Final Project Sample 2 - FINAL PROJECT Econ424 Portfolio...

This preview shows page 1 - 2 out of 52 pages.

FINAL PROJECT Econ424 Portfolio Analysis of Six Vanguard Funds For Economics 424, Computational Finance, by Cameron Elliott.
Image of page 1

Subscribe to view the full document.

Final project Page 1 Final project P O R T F O L I O A N A L Y S I S O F S I X V A N G U A R D F U N D S EXECUTIVE SUMMARY square4 Objectives . The objective of this report is to analyze six Vanguard funds from a number of different perspectives. A primary objective is to uncover the risk/reward efficient frontiers for the assets set considering the scenarios where short sales are allowed and not allowed. Another important objective is finding the tangency portfolios for both frontiers which maximize the Sharpe ratio of the portfolio between mixes of the efficient portfolios and T- bills. square4 Assets and time frame analyzed. The six assets analyzed are all Vanguard funds. VFINX is an S&P 500 tracking fund. VBLTX and VBISX are long and short term bond funds, respectively. VEIEX is an emerging markets fund. VPACX is it tracking fund, attempting to replicate the MSCI Pacific index. Sixty one monthly closing price data points are collected for each fund for September 2003 through September 2008. These price data points result in 60 returns for each fund. square4 Primaries conclusion. By choosing portfolios which are a mix of T-bills and the tangency portfolio it appears we can roughly half the risk given a desired level of return, or double the return given a desired level of risk. When short selling is restricted the tangency portfolio line is still a dramatic improvement on average over holding individual assets, but marginally less so than when short selling is allowed. The efficient frontier and tangency portfolio line both move investors more to where they want to be, the upper left corner of the return/risk graph where return is relatively higher
Image of page 2

You've reached the end of your free preview.

Want to read all 52 pages?

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern