Created by Patrick Rogan, Qitong Liu, Shuni Fang, Xuyan Xiao
Nine publicly traded companies were selected from the largest holdings of Berkshire Hathaway as of September 30, 2015. Five year asset and T-Bill returns from the United States Federal Reserve Bank were examined and combined into portfolios that were assessed on the basis of annualized returns, risk and monthly Value at Risk (VaR) and Expected Shortfall (ES). A time series analysis was performed on the S&P 500 in order to provide an outlook for the assets and portfolios examined. Portfolios generated from the assets selected have high annualized returns (7% < R < 21%) and can be constructed in a manner to substantially limit risk. Time series analysis of the S&P 500 suggests a positive outcome for short term investment while additional caution is required for longer term investment decisions.