Assignment: Portfolio Critique Using Morningstar
Morningstar, Inc. is a leading provider of independent investment research in the United States and in major international markets and offers an extensive line of Internet, software, and print-based products for individual investors, financial advisors, and institutional clients. Morningstar is a trusted source for insightful information on stocks, mutual funds, variable annuities, closed-end funds, exchange-traded funds, separate accounts, hedge funds, and 529 college savings plans.
• Go to Morningstar website. Sign up for Premium Membership. You will be able to receive a 14-day free trial. Browse the site to become familiar with everything Morningstar has to offer. Be prepared to participate in classroom discussion and bring your questions if you have any.
• Go to X-Ray and print the page. Write a portfolio critique.
Part Two
Use the daily data on the portfolio returns and the market returns (e.g., the S&P 500 index) to estimate a single-index market model. Your analysis should include
(Morningstar automatically will calculate)
1. Standard deviation for each portfolio.
2. Covariance between the rates of return of portfolio and S&P500.
3. The correlation coefficient between each portfolio and S&P500.
4. Run a regression of each portfolio against the market return and find:\
a. (In fact Morningstar will automatically calculate)
i. Alpha for each portfolio.
ii. Beta for each portfolio.
iii. What is the systematic and nonsystematic risk of the each security?
iv. Sharpe Ratio of portfolios
5. Plot the risk and return of each portfolio and draw the efficient frontiers.
6. Identify which portfolio dominates on the efficient frontier.
7. For which portfolio had an average return in excess of that predicated by the CAPM?
Format your assignment according to the give formatting requirements:
1. The answer must be double spaced, typed, using Times New Roman font (size 12), with one-inch margins on all sides.
2. The response also includes a cover page containing the title of the assignment, the course title, the student's name, and the date. The cover page is not included in the required page length.
3. Also include a reference page. The references and Citations should follow APA format. The reference page is not included in the required page length.