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Auckland University of Technology FINA602

Investment and Portfolio Analysis Investment Analysis with Data

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FINA602 Analysis Investment Analysis with Data

Semester 2, 2020

Due Date: 5pm, Friday 25 September 2020
Part A: Quantitative Research (15 marks)
  1. Determine what the average returns and standard deviations of returns per annum based on the historical data are for the two stocks and NZX50 index.

NZX50 Index

Expected Return(monthly)

Annualized expected return

Standard Deviation (monthly)

Annualized Standard Deviation

(6 marks)

  1. Use regression analysis to evaluate the market risk (beta) and the intercept (alpha) of the two stocks. Also, report the beta and alpha for the NZX50 index.

(5 marks)

  1. Give an interpretation of your findings from the regression analysis, particularly the estimated beta and alpha values of the two stocks and their implications on the stock price.

(4 marks)

Part B: Security Market Line (10 marks)

Suppose that you use the three average returns per annum calculated in Part (a) as the estimates of the expected returns for the two stocks and market portfolio, respectively. Suppose that the risk-free rate is 0.8% per annum.

  1. Plot a risk-return graph with beta on the x-axis and returns on the y-axis, which shows the Security Market Line, the market portfolio, and the actual returns of the two stocks.

(4 marks)

  1. Determine the fair expected returns for the two stocks according to CAPM
  1. Discuss your findings.
Part C: Portfolio Construction (10 marks)  

(4 marks)

(2 marks)

  1. Construct a portfolio that invests 50% in SCL stock and 50% in SAN stock, and to estimate beta and expected return for this portfolio. Comment on your findings on this portfolio.

(5 marks)

  1. Compare the estimated beta and expected return of the portfolio with those for the two individual stocks.

(5 marks)

Part D: Written Report (5 marks)

Write the above findings into a 3-page written report (1 page for each Part). A total of 5 marks will be granted for a well-structured and well-presented report with a decent writing standard (acceptable level of grammar and syntax, paragraphing and logical sequencing of arguments).

You can include your working and calculations as an Appendix at the end of your report. This Appendix does not have a page limit.

~~~END OF ASSIGNMENT~~~

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