Assignment 2_RSM330_Fall2011

Assignment 2_RSM330_Fall2011 - Fall 2011 Maureen Stapleton...

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Fall 2011 Maureen Stapleton RSM 330 – Homework Assignment 2 Due: Thursday, October 20, 2011 at 4pm at the Rotman Commerce Office Please read the instructions carefully. Be careful with your calculations. Careless errors are costly. Again, we have a policy of not answering direct questions, including Excel questions, before the due date. If you find a typo, or if you believe that something important needs clarification, please send us an email. 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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(a) (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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This note was uploaded on 10/21/2011 for the course RSM 330 taught by Professor Stapleton during the Fall '11 term at University of Toronto- Toronto.

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Assignment 2_RSM330_Fall2011 - Fall 2011 Maureen Stapleton...

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