Your team manages a family office for a Singaporean client who has S$1 million in investible wealth. After reviewing the client's investment policy statement, your team gathers that he would like a diversified portfolio that is long-only in Singapore equities.
In addition, that portfolio should yield an average real return of 6% per year and will only accept a 5% probability of losses that are more than $100,000 in any given year. The long-term annual inflation rate in Singapore is 2.5%.
If needed, you may submit your supplementary computations in an Excel file, using a separate tab for each question. Price data can be extracted from Yahoo! Finance and industry classifications (Global Industry Classification Standard) can be obtained from Thomson Reuters Eikon.
Question
Prepare a portfolio that historically meets all of the specified investment objectives. As part of this process, you should extract price data for each security in your proposed portfolio to compute monthly returns from January 2012 through December 2016. Use this historical data to justify your proposed portfolio.