Momentum Low volatility

17% 16%
25% 18%

ETF Expected Returns

Momentum 17%

Low volatility 16%

Enhanced value 15%

Small-Cap 19%

Correlation Matrix Momentum

Momentum 1
Low Volatility 0.7
Enhanced Value 0.55
Small-cap 0.8

Variance-Covariance Matrix Momentum

Momentum 0.0625
Low Volatility 0.0315
Enhanced Value 0.033
Small-cap 0.06

Weights 0.25
0.25 0.0625
0.25 0.0315
0.25 0.033
0.25 0.06
1
Portfolio Variance 4.34%
Portfolio Return 16.75%
Portfolio Starndard Deviation 20.83%
Risk Free rate 7%
A 4
Sharpe Ratio 0.46797
y* 0.561522734471737

Sharpr Ratio Portfolio

 0.5269 Minimum Variance Portfolio
0.5455 Optimum risky portfolio
0.54233 Efficient P1
0.4769 Efficient P2
0.4365 Efficient P3

Part B
Risk-Return
19.00%
18.50%
18.50%
18.00%
18.00%

17.50%
17.00%
17.00% 16.78%

16.50% 16.26%

16.00%

15.50%

15.00%
17.00% 18.00% 19.00% 20.00% 21.00% 22.00% 23.00% 24.00% 25.00% 26.00% 27.00%

Part_C

CML
18.0% 16.8%
16.0%
14.0%
11.9%
12.0% 10.9%
9.4%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0%

Part-D
Y* 0.561522734471737
Portfolio Return 12.49%
Portfolio S.D 10.07%
 Utility 10.46%

Part-E
Sharpe Ratio Portfolio
0.4757 Minimum Variance Portfolio
0.4983 Optimum risky portfolio
Enhanced value Small-Cap
15% 19%
24% 30%

Annualized standard deviation

25%

18%

24%

30%

Low Volatility Enhanced Value Small-cap

0.7 0.55 0.8
1 0.6 0.4
0.6 1 0.75
0.4 0.75 1

Low Volatility Enhanced Value Small-cap

0.0315 0.033 0.06
0.0324 0.02592 0.0216
0.02592 0.0576 0.054
0.0216 0.054 0.09

0.25 0.25 0.25

0.0315 0.033 0.06
0.0324 0.02592 0.0216
0.02592 0.0576 0.054
0.0216 0.054 0.09

Momentum Low Volatility

Risk Return
 17.57% 16.26% 0 0.83
17.93% 16.78% 0 0.74
18.44% 17% 0 0.67
23.07% 18% 0 0.33
26.34% 18.50% 0 0.17

18.50%

0% 25.00% 26.00% 27.00%

A 4
16.8%
Rf 0.07
Rp 0.167826085732808 Data Point 1
Stdev of Rp 0.179318177762536 Data Point 2
variance 0.018601190343868 Data Point 3
Allocation, y* 0.760582014685674 Optimum risky portfolio
Return 0.144404761375473
U 0.107202380687736

% 18.0% 20.0%

Constraints: Each ETF ateast 5% but cannot exceed 40%

Risk Return Momentum Low Volatility
18.93% 16.01% 0.203 0.400
20.61% 17.27% 0.164 0.400
Enhanced Value Small-cap
 0.061 0.106
0 0.26
0 0.33
0 0.67
0 0.83

Rf
7.00%
Y (1-Y) S.D Return
0.50 0.50 9.0% 11.9%
0.40 0.60 7.2% 10.9%
0.25 0.75 4.5% 9.4%
m risky portfolio 17.9% 16.8%
Enhanced Value Small-cap
0.347 0.050
0.050 0.386