Erlangga Nugrahabharata Eileen Chu. Templeton Growth Fund facts: Introduced in November 1954 Goal:...
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Transcript of Erlangga Nugrahabharata Eileen Chu. Templeton Growth Fund facts: Introduced in November 1954 Goal:...
Erlangga NugrahabharataEileen Chu
Templeton Growth Fund facts: Introduced in November 1954 Goal: LT capital appreciation in global
equities Average return : 12.55% since
inception The last 10 years: 3.66%
1. Determine Optimal Portfolio (OP)Identifying countries and weights
Measure performance
2. Determine Optimal Constrained Portfolio (OCP)With Floor and Cap
Summary measures for Templeton- for the year of 2009 rtemp: 8.82 % βtemp: . 98 RVOLtemp: .0886
Market Weight ri σ β ri* β* RVOL
US 0.3548 0.0734 15.5 0.89 0.026054567 0.3158 0.0808
UK 0.1477 0.0843 22.5 1.1 0.012451617 0.1625
France 0.0899 0.0944 22.6 1.2 0.008489179 0.1079
Switzerland 0.0672 0.1076 18.5 0.93 0.007229886 0.0625
Germany 0.0577 0.0953 21.8 1.12 0.005498676 0.0646
Netherlands 0.0441 0.0955 19.1 1.07 0.004209702 0.0472
South Korea 0.0372 0.1273 39.4 1.32 0.004735199 0.0491
Sweden 0.0672 0.1301 24.19 0.78 0.00874272 0.0524
Italy 0.0277 0.0647 25.4 1.06 0.001792923 0.0294
Singapore 0.0197 0.1330 29.4 1.17 0.002619471 0.0230
Japan 0.0182 0.1020 22 0.99 0.00185554 0.0180
Spain 0.0162 0.0731 22.5 1.2 0.001183612 0.0194
Hong Kong 0.0086 0.1703 36.1 1.18 0.001464671 0.0101
Ireland 0.008 0.0127 22.7 1.09 0.000101991 0.0087
Brazil 0.0059 0.3114 53.7 1.49 0.001837263 0.0088
Templeton 0.9701 0.088267018 0.9795 0.088585
*rf2009: .0015
1. Calculate RVOL for individual countries (RVOLi)
2. Rank countries based on RVOLi
3. Calculate C* as the cutoff point4. Calculate each countries weights in OP5. Calculate OP performance
Market ri (ri-rf) σ β RVOLiUS 0.0734 0.0719 15.5 0.89 0.0808
UK 0.0843 0.0828 22.5 1.1 0.0753
France 0.0944 0.0929 22.6 1.2 0.0774
Switzerland 0.1076 0.1061 18.5 0.93 0.1141
Germany 0.0953 0.0938 21.8 1.12 0.0837
Netherlands 0.0955 0.0940 19.1 1.07 0.0878
South Korea 0.1273 0.1258 39.4 1.32 0.0953
Sweden 0.1301 0.1286 24.19 0.78 0.1648
Italy 0.0647 0.0632 25.4 1.06 0.0596
Singapore 0.1330 0.1315 29.4 1.17 0.1124
Japan 0.1020 0.1005 22 0.99 0.1015
Spain 0.0731 0.0716 22.5 1.2 0.0596
Hong Kong 0.1703 0.1688 36.1 1.18 0.1431
Ireland 0.0127 0.0112 22.7 1.09 0.0103
Brazil 0.3114 0.3099 53.7 1.49 0.2080
World 0.080611313 0.0791 14.6948 0.9979052 0.0793
Market ri (ri-rf) σ β RVOLiBrazil 0.3114 0.3099 53.7 1.49 0.2080
Sweden 0.1301 0.1286 24.19 0.78 0.1648
Hong Kong 0.1703 0.1688 36.1 1.18 0.1431
Switzerland 0.1076 0.1061 18.5 0.93 0.1141
Singapore 0.1330 0.1315 29.4 1.17 0.1124
Japan 0.1020 0.1005 22 0.99 0.1015
South Korea 0.1273 0.1258 39.4 1.32 0.0953
Netherlands 0.0955 0.0940 19.1 1.07 0.0878
Germany 0.0953 0.0938 21.8 1.12 0.0837
US 0.0734 0.0719 15.5 0.89 0.0808
France 0.0944 0.0929 22.6 1.2 0.0774
UK 0.0843 0.0828 22.5 1.1 0.0753
Italy 0.0647 0.0632 25.4 1.06 0.0596
Spain 0.0731 0.0716 22.5 1.2 0.0596
Ireland 0.0127 0.0112 22.7 1.09 0.0103
Rank RVOL1 Brazil2 Sweden3 Hong Kong4 Switzerland5 Singapore6 Japan7 South Korea8 Netherlands9 Germany10 US11 France12 UK13 Italy14 Spain15 Ireland
C*=CJapan= 0.09594
Market (ri-rf) β RVOL σ σ2εi (ri-rf)βi/σ2
εiσ2mβi/σ2εi Ci
Brazil 0.3114 1.49 0.2080 53.7 2,404.29 0.000193 0.19940 0.03474
Sweden 0.1301 0.78 0.1648 24.19 453.74 0.000224 0.28954 0.06042
Hong Kong 0.1703 1.18 0.1431 36.1 1,002.54 0.000200 0.29991 0.07448
Switzerland 0.1076 0.93 0.1141 18.5 155.48 0.000644 1.20118 0.09104
Singapore 0.1330 1.17 0.1124 29.4 568.76 0.000274 0.51972 0.09438
Japan 0.1020 0.99 0.1015 22 272.36 0.000371 0.77707 0.09594
South Korea 0.1273 1.32 0.0953 39.4 1,176.11 0.000143 0.31991 0.09598
Netherlands 0.0955 1.07 0.0878 19.1 117.58 0.000869 2.10260 0.09386
Germany 0.0953 1.12 0.0837 21.8 204.37 0.000522 1.32543 0.09241
US 0.0734 0.89 0.0808 15.5 69.21 0.000944 2.47156 0.09008
France 0.0944 1.2 0.0774 22.6 199.81 0.000567 1.55625 0.08861
UK 0.0843 1.1 0.0753 22.5 244.96 0.000379 1.06663 0.08764
Italy 0.0647 1.06 0.0596 25.4 402.53 0.000170 0.60276 0.08647
Spain 0.0731 1.2 0.0596 22.5 195.30 0.000449 1.59218 0.08381
Ireland 0.0127 1.09 0.0103 22.7 258.73 0.00005 0.99159 0.07943
Market β σ2εi RVOL C* Zi Wi
Brazil 1.49 2,404.29 0.2080 0.09594 0.000069 0.17119
Sweden 0.78 453.74 0.1648 0.09594 0.000118 0.29196
Hong Kong 1.18 1,002.54 0.1431 0.09594 0.000055 0.13672
Switzerland 0.93 155.48 0.1141 0.09594 0.000108 0.26734
Singapore 1.17 568.76 0.1124 0.09594 0.000034 0.08329
Japan 0.99 272.36 0.1015 0.09594 0.000020 0.04950
0.000406 1.00000
Market Weight% ri (ri-rf) σ β ri* β*Weight RVOLop
Brazil 0.17119 0.3114 0.3099 53.7 1.49 0.0533 0.2551
Sweden 0.29196 0.1301 0.1286 36.1 1.14 0.0380 0.3328
Hong Kong 0.13672 0.1703 0.1688 17.1 1.18 0.0233 0.1613
Switzerland 0.26734 0.1076 0.1061 18.5 0.93 0.0288 0.2486
Singapore 0.08329 0.1330 0.1315 29.4 1.17 0.0111 0.0974
Japan 0.04950 0.1020 0.1005 22 0.99 0.0050 0.0490
OP 1.00000 0.15946 1.1443 0.13804
Summary measures for Optimal Portfolio (OP) rop: 15.94% βop: . 98 RVOLop: .1380
OCPANGGA
OCPCHU
Maximize floor for US Apply cap 6.5% to RVOL-ranked
countries up to US
Floor 35% for US Apply cap 6.5% to RVOL-ranked
countries up to Japan International Diversification (keep all
countries in the portfolio) An Art not Science
Summary measures for Optimal Portfolio (OP) rohu: 10.93% βchu: 1.0316 RVOLchu: .1380
Calculate the performance of OCP chu
Market Weight% ri (ri-rf) β ri* β* RVOL*
US 0.35000 0.0734 0.0719 0.89 0.0257 0.3115
Brazil 0.06500 0.3114 0.3099 1.49 0.0202 0.0969
Sweden 0.06500 0.1703 0.1688 1.18 0.0111 0.0767
Hong Kong 0.06500 0.1076 0.1061 0.78 0.0070 0.0507
Switzerland 0.06500 0.1076 0.1061 0.93 0.0070 0.0605
Singapore 0.06500 0.1330 0.1315 1.17 0.0086 0.0761
Japan 0.06500 0.1020 0.1005 0.99 0.0066 0.0644
South Korea 0.01077 0.1273 0.1258 1.32 0.0014 0.0142
Netherlands 0.06500 0.0955 0.0940 1.07 0.0062 0.0696
Germany 0.04623 0.0953 0.0938 1.12 0.0044 0.0518
France 0.04685 0.0944 0.0929 1.2 0.0044 0.0562
UK 0.03405 0.0843 0.0828 1.1 0.0029 0.0375
Italy 0.01582 0.0647 0.0632 1.06 0.0010 0.0168
Spain 0.03691 0.0731 0.0716 1.2 0.0027 0.0443
Ireland 0.00438 0.0127 0.0112 1.09 0.00006 0.0048
OCPCHU 1 0.1093 1.0316 0.10450
Portfolio rp β RVOL
Temple Growth 0.08827 0.98 0.0886
OP 0.15946 1.14 0.1380
OCP Angga 0.11318 1.04 0.1068
OCP Chu 0.10931 1.03 0.1045
MSCI USA 0.07343 0.89 0.0808
MSCI World 0.08061 1.00 0.0793
Rank rp Beta RVOL
1 OP OP OP
2 OCP Angga OCP Angga OCP Angga
3 OCP Chu OCP Chu OCP Chu
4 Templeton G World Templeton G
5 MSCI World Templeton G MSCI USA
6 MSCI USA MSCI USA MSCI World
Gather 2010 data www.msci.com/products/indices/country_and_regional/all_country/performance.html
Run the out of sample calculation for each country’s return, beta
Use the same weight of 2009 Calculate the portfolio performance
(Templeton, OP, OCP, USA & World)
Index Level : Price
Currency : USD
Date/Country FranceGermany
Netherland
SWITZERLANd UK USA
HONG KONG ITALY JAPAN
SINGAPORE SPAIN
SWEDEN BRAZIL
IRELAND KOREA
AC WORLD
2009-12-31 102.240 101.210 103.730 101.640 102.560 101.900 102.030 101.070 100.700 105.070 97.490 99.070 101.230 105.140 108.330 101.960
2010-1-29 94.680 92.240 100.060 98.240 97.560 98.230 95.310 92.520 102.610 98.720 85.970 96.600 90.110 100.490 103.060 97.500
2010-2-26 92.480 90.180 95.340 100.090 95.620 101.030 98.970 87.350 103.720 99.430 79.500 99.380 94.090 96.540 101.900 98.580
2010-3-31 98.230 98.340 102.140 104.950 100.920 106.920 104.170 93.710 108.060 103.610 82.270 106.240 100.710 103.290 111.340 104.680
2010-4-30 93.160 95.750 100.590 98.840 99.550 108.520 101.190 87.180 107.850 108.850 78.190 109.870 99.360 111.560 117.600 104.660
2010-5-31 79.530 84.260 88.230 87.910 88.270 99.550 94.000 72.830 99.120 98.560 64.280 94.360 88.540 89.430 101.890 94.380
2010-6-30 78.050 84.010 87.630 91.660 86.090 94.100 96.700 71.800 97.100 102.120 63.960 97.070 84.570 82.750 102.830 91.340
2010-7-30 87.650 91.990 97.060 96.070 96.410 100.560 102.310 83.170 100.520 110.140 77.660 108.420 96.150 88.460 110.550 98.670
2010-8-31 82.210 86.530 89.610 98.470 94.020 95.870 103.070 76.980 98.190 108.570 73.160 102.130 92.700 74.820 107.560 95.030
2010-9-30 94.110 98.000 101.380 103.840 102.280 104.420 117.070 85.620 101.910 117.170 80.890 121.050 102.370 79.360 120.310 103.910
2010-10-29 98.900 105.650 103.080 106.210 106.150 108.410 119.500 91.070 103.990 120.960 84.320 121.640 103.640 80.940 122.140 107.590
2010-11-30 87.730 100.280 92.970 102.380 100.600 108.270 121.430 76.530 106.160 118.870 66.540 118.270 98.530 74.320 122.190 105.010
2010-12-31 95.350 107.300 103.080 111.640 107.860 115.330 122.100 83.260 114.150 124.450 72.740 130.050 105.050 84.420 135.720 112.590
Monthly Ri
2010-1-29 -7.394 -8.863 -3.538 -3.345 -4.875 -3.602 -6.586 -8.459 1.897 -6.044 -11.817 -2.493 -10.985 -4.423 -4.865 -4.374
2010-2-26 -2.324 -2.233 -4.717 1.883 -1.989 2.850 3.840 -5.588 1.082 0.719 -7.526 2.878 4.417 -3.931 -1.126 1.108
2010-3-31 6.218 9.049 7.132 4.856 5.543 5.830 5.254 7.281 4.184 4.204 3.484 6.903 7.036 6.992 9.264 6.188
2010-4-30 -5.161 -2.634 -1.518 -5.822 -1.358 1.496 -2.861 -6.968 -0.194 5.057 -4.959 3.417 -1.340 8.007 5.622 -0.019
2010-5-31 -14.631 -12.000 -12.288 -11.058 -11.331 -8.266 -7.105 -16.460 -8.095 -9.453 -17.790 -14.117 -10.890 -19.837 -13.359 -9.822
2010-6-30 -1.861 -0.297 -0.680 4.266 -2.470 -5.475 2.872 -1.414 -2.038 3.612 -0.498 2.872 -4.484 -7.470 0.923 -3.221
2010-7-30 12.300 9.499 10.761 4.811 11.987 6.865 5.801 15.836 3.522 7.854 21.420 11.693 13.693 6.900 7.508 8.025
2010-8-31 -6.207 -5.935 -7.676 2.498 -2.479 -4.664 0.743 -7.443 -2.318 -1.425 -5.794 -5.802 -3.588 -15.419 -2.705 -3.689
2010-9-30 14.475 13.256 13.135 5.453 8.785 8.918 13.583 11.224 3.789 7.921 10.566 18.525 10.431 6.068 11.854 9.344
2010-10-29 5.090 7.806 1.677 2.282 3.784 3.821 2.076 6.365 2.041 3.235 4.240 0.487 1.241 1.991 1.521 3.542
2010-11-30 -11.294 -5.083 -9.808 -3.606 -5.228 -0.129 1.615 -15.966 2.087 -1.728 -21.086 -2.770 -4.931 -8.179 0.041 -2.398
2010-12-31 8.686 7.000 10.874 9.045 7.217 6.521 0.552 8.794 7.526 4.694 9.318 9.960 6.617 13.590 11.073 7.218
r T = (V t+T -Vt) / Vt
2009 2010
Market Weight ri β Market Weight ri β
US 0.3548 0.073 0.89 US 0.3548 0.075 0.91 *
UK 0.1477 0.084 1.1 UK 0.1477 0.084 1.13
France 0.0899 0.094 1.2 France 0.0899 0.092 1.24
Switzerland 0.0672 0.108 0.93 Switzerland 0.0672 0.108 0.94
Germany 0.0577 0.095 1.12 Germany 0.0577 0.095 1.16
Netherlands 0.0441 0.095 1.07 Netherlands 0.0441 0.094 1.10
South Korea 0.0372 0.127 1.32 South Korea 0.0372 0.133 1.35 *
Sweden 0.0672 0.130 1.14 Sweden 0.0672 0.135 1.17 *
Italy 0.0277 0.065 1.06 Italy 0.0277 0.060 1.11
Singapore 0.0197 0.133 1.17 Singapore 0.0197 0.134 1.18 *
Japan 0.0182 0.102 0.99 Japan 0.0182 0.103 0.99 *
Spain 0.0162 0.073 1.2 Spain 0.0162 0.066 1.06
Hong Kong 0.0086 0.170 1.18 Hong Kong 0.0086 0.171 1.19 *
Ireland 0.008 0.013 1.09 Ireland 0.008 0.005 1.15
Brazil 0.0059 0.311 1.49 Brazil 0.0059 0.301 1.52
World 0.08061 1.00 World 0.0815 1.02
Market Weight ri β ri* β* RVOLUS,2010
US 0.3548 0.075 0.91 0.0266 0.3222 0.0812
UK 0.1477 0.084 1.13 0.0124 0.1662
France 0.0899 0.092 1.24 0.0082 0.1112
Switzerland 0.0672 0.108 0.94 0.0072 0.0632
Germany 0.0577 0.095 1.16 0.0055 0.0667
Netherlands 0.0441 0.094 1.10 0.0041 0.0486
South Korea 0.0372 0.133 1.35 0.0049 0.0501
Sweden 0.0672 0.135 1.17 0.0090 0.0788
Italy 0.0277 0.060 1.11 0.0017 0.0307
Singapore 0.0197 0.134 1.18 0.0026 0.0232
Japan 0.0182 0.103 0.99 0.0019 0.0180
Spain 0.0162 0.066 1.06 0.0011 0.0171
Hong Kong 0.0086 0.171 1.19 0.0015 0.0102
Ireland 0.008 0.005 1.15 0.0000 0.0092
Brazil 0.0059 0.301 1.52 0.0018 0.0090
Templeton 0.9701 0.0887 1.0244 0.0853
World 0.0815 1.02 0.0788
Summary measures for Optimal Portfolio
rtemp: 8.87%
βtemp: 1.0244
RVOLtemp: .0853
Market Weight% ri β ri* β* RVOLop,2010
Brazil 0.17119 0.301 1.52 0.0515274 0.2605
Sweden 0.29196 0.135 1.17 0.039299 0.3422
Hong Kong 0.13672 0.171 1.19 0.0233771 0.1623
Switzerland 0.26734 0.108 0.94 0.0287952 0.2516
Singapore 0.08329 0.134 1.18 0.0111836 0.0980
Japan 0.04950 0.103 0.99 0.0050869 0.0490
1.00000 0.1593 1.1636 0.1357
Summary measures for Optimal Portfolio
rop: 15.93%
βop: 1.1636
RVOLop: .1357
Market Weight% ri β ri* β* RVOLocp1,2010
US 0.3500 0.075 0.91 0.0263 0.3178
Brazil 0.0650 0.301 1.52 0.0196 0.0989
Sweden 0.0650 0.135 1.17 0.0087 0.0762
Hong Kong 0.0650 0.171 1.19 0.0111 0.0772
Switzerland 0.0650 0.108 0.94 0.0070 0.0612
Singapore 0.0650 0.134 1.18 0.0087 0.0765
Japan 0.0650 0.103 0.99 0.0067 0.0643
South Korea 0.0108 0.133 1.35 0.0014 0.0145
Netherlands 0.0650 0.094 1.10 0.0061 0.0717
Germany 0.0462 0.095 1.16 0.0044 0.0534
France 0.0468 0.092 1.24 0.0043 0.0579
UK 0.0340 0.084 1.13 0.0029 0.0383
Italy 0.0158 0.060 1.11 0.0009 0.0176
Spain 0.0369 0.066 1.06 0.0024 0.0390
Ireland 0.0044 0.005 1.15 0.0000 0.0051
1.0000 0.1106 1.0695 0.1022
Summary measures for Optimal Portfolio
rchu: 11.06%
βchu: 1.0695
RVOLchu: .1022
Market Weight% ri β ri* β* RVOLocp2,2010
US 0.415 0.075 0.91 0.0312 0.3768
Brazil 0.065 0.301 1.52 0.0196 0.0989
Sweden 0.065 0.135 1.17 0.0087 0.0762
Hong Kong 0.065 0.171 1.19 0.0111 0.0772
Switzerland 0.065 0.108 0.94 0.0070 0.0612
Singapore 0.065 0.134 1.18 0.0087 0.0765
Japan 0.065 0.103 0.99 0.0067 0.0643
South Korea 0.065 0.133 1.35 0.0086 0.0876
Netherlands 0.065 0.094 1.10 0.0061 0.0717
Germany 0.065 0.095 1.16 0.0062 0.0751
1.0000 0.1139 1.0654 0.1057
Summary measures for Optimal Portfolio
rangga: 11.39%
βangga: 1.0654
RVOLangga: .1057
Portfoli o rp β RVOLp,2010
Temple Growth 0.0887 1.024 0.0853OP 0.1593 1.164 0.1357
OCP Chu 0.1106 1.069 0.1022OCP Angga 0.1139 1.065 0.1057MSCI USA 0.0751 0.908 0.0812
MSCI World 0.0815 1.018 0.0788
Rank rp Beta RVOL1 OP OP OP2 OCP Angga OCP Chu OCP Angga3 OCP Chu OCP Angga OCP Chu4 Templeton G Templeton G Templeton G5 MSCI World MSCI World MSCI USA6 MSCI USA MSCI USA MSCI World
Op performs the best.
2009 2010
Portfolio rp β RVOLp,2009 Portfolio rp β RVOLp,2010
Temple Growth 0.0883 0.97 0.0896
Temple Growth 0.0887 1.024 0.0853
OP 0.1595 1.14 0.1380 OP 0.1593 1.16 0.1357
OCP Chu 0.1093 1.03 0.1045 OCP Chu 0.1106 1.069 0.1022
OCP Angga 0.1117 1.02 0.1078 OCP Angga 0.1139 1.065 0.1057
MSCI USA 0.0734 0.89 0.0808 MSCI USA 0.0751 0.91 0.0812
MSCI World 0.0806 0.01 0.0054 MSCI World 0.0815 1.018 0.0788
Rank rp Beta RVOL Rank rp Beta RVOL
1 OP OP OP 1 OP OP OP
2 OCP A OCP A OCP A 2 OCP A OCP C OCP A
3 OCP C OCP C OCP C 3 OCP C OCP A OCP C
4 Templeton G World Templeton G 4 Templeton G Templeton G Templeton G
5 World Templeton G USA 5 World World USA
6 USA USA World 6 USA USA World