Case 3 Templeton Growth Fund

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Case 3 Templeton Growth Fund

• Shane Helmle
• Steve Potter

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Our Assignment

• Look at Templeton Growth Fund and determine its
  risk
• Construct an internationally diversified optimal
  portfolio
• Construct a constrained Optimal Portfolio
• Compare portfolios using both in-sample and
  out-of-sample performance

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Templeton Growth Fund
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Templeton Growth Fund
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Templeton Growth Fund

• Some facts as of 08/31/04
• Inception date 11/29/54
• Total assets 15,766,000,000
• Expense ratio 1.11
• Benchmark MSCI World Index

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Constructing the OP

• Reward to Market Volatility
• RVOL (ri rf) / bi
• ri country return
• rf risk free return
• bi Systematic risk
• Portfolio Variance
• sp2 bp2sm2 sep2

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Constructing the OP
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Contructing the OP

• Rank the Indexes by RVOL

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Constructing the OP
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Calculate the weights
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The 2003 OP
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Constrained Portfolio
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Portfolio Comparisons
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Any Questions?