Assignment
Coding Using R and frameworks used in class, provide recommendations and advice for the following High Net Worth Client.
Your investor is an Ultra High Net Worth client, based in Palo Alto, CA. Your investor has the following assets:
- Liquid assets - total of 95M (mainly listed on exchanges in the US):
Ticker Name % allocation Asset class
IXN Ishares Global Tech EtfLinks to an external site. 17.5% Equity
QQQ NASDAQ 100 22.1% Equity
IEF iShares 7-10 Year Treasury Bond ETF 28.5% Fixed Income
VNQ Vanguard Real Estate ETF 8.9% Real Assets
GLD SPDR Gold Shares 23% Commodities
Provide full risk and return analysis for this portfolio. Make sure to use frameworks and metrics covered in class. Provide recommendations on rebalancing.
Questions to get you started:
A. What is the most recent 12M*, 18M, 24M (months) return for each of the securities (and for the entire portfolio)?
B. What are the correlations between your assets? Are there any interesting correlations?
C. What is the most recent 12M sigma (risk) for each of the securities (and for the entire portfolio)?
D. Based on the previous 3 questions, which holdings would you sell, which holdings would you buy?
E. How will your portfolio risk and expected returns change after rebalancing (selling and buying)?
F. Can you build an efficient frontier for this portfolio (select 3 assets with similar high sharpe)? What can you say based on the efficient frontier?
You will need to decide which frameworks to use to collect the additional .
Make sure to provide very detailed recommendations for your client. Explain each result in a simple fashion.
*12M means 12 months = 1 year.