| Date | AORD | STI | HIS |
| 2/1/08 | 5674.7 | 3026.45 | 24331.67 | | Q1. Calculate the discrete monthly rates of returns. Using the monthly returns, calculate the arithmetic mean monthly return and the geometric mean monthly return of each series for the overall period. Convert the mean returns to annualised returns. |
| 3/3/08 | 5409.7 | 3007.36 | 22849.2 |
| 4/1/08 | 5657 | 3147.79 | 25755.35 |
| 5/2/08 | 5773.9 | 3192.62 | 24533.12 |
| 6/2/08 | 5332.9 | 2947.54 | 22102.01 |
| 7/1/08 | 5052.6 | 2929.65 | 22731.1 | | Q2. Calculate the variances and standard deviations of the monthly returns of each series. Annualise the variances and standard deviations |
| 8/1/08 | 5215.5 | 2739.95 | 21261.89 |
| 9/2/08 | 4631.3 | 2358.91 | 18016.21 |
| 10/3/08 | 3982.7 | 1794.2 | 13968.67 |
| 11/3/08 | 3672.7 | 1732.57 | 13888.24 |
| 12/1/08 | 3659.3 | 1761.56 | 14387.48 | | Q3. Calculate the covariances of the monthly returns between each pair, and the corresponding correlation coefficients. |
| 1/2/09 | 3478.1 | 1746.47 | 13278.21 |
| 2/3/09 | 3296.9 | 1594.87 | 12811.57 |
| 3/2/09 | 3532.3 | 1699.99 | 13576.02 |
| 4/1/09 | 3744.7 | 1920.28 | 15520.99 |
| 5/1/09 | 3813.3 | 2329.08 | 18171 | | Q4. Based on the annualised returns and variances calculated, compute the rates of return and the variances of two- country equally weighted portfolios and the three-country equally weighted portfolio you can form from the three country indices. Make use of your knowledge of matrix algebra for your calculations. |
| 6/1/09 | 3947.8 | 2333.14 | 18378.73 |
| 7/1/09 | 4249.5 | 2659.2 | 20573.33 |
| 8/3/09 | 4484.1 | 2592.9 | 19724.19 |
| 9/1/09 | 4739.3 | 2672.57 | 20955.25 |
| 10/1/09 | 4646.9 | 2651.13 | 21752.87 | | Q5. Determine the optimal asset allocation to make across the three stock markets, by computing and examining the efficient portfolio frontier and the minimum variance portfolio | | | | | | | | | Q5a. Compute and graph the efficient portfolio frontier based on the three country indices. |
| 11/2/09 | 4715.5 | 2732.12 | 21821.5 |
| 12/1/09 | 4882.7 | 2897.62 | 21872.5 |
| 1/4/10 | 4596.9 | 2745.35 | 20121.99 |
| 2/2/10 | 4651.1 | 2750.86 | 20608.7 |
| 3/1/10 | 4893.1 | 2887.46 | 21239.35 | | Q6. Interpret and comment on the results in (a) above, how do they compare with your results for the portfolios examined in Part 2? Comment on your observations. |
| 4/1/10 | 4833.9 | 2974.61 | 21108.59 |
| 5/3/10 | 4453.6 | 2752.6 | 19765.19 |
| 6/1/10 | 4324.8 | 2835.51 | 20128.99 |
| 7/1/10 | 4507.4 | 2987.7 | 21029.81 |
| 8/2/10 | 4438.8 | 2950.33 | 20536.49 |
| 9/1/10 | 4636.9 | 3097.63 | 22358.17 |
| 10/1/10 | 4733.4 | 3142.62 | 23096.32 |
| 11/1/10 | 4676.4 | 3144.7 | 23007.99 |
| 12/1/10 | 4846.9 | 3190.04 | 23035.45 |
| 1/3/11 | 4850 | 3179.72 | 23447.34 |
| 2/2/11 | 4923.6 | 3010.51 | 23338.02 |
| 3/1/11 | 4928.6 | 3105.85 | 23527.52 |
| 4/1/11 | 4899 | 3172.73 | 23720.81 |
| 5/3/11 | 4788.9 | 3159.93 | 23684.13 |
| 6/1/11 | 4659.8 | 3120.44 | 22398.1 |
| 7/1/11 | 4500.5 | 3189.26 | 22440.25 |
| 8/1/11 | 4369.9 | 2885.26 | 20534.85 |
| 9/2/11 | 4070.1 | 2675.16 | 17592.41 |
| 10/3/11 | 4360.5 | 2855.77 | 19864.87 |
| 11/1/11 | 4184.7 | 2702.46 | 17989.35 |
| 12/1/11 | 4111 | 2646.35 | 18434.39 |
| 1/3/12 | 4325.7 | 2906.69 | 20390.49 |
| 2/2/12 | 4388.1 | 2994.06 | 21680.08 |
| 3/1/12 | 4420 | 3010.46 | 20555.58 |
| 4/2/12 | 4467.2 | 2978.57 | 21094.21 |
| 5/2/12 | 4133.7 | 2772.54 | 18629.52 |
| 6/1/12 | 4135.5 | 2878.45 | 19441.46 |
| 7/2/12 | 4289.4 | 3036.4 | 19796.81 |
| 8/1/12 | 4339 | 3025.46 | 19482.57 |
| 9/3/12 | 4406.3 | 3060.34 | 20840.38 |
| 10/1/12 | 4535.4 | 3038.37 | 21641.82 |
| 11/1/12 | 4518 | 3069.95 | 22030.39 |
| 12/3/12 | 4540 | 3167.08 | 22656.92 |
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