Week

Portfolio Value

Weekly HPR

Montly HPR

Excess Return =

HPR - Rf

0

1000000

1

1003895.03

0.0039

0.0156

1.40%

2

1014577.60

0.0106

0.0426

4.10%

3

1015811.06

0.0012

0.0049

0.33%

4

1006596.36

-0.0091

-0.0363

-3.79%

5

1020341.37

0.0137

0.0546

5.30%

6

1005659.83

-0.0144

-0.0576

-5.92%

7

965617.78

-0.0398

-0.1593

-16.09%

8

987958.93

0.0231

0.0925

9.09%

9

988559.97

0.0006

0.0024

0.08%

arithmetic mean

-0.0045

-0.0061

standard deviation

0.07369287

Table 2 – MSCI World Index’s Weekly Returns

Weekly HPR

Montly HPR

Excess Return =

HPR - Rf

0.0231

0.0924

9.08%

-0.0096

-0.0384

-4.00%

0.0029

0.0116

1.00%

-0.0175

-0.0700

-7.16%

-0.0160

-0.0640

-6.56%

0.0105

0.0420

4.04%

0.0133

0.0532

5.16%

-0.0260

-0.1040

-10.56%

-0.0179

-0.0716

-7.32% arithmetic mean

-0.0165

-0.0181 standard deviation

0.06820880

Portfolio A’s Geometric Mean:-

MSCI World Index’s Geometric Mean:-

Analysis on breadth and depth of Portfolio A

Expected Return and Standard Deviation The Capital Market Line (CML) illustrates the performance of the market index – the MSCI World Index – which is the blue trend line shown in Graph 1. The red trend line, on the other hand, represents the performance of Portfolio A which is the Capital Allocation Line (CAL). Based on Graph 1, the CAL is situated above the CML. Both trend lines are downward sloping, which indicates that both portfolios are at loss. Nonetheless, since Portfolio A’s slope is flatter than MSCI’s slope, it shows that at every level of expected return, Portfolio A has higher risks compared to MSCI and at every level of risk, Portfolio A has higher returns compared to MSCI. This can be seen in their expected return and standard deviation, where Portfolio A has an expected return or arithmetic average of -0.45% with a standard deviation of 7.37% while MSCI has an expected return of -1.65% with a standard deviation of 6.82%. Evidently, MSCI