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Comparison

Correlation

0ther Performance Measures

Other Measures for Optimal Portfolio

Holding Period Return

3. What are the statistics and portfolio characteristics should TAM present, assuming different levels of Investment in ProValue Fund 5M, 10M, 15?

ProValue Fund

Beta

Exhibit 10

Exhibit 12

1. Daily Returns for each stock and the market

2. Used Excel formula Covariance/Variance

3.Multiplied result times weight of each stock

4. Added amounts

Beta 1.34

Other Performance Measures

Pro Value Fund

Standard Deviation

Standard Deviation

Monthly

6.920%

Yearly

23.97%

1. Calculated daily returns Exhibit 12

2. mean return

3. Subtracted (return-mean return)

4. Squared the returns

6. Squared returns times the weights

7. Number 6/ number of sample

8. Number 7* Variance Covariance matrix

1. What are the return and risk characteristics of ProIndex Fund?

2. What are the Return and risk characteristics of the Provalue Fund?

Pro-Value Fund

Used Exhibit 6: ProValue Market Value

Holding Period Return

(Ending value - Investment)/Investment

$7,828,719 Ending Value

$5,509,070 Investment

$2,319,649

Year

42.1060%

Daily

0.1671%

Thompson Asset Management

Introduction

  • Thompson Asset Management firm
  • Earned returns of 300-500 basis points above benchmarks
  • ETF Usage

Thompson invited to manage college endowment fund.

Nancy Alvarez

Glenn McWherter

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