Abdul Hafeez

Course: Investment & portfolio

Analysis
Prog: BS A&F

Question 1

Assets Existing Portfolio Weight

Lyxor ChinaH 0.6
Lyxor MSIndia 0.4
Total 1

Question 2
 Assets New Portfolio Weight
Lyxor ChinaH 0.4
Lyxor MSIndia 0.3
Lyxor USDJIA 0.3
Total 1

Question 3

Question 4:

Existing
Portfolio
Assets Weight
Risk Free Rate 0.025

Market Risk Premium 0.055

 Years Lyxor ChinaH Lyxor Msindia Existing Portfolio Return
2009 0.02 0.0586 0.03544
2010 0.0425 0.224 0.1151
2011 -0.294 -0.2707 -0.28468
2012 0.1323 0.006 0.08178
2013 0.0886 -0.0684 0.0258
2014 0.0231 0.3387 0.14934
2015 -0.0296 -0.0928 -0.05488

Return -0.002442857 0.02791428571 0.97%

Standard Deviation 0.138662358 0.20391096446 14.58%
Variance 0.0192272495 0.04157968143 0.0212593224
Covariance 0.016009924
Correlation 0.5662263965
 Years Lyxor ChinaH Lyxor Msindia Lyxor USDJIA
2009 0.02 0.0586 0.0556
2010 0.0425 0.224 0.0611
2011 -0.294 -0.2707 0.0794
2012 0.1323 0.006 0.1829
2013 0.0886 -0.0684 0.1709
2014 0.0231 0.3387 0.142
2015 -0.0296 -0.0928 -0.0471

Returns -0.002442857 0.02791428571 0.092114285714286

Standard Deviation 0.138662358 0.20391096446 0.08038995435939

As from the results of question 1 and question 2, it is clear that the risk in new portfolio is lower than the existing and return in
portfolio is greater than the old portfolio. So based on the following outcomes I will suggest Susie should diversify her portfolio

Year Lyxor China Lyxor MS India Lyxor USDJIA

2009 0.02 0.0586 0.0556

2010 0.0425 0.224 0.0611

2011 -0.294 -0.2707 0.0794
2012 0.1323 0.006 0.1829
2013 0.0886 -0.0684 0.1709
2014 0.0231 0.3387 0.142
2015 -0.0296 -0.0928 -0.0471

Returns -0.002442857 0.02791428571 0.092114285714286

Standard Deviation 0.138662358 0.20391096446 0.08038995435939

Beta 1.1204376552 1.07503860024 0.736472605217477

RRR 0.086624071 0.08412712301 0.065505993286961
 New
Portfolio
Returns
0.04226
0.10253
-0.17499
0.10959
0.06619
0.15345
-0.05381

3.50%
11.34%

the existing and return in the new

uld diversify her portfolio.

Lyxor
World
0.0769

0.0579
-0.0328
0.2075
0.1414
0.1506
-0.0428

0.0798143
0.0942621