Investment and Portfolio Management Paper Please see the attached file (Excel) to complete the questions. Note: Use both Sheet 1 and Sheet 2. For the app

Investment and Portfolio Management Paper Please see the attached file (Excel) to complete the questions. Note: Use both Sheet 1 and Sheet 2.

For the approach that assumes that total risk is relevant to your client, you should:

(i) Show a graph of the CML and indicate where the portfolio is located.

(ii) Report the Sharpe ratio for your portfolio.

(iii) Report the Sharpe ratio for the MSCI World Index.

(iv) Indicate the M2 measure for your portfolio.

(v) Report the proportion of your portfolio’s risk that is systematic, which will require that you compute the R2 of the Characteristic Line estimate. Regression Statistics
Multiple R 0.148681
R Square 0.022106
Adjusted R Square
-0.11759
Standard Error
0.352897
Observations
9
ANOVA
df
Regression
Residual
Total
SS
MS
F
Significance F
1 0.019707 0.019707 0.158241 0.702633
7 0.871752 0.124536
8 0.891458
Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
Intercept -0.16978 0.128866 -1.31749 0.229156 -0.4745 0.13494 -0.4745 0.13494
X Variable 10.379456 0.953899 0.397795 0.702633 -1.87616 2.635069 -1.87616 2.635069
RESIDUAL OUTPUT
ObservationPredicted Y Residuals
1 -0.15214 -0.85029
2 -0.11242 0.151151
3 -0.10459 -0.0428
4 -0.08341 0.184622
5 -0.14679 0.02174
6 -0.13768 0.054645
7 -0.16458 0.201635
8 -0.18815 0.198264
9 -0.24988 0.081032
Week
0
1
2
3
4
5
6
7
8
9
.
Portfolio(Value)
MSCI Index
r(f)
1000000
189.580002
0.02
89644.81
191.860001
0.02
90554.85
198.839996
0.02
87079.94
206.990005
0.02
89254.97
217.990005
0.02
86385
221.350006
0.02
84590.65
226.020004
0.02
85415
226.929993
0.02
85683.19
224.279999
0.02
81873.33
211.539993
0.02
.
.
.
Arithmetic average of r(P) monthly
-0.146347
Standard deviation of r(P) monthly
0.3147236
r(P)
0
-0.910355
0.0101516
-0.038374
0.0249774
-0.032155
-0.020772
0.0097452
0.0031398
-0.044464
-0.148014
0.3147236
Arithmetic average of r(M) monthly
Standard deviation of r(M) monthly
-0.146347 0.0559991
0.3147236 0.1233172
Geometric mean of r(P) weekly
Geometric mean of r(p) monthly
Geometrci mean of r(M) weekly
Geometric mean of r(M) monthly
-0.990903
-1
-0.876018
-0.999764
r(M)
0
0.0120266
0.0363807
0.0409878
0.0531427
0.0154136
0.0210978
0.0040261
-0.011678
-0.056804
r(P) monthly
0
-0.99993542
0.041229006
-0.144882839
0.103715519
-0.122547295
-0.080533103
0.039554188
0.012618662
-0.166343174
r(M) monthly
0
0.048981129
0.153658349
0.174309346
0.230123812
0.063094391
0.087099662
0.016202095
-0.04589849
-0.208578652
r(f) monthly
0
0.001666667
0.001666667
0.001666667
0.001666667
0.001666667
0.001666667
0.001666667
0.001666667
0.001666667
R(P) monthly
0
-1.001602086
0.039562339
-0.146549505
0.102048852
-0.124213962
-0.08219977
0.037887521
0.010951996
-0.168009841
R(M) monthly
0
0.047314463
0.151991682
0.172642679
0.228457145
0.061427725
0.085432995
0.014535428
-0.047565157
-0.210245319
systematic risk:
residual risk:
total risk
Var(P)
0.00246334
0.10896897
0.1114323
0.1114323

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