You have decided to investigate a number of exchange-traded funds (ETFs) in an attemp to build a diversified portfolio.

You have gathered the monthly total returns for the last five years for some ETFs (see below). Answer the following:

A. What are the average monthly returns and standard deviations for each of the ETFs?

B. Which ETF performed best on a risk/return basis during this time period? Which was the worst?

(Hint: use the Sharpe Ratio and assumed a risk-free rate of 0.165% per month during this period)

C. Create an equally weighted portfolio of all the ETFs. Calculate the expected return and standard deviation of this portfolio.

D. Calculate the correlation coefficient between these ETFs. Which two-ETF combination would generate the best diversification in your portfolio?

Date	XLF	GDX	IYR	SMH	GLD
Aug-14	4.24%	3.01%	3.47%	5.99%	0.38%
Sep-14	-0.40%	-19.98%	-5.89%	-1.14%	-6.18%
Oct-14	2.89%	-19.42%	8.35%	0.65%	-3.06%
Nov-14	2.35%	6.68%	2.72%	8.03%	-0.48%
Dec-14	1.88%	0.80%	0.81%	-0.55%	1.31%
Jan-15	-6.96%	21.27%	5.71%	-3.46%	8.69%
Feb-15	5.83%	-4.53%	-2.60%	8.04%	-5.91%
Mar-15	-0.63%	-14.28%	1.09%	-2.93%	-2.16%
Apr-15	0.08%	10.24%	-4.82%	0.29%	-0.16%
May-15	1.95%	-2.64%	-0.33%	7.84%	0.55%
Jun-15	-0.45%	-9.29%	-4.39%	-8.76%	-1.51%
Jul-15	3.40%	-22.57%	4.95%	-4.44%	-6.62%
Aug-15	-7.06%	2.62%	-5.82%	-4.98%	3.70%
Sep-15	-2.80%	-2.63%	1.62%	0.66%	-1.80%
Oct-15	6.27%	8.88%	6.22%	8.69%	2.29%
Nov-15	1.99%	-8.03%	-0.20%	2.93%	-6.75%
Dec-15	-2.35%	0.56%	1.10%	-2.48%	-0.45%
Jan-16	-8.85%	3.57%	-4.10%	-6.68%	5.41%
Feb-16	-2.90%	36.38%	-0.75%	1.43%	10.93%
Mar-16	7.26%	3.04%	10.27%	9.22%	-0.84%
Apr-16	3.60%	29.35%	-1.67%	-4.76%	5.11%
May-16	1.89%	-12.59%	2.21%	8.46%	-6.14%
Jun-16	-3.26%	22.73%	6.24%	0.20%	8.97%
Jul-16	3.48%	10.39%	3.65%	11.38%	1.98%
Aug-16	3.85%	-16.67%	-3.35%	4.27%	-3.25%
Sep-16	-2.75%	3.68%	-1.47%	4.92%	0.68%
Oct-16	2.27%	-7.23%	-4.97%	-1.73%	-2.95%
Nov-16	14.04%	-15.05%	-2.33%	4.09%	-8.35%
Dec-16	3.76%	0.72%	4.25%	1.62%	-1.92%
Jan-17	0.25%	14.39%	0.13%	3.91%	5.43%
Feb-17	5.28%	-4.51%	4.38%	2.62%	3.18%
Mar-17	-2.95%	-0.18%	-1.46%	4.35%	-0.42%
Apr-17	-0.84%	-2.54%	0.56%	-0.01%	1.73%
May-17	-1.19%	2.07%	-0.11%	7.89%	-0.12%
Jun-17	6.51%	-2.69%	2.08%	-4.80%	-2.16%
Jul-17	1.70%	3.54%	1.12%	4.86%	2.31%
Aug-17	-1.55%	8.14%	0.67%	3.19%	4.20%
Sep-17	5.13%	-7.12%	-0.78%	5.35%	-3.37%
Oct-17	2.86%	-2.09%	0.05%	8.88%	-0.74%
Nov-17	3.46%	-0.05%	2.56%	-1.34%	0.35%
Dec-17	1.88%	4.26%	-0.10%	-1.07%	2.11%
Jan-18	6.56%	2.19%	-3.02%	8.89%	3.23%
Feb-18	-2.93%	-10.11%	-6.66%	0.03%	-2.08%
Mar-18	-4.15%	2.94%	3.78%	-2.12%	0.64%
Apr-18	-0.44%	1.37%	0.22%	-6.83%	-0.96%
May-18	-0.98%	0.27%	3.38%	10.32%	-1.20%
Jun-18	-1.74%	-0.14%	4.05%	-4.22%	-3.61%
Jul-18	5.11%	-4.62%	0.84%	3.14%	-2.25%
Aug-18	1.36%	-12.82%	2.37%	2.88%	-2.14%
Sep-18	-2.22%	-0.16%	-2.84%	-2.29%	-0.65%
Oct-18	-4.71%	2.21%	-2.39%	-12.20%	2.11%
Nov-18	2.63%	0.85%	4.70%	3.52%	0.34%
Dec-18	-11.12%	11.03%	-7.80%	-8.04%	4.94%
Jan-19	8.89%	7.59%	11.47%	10.67%	2.88%
Feb-19	2.24%	-1.98%	0.73%	6.98%	-0.60%
Mar-19	-2.56%	0.81%	4.17%	2.90%	-1.60%
Apr-19	8.98%	-6.82%	-0.05%	9.33%	-0.66%
May-19	-7.17%	3.34%	-0.14%	-15.50%	1.75%
Jun-19	6.66%	18.39%	1.27%	12.17%	8.00%
Jul-19	2.35%	3.67%	2.38%	6.27%	0.01%