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程序代写案例-BE313

时间：2021-04-08

Assignment BE313 – Portfolio Analysis

Main Coursework

LEARNING OUTCOMES MODULE

BE313

QUESTION NUMBERS

Understand what is meant by an

efficient portfolio and how to identify

efficient portfolio.

Explain how investors may fully exploit

the benefits of diversification.

Understand the importance of the

CAPM and APT.

Examined in course work assignment

Evaluate competing measures of bond

risk.

Understand the concept of market

efficiency.

Evaluate Portfolio Performance

Coursework (100 marks)

The objectives of this assignment are to familiarize you in applying Capital Asset Pricing

Model (CAPM) and beta concepts to the real market condition, in determining the

expected stock returns and evaluate the actual stock performance.

Instructions to students:

a. Go to http://finance.yahoo.com. In the search area, type ^IRX to search for

the historical data for the T-bills. Do the same by using ^GSPC for S&P 500

index. Choose three US companies from different industries in the US market.

Download 10 years of monthly data for these three US companies. The

benchmark index is S&P 500 index. Use the adjusted closing price to account

for any share splits and dividend payments. Note that the T-Bill data is

already in the form of return.

Use the Excel "average" and "stdev" functions to determine the historical

average monthly return and the historical standard deviation in monthly

returns for each stock, the S&P500 index and T-Bills.

Use the Excel "correl" function to determine the correlation coefficient

between monthly returns for each stock and T-bills with the S&P500. These

correlation coefficients will be the historical betas (name this raw) for the

stocks.

Calculate the adjusted betas from the correlation coefficients determined

above by using the equation adjusted = 1/3 + 2/3xraw.

[30 marks]

b. At http://finance.yahoo.com, look up betas for each stock on Yahoo from the

statistics tab.

Using the betas obtained in (a), compare and contrasts the betas you get

from each method. Answer the following questions:

i. Are the results from both methods close to each other? What gives

rise to these differences, if any.

ii. Comment on the betas for each industry. Is there a big difference, and

if so, provide explanations for why this is so.

iii. Given the information you have obtained, are betas stable enough

when applying the CAPM?

Provided detailed discussion and justify your answers for (i) and (ii) with

theoretical evidence. Can Arbitrage Pricing Theory (APT) rectify the problems

of CAPM?

[30 marks]

c. Using the betas obtained in (a), calculate the required rate of returns on each

stock using the CAPM equation.

Use the information in (a), determine the annualised return on each stock.

These are the historical annualised average return of the stock. Compare

these results with the required return determined using CAPM equation.

Subtract the CAPM predicted return from the historical annualised average

return of the stock. This is the amount by which the stock outperformed (+)

or underperformed (-) the required return as predicted by CAPM over the

historical time period, which is known as the stocks "alpha."

Graph the Security Market Line (relationship between beta and the required

rate of return) using the risk free rate and the risk premium. On this graph,

also graph the historical annualised average return and betas for each of the

three stocks. Show the stocks’ alphas on the graph. According to the stocks'

alphas, which stocks outperformed or underperformed historically? Explain

why each stock either outperformed or underperformed? Were there special

circumstances for any of the companies? Do you think the historical

performance will continue? Do you think any of the companies face special

circumstances now that will enable them to outperform in the future? Are

there any special circumstances that would cause them to under-perform?

[40 marks]

[Total 100 marks]

学霸联盟

Main Coursework

LEARNING OUTCOMES MODULE

BE313

QUESTION NUMBERS

Understand what is meant by an

efficient portfolio and how to identify

efficient portfolio.

Explain how investors may fully exploit

the benefits of diversification.

Understand the importance of the

CAPM and APT.

Examined in course work assignment

Evaluate competing measures of bond

risk.

Understand the concept of market

efficiency.

Evaluate Portfolio Performance

Coursework (100 marks)

The objectives of this assignment are to familiarize you in applying Capital Asset Pricing

Model (CAPM) and beta concepts to the real market condition, in determining the

expected stock returns and evaluate the actual stock performance.

Instructions to students:

a. Go to http://finance.yahoo.com. In the search area, type ^IRX to search for

the historical data for the T-bills. Do the same by using ^GSPC for S&P 500

index. Choose three US companies from different industries in the US market.

Download 10 years of monthly data for these three US companies. The

benchmark index is S&P 500 index. Use the adjusted closing price to account

for any share splits and dividend payments. Note that the T-Bill data is

already in the form of return.

Use the Excel "average" and "stdev" functions to determine the historical

average monthly return and the historical standard deviation in monthly

returns for each stock, the S&P500 index and T-Bills.

Use the Excel "correl" function to determine the correlation coefficient

between monthly returns for each stock and T-bills with the S&P500. These

correlation coefficients will be the historical betas (name this raw) for the

stocks.

Calculate the adjusted betas from the correlation coefficients determined

above by using the equation adjusted = 1/3 + 2/3xraw.

[30 marks]

b. At http://finance.yahoo.com, look up betas for each stock on Yahoo from the

statistics tab.

Using the betas obtained in (a), compare and contrasts the betas you get

from each method. Answer the following questions:

i. Are the results from both methods close to each other? What gives

rise to these differences, if any.

ii. Comment on the betas for each industry. Is there a big difference, and

if so, provide explanations for why this is so.

iii. Given the information you have obtained, are betas stable enough

when applying the CAPM?

Provided detailed discussion and justify your answers for (i) and (ii) with

theoretical evidence. Can Arbitrage Pricing Theory (APT) rectify the problems

of CAPM?

[30 marks]

c. Using the betas obtained in (a), calculate the required rate of returns on each

stock using the CAPM equation.

Use the information in (a), determine the annualised return on each stock.

These are the historical annualised average return of the stock. Compare

these results with the required return determined using CAPM equation.

Subtract the CAPM predicted return from the historical annualised average

return of the stock. This is the amount by which the stock outperformed (+)

or underperformed (-) the required return as predicted by CAPM over the

historical time period, which is known as the stocks "alpha."

Graph the Security Market Line (relationship between beta and the required

rate of return) using the risk free rate and the risk premium. On this graph,

also graph the historical annualised average return and betas for each of the

three stocks. Show the stocks’ alphas on the graph. According to the stocks'

alphas, which stocks outperformed or underperformed historically? Explain

why each stock either outperformed or underperformed? Were there special

circumstances for any of the companies? Do you think the historical

performance will continue? Do you think any of the companies face special

circumstances now that will enable them to outperform in the future? Are

there any special circumstances that would cause them to under-perform?

[40 marks]

[Total 100 marks]

学霸联盟