Assume the following inputs: The annual rate of return on the S&P 500 over the past 75 years has average about 13.5% the US Treasury Bill rate.
The standard deviation for the S&P 500 has been about 20% per year Assume that the future expectation for the US T-Bill rate is 5.0%
Calculate the expected return, variance and standard deviation for portfolios that have the invested in T-Bills and the S&P 500 with weights as follows:
|
Wt-Bills
|
Wt-S&P
|
|
0.0
|
1.0
|
|
0.2
|
0.8
|
|
0.4
|
0.6
|