James Peterson has gathered the following information of 5 exchange-traded funds (ETFS). The performance data of the ETFS are presented in the following table. Annual risk Correlation with (STDEV) ETF Price Price Dividend 12-month 4/30/2020 4/30/2021 paid total retum ETF A A 100 $0 44% 32% +100% B 100 $0 3% 4% - 16% 100 $0 10% 27% +65% D 100 $3 15% 15% +76% E 100 $1 10% 17% +71%
James Peterson has gathered the following information of 5 exchange-traded funds (ETFS). The performance data of the ETFS are presented in the following table. Annual risk Correlation with (STDEV) ETF Price Price Dividend 12-month 4/30/2020 4/30/2021 paid total retum ETF A A 100 $0 44% 32% +100% B 100 $0 3% 4% - 16% 100 $0 10% 27% +65% D 100 $3 15% 15% +76% E 100 $1 10% 17% +71%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:James Peterson has gathered the following information of 5 exchange-traded funds (ETFS). The
performance data of the ETFS are presented in the following table.
Annual risk Correlation with
(STDEV)
ETF
Price
Price
Dividend
12-month
4/30/2020
4/30/2021
paid
total retum
ETF A
$0
$0
A
100
44%
32%
+100%
B
100
3%
4%
- 16%
100
$0
10%
27%
+65%
D
100
$3
15%
15%
+76%
100
$1
10%
17%
+71%
Transcribed Image Text:Which ETF is least risky?
Which ETF is least correlated
4.
5.
with ETF A?
6.
Calculate James' portfolio risk Portfolio return:
and retum if he invests in ETFS A and D (Showing work is optional.)
equally. (WA = Wo = 50%)
Portfolio risk:
(Showing work is optional.)
Calculate James' portfolio risk Portfolio return:
and return if he invests 50% in ETF A (Showing work is optional.)
and 50% in a risk-free asset yielding Portfolio risk:
7.
0.25% during the same 12-month
investment period.
(Showing work is optional.)
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