a recomedation of the best production method of acceton production

1. Download Morning Star Direct from the following link and install in your computer.

http://www.morningstar.com/company/direct/download

 

2. Use any 1 of the 4 provided Username / Password combinations below so that you can log into Morningstar Direct.

 

USERNAME / PASSWORD

carey1@jhu.edu / Hopkins1Group

carey2@jhu.edu / Hopkins2Group

carey3@jhu.edu / Hopkins3Group

carey4@jhu.edu / Hopkins4Group

 

3. Read through the Direct User Guide PDF file to understand how to use Morningstar Direct

 

4. Look up each series from the provided Excel File on Morningstar Direct and write a short description (in a separate Microsoft Word File) for each series.

 

5. Compute the annualized returns and annualized standard deviation. Plot y-­axis annualized standard deviation and x-­axis annualized returns in the Excel File. In a separate Microsoft Word file, answer the following questions in BULLET POINT FORMAT.

 

Comment on the relationship between returns and risk.

 

What is the regression line’s slope? Is it statistically significant? Any outliers?

 

6. Create an equally weighted portfolio (in the Excel File) of all assets that have annualized volatility greater than 1%.

 

So, you will exclude Barclays U.S. Treasury Bill 1–3 Mon TR USD, BofAML U.S. Corporate & Govt 1–3Y Yld USD, and IA SBBI U.S. Inflation.

 

Plot the equity curve of the EW portfolio.

 

7. Create an equally weighted risk portfolio (in the Excel File) of assets in number 3.

 

Assume you have access to leverage L (L’s limit +/-­200%), leverage this portfolio such that it has the same risk (as measured by annualized standard deviation) as in number 3.

 

• Plot the equity curve of the ERW portfolio.

 

8. Create a static mean-­variance portfolio (in the Excel File) of assets in number 3.

• Assume you have access to leverage L, leverage this portfolio such that it has the same risk as in number 3.

 

• Plot the equity curve of the mean-­variance (max Sharpe ratio) portfolio.

 

• Compare to EW and ERW equity curves.

 

 

 

9. Imagine that your boss at Legg Mason has asked you to find a dynamic long-­only strategy. Your boss gives you these guidelines:

 

• The strategy must trade across the investments in (3) plus any others you may find on Morningstar Direct.

 

• The investments’ weights may change over time but you must have a reasonable rationale for implementing such a strategy.

 

• The strategy should be marketable, so there needs to be an exciting story.

 

Write a 5-paragraph executive summary of your proposed strategy to share with your boss (keeping in mind your boss is not a quantitative person). Be creative and “sell” the strategy with an exciting story.

 

When you answer any questions into the Microsoft Word File, CLEARLY LABEL WHICH QUESTION # YOU ARE ANSWERING.

 

MAKE SURE TO INCLUDE ALL EXCEL CALCULATIONS IN THE EXCEL FILE AND NOT JUST THE ANSWERS.

 

I DO NOT WANT AN ESSAY. I WANT BULLETPOINT FORMATS.

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