FIN 323 Portfolio Analysis

Published : 29-Sep,2021 | Views : 10

Question:

Retrieve 8 stocks prices from websites such as yahoo finance or tradingroom.com.au. Data up to one year will be sufficient, and is available free of charge from the above or other websites. Please note your data sources. All solutions to each question should be presented in tables that are readable to a novice investor.

In the body of your report, ensure you show how computed your calculations. In other words, show the formulae that you used.

Calculate the mean return, standard deviation, variance and holding period return for your portfolio of 8 stocks.
Calculate the beta of the portfolio

Calculate the Expected Return of the portfolio.

Comment on how your portfolio has performed relative to the ASX 200 on the same selected period
What is your portfolio expected return using the APT model which considers both the ASX 200 index factor and the inflation factor during your sample period Inflation data are retrievable from the RBA website. Comment your results showing the difference between the alpha of this portfolio versus the alpha of the portfolio calculated in point i) above.

Compute the Futures price on your portfolio by analyzing the following:

- Time to maturity of 3 and 6 months (hint: how does the price changes between a 3 month and a six month time to expire?)
- The current risk-free rate (i.e. the T-bill rate from the RBA website)

Find two Corporate Bonds from the Financial Review and assume that the first bond is an asset while the second bond represents liabilities. Show how to build a synthetic portfolio that is perfect immunized by applying the duration/convexity model.

Answer:

Date	Market Index		AGL		ANZ		CSL		CTX		NAB		SHL		WOW		WPL
Date	Adjusted Close price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)	Adjusted Close Price	Return (%)
03-04-2016	5018		18.36		22.28		101.25		34.51		25.13		18.41		21.14		24.94
10-04-2016	5224.10	4.11%	18.24	-0.65%	23.85	7.05%	101.58	0.33%	32.06	-7.10%	26.76	6.49%	18.87	2.50%	22.19	4.97%	26.14	4.81%
17-04-2016	5299.20	1.44%	18.27	0.16%	24.35	2.10%	104.65	3.02%	33.01	2.96%	27.64	3.29%	19.63	4.03%	21.72	-2.12%	27.85	6.54%
24-04-2016	5316	0.32%	18.29	0.11%	24.27	-0.33%	105.18	0.51%	32.50	-1.54%	27.19	-1.63%	19.42	-1.07%	22.11	1.80%	28.34	1.76%
01-05-2016	5358.60	0.80%	18.93	3.50%	25.14	3.58%	109.15	3.77%	33.60	3.38%	28.19	3.68%	20.04	3.19%	21.21	-4.07%	26.96	-4.87%
08-05-2016	5396.30	0.70%	18.87	-0.32%	24.11	-4.10%	110.85	1.56%	34.20	1.79%	28.94	2.66%	20.39	1.75%	22.37	5.47%	26.96	0.00%
15-05-2016	5415.20	0.35%	18.69	-0.95%	25.09	4.06%	113.87	2.72%	33.76	-1.29%	27.29	-5.70%	21.65	6.18%	22.26	-0.49%	27.09	0.48%
22-05-2016	5469.70	1.01%	18.66	-0.16%	25.85	3.03%	115.73	1.63%	33.50	-0.77%	27.30	0.04%	21.60	-0.23%	22.08	-0.81%	27.83	2.73%
29-05-2016	5392.5	-1.41%	18.57	-0.48%	25.09	-2.94%	117.11	1.19%	33.34	-0.48%	26.48	-3.00%	21.49	-0.51%	21.71	-1.68%	26.86	-3.49%
05-06-2016	5391.60	-0.02%	19.07	2.69%	24.29	-3.19%	115.07	-1.74%	33.92	1.74%	26.07	-1.55%	21.76	1.26%	21.54	-0.78%	27.00	0.52%
12-06-2016	5248.30	-2.66%	18.77	-1.57%	23.23	-4.36%	108.79	-5.46%	32.59	-3.92%	25.04	-3.95%	20.91	-3.91%	21.00	-2.51%	25.93	-3.96%
19-06-2016	5192.80	-1.06%	18.39	-2.02%	23.44	0.90%	106.75	-1.88%	31.47	-3.44%	24.61	-1.72%	20.89	-0.10%	20.56	-2.10%	25.77	-0.62%
26-06-2016	5327	2.58%	19.52	6.14%	23.95	2.18%	111.76	4.69%	31.88	1.30%	25.27	2.68%	21.33	2.11%	20.74	0.88%	26.64	3.38%
03-07-2016	5315.60	-0.21%	19.9	1.95%	23.12	-3.47%	110.49	-1.14%	31.95	0.22%	24.43	-3.32%	21.35	0.09%	20.61	-0.63%	26.61	-0.11%
10-07-2016	5510.10	3.66%	19.99	0.45%	24.85	7.48%	113.26	2.51%	32.50	1.72%	25.91	6.06%	21.81	2.15%	21.53	4.46%	26.68	0.26%
17-07-2016	5574.30	1.17%	20.34	1.75%	25.31	1.85%	119.01	5.08%	32.57	0.22%	26.06	0.58%	22.63	3.76%	22.45	4.27%	27.30	2.32%
24-07-2016	5644	1.25%	20.58	1.18%	25.84	2.09%	118.00	-0.85%	33.16	1.81%	26.54	1.84%	22.98	1.55%	23.41	4.28%	26.53	-2.82%
31-07-2016	5585.60	-1.03%	20.41	-0.83%	25.25	-2.28%	114.69	-2.81%	32.74	-1.27%	25.87	-2.52%	22.40	-2.52%	23.41	0.00%	26.89	1.36%
07-08-2016	5626.30	0.73%	19.05	-6.66%	26.56	5.19%	116.50	1.58%	34.29	4.73%	26.95	4.17%	21.99	-1.83%	23.40	-0.04%	27.50	2.27%
14-08-2016	5625.40	-0.02%	19.1	0.26%	26.68	0.45%	107.89	-7.39%	34.50	0.61%	27.30	1.30%	23.19	5.46%	23.90	2.14%	28.90	5.09%
21-08-2016	5607.40	-0.32%	18.81	-1.52%	26.67	-0.04%	109.05	1.08%	34.23	-0.78%	27.46	0.59%	23.00	-0.82%	24.90	4.18%	29.68	2.70%
28-08-2016	5470.60	-2.44%	18.58	-1.22%	26.84	0.64%	104.93	-3.78%	34.00	-0.67%	27.14	-1.17%	22.53	-2.04%	23.98	-3.69%	28.08	-5.39%
04-09-2016	5440.5	-0.55%	17.46	-6.03%	26.76	-0.30%	101.39	-3.37%	32.68	-3.88%	27.30	0.59%	21.11	-6.30%	22.85	-4.71%	28.32	0.85%
11-09-2016	5396.70	-0.81%	17.18	-1.60%	26.36	-1.49%	102.90	1.49%	32.47	-0.64%	27.06	-0.88%	20.91	-0.95%	22.52	-1.44%	27.43	-3.14%
18-09-2016	5518.60	2.26%	17.5	1.86%	27.59	4.67%	105.66	2.68%	33.80	4.10%	28.00	3.47%	22.14	5.88%	23.35	3.69%	27.32	-0.40%
25-09-2016	5525.20	0.12%	19.05	8.86%	27.63	0.14%	107.00	1.27%	34.25	1.33%	27.87	-0.46%	22.01	-0.59%	23.27	-0.34%	28.62	4.76%
02-10-2016	5548.5	0.42%	18.82	-1.21%	28.26	2.28%	106.40	-0.56%	34.71	1.34%	28.17	1.08%	21.91	-0.45%	23.89	2.66%	29.85	4.30%
09-10-2016	5518.5	-0.54%	19.22	2.13%	27.53	-2.58%	105.65	-0.70%	34.59	-0.35%	27.76	-1.46%	21.71	-0.91%	24.28	1.63%	29.54	-1.04%
16-10-2016	5513.90	-0.08%	19.15	-0.36%	28.25	2.62%	104.06	-1.50%	31.50	-8.93%	27.74	-0.07%	21.44	-1.24%	25.29	4.16%	29.30	-0.81%
23-10-2016	5370.90	-2.59%	18.76	-2.04%	27.62	-2.23%	99.32	-4.56%	30.49	-3.21%	27.91	0.61%	20.31	-5.27%	24.23	-4.19%	28.32	-3.34%
30-10-2016	5263.10	-2.01%	19.76	5.33%	26.94	-2.46%	98.66	-0.66%	30.05	-1.44%	25.88	-7.27%	20.28	-0.15%	22.96	-5.24%	27.90	-1.48%
06-11-2016	5446.60	3.49%	19.24	-2.63%	28.30	5.05%	103.23	4.63%	29.00	-3.49%	27.80	7.42%	21.45	5.77%	23.38	1.83%	28.99	3.91%
13-11-2016	5427.5	-0.35%	20.07	4.31%	27.98	-1.13%	100.25	-2.89%	29.45	1.55%	28.47	2.41%	22.18	3.40%	23.21	-0.73%	29.40	1.41%
20-11-2016	5570.5	2.63%	20.9	4.14%	28.28	1.07%	99.25	-1.00%	30.35	3.06%	29.01	1.90%	21.80	-1.71%	23.50	1.25%	31.10	5.78%
27-11-2016	5502.60	-1.22%	21.03	0.62%	28.46	0.64%	98.08	-1.18%	29.14	-3.99%	29.07	0.21%	21.65	-0.69%	22.94	-2.38%	30.94	-0.51%
04-12-2016	5615.80	2.06%	21.17	0.67%	29.92	5.13%	95.00	-3.14%	29.27	0.45%	29.69	2.13%	21.90	1.15%	22.91	-0.13%	30.59	-1.13%
11-12-2016	5589.70	-0.46%	20.95	-1.04%	29.81	-0.37%	96.93	2.03%	29.55	0.96%	29.97	0.94%	21.59	-1.42%	22.95	0.17%	30.93	1.11%
18-12-2016	5675.10	1.53%	22.18	5.87%	30.73	3.09%	97.80	0.90%	30.60	3.55%	30.65	2.27%	21.37	-1.02%	23.85	3.92%	31.68	2.42%
25-12-2016	5719.10	0.78%	22.09	-0.41%	30.42	-1.01%	100.41	2.67%	30.46	-0.46%	30.67	0.07%	21.40	0.14%	24.10	1.05%	31.16	-1.64%
01-01-2017	5809	1.57%	22.21	0.54%	31.38	3.16%	102.33	1.91%	30.59	0.43%	31.52	2.77%	21.82	1.96%	24.19	0.37%	31.46	0.96%
08-01-2017	5776.80	-0.55%	22.03	-0.81%	30.67	-2.26%	101.08	-1.22%	30.29	-0.98%	31.10	-1.33%	21.19	-2.89%	24.38	0.79%	31.93	1.49%
15-01-2017	5709.70	-1.16%	22.77	3.36%	29.40	-4.14%	114.60	13.38%	29.86	-1.42%	30.16	-3.02%	21.00	-0.90%	24.38	0.00%	31.95	0.06%
22-01-2017	5765.60	0.98%	22.66	-0.48%	29.77	1.26%	112.88	-1.50%	29.51	-1.17%	30.68	1.72%	21.20	0.95%	25.16	3.20%	32.31	1.13%
29-01-2017	5672.5	-1.61%	23.46	3.53%	29.11	-2.22%	112.37	-0.45%	28.63	-2.98%	30.39	-0.95%	21.25	0.24%	25.39	0.91%	31.73	-1.80%
05-02-2017	5771.60	1.75%	24.68	5.20%	29.49	1.31%	114.37	1.78%	28.93	1.05%	30.87	1.58%	21.84	2.78%	25.33	-0.24%	31.52	-0.66%
12-02-2017	5851	1.38%	24.59	-0.36%	30.77	4.34%	120.27	5.16%	29.77	2.90%	31.71	2.72%	21.37	-2.15%	25.49	0.63%	31.75	0.73%
19-02-2017	5786.90	-1.10%	23.73	-3.50%	30.96	0.62%	117.74	-2.10%	29.06	-2.38%	31.90	0.60%	21.57	0.94%	26.50	3.96%	32.01	0.82%
26-02-2017	5775.40	-0.20%	24.71	4.13%	31.17	0.68%	120.50	2.34%	28.96	-0.34%	32.13	0.72%	21.59	0.09%	25.47	-3.89%	30.93	-3.37%
05-03-2017	5811.20	0.62%	25.47	3.08%	31.95	2.50%	125.91	4.49%	28.94	-0.07%	33.16	3.21%	21.35	-1.11%	26.42	3.73%	30.90	-0.10%
12-03-2017	5840.80	0.51%	25.5	0.12%	31.58	-1.16%	123.34	-2.04%	28.31	-2.18%	32.12	-3.14%	21.19	-0.75%	25.87	-2.08%	31.54	2.07%
19-03-2017	5796.10	-0.77%	26.03	2.08%	31.36	-0.70%	123.50	0.13%	29.14	2.93%	32.09	-0.09%	21.47	1.32%	25.94	0.27%	31.00	-1.71%
26-03-2017	5903.80	1.86%	26.37	1.31%	31.82	1.47%	125.33	1.48%	29.49	1.20%	33.34	3.90%	22.12	3.03%	26.50	2.16%	32.08	3.48%