Question: Calculate the correlation needed to determine the total risk for the foreign portfolio.
a. Write the excel formula used. Use the column/row indicators shown in Table 1.
b. Calculate and then bold/highlight the final solution.
c. Comment on whether the correlation is good or bad relative to domestic security correlations.
| Table 1 |
Global Portfolio Data |
| Date |
Lotos (PLN) |
Lotos (USD) |
Div. |
ROPCL |
USD T-bond (%) |
ROPCb |
FX = zl/$ |
FX = $/zl |
ROPCfx |
ROPCfp |
Joint ROPCgp |
| 15-Sep |
253.74 |
66.27 |
|
|
145.1406 |
|
3.8289 |
0.2612 |
|
|
|
| 22-Sep |
271.43 |
71.03 |
|
|
145.4788 |
|
3.8214 |
0.2617 |
|
|
|
| 29-Sep |
309.08 |
78.01 |
|
|
144.6211 |
|
3.9621 |
0.2524 |
|
|
|
| 6-Oct |
273.64 |
67.92 |
|
|
142.7324 |
|
4.0289 |
0.2482 |
|
|
|
| 13-Oct |
251.2 |
67.27 |
|
|
140.0375 |
|
3.7342 |
0.2678 |
|
|
|
| 20-Oct |
220.57 |
61.02 |
zl3.187 |
|
139.0325 |
|
3.6147 |
0.2766 |
|
|
|
| 27-Oct |
220.99 |
61.96 |
|
|
138.9878 |
|
3.5667 |
0.2804 |
|
|
|
| 3-Nov |
229.65 |
63.91 |
$0.832 |
|
138.4261 |
|
3.5933 |
0.2783 |
|
|
|
| 10-Nov |
271.02 |
64.85 |
|
|
139.9121 |
|
3.6209 |
0.2762 |
|
|
|
|
|
|
|
|
|
|
Pip = 4 |
|
|
|
|
Which one? |
|
|
|
|
Which one? |
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