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MIT18 S096F13 ETF Pridb 30
MIT18 S096F13 ETF Pridb 30
MATERIALS(XLB)
1.0
HEALTH CARE(XLV)
CONSSTAPLES(XLP)
CONSDISC(XLY)
ENERGY(XLE)
FINANCIAL(XLF)
INDUSTRIALS(XLI)
TECHNOLOGY(XLK)
0.8
UTILITIES(XLU)
riskfree
0.6
0.4
0.2
0.0
Time
1. Risk vs Return (Annualized)
Sector ETFS (Period: 2003−2006)
ENERGY(XLE)
●
0.25
0.20
UTILITIES(XLU)
●
MATERIALS(XLB)
●
0.15
INDUSTRIALS(XLI)
FINANCIAL(XLF)
●●
CONSDISC(XLY)
●
Return
TECHNOLOGY(XLK)
●
0.10
CONSSTAPLES(XLP)
●
HEALTH CARE(XLV)
●
0.05
0.00
riskfree
●
Volatility
2. Optimal Allocations by Target Return Index
1.0 Sector ETFS (Period: 2003−2006)
MATERIALS(XLB)
HEALTH CARE(XLV)
CONSSTAPLES(XLP)
CONSDISC(XLY)
ENERGY(XLE)
0.8
FINANCIAL(XLF)
INDUSTRIALS(XLI)
TECHNOLOGY(XLK)
UTILITIES(XLU)
riskfree
0.6
0.4
0.2
0.0
0 20 40 60 80 100
riskfree
UTILITIES(XLU)
TECHNOLOGY(XLK)
INDUSTRIALS(XLI)
FINANCIAL(XLF)
0.8
ENERGY(XLE)
CONSDISC(XLY)
CONSSTAPLES(XLP)
HEALTH CARE(XLV)
MATERIALS(XLB)
0.6
0.4
0.2
0.0
UTILITIES(XLU)
●
MATERIALS(XLB)
●
0.15
INDUSTRIALS(XLI)
FINANCIAL(XLF)
●●
Return (Ann.)
CONSDISC(XLY)
●
TECHNOLOGY(XLK)
●
0.10
CONSSTAPLES(XLP)
●
HEALTH CARE(XLV)
●
0.05
0.00
riskfree
●
UTILITIES(XLU)
●
O MATERIALS(XLB)
●
0.15
INDUSTRIALS(XLI)
FINANCIAL(XLF)
●●
Return (Ann.)
CONSDISC(XLY)
●
TECHNOLOGY(XLK)
●
0.10
CONSSTAPLES(XLP)
●
HEALTH CARE(XLV)
●
0.05
0.00
riskfree
●
MATERIALS(XLB)
1.0
HEALTH CARE(XLV)
CONSSTAPLES(XLP)
CONSDISC(XLY)
ENERGY(XLE)
FINANCIAL(XLF)
INDUSTRIALS(XLI)
TECHNOLOGY(XLK)
0.8
UTILITIES(XLU)
riskfree
0.6
0.4
0.2
0.0
Time
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