Fall 2011
Maureen Stapleton
RSM 330 – Homework Assignment 2
Due: Thursday, October 20, 2011 at 4pm at the Rotman Commerce Office
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Please read the instructions carefully.
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Be careful with your calculations. Careless errors are costly.
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Question 1:
Sector Performance (35 points)
You have spent some time thinking about your portfolio management project in RSM
330, and you have decided to explore the performance of bonds and several market
sectors, relative to the S&P/TSX Composite Capped Index. To make your research
easier, you decided to analyze market performance as mirrored by some well known
ETFs in the iShares family:
iShares CDN DEX Bond Universe Index Fund (XBB)
Go to
Yahoo Finance
and download the
adjusted daily closing prices
for these ETFs
for the period January 4, 2005 to December 31, 2010.
1
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(10 points)
Estimate the correlation matrix, annualized return and standard
deviation for each of these five ETFs.
(Assume that there are 250 trading days in a
year.)
(b)
(10 points)
Find and report on the composition (portfolio weights), the return and the
standard deviation of the minimum variance portfolio with no leverage (ie NO short
sales or buying on margin).
(c)
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 Fall '11
 Stapleton
 Statistics, Regression Analysis, Index fund, iShares, S&P500 index, S&P/TSX Capped

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