Reference no: EM132390066
Assignment - Data collection and summary statistics
Note: You will submit an Excel spreadsheet for this assignment. Each worksheet and its content should be properly labeled.
a) Use the ETF screener from "etfdb" to filter and select threeETFs. First ETF should track the US equity market;the second ETF tracks equities of other developed economies excluding U.S., and the third ETF tracks the aggregate U.S. bond market.
Make sure inception dates for allETFs are longer than 5 years. Download monthly price data for the last 5 years.You can use the "Stock Quote Downloader"Excel app to get the data from yahoo finance. You will be using the "adjusted closing prices" if you are downloading data from yahoo. This is your first worksheet (data).
b) Plot the time-series of the value of a $1 invested in each ETF over the sample period. Add proper titles to the chart and the vertical and horizontal axis.
c) Compute returns using Adjusted Close Pricesfor both ETFs. Build a histogram for each and plot the distribution.
d) Create a table of summary statistics as below and compute the required statistics:
|
|
ETF 1
|
ETF 2
|
ETF 3
|
|
Maximum
|
|
|
|
|
Minimum
|
|
|
|
|
Mean (Annualized)
|
|
|
|
|
SD (Annualized)
|
|
|
|
|
Mean/SD
|
|
|
|
Add a comment section and discuss the performance of each ETF from an investment perspective using its distribution and the statistics in the table.
e) Compute the time-series of returns for:
1. An equal weighted portfolio of the three ETFs
2. A risk-parity portfolio whose weight in each ETF is related to the inverse of the ETF's standard deviation.
3. One rule of thumb is to put: 20-25% of your money in foreign stocks, (110-your age)% in a bond portfolio, and the rest in US equities.
This is your third portfolio.Create and complete a table such as the one below in a worksheet:
|
|
Equal weighted
|
Risk parity
|
Rule of thumb
|
|
Mean
|
|
|
|
|
SD
|
|
|
|
|
Mean/SD
|
|
|
|
|
Maximum
|
|
|
|
|
Minimum
|
|
|
|
Add a comment section next in the same worksheet and discuss theproperties of each portfolio in a mean-variance sense. Compare stats of each portfolio with those of individual ETFs.
|
Sustainability-led innovation offers to environment
: Evaluate at least three benefits that sustainability-led innovation offers to environment, the company's operations systems change, and to various stakeholders.
|
|
Operating procedures in place for proper inventory control
: Your company currently does not have standard operating procedures in place for proper inventory control.
|
|
Which model describes your decision
: Which model describes your decision?-the classical, administrative, or political-best describes the approach you took to making each decision?
|
|
Analyzing the definition of social problems in United States
: Write a short paper (maximum three pages, double spaced) analyzing the definition of social problems in the United States
|
|
Compute returns using adjusted close pricesfor both etfs
: Plot the time-series of the value of a $1 invested in each ETF over the sample period. Add proper titles to the chart and the vertical and horizontal axis.
|
|
Why are maturity models important
: Why are maturity models important? As an IT architect, how can a maturity model impact your design? Could it also impact deployment?
|
|
What political strategies would you use to enact policies
: In this week's resources, you explore the stories of Susana and the Bradley family. They are all in situations that need social work intervention and advocacy.
|
|
Set up a new plant to manufacture the roadster model
: The CFO asks you to help decide whether the firm should set up a new plant to manufacture the roadster model, the Zeta Spenza
|
|
Centralization-contingency-decentralization and mechanistic
: Pick one of the terms for your research: centralization, contingency, decentralization, efficiency, mechanistic, organic, scientific management,
|