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Finance Essay, Research Paper

1)

Arithmetic mean Standard Deviation

1. Intermediate T-Bond2.155925937.08417535

2. T-bond 2.7418518512.7163729

3. EAFE Index7.4907407423.4421382

4. S&P 5005.3151851916.8600115

5. Small Stock Index8.0144444424.8112222

2) Payoff per $1.00 Invested

1. Intermediate T-bond$10.05447301

2. T-bond$10.47833304

3. EAFE Index$23.11274502

4. S&P Index$15.0826532

5. Small Stock Index$22.6971407

The EAFE Index would have had the biggest payoff if $1.00 was invested.

3) Payoff InflationIncrease in purchasing power

S&P :15.08265 /4.3243405743.49 increase from holding S&P.

1-month T-bill:6.146689 /4.3243405741.42 increase from holding T-bill.

4) Reward to variability

1. Intermediate T-bond0.30433

2. T-bond0.215616

3. EAFE Index0.319542

4. S&P Index0.315254

5. Small Stock Index0.323017

The small stock index gives us the best tradeoff during the 27 year period with a reward to variability of 0.323017, the highest of all of the assets in this sample.

5)Arithmetic AverageStd. Dev.Reward to Var.

Passive International Portfolio :4.97655612.874840.386533

The reward to variability is higher for this portfolio than any other portfolios we calculated thus far.

6)

Portfolio of 40% Long-term Bonds and 60% S&P 500 :

Arithmetic Average : 4.285851852

Standard deviation : 13.5640429

Reward to Var. : 0.315971564

The Reward to variability ratio for the passive international portfolio exceeds that of the portfolio of 40% Long-term Bonds and 60% S&P 500 Index.

8) The estimated beta for Chrysler Corporation was 1.70288964 for the period 1987 – 1990. For a portfolio of Utility stocks for the same time period, the beta was 0.62188145. These betas were derives from using the S&P excess return index.

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