Estimate the weekly expected returns, standard deviations of CBO and XIU, respectively, and their correlation and covariance. Then convert them into those with six-month (26 weeks) horizon.
CBO-iShares 1-5 year Laddered Corporate Bond Index ETF- and XIU-iShares S&P/TSX 60 Index ETF- are two iShares ETFs tracking and Canadian bond market and Canadian equity market, respectively. Thus, they are popularly used by Canadian investors as proxies for Canadian bond and equity markets. You can find out the historical closing prices of CBO and XIU from the following website:http://ca.ishares.com/product_info/fund/index.htm Download […]
