Everything in file
returns US StockBond indexPrecious metalUS stockBond indexPrecious metal DateAdj CloseAdj CloseAdj Closereturnreturnreturn 1/1/1022.3576798.0328640.03359767350.0022076808 2/1/1023.1088458.0505980.0588019436-0.0008591908 3/1/1024.467698.0436810.02548283060.0107737987 4/1/1025.0911968.130342-0.08001336410.0073432335 5/1/1023.0835658.190045-0.06091741030.0163268944 6/1/1021.6773748.3237630.07482931280.0093642743 7/1/1023.2994778.401709-0.04748007860.014890899 8/1/1022.1932168.5268180.08934063450.0000080921 9/1/1024.1759728.5268870.04448631890.0035945123 10/1/1025.2514728.5575370.0057571693-0.0056090906 11/1/1025.3968498.5095370.0626258793-0.015965381 12/1/1026.9873498.3736790.02715405650.0053152264 1/1/1127.7201658.4181870.03596901390.001795636 2/1/1128.7172328.4333030.0005983515-0.0002819773 3/1/1128.7344158.4309250.03395833880.0133178744 4/1/1129.7101888.543207-0.01161779930.0130898151 5/1/1129.3650218.655036-0.0217457021-0.0038185861 6/1/1128.7264588.621986-0.01866763390.0157546069 7/1/1128.1902038.757822-0.06023369180.0146416541 8/1/1126.4922038.886051-0.08207973490.0090540781 9/1/1124.317738.9665060.12041016990.001645457 10/1/1127.2458328.98126-0.002875449-0.0028924672 11/1/1127.1674888.9552820.00256332130.0061245419 12/1/1127.2371279.0101290.05667378210.0135394288 1/1/1228.7807589.1321210.0425792121-0.0003568722 2/1/1230.006229.1288620.0265460628-0.0068115829 3/1/1230.8027679.06668-0.00253805120.0124604596 4/1/1230.7245889.179655-0.06235706070.0095348899 5/1/1228.8086939.2671820.0341671870.0004545071 6/1/1229.7930059.2713940.01517299110.013900283 7/1/1230.2450549.4002690.02481774380.0003610535 8/1/1230.9956689.4036630.021082430.0011670984 9/1/1231.6491329.414638-0.01306127450.001073541 10/1/1231.2357549.4247450.00738423030.0020632919 11/1/1231.4664069.4441910.0047926033-0.0069845051 12/1/1231.6172129.3782280.0624561078-0.0021145786 1/1/1333.59199.3583970.01276629190.0055606745 2/1/1334.0207449.4104360.0344010407-0.0009064405 3/1/1335.1910939.4019060.02132360590.0108503531 4/1/1335.9414949.503920.0232148669-0.017180595 5/1/1336.7758719.340637-0.0170772842-0.0165010159 6/1/1336.1478399.1865070.05952126210.0018797134 7/1/1338.2994049.203775-0.0282354785-0.0064774508 8/1/1337.2180029.1441580.03196133420.0096589538 9/1/1338.4075399.2324810.04693164540.0077081123 10/1/1340.2100689.3036460.0288155693-0.0034586441 11/1/1341.3687449.2714680.0212256384-0.0072391988 12/1/1342.2468229.20435-0.02625151310.0162305866 1/1/1441.1377799.3537420.04732428550.0049656063 2/1/1443.0845959.4001890.0010558298-0.0017754962 3/1/1443.1300859.3834990.00468774870.0078753139 4/1/1443.3322689.4573970.02171174150.0105384177 5/1/1444.2730879.5570630.02145644370.0011992178 6/1/1445.223039.568524-0.0160316104-0.0025883825 7/1/1444.4980329.5437570.04182969260.0113386164 8/1/1446.3593719.65197-0.0255142159-0.007183922 9/1/1445.1765489.5826310.03174547560.00938594 10/1/1446.6106999.6725730.02410122620.0065482059 11/1/1447.7340749.735911-0.0050153482-0.001740361 12/1/1447.4946719.718967-0.02285252170.0258690044 1/1/1546.4092989.9703870.0576269652-0.0107324821 2/1/1549.0837259.86338-0.01470591320.003661321 3/1/1548.3619049.8994930.0086000129-0.0032836025 4/1/1548.7778179.8669870.0139100321-0.0045872159 5/1/1549.4563189.821725-0.0210487364-0.0100658489 6/1/1548.4153259.7228610.02040500610.0075689656 7/1/1549.403249.796453-0.0600679632-0.0016673382 8/1/1546.4356889.780119-0.03416402490.0057846944 9/1/1544.8492589.8366940.08359957710.0000910875 10/1/1548.5986379.837590.0054021062-0.0026986284 11/1/1548.8611729.811042-0.0255229654-0.0045842226 12/1/1547.614099.766066-0.05172536110.0149838226 1/1/1645.1512349.912399-0.00041737510.0067050368 2/1/1645.1323899.9788620.06537163370.0093543733 3/1/1648.08276710.0722080.01074156150.0038645945 4/1/1648.59925110.1111330.01792299230.0000916811 5/1/1649.47029510.11206-0.00191365340.0194927641 6/1/1649.37562610.3091720.04381224450.0064178772 7/1/1651.53888310.3753350.0025825744-0.0017036558 8/1/1651.67198610.357659-0.0031279812-0.0008124423 9/1/1651.51035710.349244-0.0175427439-0.0080601056 10/1/1650.60672410.2658280.0443564772-0.026417645 11/1/1652.851469.9946290.0131934293-0.0009494099 12/1/1653.5487529.985140.02514887740.0062291565 1/1/1754.89544310.0473390.03710827140.0066772904 2/1/1756.93251810.114428-0.0035443013-0.0009337157 3/1/1756.73073210.1049840.01476839750.0076973897 4/1/1757.56855410.1827660.01005701830.0066257046 5/1/1758.14752210.2502340.0048125009-0.0018537138 6/1/1758.42735710.2312330.0230903650.0039059808 7/1/1759.77646610.2711960.00145903570.0085437957 8/1/1759.86368210.3589510.0203982608-0.0053497695 9/1/1761.08479710.3035330.02570665820.0011133074 10/1/1762.65508310.3150040.0304394777-0.0016747449 11/1/1764.56227110.2977290.00527515520.0039185339 12/1/1764.90284710.3380810.0579605237-0.0104428472 1/1/1868.6646510.230122-0.0371583923-0.0101984121 2/1/1866.11318210.125791-0.02365806560.0058344084 3/1/1864.54907210.1848690.0076166238-0.0080000047 4/1/1865.04071810.103390.02791173060.0060654889 5/1/1866.85611710.1646720.00278889960.0002854986 6/1/1867.04257210.1675740.03746362830.0002882694 7/1/1869.5542310.1705050.03441925820.0052015116 8/1/1871.94823510.223407-0.0028755952-0.0053784418 9/1/1871.74134110.168421-0.0698603055-0.0074490425 10/1/1866.72946910.0926760.0206138310.0052731307 11/1/1868.10501910.145896-0.09793651180.0179255731 12/1/1861.43505110.327767 risk partiy strategy DateUS StockBond indexPrecious metal 1/1/100.03359767350.00220768080.026147146 2/1/100.0588019436-0.00085919080.1045243177 3/1/100.02548283060.01077379870.0009991681 4/1/10-0.08001336410.0073432335-0.0955294474 5/1/10-0.06091741030.0163268944-0.0197710211 6/1/100.07482931280.00936427430.0647557833 7/1/10-0.04748007860.0148908990.0184449233 8/1/100.08934063450.00000809210.136563538 9/1/100.04448631890.00359451230.0770888348 10/1/100.0057571693-0.0056090906-0.0039982935 11/1/100.0626258793-0.0159653810.0738657017rolling past 12 month volatilityweight of asset class based on rolling past 12 month volatility 12/1/100.02715405650.0053152264-0.0524905199US stockbondPrecious metalUS stockbondPrecious metalPortfolio Return 1/1/110.03596901390.0017956360.05502563630.00900492220.0669952060.12607233120.77037980830.10354786050.0059180192meanstdevrisk free ratesharpe ratio 2/1/110.0005983515-0.00028197732011 to 2018 performance0% 3/1/110.03395833880.0133178744 4/1/11-0.01161779930.0130898151 5/1/11-0.0217457021-0.0038185861 6/1/11-0.01866763390.0157546069 7/1/11-0.06023369180.0146416541 8/1/11-0.08207973490.0090540781 9/1/110.12041016990.001645457 10/1/11-0.002875449-0.0028924672 11/1/110.00256332130.0061245419 12/1/110.05667378210.0135394288 1/1/120.0425792121-0.0003568722 2/1/120.0265460628-0.0068115829 3/1/12-0.00253805120.0124604596 4/1/12-0.06235706070.0095348899 5/1/120.0341671870.0004545071 6/1/120.01517299110.013900283 7/1/120.02481774380.0003610535 8/1/120.021082430.0011670984 9/1/12-0.01306127450.001073541 10/1/120.00738423030.0020632919 11/1/120.0047926033-0.0069845051 12/1/120.0624561078-0.0021145786 1/1/130.01276629190.0055606745 2/1/130.0344010407-0.0009064405 3/1/130.02132360590.0108503531 4/1/130.0232148669-0.017180595 5/1/13-0.0170772842-0.0165010159 6/1/130.05952126210.0018797134 7/1/13-0.0282354785-0.0064774508 8/1/130.03196133420.0096589538 9/1/130.04693164540.0077081123 10/1/130.0288155693-0.0034586441 11/1/130.0212256384-0.0072391988 12/1/13-0.02625151310.0162305866 1/1/140.04732428550.0049656063 2/1/140.0010558298-0.0017754962 3/1/140.00468774870.0078753139 4/1/140.02171174150.0105384177 5/1/140.02145644370.0011992178 6/1/14-0.0160316104-0.0025883825 7/1/140.04182969260.0113386164 8/1/14-0.0255142159-0.007183922 9/1/140.03174547560.00938594 10/1/140.02410122620.0065482059 11/1/14-0.0050153482-0.001740361 12/1/14-0.02285252170.0258690044 1/1/150.0576269652-0.0107324821 2/1/15-0.01470591320.003661321 3/1/150.0086000129-0.0032836025 4/1/150.0139100321-0.0045872159 5/1/15-0.0210487364-0.0100658489 6/1/150.02040500610.0075689656 7/1/15-0.0600679632-0.0016673382 8/1/15-0.03416402490.0057846944 9/1/150.08359957710.0000910875 10/1/150.0054021062-0.0026986284 11/1/15-0.0255229654-0.0045842226 12/1/15-0.05172536110.0149838226 1/1/16-0.00041737510.0067050368 2/1/160.06537163370.0093543733 3/1/160.01074156150.0038645945 4/1/160.01792299230.0000916811 5/1/16-0.00191365340.0194927641 6/1/160.04381224450.0064178772 7/1/160.0025825744-0.0017036558 8/1/16-0.0031279812-0.0008124423 9/1/16-0.0175427439-0.0080601056 10/1/160.0443564772-0.026417645 11/1/160.0131934293-0.0009494099 12/1/160.02514887740.0062291565 1/1/170.03710827140.0066772904 2/1/17-0.0035443013-0.0009337157 3/1/170.01476839750.0076973897 4/1/170.01005701830.0066257046 5/1/170.0048125009-0.0018537138 6/1/170.0230903650.0039059808 7/1/170.00145903570.0085437957 8/1/170.0203982608-0.0053497695 9/1/170.02570665820.0011133074 10/1/170.0304394777-0.0016747449 11/1/170.00527515520.0039185339 12/1/170.0579605237-0.0104428472 1/1/18-0.0371583923-0.0101984121 2/1/18-0.02365806560.0058344084 3/1/180.0076166238-0.0080000047 4/1/180.02791173060.0060654889 5/1/180.00278889960.0002854986 6/1/180.03746362830.0002882694 7/1/180.03441925820.0052015116 8/1/18-0.0028755952-0.0053784418 9/1/18-0.0698603055-0.0074490425 10/1/180.0206138310.0052731307 11/1/18-0.09793651180.0179255731 other strategies Asset class returnEqual Weight startegy35% Bond 55% Stock 10% Metal StrategyMarkowitz mean variance optimization DateUS StockBond indexPrecious metalweightsPortfolio Returnaverage return0.0013994253weightsPortfolio Returnaverage returnweightsPortfolio Returnaverage return returnreturnreturnUS Stock0.3333333333Standard deviation0.0354989923US StockStandard deviationUS StockStandard deviation 1/1/110.03596901390.0017956360.0861281958Bond index0.33333333330.0412976153Sharpe Ratio0.0394215494Bond indexSharpe RatioBond indexSharpe Ratio 2/1/110.0005983515-0.00028197730.0205873585Precious metal0.33333333330.0069679109Precious metalPrecious metal 3/1/110.03395833880.01331787440.04777788360.0316846989 4/1/11-0.01161779930.0130898151-0.0282243832-0.0089174558 5/1/11-0.0217457021-0.0038185861-0.0661764126-0.0305802336 6/1/11-0.01866763390.01575460690.03307071090.0100525613 7/1/11-0.06023369180.01464165410.006859857-0.0129107269 8/1/11-0.08207973490.0090540781-0.2085541935-0.0938599501 9/1/110.12041016990.0016454570.15494974150.0923351228 10/1/11-0.002875449-0.00289246720.0004143136-0.0017845342 11/1/110.00256332130.0061245419-0.1974339262-0.0629153543 12/1/110.05667378210.01353942880.23236042270.1008578778 1/1/120.0425792121-0.0003568722-0.01264662480.0098585717 2/1/120.0265460628-0.0068115829-0.1180239777-0.0327631659 3/1/12-0.00253805120.0124604596-0.00369890120.0020745024 4/1/12-0.06235706070.0095348899-0.1648764336-0.0725662015 5/1/120.0341671870.000454507100.0115405647 6/1/120.01517299110.013900283-0.02893892160.0000447841 7/1/120.02481774380.00036105350.0105960080.0119249351 8/1/120.021082430.00116709840.14351238660.0552539717 9/1/12-0.01306127450.001073541-0.0063036247-0.0060971194 10/1/120.00738423030.0020632919-0.0732410142-0.0212644973 11/1/120.0047926033-0.0069845051-0.0074674016-0.0032197678 12/1/120.0624561078-0.0021145786-0.00639026120.017983756 1/1/130.01276629190.0055606745-0.075032296-0.0189017765 2/1/130.0344010407-0.0009064405-0.0573427094-0.0079493697 3/1/130.02132360590.0108503531-0.0884969252-0.0187743221 4/1/130.0232148669-0.017180595-0.02442999-0.006131906 5/1/13-0.0170772842-0.0165010159-0.1335559051-0.0557114017 6/1/130.05952126210.00187971340.01637768150.025926219 7/1/13-0.0282354785-0.00647745080.04454971880.0032789298 8/1/130.03196133420.0096589538-0.02994562960.0038915528 9/1/130.04693164540.00770811230.00748380270.0207078534 10/1/130.0288155693-0.0034586441-0.0668524237-0.0138318328 11/1/130.0212256384-0.00723919880.02885576490.0142807348 12/1/13-0.02625151310.01623058660.0038684068-0.0020508399 1/1/140.04732428550.00496560630.1021193840.0514697586 2/1/140.0010558298-0.0017754962-0.0314684698-0.0107293787 3/1/140.00468774870.0078753139-0.00451265550.002683469 4/1/140.02171174150.0105384177-0.01631904880.0053103701 5/1/140.02145644370.00119921780.0755760370.0327438995 6/1/14-0.0160316104-0.00258838250-0.0062066643 7/1/140.04182969260.011338616400.0177227697 8/1/14-0.0255142159-0.007183922-0.1345330007-0.0557437129 9/1/140.03174547560.00938594-0.1366336779-0.0318340875 10/1/140.02410122620.00654820590.04587139760.0255069432 11/1/14-0.0050153482-0.0017403610.0043861248-0.0007898615 12/1/14-0.02285252170.02586900440.04694336980.0166532842 1/1/150.0576269652-0.01073248210.01251282240.0198024352 2/1/15-0.01470591320.003661321-0.1060760756-0.0390402226 3/1/150.0086000129-0.00328360250.11226625170.0391942207 4/1/150.0139100321-0.0045872159-0.00526335010.0013531553 5/1/15-0.0210487364-0.0100658489-0.0867722223-0.0392956025 6/1/150.02040500610.0075689656-0.1622248938-0.0447503074 7/1/15-0.0600679632-0.0016673382-0.0124482407-0.0247278474 8/1/15-0.03416402490.0057846944-0.0560224131-0.0281339145 9/1/150.08359957710.00009108750.0548962630.0461956425 10/1/150.0054021062-0.0026986284-0.0956400872-0.0309788698 11/1/15-0.0255229654-0.0045842226-0.0108863491-0.0136645123 12/1/15-0.05172536110.0149838226-0.0220126608-0.0195847331 1/1/16-0.00041737510.00670503680.23472662380.0803380952 2/1/160.06537163370.00935437330.06901066420.0479122237 3/1/160.01074156150.00386459450.3135304360.109378864 4/1/160.01792299230.0000916811-0.105014177-0.0289998345 5/1/16-0.00191365340.01949276410.1701902220.0625897775 6/1/160.04381224450.00641787720.11653117060.0555870974 7/1/160.0025825744-0.0017036558-0.140776697-0.0466325928 8/1/16-0.0031279812-0.00081244230.05743871620.0178327642 9/1/16-0.0175427439-0.0080601056-0.0667853592-0.0307960696 10/1/160.0443564772-0.026417645-0.0973281786-0.0264631155 11/1/160.0131934293-0.0009494099-0.00634246450.001967185 12/1/160.02514887740.00622915650.14255316180.0579770653 1/1/170.03710827140.0066772904-0.04189952770.0006286781 2/1/17-0.0035443013-0.00093371570.00971822710.0017467367 3/1/170.01476839750.0076973897-0.0431290636-0.0068877588 4/1/170.01005701830.00662570460.02213291720.0129385467 5/1/170.0048125009-0.00185371380.00393704720.0022986114 6/1/170.0230903650.00390598080.04215677980.0230510419 7/1/170.00145903570.00854379570.04421464130.0180724909 8/1/170.0203982608-0.0053497695-0.0612614047-0.0154043045 9/1/170.02570665820.0011133074-0.033589195-0.0022564098 10/1/170.0304394777-0.0016747449-0.01092344070.0059470974 11/1/170.00527515520.00391853390.07329307360.0274955876 12/1/170.0579605237-0.0104428472-0.01122546040.0120974054 1/1/18-0.0371583923-0.0101984121-0.0870387856-0.04479853 2/1/18-0.02365806560.0058344084-0.0072538522-0.0083591698 3/1/180.0076166238-0.00800000470.03764280660.0124198086 4/1/180.02791173060.0060654889-0.00712822470.0089496649 5/1/180.00278889960.0002854986-0.0061538465-0.0010264827 6/1/180.03746362830.0002882694-0.02992784920.0026080162 7/1/180.03441925820.0052015116-0.1265957449-0.0289916584 8/1/18-0.0028755952-0.00537844180.0068239744-0.0004766876 9/1/18-0.0698603055-0.0074490425-0.064871481-0.0473936097 10/1/180.0206138310.0052731307-0.02094240840.0016481845 11/1/18-0.09793651180.0179255731-0.0548128342-0.0449412577 Project for Chapter 2 Due date: Sunday June 23th, 11:45 p.m. Method of submission: email the excel sheet with your name to
[email protected] Purpose of the project The purpose of this project is to compare various asset allocation strategies and measure their effectiveness. We are going to invest in three asset classes: US government bonds, US stocks, and precious metals/commodities. We are going to compare the following strategies: equal weights, 35% bond/55% US stocks/10% precious metal, Markowitz mean variance optimization, and risk parity. Our period of interest is from 1/1/2011 to 12/31/2018 where we are going to compare the performance of those four strategies. In addition, for Markowitz mean variance optimization, we are going to use data from 1/1/2003 to 12/31/2010 to determine the weights (which we already did last project); and for risk parity strategy, we are going to use a rolling weights approach and will need 1/1/2010 to 12/31/2010 to determine the initial weights. We are going to use the following mutual funds as proxies for each asset classes: Vanguard Total Stock Market Index Fund (VTSMX) for stocks, Vanguard Total Bond Market Index Fund (VBMFX) for bonds, and Vanguard Global Capital Cycles Fund Investor Shares (VGPMX)[footnoteRef:1] as proxy for precious metals. [1: Vanguard Global Capital Cycles Fund Investor Shares was previously known as Vanguard Precious Metal and Mining, it changed its name in 2018.] Section I: Decide weights and return using risk parity approach Instead of using the full equation to determine the weights, we are going to use the simple equation to figure out the weight for each asset class (which assumes covariance is the same across asset classes): To use the equation, we will need to first decide what is the standard deviation for each asset class. Typically the industry uses a dynamic approach to determine the standard deviation and weights, which simply means re-calculating the standard deviation each month based on a pre-determine number of periods. For example, in our project we are going to dynamically adjust based on a 12 month rolling period standard deviation; so to determine the weight be used for stocks in January 2011, we are going to use the standard deviation based on returns from January 2010 to December 2010; to determine the weight for February 2011, we are going to use standard deviation based on returns from February 2010 to January 2011. We will keep doing this to decide the weights each month for the whole period. A. Decide the asset classes return from 1/1/2010 to 12/31/2018 Under “returns” tab, similar to last project, download the price for each asset classes using the tickers and calculate the monthly returns from 1/1/2010 to 12/31/2018 using the Adjusted price (again I have done this for stocks and bonds, you only need to do this for VGPMX). The initial 12 months from 1/1/2010 to 12/31/2010 will be used to calculate the weights in the first month of 1/1/2011 to 12/31/2018 period (which is the test period). Then we are going to