Project #57343 - Portfolio Analysis

FIN 4307-001 Portfolio Analysis

Class Project 1: Due Feb 18th  @Class Time

 

Part A

The main objective of this project is to make you familiar with the basic calculation of returns, descriptive statistics of returns, portfolio’s mean and variance. Choose 5 companies form http://money.cnn.com/magazines/fortune/fortune500/ but make sure that each company’s stock price has can be downloaded from Yahoo finance and it has at least fifteen years of historical prices. Download monthly stock prices for these companies from Yahoo finance for period January 2000 to December 2014.   Convert each series into returns series and calculate the following for each firm.

1.Mean return for each firm

2.Variance of  return for each firm

3.Coefficient of variation for each firm

4.Beta    coefficient    for    each    firm(Ifyouwant,getriskfreerateform http://www.federalreserve.gov/releases/h15/data.htm or  yahoo finance)

Interpret your results. Write which firm performed best and worst in the sample period. Which firm is the riskiest and which is the least risky.

Part B

5.   Construct equally weighted portfolios of these five stocks and calculate portfolio mean return, portfolio variance, portfolio beta coefficient and Sharpe ratio.

6.   Pick two stocks from your list and make portfolio frontier by choosing your own set of weights and level the following on this graph.

(a) Chart title and axes levels.

(b) Global minimum variance portfolio. (c) Efficient part of the portfolio frontier.

(d) Tangency portfolio if the risk free rate is rf (some number).

 

5 stocks of choice is: Allergan Inc. (AGN), The Boeing Company (BA), 3M Company (MMM), Intel Corporation (INTC), Exxon Mobil Corporation (XOM) 

 

Subject Business
Due By (Pacific Time) 02/18/2015 12:00 am
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