Questions about Assignment

[Shashank]

Hi all,

I had a few clarifications for our assignment today:

Q5: Which asset types qualify under run-of-the-mill domestic equities
and bonds
Q7: Are they expecting us to recommend the % of assets as well?

Thanks in advance.

Shashank

[pn]

Q5)
Domestic equities
Domestic Bonds

[alex smirnov]

For Q5, I'm calculating the "minimum  variance portfolio"

I get 6.76% return and 7.64% SD  (10.6% in domestic equity & 89.6% in domestic bonds)

[pn]

Hey Alex...that's exactly what I am doing too...the numbers match..

Padma

[alex smirnov]

are you guys reading the questions in a sequential order?  i.e Q5 is for domestic equity and bonds only, Q6 is domestic equity+bonds+ commodities, etc

On what basis would we determine that for 3+ asset classes? Seems like that would be a lot of calculations

[Erin Robinson]

Did you guys use the Historical mean numbers or the assumed real expected returns. I can't quite get mine to match when I use the minimum variance equation from the book.

On Mon, Apr 4, 2011 at 11:12 AM, pn <pad...@gmail.com> wrote:

[Erin Robinson]

Just figured out my error. 

[alex smirnov]

I almost want to say "i have no basis of determining this" for Questions 6-8  ;)  

[Elliott Le]

Hi guys,

How are you basing you selection in question 4? I ended up with private equity and basing it on highest Ep per standard deviation.

Elliott Le

--
Elliott Le

[Erin Robinson]

I got the same for #4. For 6-7 I extended a spreadsheet and formulas I made to compare the two assets to include three than four. It was tedious and fairly basic in regards to the allocation breakdowns.

[alex smirnov]

did you get over 6% return for all the calculations?  The point is not to just minimize the variance (in that case just invest 100% in cash), right?   

[Gabriel Bowers]

I downloaded a simulation program. It took stdev, expected return, and correlation for each input.  "VisualMvo"

It was simple to use expecially for 3x or more assets but I'm not certain if the calculations were right.

[Erin Robinson]

I looked at what could get a higher return for the same or less risk. 

 

Has anyone turned in the case online yet? I haven't used that for a class before. Can other students see it or does it just go the Prof?

[alex smirnov]

i turned it in........i would bet it just goes to the professor  

[Shashank Saggar]

It was really easy for me to use solver (an excel add-on). If you haven't already, i'd recommend using it.

[Shashank Saggar]

All,

Some of us plan to be in school on late Saturday afternoon (2-4) and discuss the assignment questions due for Hewlett Packard foundation. In case you are interested to join, feel free to drop by. If there are some people interested in joining via a web-meeting, its an an option we can explore.

Shashank

[Pavani Ganeshula]

Hi Shashank,

Thanks for the mail!

I was wondering if there is a possibility to meet on Sunday?

If not, I will try to join via a web-meeting.

--
Regards,
Pavani Ganeshula

[pn]

When is the second write up due? 

Thanks
Padma

On Thu, Apr 7, 2011 at 3:56 PM, Shashank Saggar <shanks...@gmail.com> wrote:

[Gabriel Bowers]

Wednesday.

[pn]

Hi

let me know if you are planning to do a skype....

Thanks
Padma

[Shashank Saggar]

All,

Looks like most people will prefer Sunday evening rather than today. How about a web meeting tomorrow @ 7 pm?

Lets us the connect session below:

http://my.adobe.acrobat.com/shashank_saggar/

Meeting ID: 6309463

Password: 87654321

Toll-Free(US & Canada): 877-220-5439

Shashank

[Pavani Ganeshula]

Thanks Shashank for setting up a web meeting.

I am in for tomorrow's meeting.

On Sat, Apr 9, 2011 at 11:58 AM, Shashank Saggar <shanks...@gmail.com> wrote:

All,

Looks like most people will prefer Sunday evening rather than today. How about a web meeting tomorrow @ 7 pm?

Lets us the connect session below:

http://my.adobe.acrobat.com/shashank_saggar/

Meeting ID: 6309463

Password: 87654321

Toll-Free(US & Canada): 877-220-5439

Shashank

On Apr 9, 2011, at 11:55 AM, pn wrote:

Hi

let me know if you are planning to do a skype....

Thanks
Padma

On Fri, Apr 8, 2011 at 6:33 PM, Gabriel Bowers <gabrie...@gmail.com> wrote:

Wednesday.

On Fri, Apr 8, 2011 at 6:19 PM, pn <pad...@gmail.com> wrote:

When is the second write up due? 

Thanks
Padma

On Thu, Apr 7, 2011 at 3:56 PM, Shashank Saggar <shanks...@gmail.com> wrote:

All,

Some of us plan to be in school on late Saturday afternoon (2-4) and discuss the assignment questions due for Hewlett Packard foundation. In case you are interested to join, feel free to drop by. If there are some people interested in joining via a web-meeting, its an an option we can explore.

Shashank

--
Regards,
Pavani Ganeshula

[pn]

that will work for me...thanks

[sundar]

shashank,
thanks for setting it up. i will be there. i thought the assignment
was due on monday. good we have couple of more days to wrap up.
thanks,
sundar

On Apr 9, 11:58 am, Shashank Saggar <shankssag...@gmail.com> wrote:
> All,
>
> Looks like most people will prefer Sunday evening rather than today. How about a web meeting tomorrow @ 7 pm?
>
> Lets us the connect session below:
>
> http://my.adobe.acrobat.com/shashank_saggar/
>
> Meeting ID: 6309463
>
> Password: 87654321
>
> Toll-Free(US & Canada): 877-220-5439
>
> Shashank
> On Apr 9, 2011, at 11:55 AM, pn wrote:
>
>
>
>
>
>
>
> > Hi
>
> > let me know if you are planning to do a skype....
>
> > Thanks
> > Padma
>

> > On Fri, Apr 8, 2011 at 6:33 PM, Gabriel Bowers <gabrielbow...@gmail.com> wrote:
> > Wednesday.
>

> > On Fri, Apr 8, 2011 at 6:19 PM, pn <padm...@gmail.com> wrote:
> > When is the second write up due?  
>
> > Thanks
> > Padma
>

[pn]

Is Chapter 12  required  to help us with this case? 

Thanks
Padma

[Elliott Le]

Thanks Shashank. I'll try to join tonight as well.

Elliott Le

--
Elliott Le

[Erin Robinson]

I will try to log in tonight as well, thanks!

[Gabriel Bowers]

Has anyone tried to build a mean-variance model with the capital market assumptions supplied in the case?

I built one for the 2005 assumptions.  If I use the proposed allocations, then I can match the portfolio risk of 13.1%.  However, my expected returns are calcualted to be 7.75% while the case mentions 9.6%.  Any idea?

[pad...@gmail.com]

I have tried.... I see the same return as you but the risk is off.. Twice as much.... have to check where I have made a mistake

The expected return in the case is probably geometric mean while we are calculating arithmetic mean

Padma

Sent via BlackBerry by AT&T

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From: Gabriel Bowers <gabrie...@gmail.com>

Sender: fnc_455_s...@googlegroups.com

Date: Sun, 10 Apr 2011 16:02:58 -0700

To: <fnc_455_s...@googlegroups.com>

ReplyTo: fnc_455_s...@googlegroups.com

Subject: Re: FNCE Assignment

[pn]

Hi folks

here is the spreadsheet I put together for the mean variance analysis of the portfolio. 
You can play around with the the bottom most section for customizing your analysis and compare to the ones on the top.

Let me know if you find any issues with it.

Thanks
Padma

[Robert Binkley]

Hi Padma,

 

Thanks! This looks very handy.  Ill have a look at it tonight.

 

-rob

This email and any attachments are intended for the sole use of the named recipient(s) and contain(s) confidential information that may be proprietary, privileged or copyrighted under applicable law. If you are not the intended recipient, do not read, copy, or forward this email message or any attachments. Delete this email message and any attachments immediately.

[Erin Robinson]

Does anyone have an opinion on if HF should invest in Sirius 5?  I am wondering if they really should.

[Rob Sidhu]

i'm not sure if my logic is correct, but since they get up to 90% discounts on the mortgages, i think they should, especially knowing what happened in 2008 with the amount of "product" coming on the market for them to invest in, i.e., a hugely distressed market... perhaps my thought process is flawed, though...?

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From: Erin Robinson <robin...@gmail.com>
To: fnc_455_s...@googlegroups.com
Sent: Wed, April 13, 2011 12:03:00 PM
Subject: Re: FNCE Assignment

[Erin Robinson]

in Exhibit 10 - does it seem like they haven't done as well in their last couple of funds though? The actual capital return multiple in the last two funds has been significantly less then the projected capital return multiple.  I am not sure if I am reading that correctly or not. I was initally leaning towards supporting the investment, but I was not sure if that seemed correct.

[alex smirnov]

anybody has thoughts on Q3?

Is it a good idea to double the allocation to absolute return strategies? If so, how should HF do it? 

Especially the "how" part 

[Rob Sidhu]

yeah - you're right... it seems as though they have not been performing as well...

also, to confuse this more, i imagine competition was going to be high in USA which would decrease the discount rate from 90% down to some much lower number - which would in turn decrease the ROI... (and increase risk, inherently)... so perhaps it's not such a good idea..? :-/

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From: Erin Robinson <robin...@gmail.com>
To: fnc_455_s...@googlegroups.com

Sent: Wed, April 13, 2011 12:21:43 PM
Subject: Re: FNCE Assignment

[Erin Robinson]

than again, most have done relatively well historically (most being over 25% returns) according to the write up.....tough one.  i am not sure which way to go on this one.

[Erin Robinson]

I said that it was and based on some solver options I found some assets to take money out of to put into absolute return.  i can't remember what they were though.  I just made it so the return was higher and the risk was even or lower.