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Week Portfolio(Value) MSCI Index r(f) r(P) r(M) r(P) monthly r(M) monthly r(f) monthly R(P) monthly R(M) monthly 0 1,000,000.00 71.14 0.02 1 1,000,620.02 72.52 0.02
Week | Portfolio(Value) | MSCI Index | r(f) | r(P) | r(M) | r(P) monthly | r(M) monthly | r(f) monthly | R(P) monthly | R(M) monthly |
0 | 1,000,000.00 | 71.14 | 0.02 | |||||||
1 | 1,000,620.02 | 72.52 | 0.02 | 0.000620 | 0.019398 | 0.002482 | 0.079881 | 0.00166667 | 0.000816 | 0.078214 |
2 | 995,610.06 | 71.82 | 0.02 | -0.005007 | -0.009653 | -0.019878 | -0.038055 | 0.00166667 | -0.021544 | -0.039721 |
3 | 1,002,525.06 | 73.00 | 0.02 | 0.006945 | 0.016430 | 0.028073 | 0.067357 | 0.00166667 | 0.026406 | 0.065691 |
4 | 1,008,595.06 | 73.43 | 0.02 | 0.006055 | 0.005890 | 0.024440 | 0.023771 | 0.00166667 | 0.022773 | 0.022104 |
5 | 1,004,427.56 | 74.08 | 0.02 | -0.004132 | 0.008852 | -0.016426 | 0.035881 | 0.00166667 | -0.018092 | 0.034214 |
6 | 1,003,765.06 | 74.52 | 0.02 | -0.000660 | 0.005940 | -0.002636 | 0.023971 | 0.00166667 | -0.004302 | 0.022304 |
7 | 1,004,365.07 | 74.62 | 0.02 | 0.000598 | 0.001342 | 0.002393 | 0.005379 | 0.00166667 | 0.000727 | 0.003712 |
8 | 1,005,215.07 | 72.84 | 0.02 | 0.000846 | -0.023854 | 0.003390 | -0.092057 | 0.00166667 | 0.001723 | -0.093723 |
iShow a graph of the CML and indicate where the portfolio is located.
(ii) Report the Sharpe ratio for your portfolio.
(iii) Report the Sharpe ratio for the MSCI World Index.
(iv) Indicate the M2 measure for your portfolio.
(v) Report the proportion of your portfolios risk that is systematic, which will require that you compute the R2 of the Characteristic Line estimate.
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