You have a portfolio with an asset allocation of 40 percent stocks, 20 percent l

Question

You have a portfolio with an asset allocation of 40 percent stocks, 20 percent long-term Treasury bonds, and 40 percent T-bills. Use these weights and the returns in Table 9.2 to compute the return of the portfolio in the year 2000 and each year since. Then compute the average annual return and standard deviation of the portfolio. (Negative amounts should be indicated by a minus sign. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

  

  Standard Deviation

%

Portfolio Return   2000 %   2001 %   2002 %   2003 %   2004 %   2005 %   2006 %   2007 %   Average %

  Standard Deviation

%

Explanation / Answer

Portfolio Return   2000 2.74%   2001 -2.44%   2002 -4.76%   2003 12.30%   2004 6.46%   2005 4.50%   2006 8.58%   2007 4.72%   Average 4.02%   Standard Deviation 5.56%

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