All numbers are hypothetical. Change data only in cells colored yellow.

Correlation matrix Weight (wn) Gold T-bonds Equities Crude Wheat EUR Total 20% 10% 40% 5% 15% 10% 100% 26.45%
Transpose this to get this matrix

Expected Annual volatility (n) returns 10% 5% 60% 30% 25% 40% 39% 29% 30% 25% 12% 7%

wnn 0.02 0.005 0.24 0.015 0.0375 0.04 Gold T-bonds Equities Crude Wheat EUR

Gold 1 0.5 0.5 0.5 0.5 0.5

Expected returns =

Annual volatility

Annual variance = Therefore volatility = Assume risk free rate = Sharpe Ratio =

0.09453125 30.75% 10% 0.535030083

Correlation matrix T-bonds 0.5 1 0.5 0.5 0.5 0.5 Equities 0.5 0.5 1 0.5 0.5 0.5 Crude 0.5 0.5 0.5 1 0.5 0.5 Wheat 0.5 0.5 0.5 0.5 1 0.5 EUR 0.5 0.5 0.5 0.5 0.5 1 Note that this matrix is symmetrical, ie the correlation of Gold and Wheat is the same as the correlation of Wheat and Gold. The blue cells therefore need no data entry. Also, the correlation of an asset with itself is always 1.

rical, ie the s the same as old. The blue ry. Also, the f is always 1.