Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Using the full sample period inputs from above, can you please help me build an allocation table (5% increments) and determine the allocations for an
Using the full sample period inputs from above, can you please help me build an allocation table (5% increments) and determine the allocations for an investor initially holding the domestic portfolio (MSCI USA) and diversifying in 5% allocations into the international portfolio (MSCI World) that is forecasted to produce:
a) the minimum variance portfolio
b) maximum Sharpe Ratio portfolio Here is the full datatset including the risk free rates (APR percent)
MSCI USA | MSCI WORLD | |
A) AV ARITHMETIC ANNUAL RETURN | 0.827 | 0.552 |
B) AV ANNUAL EXCESS RETURN | 0.477 | 0.201 |
C) ANNUAL VOLATILITY | 14.94 | 10.697 |
D) CORRELATION | 0.694 | 0.694 |
Date | Gross Value Index USD (MSCI USA) | Annual Returns (MSCI USA) | Annual Excess Return (MSCI USA) | Gross Value Index USD (MSCI World) | Annual Returns (MSCI World) | Annual Excess Return (MSCI World) | APR Percent (USD) (1 yr treasury) |
Dec 31, 1983 | 100.00 | - | - | 100.00 | - | - | 0.10 |
Dec 31, 1984 | 105.98 | 0.06 | -0.03 | 103.47 | 0.03 | -0.06 | 0.09 |
Dec 31, 1985 | 140.69 | 0.33 | 0.25 | 156.65 | 0.51 | 0.44 | 0.08 |
Dec 31, 1986 | 165.34 | 0.18 | 0.12 | 259.79 | 0.66 | 0.60 | 0.06 |
Dec 31, 1987 | 171.81 | 0.04 | -0.03 | 323.60 | 0.25 | 0.17 | 0.07 |
Dec 31, 1988 | 199.15 | 0.16 | 0.07 | 413.56 | 0.28 | 0.19 | 0.09 |
Dec 31, 1989 | 261.61 | 0.31 | 0.24 | 460.81 | 0.11 | 0.04 | 0.08 |
Dec 31, 1990 | 256.16 | -0.02 | -0.09 | 355.69 | -0.23 | -0.30 | 0.07 |
Dec 31, 1991 | 336.41 | 0.31 | 0.27 | 399.92 | 0.12 | 0.08 | 0.04 |
Dec 31, 1992 | 361.17 | 0.07 | 0.04 | 352.20 | -0.12 | -0.16 | 0.04 |
Dec 31, 1993 | 397.55 | 0.10 | 0.06 | 467.06 | 0.33 | 0.29 | 0.04 |
Dec 31, 1994 | 405.49 | 0.02 | -0.05 | 502.75 | 0.08 | 0.00 | 0.07 |
Dec 31, 1995 | 560.34 | 0.38 | 0.33 | 561.90 | 0.12 | 0.07 | 0.05 |
Dec 31, 1996 | 695.12 | 0.24 | 0.19 | 602.33 | 0.07 | 0.02 | 0.06 |
Dec 31, 1997 | 932.07 | 0.34 | 0.29 | 617.77 | 0.03 | -0.03 | 0.06 |
Dec 31, 1998 | 1218.43 | 0.31 | 0.26 | 735.81 | 0.19 | 0.15 | 0.05 |
Dec 31, 1999 | 1491.13 | 0.22 | 0.16 | 943.83 | 0.28 | 0.22 | 0.06 |
Dec 31, 2000 | 1304.21 | -0.13 | -0.18 | 819.65 | -0.13 | -0.18 | 0.05 |
Dec 31, 2001 | 1147.29 | -0.12 | -0.14 | 646.25 | -0.21 | -0.23 | 0.02 |
Dec 31, 2002 | 886.77 | -0.23 | -0.24 | 546.01 | -0.16 | -0.17 | 0.01 |
Dec 31, 2003 | 1144.91 | 0.29 | 0.28 | 764.47 | 0.40 | 0.39 | 0.01 |
Dec 31, 2004 | 1267.57 | 0.11 | 0.08 | 923.80 | 0.21 | 0.18 | 0.03 |
Dec 31, 2005 | 1340.08 | 0.06 | 0.01 | 1061.97 | 0.15 | 0.11 | 0.04 |
Dec 31, 2006 | 1545.37 | 0.15 | 0.10 | 1340.51 | 0.26 | 0.21 | 0.05 |
Dec 31, 2007 | 1638.52 | 0.06 | 0.03 | 1513.66 | 0.13 | 0.10 | 0.03 |
Dec 31, 2008 | 1030.05 | -0.37 | -0.38 | 859.28 | -0.43 | -0.44 | 0.00 |
Dec 31, 2009 | 1309.64 | 0.27 | 0.27 | 1154.76 | 0.34 | 0.34 | 0.00 |
Dec 31, 2010 | 1511.95 | 0.15 | 0.15 | 1263.69 | 0.09 | 0.09 | 0.00 |
Dec 31, 2011 | 1542.04 | 0.02 | 0.02 | 1114.78 | -0.12 | -0.12 | 0.00 |
Dec 31, 2012 | 1790.83 | 0.16 | 0.16 | 1304.51 | 0.17 | 0.17 | 0.00 |
Dec 31, 2013 | 2374.78 | 0.33 | 0.32 | 1585.93 | 0.22 | 0.21 | 0.00 |
Dec 31, 2014 | 2692.14 | 0.13 | 0.13 | 1524.43 | -0.04 | -0.04 | 0.00 |
Dec 31, 2015 | 2727.60 | 0.01 | 0.01 | 1484.77 | -0.03 | -0.03 | 0.01 |
Dec 31, 2016 | 3044.24 | 0.12 | 0.11 | 1533.63 | 0.03 | 0.02 | 0.01 |
Dec 31, 2017 | 3711.03 | 0.22 | 0.20 | 1914.16 | 0.25 | 0.23 | 0.02 |
Dec 31, 2018 | 3543.98 | -0.05 | -0.07 | 1653.12 | -0.14 | -0.16 | 0.03 |
Dec 31, 2019 | 4665.38 | 0.32 | 0.30 | 2036.04 | 0.23 | 0.22 | 0.02 |
Dec 31, 2020 | 5662.42 | 0.21 | 0.21 | 2200.77 | 0.08 | 0.08 | 0.00 |
Dec 31, 2021 | 7189.69 | 0.27 | 0.27 | 2490.62 | 0.13 | 0.13 | 0.00 |
Dec 31, 2022 | 5790.48 | -0.19 | -0.24 | 2146.32 | -0.14 | -0.19 | 0.05 |
Dec 31, 2023 | 7359.63 | 0.27 | 0.22 | 2545.45 | 0.19 | 0.14 | 0.05 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started