The following table lists the month-end prices from May 2017 to July 2018 of the Spider S&P 500…

Posted on | by Stevepiscles

The following table lists the month-end prices from May 2017 to July 2018 of the Spider S&P 500 Index ETF (SPY) and iShares 20+ Treasury Bond ETF (TLT), respectively. During this time period the average annual yield for the one-month Treasury bills is 1.292% or 0.1077% per month. Apply the following equation to calculate the monthly returns from June 2017 to July 2018 for SPY and TLT, respectively.

The monthly return for month n:

rn = (Current month-end price – Previous month-end price) / Previous month-end price =

(Pn – Pn-1) / Pn-1

Using the monthly returns, find the values of the following inferences about SPY and TLT, respectively.

  1. AAR
  2. GAR
  3. HPR
  4. Standard deviation
  5. Sharpe ratio
  6. VaR (1%) and Var (5%)

You are expected to use the Excel spreadsheet attached below to solve these problems.