Calculate the expected return and variance of portfolios

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Reference no: EM131220473

Show transcribed image text Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 29% per year.

Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 4%.

Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights as follows:

(Leave no cells blank - be certain to enter "0" wherever required. Round "Expected Return" to 1 decimal place and the "Variance" to 4 decimal places. Omit the "%" sign in your response.)

W_Bills	W_index	Expected Return	Variance
0.2	0.8
0.0	1.0
0.6	0.4
0.8	0.2
0.4	0.6
1.0	0.0

Reference no: EM131220473

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