Question

PRBSET10- 1ABCD 1. You have the following information on monthly international stock returns and risk, all measured in U.S. dollars. Ignore the risk-free rate for this problem. Enter the returns, standard deviations and correlations coefficient values below into the Markowitz Portfolio Optimizer Excel spreadsheet: Monthly Stock Return (%) Standard Deviation (%) U.K. 1.26% 3.50% Canada 1.54% 3.90% Mexico 2.25% 6.05% U.S. 1.15% 3.16% Correlation Coefficients U.K. Can. Mex. U.S. U.K. 1.000 Canada 0.755 1.000 Mexico 0.725 0.695 1.000 U.S. 0.682 0.754 0.676 1.000 a. Based on the information above, calculate and report the Sharpe Performance Measure (SHP) for each country (Return/Risk). Be sure to show your calculations for each answer. b. For an equally weighted portfolio of 25% invested in each country (enter those values manually as the Weights as whole numbers, i.e. 25), report the % portfolio return R(p), the % portfolio standard deviation Std. Dev(p), the portfolio SHP Sharpe(p), all from Excel (you don’t need Solver for this part). Separately, calculate and report the SHP (compare the portfolio SHP to the US stock market SHP), and the % “annualized deltaR for a U.S. investor at the domestic-equivalent, U.S. risk level,” where: R = deltaSHP x 3.16 (sigmaUS) x 12 months. c. Solve for the Optimal International Portfolio (OIP) for a U.S. investor, and report the percentages in invested in each stock market. ), OIP.) d. For the OIP, report the return (%), standard deviation (%), SHP, the deltaSHP, and the annualized ?R for a U.S. investor at the domestic-equivalent, U.S. risk level (deltaR = deltaSHP x 3.16 (sigmaUS) x 12 months).delta

            Monthly Stock Return (%)    Standard Deviation (%)         

U.K.                 1.26%                                      3.50%

Canada            1.54%                                      3.90%

Mexico             2.25%                                     6.05%

U.S.                 1.15%                                      3.16%

Correlation Coefficients         

                        U.K.    Can.     Mex.    U.S.    

U.K.                 1.000                          

Canada             0.755   1.000              

Mexico             0.725   0.695   1.000  

U.S.                 0.682   0.754   0.676   1.000

Feel free to use Markowitz tool if you have excel, otherwise please solve without tool as text seeing not capable of uploading the excel tool/ Please advise.

Please solve outside of EXCEL in text form

Answer 1