Calculate and report a time-series plot of the tracker

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Reference no: EM132142000

Question - Since the tracker portfolio is a passive strategy, your boss moves you on to other projects. However, 10 months have now passed and your boss asks you to look into the performance of the tracker portfolio. The portfolio was constructed on June 30, 2017 (seconds before the market closed for the day at 4pm) using the portfolio weights found in 2(b) and with an investment amount of $1,000,000. You should assume that this was done without any transaction costs at the prices quoted on that date in the ‘Out-of-Sample' tab and that any fraction of a share can be purchased. You should also assume that the portfolio was held, without any further transactions, until April 27, 2018 (i.e., the portfolio was not re-balanced). To assess the performance of the tracking portfolio you need to perform the following tasks:

(a) Calculate and report a time-series plot of the tracker portfolio value from June 30, 2017 to April 27, 2018, along with the performance of the ASX200 index, clearly indicating which series is which. You should also normalise the values of both time series so that their values are 100 on June 30, 2017.

(b) Report the simple annualised return of the tracker portfolio and the ASX200 index over the investment period.

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Reference no: EM132142000

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