Portfolio Management

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Ex1S19Template.xlsx
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Template S19

You may work in groups of up to no more than 4 people on the assignment. Your Data - Copy Paste Special Values here: EX1 S19 T
NAME: Index Name => 3mo Tbill Wealth Index Semi-Deviation
12/31/1999 4.9%
12/31/2000 6.2%
12/31/2001 4.5%
12/31/2002 1.8%
12/31/2003 1.1%
0.00E+00 0.00E+00 0.00E+00 3TB 12/31/2004 1.3%
Possible Earned 1a. Exp Return 12/31/2005 3.1%
1a. Exp Return 4 Wealth Index 12/31/2006 4.9%
Wealth Index 4 Annualized Return 12/31/2007 5.1%
Annualized Return 4 1b. Variance 12/31/2008 2.2%
1b. Variance 4 St Dev 12/31/2009 0.2%
St Dev 4 Sharpe (Reward-to-Risk) Ratio 12/31/2010 0.2%
Sharpe (Reward-to-Risk) Ratio 4 Semi-Dev 12/31/2011 0.1%
Semi-Dev 8 12/31/2012 0.1%
1c. Corr Matrix 12 1c. Correlation Matrix 12/31/2013 0.1%
1d. Growth of $1 Graph 8 0.00E+00 0.00E+00 0.00E+00 12/31/2014 0.1%
2 . Portf Wtd Std, E(r ) 14 0.00E+00 12/31/2015 0.1%
2a. Eff Frontier Graph 8 0.00E+00 12/31/2016 0.4%
3a. MVP 6 0.00E+00 12/31/2017 0.9%
3b. ORP 6 12/31/2018 1.9%
3c. Target Portf [no TB] 6 Selected Indexes 1a. Exp Return
3d. Target Complete Portf 8 Index Names E( R) St Dev Var Correlation Covariance Wealth Index
100 0 Annualized Return
1b. Variance 0.0000
Tbill (Assume St Dev = 0% for TB) St Dev 0.0%
Sharpe (Reward-to-Risk) Ratio
Semi-Dev
0% 0% 2. Efficient Frontier
Weight Weight St Dev Exp Return Rew-to-Risk Ratio 2a. Eff Frontier Graph 1d. Growth of $1 Graph
100% 0%
80% 20%
60% 40%
40% 60%
20% 80%
10% 90%
0% 100%
3a. Minimum Variance Reward-to-
0.00E+00 0.00E+00 Total E( R) St Dev Risk Ratio
MV Portfolio
3b. Optimal Risky Portfolio Reward-to-
0.00E+00 0.00E+00 Total E( R) St Dev Risk Ratio
OR Portfolio
3c. Risk-Free Asset is not Available
Target Expected Return = 0.00% Reward-to-
0.00E+00 0.00E+00 Total E( R) St Dev Risk Ratio
Portfolio 50% 50%
3d. Risk-Free Asset is Available
Target Expected Return = 0.00% Reward-to-
ORP Wt Tbill Wt Total E( R) St Dev Risk Ratio
Portfolio

NAME:____________________

Domestic Indexes

Historical Index Returns Source: Factset EX1 S18 T
S&P 500 Russell 2000 Russell 2000 Growth Russell 2000 Value Bloomberg Barclays US Long Tsy Bloomberg Barclays US Inv Grade Corp Bloomberg Barclays Capital US Aggregate
12/31/99 21.04% 21.26% 43.09% -1.49% -8.74% -1.96% -0.82%
12/31/00 -9.10% -3.02% -22.43% 22.83% 20.27% 9.08% 11.63%
12/31/01 -11.89% 2.49% -9.23% 14.02% 4.21% 10.31% 8.44%
12/31/02 -22.10% -20.48% -30.26% -11.43% 16.79% 10.12% 10.25%
12/31/03 28.68% 47.25% 48.54% 46.03% 2.48% 8.24% 4.10%
12/31/04 10.88% 18.33% 14.31% 22.25% 7.70% 5.39% 4.34%
12/31/05 4.91% 4.55% 4.15% 4.71% 6.50% 1.68% 2.43%
12/31/06 15.79% 18.37% 13.35% 23.48% 1.85% 4.30% 4.33%
12/31/07 5.49% -1.57% 7.05% -9.78% 9.81% 4.56% 6.97%
12/31/08 -37.00% -33.79% -38.54% -28.92% 24.03% -4.94% 5.24%
12/31/09 26.46% 27.17% 34.47% 20.58% -12.92% 18.68% 5.93%
12/31/10 15.06% 26.85% 29.09% 24.50% 9.38% 9.00% 6.54%
12/31/11 2.11% -4.18% -2.91% -5.50% 29.93% 8.15% 7.84%
12/31/12 16.00% 16.35% 14.59% 18.05% 3.56% 9.82% 4.21%
12/31/13 32.39% 38.82% 43.30% 34.52% -12.66% -1.53% -2.02%
12/31/14 13.69% 4.89% 5.60% 4.22% 25.07% 7.46% 5.97%
12/31/15 1.38% -4.41% -1.38% -7.47% -1.21% -0.68% 0.55%
12/31/16 11.96% 21.31% 11.32% 31.74% 1.33% 6.11% 2.65%
12/31/17 21.83% 14.65% 22.17% 7.84% 8.53% 6.42% 3.54%
12/31/18 -4.38% -11.01% -9.31% -12.86% -1.84% -2.51% 0.01%