FIN 323 Portfolio Analysis-Finance of Yahoo
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.
-
- 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 | |||||||||
| 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% |
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