global portfolio management project
DESCRIPTION
I made the presentation for the final project for Global Portfolio Management class by using several asset management software such as Ibbotson Encorr, Zephyr Associates, and Barra Portfolio Manager.TRANSCRIPT
East West Bank Employee 401(K)
Ling-Lin Chiu (Grace)
Agenda
• Section I : Asset Allocation Analysis
• Section II: Style Analysis
• Section III: Recommendations
Company Background
• East West Bancorp: $11.8 Billion in Asset, $391.3 Million Revenue (2007 Annual)
• 2nd largest Commercial Bank Headquarter in Southern CA
• 72 Branches through out Major Cities include Los Angeles, Orange, San Francisco, San Metro and Houston.
• One of the Largest Commercial Banks Servicing Chinese-American Community
Client Profile
• Gender: Female • Age: 26• Employment History: 3 Years with
East West Bank• Target Retirement Age: Age 65• Risk Level: Moderate Aggressive
Style; Require 7% to 8% Annual Return
• Years Plan to Spend in Retirement: 20 Years
• Social Security Benefit: 1960 and later, Full Retirement Age: 67
401K Plan Asset Class-Part I
• Large Cap Stock-Blend: Vanguard Index Trust 500 (VFINX)
• Large Cap Stock-Value: Washington Mutual Investors Fund (RWMEX)
• Large Cap Stock-Blend: Davis NY Venture Fund A (NYVTX)
• Large Cap Stock-Growth: American Funds Grth Funds of Amer R4 (RGAEX)
• Large Cap Stock-Growth: Franklin Flex Cap Growth Fund (FKCGX)
• Mid Cap Stock-Value: Goldman Sachs Mid Cap Value Fund INS (GSMCX)
• Mid Cap Stock-Blend: Vanguard Mid-Cap Index Fund-Inv (VIMSX)
• Mid Cap Stock-Growth: Thornburg Core Growth I (THIGX)
401K Plan Asset Class-Part II
• Small Cap Stock-Value: Royce Total Return Fund (RYTRX)
• Small Cap stock-Blend: Vanguard Small Cap Index (NAESX)
• Small Cap Stock-Growth: Royce Value Plus Fund Investment (RYVPX)
• Other-Company Stock: East West Bancorp Inc (EWBC)
• Fixed Income-Stable Value: Stable Value Fund (In-House )
• Fixed Income-Intermediate Bond: PIMCO Total Return Fund Admin (PTRAX)
• Balanced-Value: MFS Total Return Fund (MSFRX)
• International Stock-Blend: American Funds EuroPacific Gr R4 (REREX)
Current Asset Allocation
• Defined Contribution Account: 401K Plan with Prudential• 401K Plan Policy: Matches $1.00 to Account for Every $1.00
Client Contribute, Up to the First 6.00% of Annual Eligible Pay
Asset Allocation (as of 12/31/07) Percentage (%)
Domestic Equity-Vanguard Index 500 35
Domestic Equity-Vanguard Mid-Cap Index 19
Domestic Equity -Vanguard Small Cap Index 19
World exEM Equity-American Funds Euro Pacific Gr R4
27
Total 100
Target Asset Allocation
Asset Class Percentage (%)
Domestic Equity 20
World exEM 20
Emerging Markets Equity 15
Private Equity 5
Real Estate 5
High Yield 5
Domestic Fixed Income 10
Absolute Return 10
Non US Fixed Income 5
Cash Equivalents 5
Total 100
Inputs: Assets-Constrained Frontier
%Expected Return
StandardDeviation Yield
CurrentHolding
Broad Domestic Equity 9.0 16.9 0 73
World exEM 9.0 16.6 0 27
Emerging MarketsEquity 9.6 31.2 0 0
Private Equity 12.0 34.0 0 0
Real Estate 7.6 16.5 0 0
High Yield 7.0 11.5 0 0
Domestic Fixed 5.3 4.5 0 0
Absolute Return 6.5 9.7 0 0
Non US Fixed 5.2 9.6 0 0
Cash Equivalents 3.5 0.8 0 0
Individual Constraints
% Min.Holding
Max.Holding
Cost toIncrease
Cost toDecrease
IncludeConstraint Locking
Broad DomesticEquity 20 60 0 0 X None
World exEM 0 20 0 0 X None
EmergingMarkets Equity 0 10 0 0 X None
Private Equity 0 10 0 0 X None
Real Estate 0 10 0 0 X None
High Yield 0 20 0 0 X None
Domestic Fixed 0 40 0 0 X None
Absolute Return 0 10 0 0 X None
Non US Fixed 0 10 0 0 X None
Cash Equivalents 0 100 0 0 X None
Correlations
US Eq.
Int’l Eq.
WorldEx EM Em. Eq. P.E. REIT H.Y.
USFixed Absolute Non-US F. Cash
Broad DomesticEquity 1.00 0.70 0.92 0.50 0.68 0.54 0.66 0.20 0.56 -0.03 -0.12
World exEM 0.92 0.93 1.00 0.51 0.71 0.55 0.65 0.19 0.57 0.10 -0.20
EmergingMarkets Equity 0.50 0.45 0.51 1.00 0.50 0.39 0.30 0.10 0.32 -0.02 -0.15
Private Equity 0.68 0.64 0.71 0.50 1.00 0.44 0.47 0.15 0.43 0.10 0.07
Real Estate 0.54 0.47 0.55 0.39 0.44 1.00 0.55 0.17 0.40 0.03 -0.06
High Yield 0.66 0.55 0.65 0.30 0.47 0.55 1.00 0.29 0.45 0.10 0.07
Domestic Fixed 0.20 0.15 0.19 0.10 0.15 0.17 0.29 1.00 0.40 0.32 0.30
Absolute Return 0.56 0.50 0.57 0.32 0.43 0.40 0.45 0.40 1.00 0.15 0.50
Non US Fixed -0.03 0.21 0.10 -0.02 0.10 0.03 0.10 0.32 0.15 1.00 -0.05
Cash Equivalents -0.12 -0.25 -0.20 -0.15 0.07 -0.06 0.07 0.30 0.50 -0.05 1.00
Standard Deviation (Risk)
Expected Return
0.0 40.03.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 33.0 36.0
2.0
12.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
Current
Target
Vanguard 2040
Vanguard 2045
Vanguard 2050
60% US Eq./40% US Fixed
Unconstraint efficient frontier
Standard Deviation (Risk)
Expected Return
0.0 40.03.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 33.0 36.0
2.0
12.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
Current
Target
Vanguard 2040
Vanguard 2045
Vanguard 2050
60% US Eq./40% US Fixed
Constraint efficient frontier
Unconstraint: Performance
% Position
50 Current TargetVanguard2040
Vanguard2045
Vanguard2050
60% US Eq./40%F.I.
Domestic Equity 32.89 73 20 72 71.9 71.7 60
World exEM 41.65 27 20 14.3 14.5 14.5 0
Emerging Markets Equity 3.5 0 15 3.7 3.6 3.8 0
Private Equity 14.12 0 5 0 0 0 0
Real Estate 7.84 0 5 0 0 0 0
High Yield 0 0 5 0 0 0 0
Domestic Fixed 0 0 10 10 10 10 40
Absolute Return 0 0 10 0 0 0 0
Non US Fixed 0 0 5 0 0 0 0
Cash Equivalents 0 0 5 0 0 0 0
Expected Return 9.33 9 7.98 8.65 8.65 8.65 7.5
Standard Deviation 17.38 16.56 12.65 15.1 15.1 15.1 10.65
Sharpe Ratio 0.54 0.54 0.63 0.57 0.57 0.57 0.7
% Position50 Current Target
Vanguard2040
Vanguard2045
Vanguard2050
60% USEq./40% USF.I.
Domestic Equity 20 73 20 72 71.9 71.7 60
World ex EM 20 27 20 14.3 14.5 14.5 0
Emerging Markets Equity 2.36 0 15 3.7 3.6 3.8 0
Private Equity 6.3 0 5 0 0 0 0
Real Estate 5.73 0 5 0 0 0 0
High Yield 6.01 0 5 0 0 0 0
Domestic Fixed 29.5 0 10 10 10 10 40
Absolute Return 7.08 0 10 0 0 0 0
Non US Fixed 3.02 0 5 0 0 0 0
Cash Equivalents 0 0 5 0 0 0 0
Expected Return 7.6 9 7.98 8.65 8.65 8.65 7.5
Standard Deviation 10.53 16.56 12.65 15.1 15.1 15.1 10.65
Sharpe Ratio 0.72 0.54 0.63 0.57 0.57 0.57 0.7
Constraint: Performance
Performance Comparison
Position
50 Current TargetVanguard
2040Vanguard
2045Vanguard
205060% US Eq./
40% F.I
SharpeRatio 0.54 0.54 0.63 0.57 0.57 0.57 0.7
• Unconstrained
• constrained
Position
50 Current TargetVanguard
2040Vanguard
2045Vanguard
205060% US Eq.
/40% F.I
SharpeRatio 0.72 0.54 0.63 0.57 0.57 0.57 0.7
Asset Allocation Recommendations
• According to our analysis, 60%/40% has the highest Sharpe Ratio 0.70, which should be the first priority for the client in terms of the returns per unit risk.
• The client ‘s current asset allocation has no fixed income investment, make the portfolio too aggressive and risky. However, 60%/40% is too conservative.
• Considering the level of risk tolerance (risk-lover) and the age (26), we suggest that Vanguard 2045 be the most appropriate investment for the client
Vanguard Target Retirement 2045 Fund
Recommend for Investors : 1) Long-Term Growth and Income-Generating 2) Diversified Holding of Stocks and Bonds with Adjusting
Allocation upon Age Changes3) Target Retirement Between 2043 and 2047 Asset Class Percentage Holding (%)
Vanguard Total Stock Market Index Fund 71.7
Vanguard European Stock Index Fund 10.1
Vanguard Total Bond Market Index Fund 10.0
Vanguard Pacific Stock Index Fund 4.4
Vanguard Emerging Markets Stock Index Fund
3.8
Total 100
Agenda
• Section I : Asset Allocation Analysis
• Section II: Style Analysis
• Section III: Recommendations
Large Cap Funds
Mutual Fund Name Ticker Benchmark R2 Year ReturnBmkReturn IR
Classifi-cation
Washington MutualInvestors Fund
RWMEXRussell1000Value
94%
1-yr 3.90% -0.17%
-1.17 Yes3-yr 8.24% 9.32%
5-yr 11.85% 14.63%
Davis NY VentureFund A
NYVTXRussell1000
89.40%
1-yr 4.97% 5.77%
0.45 Yes3-yr 10.18% 9.08%
5-yr 14.75% 13.43%
Vanguard Index500
VFINXRussell1000
99.50%
1-yr 5.39% 5.77%
-1.18 Yes3-yr 8.49% 9.08%
5-yr 12.69% 13.43%
American FundsGrowth
RGAEXRussell1000Growth
84%
1-yr 10.88% 11.81%
0.98 Yes3-yr 11.99% 8.68%
5-yr 15.87% 12.10%
Franklin Flex Cap FKCGXRussell1000Growth
83.50%
1-yr 16.02% 11.81%
0.80 Yes3-yr 9.23% 8.68%
5-yr 15.64% 12.10%
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Manager StyleSingle Computation
January 2003 - December 2007
rvalue rgrowth
r2value r2growth
Small
-1
0
1
Large
Value -1 0 1 Growth
Davis NY Venture ARussell Generic Corners
US Large Cap-Davis NY Venture A
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Performance AttributionDavis NY Venture A
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark Russell 1000
92.4%
7.6%
89.4%
10.6%
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Asset AllocationSingle Computation
January 2003 - December 2007
4.1%
60.8%
21.9%
0.0%
0.0%
0.4%
0.0%
12.9%
0.0%
4.1%
60.8%
21.9%
0.0%
0.0%
0.4%
0.0%
12.9%
0.0%
4.1%
60.8%
21.9%
0.0%
0.0%
0.4%
0.0%
12.9%
0.0%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Russell 1000 Value
Russell 1000 Growth
Russell 2000 Value
Russell 2000 Growth
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
MSCI EAFE Index
Dow Wilshire REIT
Davis NY Venture A
US Large Cap-Davis NY Venture A
Investment Policy
• Long-term capital growth
• Equity securities in marketcap > $10m companies
Large-cap-American Fund Growth
Manager StyleSingle Computation
January 2003 - December 2007
rvalue rgrowth
r2value r2growth
Small
-1
0
1
Large
Value -1 0 1 Growth
American Funds Grth Fund of Amer R4Russell Generic Corners
Large-cap-American Fund Growth
Performance AttributionAmerican Funds Grth Fund of Amer R4
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark Russell 1000 Growth
92.4%
7.6%
84.0%
16.0%
Calendar Year ReturnAs of December 2007
0%
10%
20%
30%
35%
2007 2006 2005 2004 2003
American Funds Grth Fund of Amer R4Russell 1000 Growth
Large-cap-American Fund Growth
Asset AllocationSingle Computation
January 2003 - December 2007
7.7%
16.9%
38.5%
0.0%
20.9%
15.3%
0.8%
0.0%
0.0%
7.7%
16.9%
38.5%
0.0%
20.9%
15.3%
0.8%
0.0%
0.0%
7.7%
16.9%
38.5%
0.0%
20.9%
15.3%
0.8%
0.0%
0.0%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Russell 1000 Value
Russell 1000 Growth
Russell 2000 Value
Russell 2000 Growth
MSCI EAFE Index
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
Dow Wilshire REIT
American Funds Grth Fund of Amer R4
Investment Policy
• Up to 15% assets ininternational securities
• Up to 10% in Debtsecurities
Mid-Cap Funds
Mutual Fund Name
Ticker Benchmark R2 Year Return BmkReturn IRClassifcation
Goldman SachsMid Cap ValueFund INS
GSMCX
RussellMidCap Value
90.70%
1-yr 3.34% -1.42%
-0.32 Yes3-yr 10.64% 10.11%
5-yr 16.89% 17.92%
Vanguard Mid-CapIndex Fund-Inv
VIMSXRussellMidCap
98.40%
1-yr 6.02% 5.60%
-0.66 Yes3-yr 11.12% 11.09%
5-yr 17.24% 18.21%
Thornburg CoreGrowth
THIGXRussellMidCapGrowth
81%
1-yr 11.88% 11.43%
1.07 Yes3-yr 17.70% 11.39%
5-yr 24.25% 17.90%
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Manager StyleSingle Computation
January 2003 - December 2007
rvalue rgrowth
r2value r2growth
Small
-1
0
1
Large
Value -1 0 1 Growth
Thornburg Core Grow th IRussell Generic Corners
US Mid Cap-Thornburg Core Growth Fund
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Performance AttributionThornburg Core Growth I
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark Russell Midcap Growth
81.6%
18.4%
81.0%
19.0%
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Asset AllocationSingle Computation
January 2003 - December 2007
0.0%
0.0%
0.0%
0.0%
18.8%
76.1%
0.0%
2.0%
0.0%
0.0%
3.1%
0.0%
0.0%
0.0%
0.0%
18.8%
76.1%
0.0%
2.0%
0.0%
0.0%
3.1%
0.0%
0.0%
0.0%
0.0%
18.8%
76.1%
0.0%
2.0%
0.0%
0.0%
3.1%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Russell 1000 Value
Russell 1000 Growth
Russell 2000 Value
Russell 2000 Growth
Russell Midcap Growth
Russell Midcap Value
MSCI EAFE Index
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
Dow Wilshire REIT
Thornburg Core Growth I
US Mid Cap-Thornburg Core Growth Fund
Investment Policy
• Primarily domestic securities
• May own foreignsecurities and debtsecurities
Small-Cap Funds
Mutual Fund Name
Ticker Benchmark R2Year
Return BmkReturn IR
Classifcation
Royce TotalReturn
RYTRXRussell
2000V93.80%
1-yr 2.36% -9.77%
-0.34 Yes3-yr 8.20% 5.27%
5-yr 14.11% 15.80%
Vanguard SmallCap
NAESXRussell
200098.90%
1-yr 1.15% -1.57%
0.41 Yes3-yr 7.89% 6.80%
5-yr 17.01% 16.25%
Royce Value Plus RYVPXRussell
2000 G81.10%
1-yr 3.24% 7.05%
0.01 Yes3-yr 11.73% 8.11%
5-yr 26.32% 16.50%
Vanguard Small Cap Index Fund
Manager StyleSingle Computation
January 2003 - December 2007
rvalue rgrowth
r2value r2growth
Small
-1
0
1
Large
Value -1 0 1 Growth
Vanguard Small Cap IndexRussell Generic Corners
Total Net Assets: $13.6 B
# of Stocks: 1725
Median Market Cap: $1.6 B
Expense Ratio: 0.23%
Vanguard Small Cap Index Fund
Performance AttributionVanguard Small Cap Index
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark Russell 2000
99.2%
0.8%
98.9%
1.1%
Calendar Year ReturnAs of December 2007
-5%
0%
10%
20%
30%
40%
50%
2007 2006 2005 2004 2003
Vanguard Small Cap IndexRussell 2000
Vanguard Small Cap Index Fund
Asset AllocationSingle Computation
January 2003 - December 2007
0.2%
3.1%
8.8%
39.3%
41.8%
4.8%
0.0%
0.0%
2.0%
0.2%
3.1%
8.8%
39.3%
41.8%
4.8%
0.0%
0.0%
2.0%
0.2%
3.1%
8.8%
39.3%
41.8%
4.8%
0.0%
0.0%
2.0%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Russell 1000 Value
Russell 1000 Growth
Russell 2000 Value
Russell 2000 Growth
MSCI EAFE Index
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
Dow Wilshire REIT
Vanguard Small Cap Index
Investment Policy
• Tracks MSCI US SmallCap Index
Balanced and Int’l Funds
Mutual Fund Name
Ticker Benchmark R2 Year Return BmkReturn IRClassifcation
PIMCO TotalReturn FundAdmin
PTRAX
LehmanBrothersGov/CreditIntermediate
92.20%
1-yr 8.81% 7.40%
0.85 Yes3-yr 5.03% 4.32%
5-yr 5.05% 4.06%
MFS TotalReturn
MSFRX
Russell 1000Value
87.90%
1-yr 4.98% -0.17%
-0.69 Yes
3-yr 6.62% 9.32%
5-yr 9.54% 14.63%
LehmanAggregate
1-yr 6.96%
3-yr 4.56%
5-yr 4.42%
AmericaFundEuro PacificGrowth
REREX MSCI EAFE 91.50%
1-yr18.87
%11.63%
0.21Yes
3-yr20.58
%17.32%
5-yr22.75
%22.08%
US Fixed Income-PIMCO Total Return
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Manager StyleSingle Computation
January 2003 - December 2007
sbtsy30
sbm30 sbm15
sbtsy10
Mortgage
-1
0
1
Treasury
Long -1 0 1 Short
PIMCO Total Return AdminCitigroup Govt Fixed Income Indexes
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Performance AttributionPIMCO Total Return Admin
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark Lehman US Government/Credit Intermediate
95.5%
4.5%
92.2%
7.8%
Zephyr StyleADVISOR Zephyr StyleADVISOR: Thunderbird
Asset AllocationSingle Computation
January 2003 - December 2007
0.0%
3.2%
0.0%
26.6%
3.1%
61.4%
5.7%
0.0%
3.2%
0.0%
26.6%
3.1%
61.4%
5.7%
0.0%
3.2%
0.0%
26.6%
3.1%
61.4%
5.7%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Citigroup 30-Year Treasury Benchmark On-the-Run
Citigroup USBIG Mortgage Index, 30-Year Mortgage
Citigroup USBIG Mortgage Index, 15-Year Mortgage
Citigroup 10-Year Treasury Benchmark
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
PIMCO Total Return Admin
US Fixed Income-PIMCO Total Return
Investment Policy
• At least 65% of assets in Fixed Income
• Up to 10% in high yield securities
• 20% in foreigncurrency securities
Int’l Equity– American Fund EuroPacific Growth
Performance AttributionAmerican Funds EuroPacific Gr R4
Single Computation
January 2003 - December 2007
Residual R-Squared to Benchmark
Style Benchmark MSCI EAFE Index
91.8%
8.2%
91.5%
8.5%
Int’l Equity– American Fund EuroPacific Growth
Asset AllocationSingle Computation
January 2003 - December 2007
0.0%
3.1%
0.0%
3.7%
0.0%
90.4%
2.7%
0.0%
0.0%
0.0%
3.1%
0.0%
3.7%
0.0%
90.4%
2.7%
0.0%
0.0%
0.0%
3.1%
0.0%
3.7%
0.0%
90.4%
2.7%
0.0%
0.0%
0% 20% 40% 60% 80% 100%
Citigroup 3-month T-bill
Russell 1000 Growth
Russell 1000 Value
Russell 2000 Growth
Russell 2000 Value
MSCI EAFE Index
Lehman US Aggregate Bond Index
Lehman Global Ex US Treasury Bond
Dow Wilshire REIT
American Funds EuroPacific Gr R4
• Invests at least 80%in MSCI EAFE
Investment Policy
Int’l Equity– American Fund EuroPacific Growth
Calendar Year ReturnAs of December 2007
0%
10%
20%
30%
40%
2007 2006 2005 2004 2003
American Funds EuroPacific Gr R4MSCI EAFE Index
Return Fund EAFE ALPHA
1 year 18.87% 11.63% 7.24%
3 year 20.58% 17.32% 3.26%
5 year 22.75% 22.08% 0.67%
Mutual Funds Selected
Fund Name Asset Class Classification IRExp. Ratio
(%)
PIMCO Total Return Fund Domestic Fixed Income Y 0.85 0.68
American Funds GrowthDomestic Equity-Large Cap Growth Y 0.98 0.68
Davis NY Venture Fund ADomestic Equity-Large Cap Y 0.80 0.85
Thromburg Core GrowthDomestic Equity-Mid Cap Y 1.07 1.10
Vanguard Small Cap IndexDomestic Equity-Small Cap Y 0.41 0.23
American Funds EuroPacific Growth Int'l Equity Y 0.21 0.87Total: 6 Mutual Funds
Agenda
• Section I : Asset Allocation Analysis
• Section II: Style Analysis
• Section III: Recommendations
• Allocate the 6 recommended mutual funds in terms of Vanguard 2045’s allocation of asset classes
- Client’s age - Client’s risk tolerance - Information Ratio & Classifications
• Reduce the portfolio risk by allocating part of capital to US Fixed Income
• Diversify the client’s allocation in US domestic equity
Recommendations (1)
Recommendations (2)
Asset Class Current Funds Weighted
Domestic Fixed Income N/A 0%
Domestic Equity- Large Cap Growth N/A 0%
Domestic Equity- Large Cap
Vanguard Index 500 35%
Domestic Equity- Mid Cap
Vanguard Mid- Cap Index 19%
Domestic Equity- Small Cap
Vanguard Small Cap Index 19%
Int'l Equity American Fund Euro Pacific 27%
Recommended Fund Name Weighted
PIMCO Total Return Fund 10%
American Funds Growth 16%
Davis NY Venture Fund A 16%
Thromburg Core Growth 20%
Vanguard Small Cap Index 20%
American Funds EuroPacific Growth 18%
Improved Performance
9%
17.75%
16.56%
8.63%
Expected Return Standard Deviation
%
0.54
2.06
Sharpe Ratio
Current
Recommended
Summary
% Recommende
d Current TargetVanguard2040
Vanguard2045
Vanguard2050
60% USEq./40%US F.I.
ExpectedReturn 17.75 9 7.98 8.65 8.65 8.65 7.5StandardDeviation 8.63 16.56 12.65 15.1 15.1 15.1 10.65SharpeRatio 2.06 0.54 0.63 0.57 0.57 0.57 0.7
• Our recommended portfolio outperforms
Work Citied
• “ Retirement benefits by year of birth.” Social Security Online. Feb. 29, 2008. http://www.ssa.gov/retire2/agereduction.htm Apr. 19, 2008
• “Retirement Income Calculation.” Prudential Retirement. https://www.retirement.prudential.com/TRSWeb/accountsHome.do Apr. 19, 2008
• “Investor Relations.” East West Bank. http://www.eastwestbank.com/English/Investor_Relations.asp Apr. 22, 2008
• “EWBC Key Statistics.” Yahoo! Finance. http://finance.yahoo.com/q/ks?s=EWBC Apr. 22, 2008
• “Holdings-Asset Allocation-Vanguard 2045 Retirement Fund.” Vanguard Website. https://personal.vanguard.com/us/funds/holdings?FundId=0306&FundIntExt=INT Apr. 19, 2008
• “Holdings-Asset Allocation- Vanguard 2050 Retirement Fund..” Vanguard Website. https://personal.vanguard.com/us/funds/holdings?FundId=0699&FundIntExt=INT Apr. 19, 2008
• “Holdings-Asset Allocation-Vanguard 2050 Retirement Fund.” Vanguard Website. https://personal.vanguard.com/us/funds/holdings?FundId=0696&FundIntExt=INT Apr. 19, 2008
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