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Construct the covariance matrix for all five assets

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Reference no: EM133074299

Given the following information from the Partners Health case study, please perform the following tasks:

Annual Expected Returns, Standard Deviations

 Asset Class

Expected Ret.

Stdev

US Equity

12.94%

15.21%

Foreign Equity

12.42%

14.44%

Bonds

5.40%

11.10%

REITs

9.44%

13.54%

Commodities

10.05%

18.43%

 STP

3.20%

0%

 

Correlation Matrix

 

US Equity

Foreign Equity

Bonds

REITs

Commodities

US Equity

1.000

0.620

0.250

0.560

-0.020

Foreign Equity

0.620

1.000

0.060

0.400

0.010

Bonds

0.250

0.060

1.000

0.160

-0.070

REITs

0.560

0.400

0.160

1.000

-0.010

Commodities

-0.020

0.010

-0.070

-0.010

1.000
  1. Construct the covariance matrix for all five assets being considered for the new allocation
  2. Construct the efficient frontier using all five assets including REITs and commodities by producing the content of Exhibit 8 in the Partners Health Case
  3. Calculate the information needed to plot the Capital Allocation Line
  4. Plot both efficient frontier and the CAL

Reference no: EM133074299

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