The following table lists the month-end prices from May 2017 to July 2018 of the Spider S&P 500 Index ETF (SPY) and iShares 20+ Treasury Bond ETF (TLT), respectively. During this time period the average annual yield for the one-month Treasury bills is 1.292% or 0.1077% per month. Apply the following equation to calculate the monthly returns from June 2017 to July 2018 for SPY and TLT, respectively.

The monthly return for month n:

r_n = (Current month-end price Previous month-end price) / Previous month-end price =

(P_n P_n-1) / P_n-1

Using the monthly returns, find the values of the following inferences about SPY and TLT, respectively.

1. AAR
2. GAR
3. HPR
4. Standard deviation
5. Sharpe ratio
6. VaR (1%) and Var (5%)

You are expected to use the Excel spreadsheet attached below to solve these problems. PLEASE USE EXCEL AND SHOW ANY FORMULAS USED.

1-Month 1-Month T-bill T-bill SPY TLT SPY TLT SPY TLT Monthly Return Monthly Return Monthly Return Annual Yield (%) Year Month r r 1+r 1+r r 0.82 0.000683 0.96 0.0008 2017 Jun 2017 Jul 2017 Aug 2017 Sep 2017 Oct 1 0.000833 0.96 0.0008 Adj Close Adj Close Price Price Date P 5/31/2017 235.858 120.4887 6/30/2017 237.3616 121.4428 7/31/2017 242.2404 120.6433 8/31/2017 242.9471 124.7557 9/29/2017 247.8424 121.8577 10/31/2017 253.6826 121.8107 11/30/2017 261.4366 122.716 12/29/2017 264.6073 124.9404 1/31/2018 279.5203 120.8728 2/28/2018 269.3568 117.1966 3/29/2018 261.9736 120.548 4/30/2018 263.3276 118.0308 5/31/2018 269.7288 120.3966 6/29/2018 271.28 121.1741 7/31/2018 281.33 119.433 2017 Nov 0.95 0.000792 1.06 0.000883 1.14 0.00095 2017 Dec 2018 Jan 2018 Feb 2018 Mar 2018 Apr 2018 May 2018 Jun 2018 Jul 1.29 0.001075 1.41 0.001175 1.5 0.00125 1.68 0.0014 1.68 0.0014 1.74 0.00145 1.9 0.001583 GAR AAR HPR St Dev Sharpe VaR (1%) VaR(5%) Expected R