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Wilkano Orchards Case

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Assignment #1 Correlations and Portfolio Risk and Returns

Collect monthly historical returns of the TSX (***) and one other non-Canadian market index for the period January 2014 (*) to December 2018. In Excel, estimate the mean return and the standard deviation of each, as well as the correlation between the two indices. By varying the weightings, generate at least 11 portfolios of the two indices based on your estimates, and plot the portfolios in a diagram. In the same diagram, plot another set of portfolios assuming that the correlation is half the original value. (ref: L0304 Slide 90) The assignment should be formatted as a report, with all the necessary labels and references. (Limit: one page including graphs and tables; No cover page allowed). A spreadsheet will be supplied to generate the return statistics required for the required analyses.  You do not need to include the tables of the 60 return calculations, just the 11+ portfolios based on the returns.

Due date: beginning of class, Sect X: Feb 4; Sect F: Feb 5 (late assignments will not be accepted).

Assignment #2 Mutual Funds and Capital Market Theory

Choose (1) an index and (2) any four mutual funds, including one index fund or ETF.  

Obtain either monthly returns or monthly closing NAVPS and dividend distributions for the period January 2014 (*) to December 2018.  A spreadsheet will be supplied to generate the statistics required for the required analyses.


  1. Provide a 2-3 line description of the find and its investment goals.
  2. Calculate the annualized rate of return and standard deviation for each fund and for M.

(c)        Calculate the correlation coefficient between each of your four funds and M.  Why do we not need to annualize correlation coefficients?  

(d)        Plot the four funds and M in ri - σi space. (**)  Rank them using ri as your sole criterion.  Then rank them using both ri and σi as your criteria.

(e)        Calculate β for each of the four funds.  Do we need to annualize the betas?

(f)        Use an appropriate rf proxy to draw an SML.  Then plot your four funds.

(g)        Calculate each fund's α (Jenson coefficient).  Rank the four funds.

(h)        What commissions, load fees and management fees are associated with each of your four funds?  Would this information lead you to change your ranking from (f)?



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