Finance Investment And Portfolio Management

Question Description

Please see the attached file (Excel) to complete the questions. Note: Use both Sheet 1 and Sheet 2.

For the approach that assumes that total risk is relevant to your client, you should:

(i) Show a graph of the CML and indicate where the portfolio is located.

(ii) Report the Sharpe ratio for your portfolio.

(iii) Report the Sharpe ratio for the MSCI World Index.

(iv) Indicate the M2 measure for your portfolio.

(v) Report the proportion of your portfolio’s risk that is systematic, which will require that you compute the R2 of the Characteristic Line estimate.

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