Asset Allocation

Asset Allocation - Weights Asset-Class Min Max 1 2 3 4 5 6...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Asset Allocation Example Asset Classes LC = large capitalization U.S. stocks SC = small capitalization U.S. stocks IN = international (all non-U.S.) stocks USB = U.S. bonds MM = money market account (“cash”) Projected Annual Expected Return and Risk return risk LC 9.80% 12.70% SC 10.80% 18.50% IN 10.70% 18.00% USB 7.50% 6.00% MM 4.80% 0.80% Projected Correlation Matrix LC SC IN USB MM LC 1.00 SC .83 1.00 IN .58 .52 1.00 USB .42 .28 .38 1.00 MM .04 .01 -.12 .05 1.00 Optimal (Efficient) Portfolios Limits Asset Class
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Weights Asset-------Class Min Max 1 2 3 4 5 6 7 8 9 10--- --- --- --- --- --- --- --- --- -----LC 0 100 13 14 15 18 22 27 31 35 40 40 SC 0 100 3 3 4 5 6 7 9 10 12 20 IN 0 25 5 5 6 7 11 14 18 22 25 25 USB 15 100 59 65 70 70 61 52 42 33 23 15 MM 0 100 20 13 5 Expected Return (%) 7.50 7.76 8.03 8.29 8.56 8.82 9.09 9.35 9.61 9.88 Risk ( σ ) 5.31 5.83 6.35 6.89 7.52 8.28 9.12 10.02 10.98 12.00...
View Full Document

This note was uploaded on 09/27/2009 for the course UGBA 133 taught by Professor Distad during the Summer '08 term at Berkeley.

Ask a homework question - tutors are online