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funds management Free essay! Download now

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funds management

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Downloads to date: N/A | Words: 613 | Submitted: 27-Sep-2011
Spelling accuracy: 72.6% | Number of pages: 6 | Filetype: Word .doc


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funds management

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Part 1 (2)
SAA portfolios (growth, capital stable, balance)

Growth
Balance
Capital stable
ASX All Ordinary Index
0
0
15%
S&P 500 COMPOSITE - Australian dollars
16%
16%
27%
AUSTRALIA REITs
30%
25%
11%
UBS AU TREASURY ALL MATURITIES
14%
19%
15%
AUSTRALIA DEALER BILL 90 DAY
10%
15%
32%
S&P/ASX MIDCAP 50 - TOT RETURN IND
0
25%
0
S&P/ASX 200 - TOT RETURN IND
30%
0
0
Sum
1
1
1
Portfolio mean-variance
0.0024414

0.002057259
0.001699
Portfolio return
8.70%

8.02%
7.05%


Part 1 (3)
Average portfolio returns & Sharpe ratio
Return
Growth
balance
Capital stable
Yearly
8.55%
8.27%
1.62%
monthly
0.7%
0.6%
0.13%

A. From the table of average portfolio returns, the “Growth” portfolio has the highest yearly and monthly return; oppositely, the “Capital stable” portfolio is the lowest one. Because the “Growth” portfolio invested more shares and property, it is aim for higher return over the long run; however, the “Capital stable” portfolio invested more in fixed interest and cash to reduce risk of losses, hence it has a lower return over the long run.

Sharpe ratio
Growth
Balance
Capital stable
yearly
6.60%
6.74
6.14
monthly
0.253
0.261
0.179

From the table of Sharpe ratio, the “balance” portfolio has the highest yearly and monthly Sharpe ratio, because the Sharpe ratio is used to characterize how well the return of an asset compensates the investor for the risk taken, it means that the asset with the higher Sharpe ratio gives more return for the same risk. Because the “balance” portfolio has balanced the proportion between shares or property and fixed interest or cash, it could appropriate reduce the return to less the risk of losses.


B. 3,5,10 years return
growth




3 years
5 years
10 years
1993



1994



1995
3.09%


1996
1.30%


1997
3.07%
2.76%

1998
0.33%
-1.46%

1999
2.42%
2.81%

2000
2.01%
2.11%

2001
1.93%
1.95%

2002
0.20%
1.08%
1.92%
2003
0.91%
1.45%
1.51%
2004
2.18%
1.80%
2.30%
2005
4.03%
2.30%
2.20%
2006
4.21%
2.81%
2.38%
2007
3.51%
3.79%
2.44%
2008
-0.19%
1.64%
1.54%
2009
1.18%
2.22%
2.01%
2010
0.86%
1.88%
2.09%

balanced




3 years
5 years
10 years
1993



1994



1995
2.32%


1996
0.98%


1997
2.30%
2.07%

1998
1.51%
1.18%

1999
1.81%
2.11%

2000
1.51%
1.58%

2001
1.44%
1.46%

2002
0.15%
0.81%
1.44%
2003
0.68%
1.08%
1.13%
2004
1.63%
1.35%
1.73%
2005
3.02%
1.72%
1.65%
2006
3.15%
2.11%
1.78%
2007
2.63%
2.84%
1.83%
2008
-0.15%
1.23%
1.16%
2009
0.89%
1.66%
1.51%
2010
0.64%
1.41%
1.57%

capital stable



3 years
5 years
10 years
1993



1994



1995
1.55%


1996
0.65%


1997
1.54%
1.38%

1998
1.01%
0.79%

1999
1.21%
1.40%

2000
1.00%
1.05%

2001
0.96%
0.97%

2002
0.10%
0.54%
0.96%
2003
0.45%
0.72%
0.75%
2004
1.09%
0.90%
1.15%
2005
2.02%
1.15%
1.10%
2006
2.10%
1.41%
1.19%
2007
1.76%
1.89%
1.22%
2008
-0.10%
0.82%
0.77%
2009
0.59%
1.11%
1.00%
2010
0.43%
0.94%
1.05%


B. According to table of the Average returns of trailing 3, 5 and 10 years, comparing the average returns of trailing 3 years, the “Growth” portfolio has the highest return, but there is more loss in 2008 which is a bad year. For the average returns of trailing 5 years, the “Growth” portfolio also has the highest return generally, but there is a negative return in 1998, the “balance” portfolio and the “Capital stable” portfolio do not suffer a loss, it is because of the higher risk. For the average returns of trailing 10 years, the “Growth” portfolio normally gets the highest return in each year.













C. accumulated return (graph)


C. From the graph, we could find that the “Growth” portfolio have the highest return generally, however, the return of the “balance” portfolio is greater the return of the “Growth” portfolio from 1993 to 1997. Moreover, the “Capital stable” portfolio has the lowest return and also lowest risk.










D. standard deviation

growth
balance
Capital stable
yearly
12.93%
12.24%
2.60%
monthly
2.66%
2.44%
0.59%

D. According to the table of standard deviation, the “Growth” portfolio has the highest standard deviation, because the standard deviation measures the risk of a portfolio, the higher standard deviation, the higher risk. In order to get higher return, the “Growth” portfolio has the higher risk.

E. Probability of a negative return



capital
return
growth
balance
stable
1993
7.47%
5.60%
3.73%
1994
-2.88%
-2.16%
-1.44%
1995
4.69%
3.52%
2.34%
1996
2.10%
1.57%
1.05%
1997
2.43%
1.82%
1.21%
1998
1.52%
1.14%
0.76%
1999
3.30%
2.48%
1.65%
2000
1.20%
0.90%
0.60%
2001
1.28%
0.96%
0.64%
2002
-1.88%
-1.41%
-0.94%
2003
3.33%
2.49%
1.66%
2004
5.08%
3.81%
2.54%
2005
3.69%
2.77%
1.84%
2006
3.85%
2.89%
1.92%
2007
3.00%
2.25%
1.50%
2008
-7.42%
-5.57%
-3.71%
2009
7.97%
5.98%
3.99%
2010
2.02%
1.52%
1.01%
(Yellow one is return between 3.0% and 1.50%, blue one is return between 1.50% and ...

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