Finance Assignment: URGENT
garinh
UV6524-GoldCaseStudy-Solverenabledreadcasequestionsforinstructions.xlsxEx2
| Annual Return Data | ||||
| Date | U.S. Large Cap | U.S. Bonds | U.S. T-Bills | Gold |
| 1988 | 15.72% | 7.68% | 6.36% | -15.26% |
| 1989 | 10.63% | 13.92% | 8.38% | -2.84% |
| 1990 | 4.51% | 8.88% | 7.84% | -3.11% |
| 1991 | 18.86% | 15.43% | 5.60% | -8.56% |
| 1992 | 7.34% | 7.36% | 3.50% | -5.73% |
| 1993 | 9.76% | 9.88% | 2.90% | 17.68% |
| 1994 | -2.32% | -2.48% | 3.91% | -2.17% |
| 1995 | 35.20% | 18.42% | 5.60% | 0.98% |
| 1996 | 23.61% | 3.79% | 5.20% | -4.59% |
| 1997 | 24.69% | 9.66% | 5.25% | -21.41% |
| 1998 | 30.54% | 8.80% | 4.85% | -0.83% |
| 1999 | 8.97% | -0.56% | 4.69% | 0.85% |
| 2000 | -2.04% | 11.64% | 5.88% | -5.44% |
| 2001 | -17.26% | 8.67% | 3.86% | 0.75% |
| 2002 | -24.29% | 8.50% | 1.63% | 25.57% |
| 2003 | 32.19% | 4.20% | 1.02% | 19.89% |
| 2004 | 4.43% | 4.45% | 1.19% | 4.65% |
| 2005 | 8.36% | 2.60% | 2.98% | 17.77% |
| 2006 | 12.36% | 4.48% | 4.81% | 23.20% |
| 2007 | -4.15% | 7.12% | 4.67% | 31.92% |
| 2008 | -40.09% | 5.26% | 1.68% | 4.32% |
| 2009 | 30.03% | 6.17% | 0.09% | 25.04% |
| 2010 | 19.76% | 6.65% | 0.09% | 29.24% |
| 2011 | 2.04% | 7.79% | 0.04% | 8.93% |
| Mean | 8.70% | 7.43% | 3.83% | 5.87% |
| Standard Deviation | 18.16% | 4.64% | 2.37% | 14.57% |
| Correlation | L&B | B&G | L&G | |
| Covariance |
&G
Ex3
| Fixed Income | Equities | Altern. | Real Assets | Portfolio | ||||||||||||
| U.S. T-Bills | U.S. Bonds | Global Bonds | U.S. Small Cap | U.S. Large Cap | Developed- Market Equities | Emerging- Market Equities | Hedge Funds (HFRI) | U.S. REITs | Commodities (GSCI) | Gold (dollars/oz.) | ||||||
| Portfolio weight | 1.20% | 19.40% | 11.30% | 14.30% | 12.60% | 1.60% | 13.00% | 13.70% | 0.00% | 12.90% | 0.00% | 100.00% | ||||
| Historical average return | 3.78% | 6.29% | 6.38% | 10.44% | 9.12% | 7.16% | 11.00% | 9.93% | 13.07% | 5.50% | 8.80% | 8.24% | ||||
| Historical standard deviation | 0.64% | 3.69% | 8.14% | 19.66% | 15.24% | 17.11% | 24.11% | 7.12% | 20.97% | 21.69% | 15.97% | 9.86% | ||||
| Portfolio target standard deviation | 10.00% | |||||||||||||||
| Port. weight * std. dev. (used in portfolio std. dev. calculation) | 0.01% | 0.72% | 0.92% | 2.81% | 1.92% | 0.27% | 3.13% | 0.98% | 0.00% | 2.80% | 0.00% | |||||
| Historical Correlation Matrix | U.S. T-Bills | U.S. Bonds | Global Bonds | U.S. Small Cap | U.S. Large Cap | Developed- Market Equities | Emerging- Market Equities | Hedge Funds (HFRI) | U.S. REITs | Commodities (GSCI) | Gold (dollars/oz.) | |||||
| U.S. T-Bills | 1.00 | 0.16 | 0.02 | -0.06 | 0.02 | -0.04 | -0.09 | 0.09 | -0.11 | -0.05 | -0.12 | |||||
| U.S. Bonds | 0.16 | 1.00 | 0.46 | -0.04 | 0.05 | 0.03 | -0.02 | 0.03 | 0.13 | 0.02 | 0.16 | |||||
| Global Bonds | 0.02 | 0.46 | 1.00 | 0.07 | 0.10 | 0.34 | 0.13 | 0.08 | 0.21 | 0.20 | 0.35 | |||||
| U.S. Small Cap | -0.06 | -0.04 | 0.07 | 1.00 | 0.80 | 0.72 | 0.72 | 0.82 | 0.63 | 0.30 | 0.09 | |||||
| U.S. Large Cap | 0.02 | 0.05 | 0.10 | 0.80 | 1.00 | 0.79 | 0.73 | 0.74 | 0.54 | 0.25 | 0.00 | Portfolio weight Woods, Elizabeth (Beth): Woods, Elizabeth (Beth): Deb: I only inserted this so I could paste into the case. Once Pedro/Rich okay the case, we can remove this. |
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| Developed Market Equities | -0.04 | 0.03 | 0.34 | 0.72 | 0.79 | 1.00 | 0.77 | 0.74 | 0.53 | 0.37 | 0.16 | Fixed Income | U.S. T-Bills | 1.20% | ||
| Emerging Market Equities | -0.09 | -0.02 | 0.13 | 0.72 | 0.73 | 0.77 | 1.00 | 0.82 | 0.46 | 0.34 | 0.22 | U.S. Bonds | 19.40% | |||
| Hedge Funds (HFRI) | 0.09 | 0.03 | 0.08 | 0.82 | 0.74 | 0.74 | 0.82 | 1.00 | 0.42 | 0.39 | 0.18 | Global Bonds | 11.30% | |||
| U.S. REITs | -0.11 | 0.13 | 0.21 | 0.63 | 0.54 | 0.53 | 0.46 | 0.42 | 1.00 | 0.22 | 0.09 | Equities | U.S. Small Cap | 14.30% | ||
| Commodities (GSCI) | -0.05 | 0.02 | 0.20 | 0.30 | 0.25 | 0.37 | 0.34 | 0.39 | 0.22 | 1.00 | 0.25 | U.S. Large Cap | 12.60% | |||
| Gold (dollars/oz.) | -0.12 | 0.16 | 0.35 | 0.09 | 0.00 | 0.16 | 0.22 | 0.18 | 0.09 | 0.25 | 1.00 | Developed-Market Equities | 1.60% | |||
| Emerging-Market Equities | 13.00% | |||||||||||||||
| Alternatives | Hedge Funds (HFRI) | 13.70% | ||||||||||||||
| Real Assets | U.S. REITs | 12.90% | ||||||||||||||
| Commodities (GSCI) | ||||||||||||||||
| Gold (dollars/oz.) |
3-Asset Optimizer
| U.S. Bonds | U.S. Large Cap | Gold (dollars/oz.) | Portfolio | |
| Portfolio weight | 100.00% | 0.00% | 0.00% | 100.00% |
| Historical monthly average return (annualized) | 6.29% | 9.12% | 8.80% | 6.29% |
| Historical monthly standard deviation (annualized) | 3.69% | 15.24% | 15.97% | 3.69% |
| Portfolio target standard deviation | 10.00% | |||
| Historical correlation matrix | U.S. Bonds | U.S. Large Cap | Gold (dollars/oz.) | |
| U.S. Bonds | 1.00 | 0.05 | 0.16 | |
| U.S. Large Cap | 0.05 | 1.00 | 0.00 | |
| Gold (dollars/oz.) | 0.16 | 0.00 | 1.00 |
11-Asset Optimizer
| Fixed Income | Equities | Altern. | Real Assets | Portfolio | ||||||||
| U.S. T-Bills | U.S. Bonds | Global Bonds | U.S. Small Cap | U.S. Large Cap | Developed- Market Equities | Emerging- Market Equities | Hedge Funds (HFRI) | U.S. REITs | Commodities (GSCI) | Gold (dollars/oz.) | ||
| Portfolio weight | 1.20% | 19.40% | 11.30% | 14.30% | 12.60% | 1.60% | 13.00% | 13.70% | 12.90% | 0.00% | 0.00% | 100.00% |
| Historical average return | 3.78% | 6.29% | 6.38% | 10.44% | 9.12% | 7.16% | 11.00% | 9.93% | 13.07% | 5.50% | 8.80% | 9.22% |
| Historical standard deviation | 0.64% | 3.69% | 8.14% | 19.66% | 15.24% | 17.11% | 24.11% | 7.12% | 20.97% | 21.69% | 15.97% | 10.35% |
| Portfolio target standard deviation | 10.00% | |||||||||||
| Port. weight * std. dev. (used in portfolio std. dev. calculation) | 0.01% | 0.72% | 0.92% | 2.81% | 1.92% | 0.27% | 3.13% | 0.98% | 2.71% | 0.00% | 0.00% | |
| Historical Correlation Matrix | U.S. T-Bills | U.S. Bonds | Global Bonds | U.S. Small Cap | U.S. Large Cap | Developed- Market Equities | Emerging- Market Equities | Hedge Funds (HFRI) | U.S. REITs | Commodities (GSCI) | Gold (dollars/oz.) | |
| U.S. T-Bills | 1.00 | 0.16 | 0.02 | -0.06 | 0.02 | -0.04 | -0.09 | 0.09 | -0.11 | -0.05 | -0.12 | |
| U.S. Bonds | 0.16 | 1.00 | 0.46 | -0.04 | 0.05 | 0.03 | -0.02 | 0.03 | 0.13 | 0.02 | 0.16 | |
| Global Bonds | 0.02 | 0.46 | 1.00 | 0.07 | 0.10 | 0.34 | 0.13 | 0.08 | 0.21 | 0.20 | 0.35 | |
| U.S. Small Cap | -0.06 | -0.04 | 0.07 | 1.00 | 0.80 | 0.72 | 0.72 | 0.82 | 0.63 | 0.30 | 0.09 | |
| U.S. Large Cap | 0.02 | 0.05 | 0.10 | 0.80 | 1.00 | 0.79 | 0.73 | 0.74 | 0.54 | 0.25 | 0.00 | |
| Developed Market Equities | -0.04 | 0.03 | 0.34 | 0.72 | 0.79 | 1.00 | 0.77 | 0.74 | 0.53 | 0.37 | 0.16 | |
| Emerging Market Equities | -0.09 | -0.02 | 0.13 | 0.72 | 0.73 | 0.77 | 1.00 | 0.82 | 0.46 | 0.34 | 0.22 | |
| Hedge Funds (HFRI) | 0.09 | 0.03 | 0.08 | 0.82 | 0.74 | 0.74 | 0.82 | 1.00 | 0.42 | 0.39 | 0.18 | |
| U.S. REITs | -0.11 | 0.13 | 0.21 | 0.63 | 0.54 | 0.53 | 0.46 | 0.42 | 1.00 | 0.22 | 0.09 | |
| Commodities (GSCI) | -0.05 | 0.02 | 0.20 | 0.30 | 0.25 | 0.37 | 0.34 | 0.39 | 0.22 | 1.00 | 0.25 | |
| Gold (dollars/oz.) | -0.12 | 0.16 | 0.35 | 0.09 | 0.00 | 0.16 | 0.22 | 0.18 | 0.09 | 0.25 | 1.00 |
