investment help

Open the associated Excel file named QPS2 Data Winter I 2019 Problem 2 in Quantitative Problem Set Spreadsheets Module. The data file includes 60 months of returns for 11 exchange traded funds; their names and ticker symbols follow:

	Ticker	Name of Exchange Traded Fund
	SPY	SPDR S&P 500 ETF
	MDY	SPDR S&P MidCap 400 ETF
	IWM	iShares Russell 2000 ETF
	QQQ	Invesco QQQ Trust ETF
	EFA	iShares MSCI EAFE ETF
	VWO	Vanguard FTSE Emerging Markets ETF
	VNQ	Vanguard REIT Index ETF
	BND	Vanguard Total Bond Market ETF
	PFF	iShares US Preferred Stock ETF
10	GLD	SPDR Gold Shares ETF
11	JNK	SPDR Barclays High Yield Bond ETF

All students will do problem 2 using 9 of the above ETFs; all students will include the first 8 ETFs listed above: SPY, MDY, IWM, QQQ, EFA, VWO, VNQ, and BND. All students will include one of the last 3 ETFs: PFF, GLD, and JNK as instructed on your version.

Version C: Include JNK and exclude PFF and GLD.

Use the data on your 9 ETFs to answer the following questions:

What is the average return for each of the nine indexes?
Show the covariance matrix of returns. Briefly describe how you constructed the covariance matrix.

Consider the simple case where short sales are allowed, but short positions must be greater than or equal to –50% and long positions must be less than or equal to 50%. Use Excel Solver to find the Minimum Variance Portfolio (MVP).

What is the expected portfolio return for the MVP portfolio?
What is the portfolio standard deviation for the MVP portfolio?
What is the portfolio composition (i.e., what are the weights for the nine ETFs)?

Consider the simple case where short sales are allowed, but short positions must be greater than or equal to –25% and long positions must be less than or equal to 25%. Use Excel Solver to find the Maximum return portfolio with a standard deviation of exactly 3.25%.

What is the expected portfolio return for this portfolio?
What is the portfolio composition (i.e., what are the weights for the nine ETFs)?

Consider the more realistic case where short sales are NOT allowed and no more than 30% of the portfolio and no less than 5% is invested in any ETF. Use Excel Solver to find the Minimum Variance Portfolio (MVP).

What is the expected portfolio return for the MVP portfolio?
What is the portfolio standard deviation for the MVP portfolio?
What is the portfolio composition (i.e., what are the weights for the nine ETFs)?

Consider the simple case where short sales are NOT allowed and no more than 20% and no less than 4% of the portfolio is invested in any ETF. Use Excel Solver to find the Market Portfolio if the risk-free rate is 0.25%/month (3.00%/year).

What is the expected portfolio return for this portfolio?
What is the portfolio standard deviation for this portfolio?
What is the portfolio composition (i.e., what are the weights for the nine ETFs)?
What is the maximum Sharpe ratio?