.048 1.035 1.023 0.970 0.996 1.000 2.198 1.699 1.853 1.800 1451 1.508 1.401 1028 1370 1.484 1136 1.223 1.458 1.308 1.527 1.591 1.808 1.349 0.831 0.649 0.603 0.542 0.583 0.624 1.000 Equal Weight Portfolio Change /Return 1.549 1.443 -5.231 1.522 - 1442 1.296 1.285 1.215 L 1.035 _1.207 1.282 1.185 5.6% 11.3% 0.8% 5.8% 17491 -14.2% _-5.9% -8.2% 0.131 _28% 1.183 28 09 53 00 31 08 1 28 MO 34 36 23 58 08 27 21 08 99 31 09 03 2 33 24 00 1217 1.160 1.206 1.230 L 1.272 1113 1028 _0.954 -3.9% -1.9% -3.3% 14.331 _8.2% _7.8% 3.131 _3.9% 5.0% _6.8% _0925 _0.890 _0.848 _0910 1.000 L Annual Return STDEV 0.0% 25.41% 26.50% Annual Retun 24.46%