Template S19You may work in groups of up to no more than 4 people on the assignment.Your Data - Copy Paste Special Values here:EX1 S19 TNAME:Index Name =>3mo TbillWealth IndexSemi-Deviation12/31/19994.9%12/31/20006.2%12/31/20014.5%12/31/20021.8%12/31/20031.1%0.00E+000.00E+000.00E+003TB12/31/20041.3%PossibleEarned1a. Exp Return12/31/20053.1%1a.Exp Return4Wealth Index12/31/20064.9%Wealth Index4Annualized Return12/31/20075.1%Annualized Return41b. Variance12/31/20082.2%1b.Variance4St Dev12/31/20090.2%St Dev4Sharpe (Reward-to-Risk) Ratio12/31/20100.2%Sharpe (Reward-to-Risk) Ratio4Semi-Dev12/31/20110.1%Semi-Dev812/31/20120.1%1c.Corr Matrix121c. Correlation Matrix12/31/20130.1%1d.Growth of $1 Graph80.00E+000.00E+000.00E+0012/31/20140.1%2 .Portf Wtd Std, E(r )140.00E+0012/31/20150.1%2a.Eff Frontier Graph80.00E+0012/31/20160.4%3a.MVP60.00E+0012/31/20170.9%3b.ORP612/31/20181.9%3c.Target Portf [no TB]6Selected Indexes1a. Exp Return3d.Target Complete Portf8Index NamesE( R)St DevVarCorrelationCovarianceWealth Index1000Annualized Return1b. Variance0.0000Tbill(Assume St Dev = 0% for TB)St Dev0.0%Sharpe (Reward-to-Risk) RatioSemi-Dev0%0%2. Efficient FrontierWeightWeightSt DevExp ReturnRew-to-Risk Ratio2a.Eff Frontier Graph1d.Growth of $1 Graph100%0%80%20%60%40%40%60%20%80%10%90%0%100%3a. Minimum VarianceReward-to-0.00E+000.00E+00TotalE( R)St DevRisk RatioMV Portfolio 3b. Optimal Risky PortfolioReward-to-0.00E+000.00E+00TotalE( R)St DevRisk RatioOR Portfolio 3c. Risk-Free Asset is not AvailableTarget Expected Return =0.00%Reward-to-0.00E+000.00E+00TotalE( R)St DevRisk RatioPortfolio 50%50%3d. Risk-Free Asset is AvailableTarget Expected Return =0.00%Reward-to-ORP WtTbill WtTotalE( R)St DevRisk RatioPortfolio NAME:____________________ Domestic IndexesHistorical Index ReturnsSource: FactsetEX1 S18 TS&P 500Russell 2000Russell 2000 GrowthRussell 2000 ValueBloomberg Barclays US Long TsyBloomberg Barclays US Inv Grade CorpBloomberg Barclays Capital US Aggregate12/31/9921.04%21.26%43.09%-1.49%-8.74%-1.96%-0.82%12/31/00-9.10%-3.02%-22.43%22.83%20.27%9.08%11.63%12/31/01-11.89%2.49%-9.23%14.02%4.21%10.31%8.44%12/31/02-22.10%-20.48%-30.26%-11.43%16.79%10.12%10.25%12/31/0328.68%47.25%48.54%46.03%2.48%8.24%4.10%12/31/0410.88%18.33%14.31%22.25%7.70%5.39%4.34%12/31/054.91%4.55%4.15%4.71%6.50%1.68%2.43%12/31/0615.79%18.37%13.35%23.48%1.85%4.30%4.33%12/31/075.49%-1.57%7.05%-9.78%9.81%4.56%6.97%12/31/08-37.00%-33.79%-38.54%-28.92%24.03%-4.94%5.24%12/31/0926.46%27.17%34.47%20.58%-12.92%18.68%5.93%12/31/1015.06%26.85%29.09%24.50%9.38%9.00%6.54%12/31/112.11%-4.18%-2.91%-5.50%29.93%8.15%7.84%12/31/1216.00%16.35%14.59%18.05%3.56%9.82%4.21%12/31/1332.39%38.82%43.30%34.52%-12.66%-1.53%-2.02%12/31/1413.69%4.89%5.60%4.22%25.07%7.46%5.97%12/31/151.38%-4.41%-1.38%-7.47%-1.21%-0.68%0.55%12/31/1611.96%21.31%11.32%31.74%1.33%6.11%2.65%12/31/1721.83%14.65%22.17%7.84%8.53%6.42%3.54%12/31/18-4.38%-11.01%-9.31%-12.86%-1.84%-2.51%0.01% OL 342 Journal Rubric The journal activities in th.

1. Template S19You may work in groups of up to no more than 4
people on the assignment.Your Data - Copy Paste Special
Values here:EX1 S19 TNAME:Index Name =>3mo TbillWealth
IndexSemi-
Deviation12/31/19994.9%12/31/20006.2%12/31/20014.5%12/31
/20021.8%12/31/20031.1%0.00E+000.00E+000.00E+003TB12/3
1/20041.3%PossibleEarned1a. Exp
Return12/31/20053.1%1a.Exp Return4Wealth
Index12/31/20064.9%Wealth Index4Annualized
Return12/31/20075.1%Annualized Return41b.
Variance12/31/20082.2%1b.Variance4St Dev12/31/20090.2%St
Dev4Sharpe (Reward-to-Risk) Ratio12/31/20100.2%Sharpe
(Reward-to-Risk) Ratio4Semi-Dev12/31/20110.1%Semi-
Dev812/31/20120.1%1c.Corr Matrix121c. Correlation
Matrix12/31/20130.1%1d.Growth of $1
Graph80.00E+000.00E+000.00E+0012/31/20140.1%2 .Portf
Wtd Std, E(r )140.00E+0012/31/20150.1%2a.Eff Frontier
Graph80.00E+0012/31/20160.4%3a.MVP60.00E+0012/31/20170
.9%3b.ORP612/31/20181.9%3c.Target Portf [no TB]6Selected
Indexes1a. Exp Return3d.Target Complete Portf8Index NamesE(
R)St DevVarCorrelationCovarianceWealth
Index1000Annualized Return1b. Variance0.0000Tbill(Assume
St Dev = 0% for TB)St Dev0.0%Sharpe (Reward-to-Risk)
RatioSemi-Dev0%0%2. Efficient FrontierWeightWeightSt
DevExp ReturnRew-to-Risk Ratio2a.Eff Frontier
Graph1d.Growth of $1
Graph100%0%80%20%60%40%40%60%20%80%10%90%0%10
0%3a. Minimum VarianceReward-to-0.00E+000.00E+00TotalE(
R)St DevRisk RatioMV Portfolio 3b. Optimal Risky
PortfolioReward-to-0.00E+000.00E+00TotalE( R)St DevRisk
RatioOR Portfolio 3c. Risk-Free Asset is not AvailableTarget
Expected Return =0.00%Reward-to-0.00E+000.00E+00TotalE(
R)St DevRisk RatioPortfolio 50%50%3d. Risk-Free Asset is
AvailableTarget Expected Return =0.00%Reward-to-ORP

2. WtTbill WtTotalE( R)St DevRisk RatioPortfolio
NAME:____________________
Domestic IndexesHistorical Index ReturnsSource: FactsetEX1
S18 TS&P 500Russell 2000Russell 2000 GrowthRussell 2000
ValueBloomberg Barclays US Long TsyBloomberg Barclays US
Inv Grade CorpBloomberg Barclays Capital US
Aggregate12/31/9921.04%21.26%43.09%-1.49%-8.74%-1.96%-
0.82%12/31/00-9.10%-3.02%-
22.43%22.83%20.27%9.08%11.63%12/31/01-11.89%2.49%-
9.23%14.02%4.21%10.31%8.44%12/31/02-22.10%-20.48%-
30.26%-
11.43%16.79%10.12%10.25%12/31/0328.68%47.25%48.54%46.
03%2.48%8.24%4.10%12/31/0410.88%18.33%14.31%22.25%7.
70%5.39%4.34%12/31/054.91%4.55%4.15%4.71%6.50%1.68%2
.43%12/31/0615.79%18.37%13.35%23.48%1.85%4.30%4.33%1
2/31/075.49%-1.57%7.05%-9.78%9.81%4.56%6.97%12/31/08-
37.00%-33.79%-38.54%-28.92%24.03%-
4.94%5.24%12/31/0926.46%27.17%34.47%20.58%-
12.92%18.68%5.93%12/31/1015.06%26.85%29.09%24.50%9.38
%9.00%6.54%12/31/112.11%-4.18%-2.91%-
5.50%29.93%8.15%7.84%12/31/1216.00%16.35%14.59%18.05
%3.56%9.82%4.21%12/31/1332.39%38.82%43.30%34.52%-
12.66%-1.53%-
2.02%12/31/1413.69%4.89%5.60%4.22%25.07%7.46%5.97%12/
31/151.38%-4.41%-1.38%-7.47%-1.21%-
0.68%0.55%12/31/1611.96%21.31%11.32%31.74%1.33%6.11%
2.65%12/31/1721.83%14.65%22.17%7.84%8.53%6.42%3.54%1
2/31/18-4.38%-11.01%-9.31%-12.86%-1.84%-2.51%0.01%
OL 342 Journal Rubric

3. The journal activities in this course are private between the
student and the instructor. A course journal is generally made
up of many individual Assignment
s. Each journal is graded separately.
Critical Elements Exemplary (100%) Proficient (85%) Needs
Improvement (55%) Not Evident (0%) Value
Reflective Response Journal assignment supports
claims with relevant examples of
personal experience, previous
learning, or logical thought
process
Journal assignment supports
claims with mostly relevant
examples of personal experience,
previous learning, or logical
thought process
Journal assignment supports
claims with somewhat relevant
personal experience, previous
learning, or logical thought
process
Journal assignment does not
support claims with reflection on
relevant personal examples
25
Comprehensive

4. Response
Assignment shows excellent
depth of knowledge of the
module content and exhibits
careful consideration of the topic
Assignment shows good depth of
knowledge of the module
content and demonstrates that
the student has read the
module content
Assignment shows limited depth
of knowledge, indicating the
student may have reviewed the
module content but needs to
explore further
Assignment does not address the
prompt and reflects that the
student has not read the module
content
25
Voice Journal assignment is written in a
style that is appealing and
appropriate for the intended
audience, and a consistent
voice is evident throughout
Journal assignment is written in a
style that is generally appropriate
for the intended audience, and
an attempt is made to use a

5. consistent voice
Journal assignment is written in a
style that considers the audience,
but the author’s voice is not
consistent and is difficult to
identify
Journal assignment does not
attempt to use a style that
considers audience, and there is
no evidence of author voice
25
Writing Journal assignment is free of
errors in organization and
grammar
Journal assignment is mostly free
of errors of organization and
grammar; errors are marginal
and rarely interrupt the flow
Journal assignment contains
errors of organization and
grammar, but these are limited
enough so that Assignment can
be understood
Journal assignment contains
errors of organization and
grammar making the journal
difficult to understand
25

6. Total 100%
Fin 602 S19
Exercise 1
Due January 20 at 11:59PM
Instructions: You should use the Excel template to do the
computations; put the graphs in the space provided. You may
work on this assignment either individually or up to 4 people. If
you work in a group, please make a group on Canvas (directions
are on there). Put your name(s) in the space provided. Hand the
assignment in by uploading via the Assignment on Canvas (if
you work as a team, only 1 person needs to upload the solution
for the team). The assignment is to be uploaded to Canvas by
11:59PM on January 20.
1. Choose 3 domestic indexes from the Data tab on the template.
Compute the following for each index and the 3-month US TBill
Index:
a. mean, wealth index, annualized return (4 each)
b. variance, standard deviation, Sharpe ratio, semi-deviation (4
each) (not for the 3-mo Bill – always assume variance of TBill
= 0)
c. correlation matrix (12)
d. Graph the Growth of $1 for all four indices from 1997-2016.
Label axes, legend, last point (ending wealth per $1). You must
include proper labelling for full credit. (8)
2. Choose 2 of your 3 indexes. Enter the expected return,
standard deviation, Sharpe, correlation, and covariance for them
in the space provided. Compute the portfolio expected return,
standard deviation, and reward-to-risk ratio for the listed

7. weights on the template. (14)
a. Graph the efficient frontier of the combinations from Part 2.
Label axes and datapoints. You must include proper labelling
for full credit. (8)
3. For a portfolio containing your two indexes, calculate:
a. Weights, expected return, and standard deviation for the
Minimum Variance Portfolio (6)
b. Weights, expected return, standard deviation, and Reward-to-
Risk ratio for the Optimal Risky Portfolio (6)
c. Standard deviation for a portfolio with a target expected
return equal to the expected return of the 50/50 weighted
portfolio (assuming the risk-free asset is not available) (6)
d. Weights and standard deviation for a Complete Portfolio with
the same target expected return as in the Part 3c 50/50 portfolio
(assume the risk-free asset is available for lending and
borrowing) (8)
You can either use a formula to get the weights for 3a, b, and d,
or use the Excel Add-in Solver to do optimization.