Spreadsheet-6-6-Diversification-SPY-TLT

Spreadsheet-6-6-Diversification-SPY-TLT - Input Data SPY...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Input Data SPY TLT Spreadsheet 6.6 SPY TLT Investment opportunity set 11.43 5.6 20.67 8.01 for stocks and bonds with various correlation coefficients Weight in stocks Portfolio expected return-1-0.12 0.5 1-0.1 5.0 10.88 9.05 9.29 7.98 6.74 0.0 5.6 8.01 8.01 8.01 8.01 8.01 Rf: 1 yr treasury from H.15 0.1 6.2 5.14 7.50 7.26 8.43 9.28 SHARP RATIO R=0 0.81 0.2 6.8 2.27 7.63 7.20 9.20 10.54 SHARP RATIO R=-.12 0.88 0.3 7.3 0.59 8.36 7.85 10.23 11.81 0.4 7.9 3.46 9.56 9.05 11.45 13.07 0.6 9.1 9.20 12.81 12.43 14.28 15.61 0.8 10.3 14.93 16.61 16.42 17.39 18.14 1.0 11.4 20.67 20.67 20.67 20.67 20.67 1.1 12.0 23.54 22.75 22.85 22.35 21.94 0.2793 0.1306 0.1582-0.0572-0.6327 7.23 6.36 6.52 5.27 1.91 0.00 7.47 7.13 7.94 0.00 Notes: 2. The standard deviation is calculated from equation 6.6 using the weights of the miniumum-variance portfolio: 3. As the correlation coefficient grows, the minimum variance portfolio requires a smaller position in stocks (even a 3....
View Full Document

Ask a homework question - tutors are online