Assignment -
Family Supermarket Chain: A Case Study on Family Foundation Asset Allocation
Part I - Develop asset class assumptions for each of the asset classes above. Risk, return and correlation. Support your methodology. (See long term monthly asset class performance in excel). Your inputs are to be forward looking in nature. If you wish to use historical data to calculate input data, comment on any adjustments you have made for your analysis.
Calculate an efficient frontier with the above asset classes. Ranging from the least risky portfolio to the riskiest portfolio. Calculate expected rate of return and standard deviation for various portfolios along the efficient frontier.
Part II - Submit three portfolios to the attorney based on his concerns for liquidity and risk as he defined it. In your analysis, in addition to calculating the asset class allocations, the portfolio's expected return, expected risk, please calculate the probability of losing money, calculate the probability of losing more than 5%, and calculate the probability of not making more than 5% over a one-year time period for each suggested portfolio. Also, comment on how that allocation might change over time and market conditions.
Part III - Assuming the portfolio was conservatively constructed as of December 31, 2007, how would your recommendation change as of December 31, 2008 given the market declines and assuming industry asset allocation averages allocations remained the same. If you are recommending a change, comment how you would implement that change - immediately or over time?
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Index
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2008
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S&P 500
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(37.00)
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MSCI EAFE
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(43.38)
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MSCI Emerging
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(53.33)
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Aggregate Index
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5.24
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90 Till Bills
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2.10
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Further guidelines on the construction and analysis of the portfolios will be provided. All data should be maintained on Excel spreadsheets.
Attachment:- Assignment Files.rar