172b three assests - PORTFOLIO OPTIMIZATION Input data in...

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PORTFOLIO OPTIMIZATION Input data in Blue cells only. ONE PLUS INPUTS EXPECTED STANDARD EXP RATE RETURN DEVIATION {1+E®} Riskless Rate ® 5.00% 0.00% 105.00% SPX 14.72% 17.49% 114.72% Sml-Cap 15.25% 20.75% 115.25% Value 14.55% 16.23% 114.55% Growth 14.31% 20.52% 114.31% Eafe 13.97% 25.50% 113.97% Emrg 13.92% 31.80% 113.92% CORRELATIONS SPX SML-CAP Value Growth S&P500 100.00% 58.00% 93.00% 96.00% IA Small Stock 58.00% 100.00% 72.00% 54.00% IA All Value 93.00% 72.00% 100.00% 82.00% IA All Growth 96.00% 54.00% 82.00% 100.00% MSCI EAFE 56.00% 34.00% 55.00% 52.00% S&P/ IFCG Emerg composite 32.00% 52.00% 39.00% 31.00% STANDARD DEVIATION RISKY ASSETS 1 2 3 4 17.49% 20.75% 16.23% 20.52% VARIANCES&COVARIANCES 1 2 3 4 1 3.06% 2.10% 2.64% 3.45% 2 2.10% 4.31% 2.42% 2.30% 3 2.64% 2.42% 2.63% 2.73% 4 3.45% 2.30% 2.73% 4.21% 5 2.50% 1.80% 2.28% 2.72% 6 1.78% 3.43% 2.01% 2.02% A 41.29 B 47.64 C 55.01 DELTA 2.05 GAMMA 0.23 INDEX RISKY ASSET 1 17.49% RISKY ASSET 2 20.75% RISKY ASSET 3 16.23% EFFICIENT FRONTIER CURVE STANDARD DEVIATION EXPECTED RETURN
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RISKY ASSET 4 20.52% RISKY ASSET 5 25.50% RISKY ASSET 6 31.80% 0 25.00% 11.00% 1 23.50% 11.44% 2 22.07% 11.88% 3 20.73% 12.31% 4 19.49% 12.75% 5 18.38% 13.19% 6 17.42% 13.62% 7 16.63% 14.06% 8 16.05% 14.49% 9 15.68% 14.93% 10 15.56% 15.37% 11 15.68% 15.80% 12 16.05% 16.24% 13 16.63% 16.68% 14 17.42% 17.11% 15 18.38% 17.55% 16 19.49% 17.98% 17 20.73% 18.42% 18 22.07% 18.86% 19 23.50% 19.29% 20 25.00% 19.73% OPTIMAL COMBINATION 16.41% EFFICIENT TRADE OFF LINE 0.00% 0.00% 100.00% 16.41% 200.00% 32.82%
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ONES 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% EAFE EMRG 56.00% 32.00% 34.00% 52.00% 55.00% 39.00% 52.00% 31.00% 100.00% 57.00% 57.00% 100.00% 5 6 25.50% 31.80% 5 6 2.50% 1.78% 1.80% 3.43% 2.28% 2.01% 2.72% 2.02% 6.50% 4.62% 4.62% 10.11% 14.72% 525.02% 15.25% 68.53% 14.55% -230.02% EFFICIENT TRADE OFF LINE INDIVIDUA L ASSET EXPECTED RETURN OPTIMAL COMBINATION OF RISKY ASSETS IN TANGENT PORTFOLIO
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