You should then choose a set of 15-20 ETFàalong a theme: regional or types of countries, or
ETFàinvolved in similar sectors, and so on. To select these ETFì just below where it says ¹
Changing Cells,%nter the cells with the weights you want to use separated by commas, e.g.,
$B$7,$B$9,$B$15,
1. Construct and record the efficient frontier of your portfolio holdings using different
expected returns which will result in different risks. (For example, with expected returns
of .04; .045; .05; .055; .06; .065; .07; .075; .08; ,085; .09) Record all the risk/return
pairings.
2. Chose one of these return/risk pairings as your desired strategy
3. Go through the allocation in your desired strategy and make it practical by removing any
of the very small allocations, limiting the very high allocations to no more than 35%, and
round up/down each allocation as needed so that you end up with 5-10 ETFàadding up
to about 100%. Record the expected return and variance of each of these ETFî
4. This means that you have to take the weights and using current prices, calculate the
number of shares of each ETF to buy. It is fine to end up with 1 – 3% cash, so the share
percentages do not need to be exact and you can round your holdings.
5. Constraints. Minimum number of ETFs in a portfolio: 5. Maximum weight of any one
ETF in a portfolio: 35%. Maximum number of ETFs in a portfolio: 10.
Performance Report: In the format of a professional research report from a professional
investment manager to a client, you should include:
4he name and objective of the fund;
4he starting and ending fund holdings/percentages;
‘raph of the minimum variance for each target return level when utilizing all ETFû
‘raph of the minimum variance for each target return for your selected ETFì highlighting
your selected risk/return portfolio, and the risk/return plot point of each of the individual assets
in your portfolio
‘raph of your actual return versus the S&P500 over the holding period, both indexed to the
same starting point;
7ritten analysis of your portfolioàreturn over the investment period; (why did it
outperform/underperform; what news that caused certain markets to do well/poorly, etc.

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