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Posted on Jun 28, 2024

there are two pictures include questions and data Beta Expected Return = R QQQ 1.08 ?? SPY 1.01 HYG 0.34 XBT 0.0 US-Treasury 0.0 0.89

there are two pictures include questions and data

Beta Expected Return = R QQQ 1.08 ?? SPY 1.01 HYG 0.34 XBT 0.0 US-Treasury 0.0 0.89 Equity Risk Premium 1.0 5.26 Expected Market Return 1.0 6.09% 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 (BoXX High Yield Bond, XBT -- Bitcoin). Hint: build up from monthly returns to annual. b ) Calculate the beta, expected annual return, annual standard deviation and Sharpe ratio for an equally weighted portfolio (14 QQQ, 1/4 SPY, 14 HYG, 1/4 XBT). C) Do any of the portfolios lie on the security market line? If not are they above or below the line? Correctly draw SML with ETFs for extra points. d) Construct a portfolio with an expected return consistent with the equity market using iBoxy High Yield ETF (HYG) and US Treasury 10-year bond. Assume you can invest and borrow at the risk-free rate. e) Explain the difference between the Beta and standard deviation on the equally weighted portfolio. f ) How would you calculate yosystemic risk given the information above?Beta Expected Return = R QQQ 1.08 ?? SPY 1.01 HYG 0.34 XBT 0.0 US-Treasury 0.0 0.89 Equity Risk Premium 1.0 5.26 Expected Market Return 1.0 6.09% 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 (BoXX High Yield Bond, XBT -- Bitcoin). Hint: build up from monthly returns to annual. b ) Calculate the beta, expected annual return, annual standard deviation and Sharpe ratio for an equally weighted portfolio (14 QQQ, 1/4 SPY, 14 HYG, 1/4 XBT). C) Do any of the portfolios lie on the security market line? If not are they above or below the line? Correctly draw SML with ETFs for extra points. d) Construct a portfolio with an expected return consistent with the equity market using iBoxy High Yield ETF (HYG) and US Treasury 10-year bond. Assume you can invest and borrow at the risk-free rate. e) Explain the difference between the Beta and standard deviation on the equally weighted portfolio. f ) How would you calculate yosystemic risk given the information above?fx A B C D E F G H RAW DATA 2 NDX 100 S&P 500 Hi Yld Bond BITCOIN 3 QQQ ETF SPY ETF HYG ETF XBT / USD 4 PERIOD DATE Beta = 1.08 Beta = 1.01 Beta = 0.34 Beta = 0 24 10.202 275.92 342.58 93.42 13,850 23 9.202 284.3 350.64 93.03 10,707 22 8.202 301.44 365.01 93.86 11,679 8 21 7.202 271.43 340.51 93.83 11,346 9 20 6.202 252.6 320.93 89.29 9,147 10 19 5.202 237.83 316.09 89.76 9,505 11 18 4.202 222.88 301.12 87.2 8,827 12 17 3.202 193.66 266.66 83.18 6,481 13 16 2.202 209.12 305.88 92.45 8,633 14 15 1.202 222.38 331.52 93.63 9,354 15 14 12.2019 215.61 330.99 93.65 7,158 16 3 11.2019 207.78 322.58 92.17 7,710 17 12 10.2019 199.46 310.69 91.62 9,189 18 11 9.2019 190.9 303.36 91.58 8,241 19 10 8.2019 189.35 298.35 91.16 9,626 20 9 7.2019 192.83 302.83 90.51 10,027 21 8 6.2019 188.24 297.72 90.37 11,393 22 7 5.2019 175.17 279.15 87.61 8,503 23 6 4.2019 190.68 297.57 89.31 5,238 24 5 3.2019 180.56 285.32 88.43 4,093 25 4 2.2019 173.88 280.92 87.3 3,803 26 1.2019 168.66 271.55 86.26 3,417 27 IN 12.2018 154.57 250.92 81.83 3, 674 28 11.2018 169.54 276.2 83.98 3,930 29 0 10.2018 169.82 270.63 84.35 6,302 30 5.2% Equity Risk Premium = 31 US Treasury 10Yr = 0.8% 32 Exp Mkt Return = 5.2% + 0.8% = 6.0% 33 34 35 36 Sheet1fx A B C D E F G H RAW DATA 2 NDX 100 S&P 500 Hi Yld Bond BITCOIN 3 QQQ ETF SPY ETF HYG ETF XBT / USD 4 PERIOD DATE Beta = 1.08 Beta = 1.01 Beta = 0.34 Beta = 0 24 10.202 275.92 342.58 93.42 13,850 23 9.202 284.3 350.64 93.03 10,707 22 8.202 301.44 365.01 93.86 11,679 8 21 7.202 271.43 340.51 93.83 11,346 9 20 6.202 252.6 320.93 89.29 9,147 10 19 5.202 237.83 316.09 89.76 9,505 11 18 4.202 222.88 301.12 87.2 8,827 12 17 3.202 193.66 266.66 83.18 6,481 13 16 2.202 209.12 305.88 92.45 8,633 14 15 1.202 222.38 331.52 93.63 9,354 15 14 12.2019 215.61 330.99 93.65 7,158 16 3 11.2019 207.78 322.58 92.17 7,710 17 12 10.2019 199.46 310.69 91.62 9,189 18 11 9.2019 190.9 303.36 91.58 8,241 19 10 8.2019 189.35 298.35 91.16 9,626 20 9 7.2019 192.83 302.83 90.51 10,027 21 8 6.2019 188.24 297.72 90.37 11,393 22 7 5.2019 175.17 279.15 87.61 8,503 23 6 4.2019 190.68 297.57 89.31 5,238 24 5 3.2019 180.56 285.32 88.43 4,093 25 4 2.2019 173.88 280.92 87.3 3,803 26 1.2019 168.66 271.55 86.26 3,417 27 IN 12.2018 154.57 250.92 81.83 3, 674 28 11.2018 169.54 276.2 83.98 3,930 29 0 10.2018 169.82 270.63 84.35 6,302 30 5.2% Equity Risk Premium = 31 US Treasury 10Yr = 0.8% 32 Exp Mkt Return = 5.2% + 0.8% = 6.0% 33 34 35 36 Sheet1