Statistics question | FE5214 | National University of Singapore

1. For each year calculate the annual return (assuming the cost of trading is 0, and for simplicity simply add up all daily portfolio returns to get the annual return) and the annualized return volatility of the portfolio. List your results in a table. Which are the best and the worst years for the strategy?

Part C Assume that the percentage trading cost is 5 bps and calculate the portfolio returns, taking into account the cost. Compare the results to the case when the costs are not taken into account. For simplicity, we assume the LMV (the long market value) of the portfolio is kept the same and we ignore the cost of maintaining the constant LMV.

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