Calculate the return an investor would have earned

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Reference no: EM132788106

Question - Create a special fixed-income portfolio, calculate its properties (return, volatility, beta, and Sharpe ratio), and then analyze what this means for investments. The particular portfolio we are building is a "rolling STRIPS ladder". Work with a 30 year rolling ladder (i.e., the first STRIPS matures in one year, the last one in 30 years, all the STRIPS have the same face value)

Required -

a. Calculate the price of a ladder 30 with a face value of $1 on December of each year between 1985 through 2019.

b. Calculate the Yield to Maturity and the duration of the ladder30 on December 1985, December 2004, and December 2019.

c. Calculate the return an investor would have earned from holding a ladder30 each year from December 1985 to December 2019.

Reference no: EM132788106

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