EXHIBIT 1: ANNUAL RETURNS (%)
| YEAR | ALUWORKS | AGA | Lyxor USDJIA | Lyxor World |
| 2009 | 2.00 | 5.86 | 5.56 | 7.69 |
| 2010 | 4.25 | 22.40 | 6.11 | 5.79 |
| 2011 | -29.40 | -27.07 | 7.94 | -3.28 |
| 2012 | 13.23 | 0.60 | 18.29 | 20.75 |
| 2013 | 8.86 | -6.84 | 17.09 | 14.14 |
| 2014 | 2.31 | 33.87 | 14.20 | 15.06 |
| 2015 | -2.96 | -9.28 | -4.71 | -4.28 |
EXHIBIT 2: PORTFOLIO WEIGHTS (%)
| ASSETS | EXISTING PORTFOLIO | NEW PORTFOLIO |
| ALUWORKS | 60 | 40 |
| AGA | 40 | 30 |
| LYXOR | 30 |
Required
1.Using the annual return data provided in Exhibit 1 of the case for ALUWORKS and AGA,
calculate their mean returns, standard deviations, covariance, and correlation. With these numbers,
calculate the standard deviation and return for Desiree Mofakye’s entire portfolio.
2. After adding Lyxor USDJIA, what is the portfolio’s new standard deviation and return? How
does the new portfolio compare with the calculation in Question 1?
3. Based on your data analysis, should Desiree Mofakye diversify her portfolio or remain invested in SA and GHANA only?
4. Calculate the betas of ALUWORKS, AGA, and Lyxor USDJIA. To calculate the covariance with the market proxy, use the Lyxor World return data shown in Exhibit 1 in the case. Assuming
a risk-free rate of 2.5 per cent and a market risk premium of 5.5 per cent, what are the required
returns for each of the three ETFs?
5.Calculate the existing portfolio’s beta and the new portfolio’s beta. Assuming a risk-free rate of 2.5 percent and a market risk premium of 5.5 per cent, what are the two portfolios’ required
returns?
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