Which performed best on risk-return basis during the period

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Reference no: EM133719192

Discussion Post: Finance Standard Deviations for the ETFs Excel

You're examining a set of ETFs to create a diversified portfolio, focusing on five chosen sectors for investment. You've collected monthly total return data for the past five years from various ETFs in these sectors, with attached data.

Answer the following:

1) What are the average monthly returns and standard deviations for each of the ETFs?

2) Which performed best on a risk/return basis during this period? Which was the worst? Use Sharpe ratio and assume risk-free rate averaged 0.1% per month during this period.

3) Create sample variance/covariance matrix using the ETF returns. Use the matrix algebra functions.

Reference no: EM133719192

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