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Annualized standard deviation

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Reference no: EM133071751

You need the top portion for the question but you only need to do 3 and 4 3) Quantitative Measuring the Risk of a Portfolio. Schumpeter is going to reduce their allocation to T-bills by one percentage point (from 35 to 34% of the portfolio). This one percent of the portfolio will be allocated to the STOXX Europe TMI, ThyssenKrupp stock, or Deoleo stock.

  • To measure the risk of each hypothetical portfolio (the current allocation of 65% in STOXX Europe TMI and 35% in T-bills as well as the three possible new portfolios), calculate the annualized standard deviation of the excess return.
  • To calculate this standard deviation of the excess returns, you will first have to calculate the historic monthly returns on the four hypothetical portfolios (e.g., 34% T- bills, 65% equity index, and 1% Deoleo stock).
  • Then to calculate the standard deviation of returns, use the STDEV.S function in Excel. You will then need to convert your answers from a monthly to an annual number by multiplying the monthly standard deviation by the square root of 12.
  1. What is the increase in the annualized standard deviation of the excess return when 1% of the portfolio is moved from T-bills to the equity index? Enter your answer in percent rounded to four decimal places (e.g., if the standard deviation of returns rises from 10% for the current portfolio to 15.1234% for the proposed portfolio enter your answers at 5.1234).
  2. What is the increase in the annualized standard deviation of the excess return when 1% of the portfolio is moved from T-bills to ThyssenKrupp stock? Enter your answer in percent rounded to four decimal places (e.g., if the standard deviation of returns rises from 10% for the current portfolio to 15.1234% for the proposed portfolio enter your answers at 5.1234).
  3. What is the increase in the annualized standard deviation of the excess return when 1% of the portfolio is moved from T-bills to Deoleo stock? Enter your answer in percent rounded to four decimal places (e.g., if the standard deviation of returns rises from 10% for the current portfolio to 15.1234% for the proposed portfolio enter your answers at 5.1234).
  4. Rank the three assets from highest to lowest risk based on your estimates of how much they raise the risk of Schumpeter's portfolios:

Reference no: EM133071751

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