Question: For the ProValue fund, on a single graph, plot the following: portfolio expected returns vs. standard deviations based on optimized weights of holdings. the risk

For the ProValue fund, on a single graph, plot the following:

portfolio expected returns vs. standard deviations based on optimized weights of holdings.
the risk vs. expected return for ProValue portfolio, assuming the nine original and two proposed new (ATO and CNO) stocks have equal weights (1/11 each).
Comment on what the graph shows.

ETFC 0.710 0.553 0.588 1.000 Exhibit 9: ProValue Portfolio Correlations Correlations ROC PII MRC ROC 1.000 0.784 0.773 PII 1.000 0.630 MRC 1.000 ETFC EGN USM BAH FNF LPLA ATO CNO EGN 0.540 0.552 0.590 0.528 1.000 USM 0.312 0.168 0.234 0.285 0.357 1.000 BAH 0.536 0.551 0.510 0.585 0.476) 0.327 1.000 FNF 0.485 0.352 0.444 0.475 0.371 0.865 0.298 1.000 LPLA 0.573 0.584 0.4601 0.377 0.386 0.420 0.136 0.449 1.000 ATO 0.442 0.385 0.515 0.453 0.424 0.308 0.107 0.436 0.205 1.000 CNO 0.654 0.608 0.485 0.344 0.412 0.475 0.379 0.539 0.606 0.333 1.000 B F 1 J K L M Exhibit 10: ProValue Portfolio Model Expected Returns and Optimal Portfolio Weights Stock ROC PII MRC ETFC EGN USM BAH FNF LPLA ATO CNO Model Annual Expected Returns 33.00% 35.00% 20.00% 30.00% 22.00% 19.00% 22.00% 23.00% 24.00% 11.00% 33.00% Historical Annualized Std. Dev. 52.58% 40.74% 30.26% 49.54% 29.89% 25.45% 45.82% 19.92% 30.25% 14.56% 63.66% Desired Annual Portfolio Return 15.00% | 17.00% 19.00% 21.00% 23.00% 25.00% 27.00% 29.00% 31.00% 33.00% 35.00% Stock ROC PII MRC ETFC EGN USM BAH FNF LPLA ATO CNO Optimized Security Weights 6.2% 5.4% 4.5% 3.7% 2.9% 2.1% 1.3% 0.4% -0.4% -1.2% -2.0% -25.6% -22.2% -18.8% -15.4% -12.0% -8.6% -5.2% -1.9% 1.5% 4.9% 8.3% -35.3% -36.1% -37.0% -37.9% -38.7% -39.6% -40.4% -41.3% -42.2% -43.0% -43.9% -22.5% -22.3% -22.1% -21.9% -21.6% -21.4% -21.2% -21.0% -20.8% -20.6% -20.3% 9.7% 11.5% 13.3% 15.1% 16.9% 18.7% 20.5% 22.3% 24.1% 25.9% 27.7% -78.0% -85.2% -92.5% -99.7% -106.9% -114.1% -121.3% -128.5% -135.7% -143.0% -150.2% 49.8% 49.2% 48.5% 47.9% 47.3% 46.7% 46.0% 45.4% 44.8% 44.2% 43.5% 93.4% 108.9% 124.5% 140.0% 155.6% 171.1% 186.7% 202.2% 217.8% 233.3% 248.9% 49.7% 50.3% 50.9% 51.5% 52.0% 52.6% 53.2% 53.8% 54.3% 54.9% 55.5% 60.5% 48.9% 37.3% 25.7% 14.1% 2.5% -9.1% -20.7% -32.3% -43.9% -55.5% -7.9% -8.3% -8.7% -9.1% -9.6% -10.0% -10.4% -10.8% -11.2% -11.6% -12.0% Calculated Portfolio Standard Deivation using Optimized Weights 7.52% 8.70% 10.22% 11.94% 13.79% 15.72% 17.71% 19.74% 21.79% 23.87% 6.84% Exhibit 8: ProValue Portfolio Historical Statistics and Current Weights Stock ROC PII MRC ETFC EGN Average Monthly Returns 4.38% 4.78% 2.55% 1.88% 1.93% Historical Monthly Std. Dev. 15.18% 11.76% 8.74% 14.30% 8.63% Current Weights, 12/2013 9.55% | 11.16% 7.42% 14.05% 8.75% USM FNF LPLA 0.46% 3.03% 0.96% 1.97% 7.35% | 13.23% 5.75% 8.73% 8.65% 11.28% | 13.26% | 15.87% ATO 1.54% 4.20% 0.00% CNO 3.82% 18.38% 0.00% ETFC 0.710 0.553 0.588 1.000 Exhibit 9: ProValue Portfolio Correlations Correlations ROC PII MRC ROC 1.000 0.784 0.773 PII 1.000 0.630 MRC 1.000 ETFC EGN USM BAH FNF LPLA ATO CNO EGN 0.540 0.552 0.590 0.528 1.000 USM 0.312 0.168 0.234 0.285 0.357 1.000 BAH 0.536 0.551 0.510 0.585 0.476) 0.327 1.000 FNF 0.485 0.352 0.444 0.475 0.371 0.865 0.298 1.000 LPLA 0.573 0.584 0.4601 0.377 0.386 0.420 0.136 0.449 1.000 ATO 0.442 0.385 0.515 0.453 0.424 0.308 0.107 0.436 0.205 1.000 CNO 0.654 0.608 0.485 0.344 0.412 0.475 0.379 0.539 0.606 0.333 1.000 B F 1 J K L M Exhibit 10: ProValue Portfolio Model Expected Returns and Optimal Portfolio Weights Stock ROC PII MRC ETFC EGN USM BAH FNF LPLA ATO CNO Model Annual Expected Returns 33.00% 35.00% 20.00% 30.00% 22.00% 19.00% 22.00% 23.00% 24.00% 11.00% 33.00% Historical Annualized Std. Dev. 52.58% 40.74% 30.26% 49.54% 29.89% 25.45% 45.82% 19.92% 30.25% 14.56% 63.66% Desired Annual Portfolio Return 15.00% | 17.00% 19.00% 21.00% 23.00% 25.00% 27.00% 29.00% 31.00% 33.00% 35.00% Stock ROC PII MRC ETFC EGN USM BAH FNF LPLA ATO CNO Optimized Security Weights 6.2% 5.4% 4.5% 3.7% 2.9% 2.1% 1.3% 0.4% -0.4% -1.2% -2.0% -25.6% -22.2% -18.8% -15.4% -12.0% -8.6% -5.2% -1.9% 1.5% 4.9% 8.3% -35.3% -36.1% -37.0% -37.9% -38.7% -39.6% -40.4% -41.3% -42.2% -43.0% -43.9% -22.5% -22.3% -22.1% -21.9% -21.6% -21.4% -21.2% -21.0% -20.8% -20.6% -20.3% 9.7% 11.5% 13.3% 15.1% 16.9% 18.7% 20.5% 22.3% 24.1% 25.9% 27.7% -78.0% -85.2% -92.5% -99.7% -106.9% -114.1% -121.3% -128.5% -135.7% -143.0% -150.2% 49.8% 49.2% 48.5% 47.9% 47.3% 46.7% 46.0% 45.4% 44.8% 44.2% 43.5% 93.4% 108.9% 124.5% 140.0% 155.6% 171.1% 186.7% 202.2% 217.8% 233.3% 248.9% 49.7% 50.3% 50.9% 51.5% 52.0% 52.6% 53.2% 53.8% 54.3% 54.9% 55.5% 60.5% 48.9% 37.3% 25.7% 14.1% 2.5% -9.1% -20.7% -32.3% -43.9% -55.5% -7.9% -8.3% -8.7% -9.1% -9.6% -10.0% -10.4% -10.8% -11.2% -11.6% -12.0% Calculated Portfolio Standard Deivation using Optimized Weights 7.52% 8.70% 10.22% 11.94% 13.79% 15.72% 17.71% 19.74% 21.79% 23.87% 6.84% Exhibit 8: ProValue Portfolio Historical Statistics and Current Weights Stock ROC PII MRC ETFC EGN Average Monthly Returns 4.38% 4.78% 2.55% 1.88% 1.93% Historical Monthly Std. Dev. 15.18% 11.76% 8.74% 14.30% 8.63% Current Weights, 12/2013 9.55% | 11.16% 7.42% 14.05% 8.75% USM FNF LPLA 0.46% 3.03% 0.96% 1.97% 7.35% | 13.23% 5.75% 8.73% 8.65% 11.28% | 13.26% | 15.87% ATO 1.54% 4.20% 0.00% CNO 3.82% 18.38% 0.00%

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

This question is based to the stock data that can be obtained from the following link: http://biz.yahoo.com/r/ "Choose Research Tools" and then "Historical Quotes". Obtain monthly stock data for 5...

Please do this financial project for ONLY question four(4) that includes five small parts. I will attach project and one example that maybe help you to do this. monthly returns Data downloaded from...

I need help with part 2 problem 2. I have PowerPoint slides for reference. -Setting up the Tracking Error Problem using Markowitz - If you look closely at the equations above, it is really as if -...

Efficient Frontier (EF): Use portfolio SD values (Q.4.B) (i.e. with actual correlation coefficient 1,2 = AAPL,AMZN ). Now you are going to draw a graph that will be efficient frontier (EF) or minimum...

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 6%, and the markets average return was 14%. Performance is measured using an...

Consider a market with three mutual funds. The rst is a stock fund, the second is a long{term corporate bond fund, and the third is a T{bill money market fund that yields a rate of 0.5 percent. All...

You have been assigned to construct the optimal portfolio comprising two risky assets (Portfolios A & B) while considering the client?s risk tolerance. The attached spread sheet shows historical...

Explain Peter Landman' concerns about the scalability of TAM's Strategies Thompson Asset Management "Thanks, Peter. I look forward to meeting you next week as well.\" Allison Thompson cradled the...

What are the expected return and risk for the ProValue fund, based on the expected annual returns for each individual stock in Exhibit 10 ? Please compare the expected return and risk with current...

Are stockholders and creditors likely to agree on how much cash a firm should keep on hand?

What are three stages in an audit engagement when analysis is used?

The accuracy of a test market increases with the length of time the testing occurs. a . True b . False

Catherine Edwards, can Congress use its spending power to persuade states to do things?

4.24 Your school Ping-Pong team is not performing very well this season. After some rough calculations, you found out that your teams probability of winning a game is about 0.45. A fellow team member...

4.25 A professor teaches a large class and has scheduled an examination for 7:00 p.m. in a different classroom. She estimates the probabilities in the table for the number of students who will call...

4.23 A student needs to know details of a class assignment that is due the next day and decides to call fellow class members for this information. She believes that for any particular call, the...