Great Deal! Get Instant $10 FREE in Account on First Order + 10% Cashback on Every Order Order Now

Prices Name S&P/ASX 50 Index a2 Milk Co Ltd/The AGL Energy Ltd Ampol Ltd Aristocrat Leisure Ltd Amcor PLC Step 1: Calculate daily log returns (ignore non trading days) Step 2: Evaluate the statistics...

1 answer below »
Prices
    Name    S&P/ASX 50 Index    a2 Milk Co Ltd/The    AGL Energy Ltd    Ampol Ltd    Aristocrat Leisure Ltd    Amcor PLC        Step 1: Calculate daily log returns (ignore non trading days)                                    Step 2: Evaluate the statistics
    Code    ASX50    A2M    AGL    ALD    ALL    AMC                ASX50    A2M    AGL    ALD    ALL    AMC
    Dates                                    Dates                                    ASX50    A2M    AGL    ALD    ALL    AMC
    1/1/19                                    1/1/19                                daily SD    0.5558%    2.1331%    1.1746%    1.5406%    1.7578%    0.6787%
    1/2/19    5483.1    10.4    20.3    25.17    21.06    13.27            1/2/19                                daily mean    0.1742%    0.4422%    0.1146%    0.0664%    0.2487%    0.2430%
    1/3/19    5560.1    10.5    20.38    25.39    21.4    13.28            1/3/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        annulised SD    8.8230%    33.8626%    18.6467%    24.4565%    27.9045%    10.7741%
    1/4/19    5557.9    10.1    20.65    25.71    21.5    13.18            1/4/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        annulised mean    43.8965%     XXXXXXXXXX%    28.8817%    16.7263%    62.6719%    61.2286%
    1/5/19                                    1/5/19
    1/6/19                                    1/6/19
    1/7/19    5606.7    10.48    20.69    25.89    21.91    13.37            1/7/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Co
elation (You may use the co
elation function in data analysis tool pack)
    1/8/19    5643.6    10.51    20.87    26.26    22.62    13.19            1/8/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX            ASX50    A2M    AGL    ALD    ALL    AMC
    1/9/19    5693.5    10.8    20.88    26.34    23.26    13.25            1/9/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        ASX50    1     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/10/19    5715    10.8    21.02    26.51    23.09    13.35            1/10/19     XXXXXXXXXX    0     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        A2M     XXXXXXXXXX    1     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/11/19    5695.8    10.71    21.16    26.61    23.25    13.35            1/11/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        AGL     XXXXXXXXXX     XXXXXXXXXX    1     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/12/19                                    1/12/19                                ALD     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    1     XXXXXXXXXX     XXXXXXXXXX
    1/13/19                                    1/13/19                                ALL     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    1     XXXXXXXXXX
    1/14/19    5694.6    10.79    21.2    26.51    23.08    13.4            1/14/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        AMC     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    1
    1/15/19    5734.59    11.21    21.26    26.27    23.36    13.36            1/15/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/16/19    5753.4    11.42    21.12    26.45    23.9    13.4            1/16/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Var-Cov Matrix (By border matrix method)
    1/17/19    5765.6    11.84    20.7    26.4    23.53    13.36            1/17/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX                ASX50    A2M    AGL    ALD    ALL    AMC
    1/18/19    5789.2    11.75    20.9    26.28    23.56    13.39            1/18/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX                8.8230%    33.8626%    18.6467%    24.4565%    27.9045%    10.7741%
    1/19/19                                    1/19/19                                ASX50    8.8230%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/20/19                                    1/20/19                                A2M    33.8626%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/21/19    5798.6    11.75    20.95    26.86    24.31    13.44            1/21/19     XXXXXXXXXX    0     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        AGL    18.6467%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/22/19    5760    11.81    20.89    26.58    24.64    13.5            1/22/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        ALD    24.4565%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/23/19    5749.2    11.79    21.06    26.33    24.21    13.5            1/23/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        ALL    27.9045%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/24/19    5776.4    11.7    21.44    26.66    24.39    13.62            1/24/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        AMC    10.7741%     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/25/19    5815.1    11.66    21.66    26.71    24.6    13.68            1/25/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    1/26/19                                    1/26/19                                risk-free rate    0.50%
    1/27/19                                    1/27/19
    1/28/19                                    1/28/19                                Global Minimum Variance Portfolio
    1/29/19    5786.3    11.62    21.58    26.65    24.21    13.58            1/29/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        1-vector        Relative Weights    Weights
    1/30/19    5807.8    11.58    21.63    26.95    24.16    13.54            1/30/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        1    A2M     XXXXXXXXXX     XXXXXXXXXX
    1/31/19    5768.8    12.08    21.42    26.84    24.63    13.65            1/31/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        1    AGL     XXXXXXXXXX     XXXXXXXXXX
    2/1/19    5767.2    12.21    21.56    27.18    24.41    13.79            2/1/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        1    ALD     XXXXXXXXXX     XXXXXXXXXX
    2/2/19                                    2/2/19                                1    ALL     XXXXXXXXXX     XXXXXXXXXX
    2/3/19                                    2/3/19                                1    AMC     XXXXXXXXXX     XXXXXXXXXX
    2/4/19    5795.8    12.09    21.8    27.92    24.5    13.85            2/4/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    2/5/19    5925.2    12.17    21.98    27.64    24.7    13.86            2/5/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Portfolio Variance     XXXXXXXXXX
    2/6/19    5936.9    12.43    22.16    27.57    25.63    14.06            2/6/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Portfolio SD    8.33%
    2/7/19    6005.8    12.54    21.1    27.47    25.3    14.26            2/7/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Portfolio Mean    53.16%
    2/8/19    5990.6    12.47    21.35    27.29    24.6    14.29            2/8/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Sharpe Ratio    6.32
    2/9/19                                    2/9/19
    2/10/19                                    2/10/19                                Optimum portfolio
    2/11/19    5977.7    12.84    21.37    27.23    24.49    14.56            2/11/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        mu_i-r_f vector        Relative Weights    Weights
    2/12/19    5989.7    12.78    21.82    27.67    24.94    14.63            2/12/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX         XXXXXXXXXX%    A2M     XXXXXXXXXX     XXXXXXXXXX
    2/13/19    5963.5    13    21.85    27.5    25.42    14.8            2/13/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        28.3817%    AGL     XXXXXXXXXX     XXXXXXXXXX
    2/14/19    5957.5    12.74    21.81    27.79    25.01    14.66            2/14/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        16.2263%    ALD     XXXXXXXXXX     XXXXXXXXXX
    2/15/19    5964    12.25    22.05    28.06    24.76    14.74            2/15/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        62.1719%    ALL     XXXXXXXXXX     XXXXXXXXXX
    2/16/19                                    2/16/19                                60.7286%    AMC     XXXXXXXXXX     XXXXXXXXXX
    2/17/19                                    2/17/19
    2/18/19    5991.4    12.68    22.04    28.23    24.81    14.74            2/18/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        Portfolio Variance     XXXXXXXXXX
    2/19/19    6014.9    12.34    22.06    28.25    24.87    14.85            2/19/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Portfolio SD    8.85%
    2/20/19    5999.3    13.64    21.31    27.8    24.64    14.85            2/20/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        Portfolio Mean    59.97%
    2/21/19    6048.4    14.1    21.38    27.67    25.59    15            2/21/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        Sharpe Ratio    6.72
    2/22/19    6068.9    13.93    21.53    27.04    25.93    14.91            2/22/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    2/23/19                                    2/23/19                                Efficient Frontie
    2/24/19                                    2/24/19                                W_GMV    W_Opt    SD    Mean
    2/25/19    6085    14.05    21.41    27.61    25.69    15.03            2/25/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -100%    200%     XXXXXXXXXX     XXXXXXXXXX
    2/26/19    6025.4    14.11    21.33    28.9    25.05    15.02            2/26/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -90%    190%     XXXXXXXXXX     XXXXXXXXXX
    2/27/19    6046.6    13.98    21.29    28.8    25.19    14.95            2/27/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -80%    180%     XXXXXXXXXX     XXXXXXXXXX
    2/28/19    6070.6    13.77    21.21    28.6    24.62    15.05            2/28/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -70%    170%     XXXXXXXXXX     XXXXXXXXXX
    3/1/19    6094.2    13.85    21.38    27.22    25.18    14.95            3/1/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -60%    160%     XXXXXXXXXX     XXXXXXXXXX
    3/2/19                                    3/2/19                                -50%    150%     XXXXXXXXXX     XXXXXXXXXX
    3/3/19                                    3/3/19                                -40%    140%     XXXXXXXXXX     XXXXXXXXXX
    3/4/19    6112.3    14.07    21.15    27.4    25.22    14.75            3/4/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -30%    130%     XXXXXXXXXX     XXXXXXXXXX
    3/5/19    6100.6    14.27    21.45    27.58    24.84    14.75            3/5/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        -20%    120%     XXXXXXXXXX     XXXXXXXXXX
    3/6/19    6147.4    14.16    21.63    28.24    24.43    14.78            3/6/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        -10%    110%     XXXXXXXXXX     XXXXXXXXXX
    3/7/19    6167.3    14.05    21.97    28    24.83    14.93            3/7/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        0%    100%     XXXXXXXXXX     XXXXXXXXXX
    3/8/19    6107    14.04    21.93    27.66    24.14    14.9            3/8/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        10%    90%     XXXXXXXXXX     XXXXXXXXXX
    3/9/19                                    3/9/19                                20%    80%     XXXXXXXXXX     XXXXXXXXXX
    3/10/19                                    3/10/19                                30%    70%     XXXXXXXXXX     XXXXXXXXXX
    3/11/19    6081.5    13.87    21.79    27.59    23.65    14.8            3/11/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        40%    60%     XXXXXXXXXX     XXXXXXXXXX
    3/12/19    6075.2    13.79    21.83    27.35    23.14    14.89            3/12/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        50%    50%     XXXXXXXXXX     XXXXXXXXXX
    3/13/19    6065.8    13.76    21.97    27.33    22.92    14.8            3/13/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        60%    40%     XXXXXXXXXX     XXXXXXXXXX
    3/14/19    6078.5    13.72    21.78    27.35    22.94    14.83            3/14/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        70%    30%     XXXXXXXXXX     XXXXXXXXXX
    3/15/19    6073.3    13.4    22.08    27.79    23.19    14.85            3/15/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        80%    20%     XXXXXXXXXX     XXXXXXXXXX
    3/16/19                                    3/16/19                                90%    10%     XXXXXXXXXX     XXXXXXXXXX
    3/17/19                                    3/17/19                                100%    0%     XXXXXXXXXX     XXXXXXXXXX
    3/18/19    6089.9    13.32    21.86    28.55    23.62    14.82            3/18/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        110%    -10%     XXXXXXXXXX     XXXXXXXXXX
    3/19/19    6085.6    13.15    21.93    27.54    24.63    14.82            3/19/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        120%    -20%     XXXXXXXXXX     XXXXXXXXXX
    3/20/19    6068.3    13.11    22.15    26.61    24.22    14.96            3/20/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        130%    -30%     XXXXXXXXXX     XXXXXXXXXX
    3/21/19    6074.8    13.34    21.98    26.53    24.41    14.99            3/21/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        140%    -40%     XXXXXXXXXX     XXXXXXXXXX
    3/22/19    6110    13.41    22.04    26.49    24.82    15.19            3/22/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        150%    -50%     XXXXXXXXXX     XXXXXXXXXX
    3/23/19                                    3/23/19                                160%    -60%     XXXXXXXXXX     XXXXXXXXXX
    3/24/19                                    3/24/19                                170%    -70%     XXXXXXXXXX     XXXXXXXXXX
    3/25/19    6052.6    13.34    21.74    25.98    24.37    15.21            3/25/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        180%    -80%     XXXXXXXXXX     XXXXXXXXXX
    3/26/19    6048.5    13.44    21.92    25.84    24.63    15.21            3/26/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    0        190%    -90%     XXXXXXXXXX     XXXXXXXXXX
    3/27/19    6056    13.48    21.61    25.64    24.34    15.23            3/27/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX        200%    -100%     XXXXXXXXXX     XXXXXXXXXX
    3/28/19    6094.2    13.55    21.96    26    24.22    15.36            3/28/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    3/29/19    6097.8    13.62    21.77    26.21    24.51    15.39            3/29/19     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX
    3/30/19                                    3/30/19
    3/31/19                                    3/31/19
Efficient Frontie
Mean     XXXXXXXXXX     XXXXXXXXXX    9.9263979492207222E-2    9.7667172383817377E-2    9.6137322106877407E-2    9.467767448518645E-2    9.329152476819412E-2    9.1982195803516617E-2    9.0753012620565857E-2    8.9607273467006782E-2    8.8548217487894779E-2    8.757898940948293E-2    8.6702601779297062E-2    8.5921895511113081E-2    8.5239499674482716E-2    8.4657791637272634E-2    8.4178858798714007E-2    8.3804463222539788E-2    8.3536010480465536E-2    8.3374523936134717E-2    8.3320625536369972E-2    8.3374523936134717E-2    8.3536010480465536E-2    8.3804463222539788E-2    8.4178858798714007E-2    8.4657791637272634E-2    8.5239499674482702E-2    8.5921895511113094E-2    8.6702601779297048E-2    8.757898940948293E-2    8.8548217487894779E-2     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    SD
Mean

Prices
    Name    S&P/ASX 50 Index    a2 Milk Co Ltd/The    AGL Energy Ltd    Ampol Ltd    Aristocrat Leisure Ltd    Amcor PLC    Australia & New Zealand Bankin    APA Group    Afterpay Ltd    ASX Ltd    Aurizon Holdings Ltd    BHP Group Ltd    Brambles Ltd    Commonwealth Bank of Australia    Cochlear Ltd    Coles Group Ltd    Computershare Ltd    CSL Ltd    Dexus    Fortescue Metals Group Ltd    Goodman Group    GPT Group/The    Insurance Australia Group Ltd    James Hardie Industries PLC    Lendlease Corp Ltd    Mirvac Group    Medibank Pvt Ltd    Macquarie Group Ltd    National Australia Bank Ltd    Newcrest Mining Ltd    Origin Energy Ltd    Orica Ltd    Qantas Airways Ltd    QBE Insurance Group Ltd    Ramsay Health Care Ltd    Rio Tinto Ltd    South32 Ltd    Scentre Group    Stockland    Sonic Healthcare Ltd    Santos Ltd    Suncorp Group Ltd    Sydney Airport    Transu
an Group    Telstra Corp Ltd    Treasury Wine Estates Ltd    Westpac Banking Corp    Wesfarmers Ltd    Woolworths Group Ltd    Woodside Petroleum Ltd    Xero Ltd
    Code    ASX50    A2M    AGL    ALD    ALL    AMC    ANZ    APA    APT    ASX    AZJ    BHP    BXB    CBA    COH    COL    CPU    CSL    DXS    FMG    GMG    GPT    IAG    JHX    LLC    MGR    MPL    MQG    NAB    NCM    ORG    ORI    QAN    QBE    RHC    RIO    S32    SCG    SGP    SHL    STO    SUN    SYD    TCL    TLS    TWE    WBC    WES    WOW    WPL    XRO
    Dates
    1/1/19
    1/2/19    5483.1    10.4    20.3    25.17    21.06    13.27    23.86    8.53    12    59.58    4.24    33.68    9.98    70.97    174.9    11.71    17    185.38    10.52    4.15    10.68    5.31    6.91    14.91    11.11    2.2    2.5    106.85    23.63    21.71    6.32    16.9    5.76    9.85    57.76    76.65    3.27    3.84    3.45    21.8    5.28    12.7497    6.4835    11.55    2.77    14.68    24.48    31.55    29.15    30.49    41.95
    1/3/19    5560.1    10.5    20.38    25.39    21.4    13.28    24.34    8.66    11.98    61.1    4.31    33.68    10.06    71.84    177.8    11.99    17    189.45    10.57    4.2    10.72    5.33    7.01    15.25    11.54    2.21    2.54    109.83    23.93    22.65    6.47    17.03    5.74    10.06    57.89    76.65    3.25    3.9    3.5    21.6    5.49    13.0484    6.581    11.59    2.85    14.67    25.04    31.75    29.33    31.54    42.09
    1/4/19    5557.9    10.1    20.65    25.71    21.5    13.18    24.25    8.93    12.08    60.67    4.28    33.38    10.07    71.89    175.38    11.81    16.63    188.53    10.58    4.3    10.78    5.41    6.95    15.1    11.3    2.21    2.53    109.41    23.98    23.53    6.61    16.74    5.69    10.01    57.32    76.83    3.28    3.92    3.49    21.9    5.55    12.6571    6.4835    11.6    2.89    14.02    25.03    32.08    29.3    31.91    40.9
    1/5/19
    1/6/19
    1/7/19    5606.7    10.48    20.69    25.89    21.91    13.37    24.59    8.93    12.94    61.5    4.33    34.39    10.15    72.57    175.99    11.71    16.93    187.5    10.59    4.44    10.75    5.36    6.91    15.11    11.44    2.2    2.54    110.57    24.22    23.38    6.71    16.97    5.79    10.23    57.54    78.9    3.37    3.88    3.47    21.59    5.79    12.6571    6.4055    11.59    2.85    14.41    25.22    32.22    29.6    32.32    41.91
    1/8/19    5643.6    10.51    20.87    26.26    22.62    13.19    24.86    9    13.18    61.82    4.35    34.43    10.24    72.47    178    11.72    17.09    189.92    10.56    4.53    10.73    5.33    6.86    15.17    11.83    2.22    2.54    112.67    24.44    23.45    6.86    17.27    5.9    10.42    58    79.3    3.39    3.93    3.51    21.95    5.73    12.6056    6.386    11.57    2.9    14.36    25.52    32.22    29.68    32.42    43.52
    1/9/19    5693.5    10.8    20.88    26.34    23.26    13.25    25.19    8.97    13.6    61.86    4.37    34.3    10.43    72.33    183.26    11.85    17.49    195.1    10.56    4.65    10.99    5.37    6.93    15.2    11.92    2.26    2.58    113.98    24.57    23.49    6.94    17.39    6.11    10.52    58.2    80.02    3.4    4    3.59    21.95    5.81    12.6571    6.4542    11.67    2.91    14.96    25.76    32.02    29.8    33.15    43.5
    1/10/19    5715    10.8    21.02    26.51    23.09    13.35    25.33    9.07    13.7    62.22    4.39    33.14    10.48    72.45    184.67    11.66    17.38    196.47    10.79    4.57    11.15    5.42    6.99    15.3    11.65    2.28    2.56    113.95    24.6    23.9    6.95    17.42    6.07    10.45    58.81    80.13    3.43    4.06    3.63    21.9    5.85    12.7497    6.503    11.84    2.89    14.245    25.85    31.97    29.87    33.37    43
    1/11/19    5695.8    10.71    21.16    26.61    23.25    13.35    25.24    9.12    13.53    62.04    4.39    32.79    10.53    71.66    184.07    11.53    17.25    195.2    10.96    4.58    11.37    5.48    7.04    15.33    11.77    2.3    2.58    113.21    24.55    23.79    6.99    17.3    5.91    10.5    57.92    79.65    3.4    4.07    3.65    21.95    5.84    12.5644    6.4445    11.78    2.93    14.85    25.61    31.95    29.64    33.26    42.66
    1/12/19
    1/13/19
    1/14/19    5694.6    10.79    21.2    26.51    23.08    13.4    25.37    9.09    13.05    62.31    4.4    32.71    10.51    71.92    184.68    11.89    17.4    194.38    10.98    4.52    11.31    5.49    7.03    15.07    12.04    2.29    2.57    113.28    24.67    23.75    6.91    17.28    5.92    10.55    58.35    79.4    3.4    4.08    3.65    21.64    5.83    12.5129    6.4835    11.81    2.92    14.4    25.74    31.26    29.71    33.08    42
    1/15/19    5734.59    11.21    21.26    26.27    23.36    13.36    25.54    9.05    13.57    62.84    4.41    33.06    10.51    72.65    185.79    11.76    17.35    197.91    11.05    4.55    11.5    5.53    7.11    14.94    11.92    2.29    2.59    114.98    24.72    23.8    7.13    17.37    5.96    10.65    57.64    80    3.4    4.1    3.7    21.74    5.9    12.6468    6.464    11.78    2.9    14.56    25.76    32.08    29.68    33.46    42.35
    1/16/19    5753.4    11.42    21.12    26.45    23.9    13.4    25.75    9.01    13.92    63.11    4.4    32.93    10.58    72.55    186.45    11.88    17.72    197.29    11.04    4.47    11.49    5.53    7.18    14.87    12.06    2.3    2.65    116    24.8    23.44    7.12    17.45    6    10.84    57.2    79.64    3.33    4.11    3.73    22.25    5.98    12.9248    6.4737    11.91    2.93    14.68    26    32.29    30.02    33.52    42.95
    1/17/19    5765.6    11.84    20.7    26.4    23.53    13.36    25.94    8.95    14.25    63.28    4.39    32.87    10.57    72.77    187.56    12.08    18.05    196.38    11.14    4.55    11.58    5.51    7.11    15    11.91    2.3    2.65    117.18    24.81    23.7    7.16    17.53    6.05    10.93    57.81    80.4    3.45    4.07    3.71    22.46    6.03    13.0793    6.4347    11.85    2.92    14.74    26.07    32.27    30.04    33.74    42.45
    1/18/19    5789.2    11.75    20.9    26.28    23.56    13.39    26.07    8.95    16.1    63.9    4.42    33.11    10.6    73.23    189.19    12.32    18.21    196.19    11.12    4.63    11.7    5.5    7.19    15.15    12.27    2.26    2.64    118.2    24.89    23.61    7.2    17.51    6.15    10.96    57.81    80.65    3.41    4.06    3.7    22.69    6.06    13.2853    6.2495    11.86    2.92    15.34    26.15    32.5    29.96    33.89    42.13
    1/19/19
    1/20/19
    1/21/19    5798.6    11.75    20.95    26.86    24.31    13.44    26.19    8.89    15.25    64.33    4.42    33.2    10.67    73.05    188.8    12.66    17.86    195.78    11.11    4.75    11.63    5.5    7.27    15.25    12.24    2.26    2.66    117.68    24.91    23.21    7.24    17.47    6.08    11.04    58.07    80.51    3.39    4.05    3.71    22.67    6.1    13.4398    6.269    11.89    2.93    15.5    26.2    32.73    29.9    33.94    42.24
    1/22/19    5760    11.81    20.89    26.58    24.64    13.5    25.81    8.93    15.25    64    4.4    32.77    10.73    72.18    189.77    12.74    17.85    195.7    11.18    4.67    11.72    5.53    7.19    15.18    12.09    2.26    2.63    116.31    24.59    23.05    7.2    17.47    6.12    10.97    57.99    80.01    3.36    4.04    3.73    22.78    6.05    13.4192    6.269    11.89    2.92    15.5    25.75    32.6    29.89    33
Answered 7 days After Apr 14, 2021

Solution

Shakeel answered on Apr 21 2021
146 Votes
Markowitz’s mean-variance portfolio optimisation framework
In 1952, Markowitz propounded famous “Modern Portfolio Theory” where he discussed in detail the framework of assets allocation through the technique of Mean-variance Optimization. He asserted the Investor’s preference of maximum return over minimum risk and then, provided an effective tool of constructing the efficient frontier that is combination of all possible portfolios of max return at given level of risk. This framework is based on certain assumptions that are as follows –
· Investors are risk averse and hence they prefer minimum risk for a given return or maximum return for a given level of risk. The degree of risk aversion changes from investor to investor.
· The expected return and risk profile of portfolio’s assets are known to investors in advance.
· It is assumed that returns on the assets are normally distributed and apart from returns, the variance and covariance matrix are needed to find the optimal portfolio.
· There is no transaction cost or tax imposed on purchasing or selling of assets.
Figure 1 shows the efficient frontier that is highlighted in blue. Portfolio on the efficient frontier yields maximum return over a particular level of risk. The whole graph is called Global minimum variance frontier that represents all possible portfolio made of the given assets in different proportion. Portfolios above the frontier are non-achievable while all portfolios below the frontier (as shown by red dots in figure) are not desirable.
Figure 1: Efficient frontie
Investors who can bear risk in a range have several alternatives of efficient portfolios on the efficient frontier and then it becomes crucial to find the optimal portfolio. Here the understanding OF Capital Market Line (CML) proves to be very helpful. CML is the line graph that shows the all possible combination of risk free assets and market portfolio (Lee, 2014). Risk free assets may be taken as T-bill while market portfolio is most diversified one that has only systematic risk. Hence, CML represents the optimal combination of risk and return of all such portfolio.
Figure 2: CML and efficient frontie
When CML becomes tangent to the efficient frontier, the tangency point represents optimal portfolio. At this point the Sharpe ratio of portfolio is highest and hence, investor gets highest reward for per unit of risk.
Risk-return profile of assets
Here, to construct a portfolio, 50 constituent stocks are taken and their daily closing prices are taken for the period Jan 2009 to Dec 2020.
The annual return and risk of all the 50 stocks are calculated that are given in Appendix 1. Stock APT has maximum annual return 63.71% while AGL stock has minimum annual return of -10.81%. As far as risk is concerned, APT stock has also the highest risk of 37.01% while WOW stock has minimum risk of 10.32%.
Global minimum variance portfolio
The Global min variance portfolio is a constructed by constituting 50 stocks and the risk, return and Sharpe ratio of such portfolio is as follows –
    Portfolio Variance
    0.0034953
    Portfolio SD
    5.91%
    Portfolio Mean
    0.58%
    Sharpe Ratio
    0.01
Portfolio yield 0.58% of annual return over the minimum risk level of 5.91%. Sharpe ratio is 0.01 which is very low.
Optimal portfolio
Optimal portfolio is so constructed having risk; return and Sharpe ratio are as follows –
    Portfolio Variance
    0.1816019
    Portfolio SD
    42.61%
    Portfolio Mean
    -8.93%
    Sharpe Ratio
    -0.22
The Optimal portfolio has Mean annual return of -8.93% and risk is 42.61%. Sharpe ratio is calculated at -0.22 which is low and negative.
Graph 1 shows the efficient frontier of portfolios containing risky assets only.
Graph 1: Efficient frontie
Graph 2 represents the efficient frontier of portfolios containing risky assets and risk free assets both.
Graph 2: Efficient frontier with risk free assets
(
A
)
Line AP is tangent at point P of the efficient frontier and hence, portfolio at point P represents the optimal portfolio that is the combination of risky assets portfolio and risk free assets.
The allocation of fund between risk free assets and risky portfolio depends upon the risk averse level of investor. As per the risk averse coefficient, the fund can be allocated between risky and risk free components. However, the weights to Global mean variance portfolio and Optimal portfolio is given in Appendix 4 table.
Practical implementation of portfolio
The practical implementation of such portfolio poses lots of difficulties. Few of them...
SOLUTION.PDF

Answer To This Question Is Available To Download

Related Questions & Answers

More Questions »

Submit New Assignment

Copy and Paste Your Assignment Here