Portfolio Dominates on The Efficient Frontier

Portfolio Dominates on The Efficient Frontier

Portfolio Dominates on The Efficient Frontier

(I’ll GO OVER STEP BY STEP IN CLASS TOMORROW)

Part One

Portfolio Critique Using Morningstar.com

Morningstar, Inc. is a leading provider of independent investment research in the United States and in major international markets and offers an extensive line of Internet, software, and print-based products for individual investors, financial advisors, and institutional clients. Morningstar is a trusted source for insightful information on stocks, mutual funds, variable annuities, closed-end funds, exchange-traded funds, separate accounts, hedge funds, and 529 college savings plans.

1. Go to www.morningstar.com. Sign up for Premium Membership. You will be able to receive a 14-day free trial. Browse the siteto become familiar with everything Morningstar has to offer. Be prepared to participate in classroom discussion and bring your questions if you have any.
2. Go to X-Rayand print the page. Write a portfolio critique.

Part Two

Use the daily data on the portfolio returns and the market returns (e.g., the S&P 500 index) to estimate a single-index market model. Your analysis should include

(Morningstar automatically will calculate)

1. Standard deviation for each portfolio.
2. Covariance between the rates of return of portfolio and S&P500.
3. The correlation coefficient between each portfolio and S&P500.
4. Run a regression of each portfolio against the market return and find:\

(In fact Morningstar will automatically calculate)

1. Alpha for each portfolio.
2. Beta for each portfolio.
3. What is the systematic and nonsystematic risk of the each security?
4. Sharpe Ratio of portfolios
5. Plot the risk and return of each portfolio and draw the efficient frontiers.
6. Identify which portfolio dominates on the efficient frontier.
7. For which portfolio had an average return in excess of that predicated by the CAPM?

Score	Evaluation Criteria
Total score 100%	Meets all the criteria necessary for an A+ grade. Well formatted and instructions sufficiently followed. Well punctuated and grammar checked.
Above 90%	Ensures that all sections have been covered well, correct grammar, proofreads the work, answers all parts comprehensively, attentive to passive and active voice, follows professor’s classwork materials, easy to read, well punctuated, correctness, plagiarism-free
Above 75%	Meets most of the sections but has not checked for plagiarism. Partially meets the professor’s instructions, follows professor’s classwork materials, easy to read, well punctuated, correctness
Above 60%	Has not checked for plagiarism and has not proofread the project well. Out of context, can be cited for plagiarism and grammar mistakes and not correctly punctuated, fails to adhere to the professor’s classwork materials, easy to read, well punctuated, correctness
Above 45%	Instructions are not well articulated. Has plenty of grammar mistakes and does not meet the quality standards needed. Needs to be revised. Not well punctuated
Less than 40%	Poor quality work that requires work that requires to be revised entirely. Does not meet appropriate quality standards and cannot be submitted as it is to the professor for marking. Definition of a failed grade
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