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Question 1, Version 2 Use the Assignment Question 1 Template to answer this question. It is located in the Assignment Module on Canvas. Gather adjusted month end prices for a 10-stock portfolio...

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Question 1, Version 2
Use the Assignment Question 1 Template to answer this question. It is located in the Assignment Module on Canvas.
Gather adjusted month end prices for a 10-stock portfolio consisting of the stocks listed below for the past 60 months (ending Feb XXXXXXXXXXUse this data to construct a value weighted portfolio. (You can get the market Capitalization data for each company from Yahoo.com). Calculate monthly returns of your portfolio and the S&P 500. (Use VFINX as the proxy for the S&P 500 returns). Assume the monthly risk free rate for the period was .2%. Calculate the portfolio statistics (listed on the template). Use the portfolio statistics, and any other portfolio statistics you wish to calculate, to comment on the risk
eturn relationship of your portfolio versus the S&P XXXXXXXXXXmarks)
Name                                           Symbol               
AT&T Inc.                                      T-US                  
General Motors Company           GM-US               
Walmart Inc.                                WMT-US            
Chevron Corporation                  CVX-US               
Citigroup Inc.                                C-US                   
Pfizer Inc.                                      PFE-US              
Boeing Company                         BA-US                 
Corning Inc                                   GLW-US             
Sherwin-Williams Company        SHW-US             
Duke Energy Corporation           DUK-US           
Question 2, Version 1
Part A
What will be the weights, the expected return, the variance, and the standard deviation of the minimum variance portfolio combining the stocks below. (Refer the template for Chapter 10, exercise 13 for guidance)
(5 marks)
     
    Stock X
    Stock Y
    Mean Return
    20.0%
    15.00%
    Variance
    .10
    .070
    Sigma
    ?
    ?
    Covariance of returns
    -.020
     
 
Question 2, Version 1
Part B
Using 10% increments (0% X, 100% Y, 10% X, 90% Y, etc.) calculate and graph the efficient frontier of the stock portfolios composed of stocks X and Y.
(5 marks)
assignment-questions-hdjpcdhx.docx assignment-q1-qbo0hix1.xlsx
Answered 7 days After Mar 06, 2021

Solution

Shakeel answered on Mar 13 2021
166 Votes
Ans 1
    10 Stock Portfolio                                                    Risk-free rate    2%
        Stock Symbol                                                Stock Symbol
        Stock #    1    2    3    4    5    6    7    8    9    10        Stock #    1    2    3    4    5    6    7    8    9    10
    Market value        215.598    85.388    379.46    214.907    156.925    194.882    157.11    31.311    63.172    70.256        Alpha    -0.012264103    0.0028659318    -0.0090248737    -0.0000239573    0.0067528142    -0.0065215923    0.0117703785    -0.0024477179    -0.0002702156    -0.0154194541         
    Portfolio weight        0.137    0.054    0.242    0.137    0.100    0.124    0.100    0.020    0.040    0.045        Beta    0.20    0.18    -0.13    0.39    0.39    0.22    0.39    -0.01    0.05    -0.09
                                                        R-squared    0.0240    0.0065    0.0116    0.0447    0.0265    0.0273    0.0188    0.0000    0.0014    0.0064
                                                        Regression of value-weighted portfolio
                                                        Portfolio alpha    -0.0034
                                                        Portfolio beta    0.16
                                                        Portfolio r-squared    0.0209
                                                            S&P500    Portfolio
                                                        Average Return    -0.97%    1.17%
                                                        Beta    1    0.16
                                                        
                                                        Portfolio Statistics
                                                        Sharpe Ratio    -0.169
                                                        Treynor Ratio    -0.051
                                                        Jenson's Alpha    -0.003
    Stock prices                                                    Stock returns
        Stock Symbol    T    GM    WMT    CVX    C    PFE    BA    GLW    SHW    DUK        Stock Symbol
    Date    S&P500    1    2    3    4    5    6    7    8    9    10        Date    S&P500    1    2    3    4    5    6    7    8    9    10    Portfolio
    3/1/16    3,943.34    29.15    26.85    60.09    82.27    41.03    25.71    122.01    16.43    273.86    63.54        
    4/1/16    3,939.34    29.76    26.41    63.61    81.32    41.33    27.28    114.18    18.39    277.46    63.10             -0.10%    2.10%    -1.64%    5.85%    -1.15%    0.73%    6.08%    -6.42%    11.89%    1.32%    -0.70%    1.90%    
    5/1/16    3,811.15    32.84    23.89    66.10    85.29    37.62    27.93    118.51    18.15    280.73    69.92             -3.25%    10.37%    -9.53%    3.92%    4.89%    -8.98%    2.38%    3.79%    -1.30%    1.18%    10.81%    2.81%
    6/1/16    3,714.24    32.91    26.97    66.06    83.38    38.88    29.26    121.97    19.69    286.52    69.76             -2.54%    0.19%    12.87%    -0.07%    -2.24%    3.35%    4.77%    2.92%    8.50%    2.06%    -0.23%    1.86%
    7/1/16    3,756.07    31.42    27.29    64.67    81.84    42.52    27.60    118.13    20.11    271.20    64.92             1.13%    -4.51%    1.20%    -2.10%    -1.85%    9.37%    -5.67%    -3.15%    2.12%    -5.34%    -6.93%    -1.88%
    8/1/16    3,621.63    31.21    27.17    65.73    84.62    42.07    27.09    121.21    21.08    265.23    65.90             -3.58%    -0.66%    -0.47%    1.64%    3.40%    -1.07%    -1.86%    2.61%    4.86%    -2.20%    1.50%    0.75%
    9/1/16    3,269.96    28.28    27.34    63.82    86.13    43.78    25.36    131.05    20.24    234.74    65.88             -9.71%    -9.41%    0.66%    -2.91%    1.78%    4.07%    -6.38%    8.11%    -3.97%    -11.49%    -0.03%    -1.83%
    10/1/16    3,363.00    30.05    29.88    64.19    91.73    50.23    25.70    138.53    21.42    257.57    60.74             2.85%    6.28%    9.27%    0.59%    6.50%    14.73%    1.36%    5.71%    5.81%    9.72%    -7.81%    4.77%
    11/1/16    3,500.31    33.09    30.15    63.00    97.74    53.11    26.23    144.34    21.76    258.45    64.63             4.08%    10.10%    0.90%    -1.86%    6.56%    5.74%    2.07%    4.19%    1.58%    0.34%    6.42%    3.47%
    12/1/16    3,271.12    32.80    32.02    61.27    92.47    49.89    25.63    151.51    23.75    292.18    65.40             -6.55%    -0.87%    6.22%    -2.75%    -5.40%    -6.06%    -2.31%    4.97%    9.15%    13.05%    1.19%    -0.82%
    1/1/17    3,100.29    32.89    32.22    65.11    93.42    53.45    27.56    167.10    24.75    296.73    68.74             -5.22%    0.27%    0.63%    6.28%    1.03%    7.13%    7.53%    10.29%    4.23%    1.56%    5.11%    4.79%
    2/1/17    3,044.31    32.70    30.93    66.17    90.02    53.61    27.91    165.39    24.34    299.13    69.05             -1.81%    -0.57%    -4.02%    1.62%    -3.65%    0.30%    1.29%    -1.03%    -1.66%    0.81%    0.45%    -0.30%
    3/1/17    2,912.43    31.19    30.61    69.52    89.46    52.98    27.68    172.84    26.01    322.75    69.46             -4.33%    -4.62%    -1.03%    5.07%    -0.62%    -1.17%    -0.85%    4.51%    6.85%    7.90%    0.60%    1.16%
    4/1/17    2,584.59    30.69    29.98    72.68    86.76    54.40    26.64    175.46    26.24    319.94    72.14             -11.26%    -1.61%    -2.05%    4.55%    -3.02%    2.68%    -3.74%    1.51%    0.87%    -0.87%    3.85%    0.46%
    5/1/17    2,954.22    30.05    30.87    70.45    88.36    60.10    27.67    186.34    27.24    339.30    71.11             14.30%    -2.08%    2.95%    -3.07%    1.85%    10.47%    3.87%    6.20%    3.81%    6.05%    -1.43%    1.79%
    6/1/17    3,225.52    31.06    32.15    74.46    92.48    61.51    27.32    228.46    26.41    326.07    72.41             9.18%    3.37%    4.16%    5.70%    4.66%    2.35%    -1.28%    22.61%    -3.03%    -3.90%    1.83%    4.91%
    7/1/17    3,230.78    30.22    32.65    72.68    91.15    61.13    27.94    225.83    26.07    328.00    74.26             0.16%    -2.70%    1.56%    -2.40%    -1.44%    -0.61%    2.29%    -1.15%    -1.30%    0.59%    2.56%    -0.84%
    8/1/17    3,140.98    31.60    36.08    73.20    100.51    65.67    29.70    240.96    27.27    347.04    72.13             -2.78%    4.56%    10.51%    0.72%    10.28%    7.42%    6.28%    6.70%    4.60%    5.80%    -2.88%    5.17%
    9/1/17    3,037.56    27.15    38.79    81.79    99.14    66.35    29.16    244.54    28.53    383.01    75.90             -3.29%    -14.09%    7.52%    11.74%    -1.37%    1.04%    -1.79%    1.48%    4.65%    10.36%    5.23%    1.90%
    10/1/17    2,976.74    29.72    38.89    91.08    101.79    68.16    30.16    262.38    29.52    387.14    76.65             -2.00%    9.47%    0.26%    11.36%    2.67%    2.72%    3.42%    7.30%    3.45%    1.08%    0.99%    6.01%
    11/1/17    2,926.46    31.76    37.00    92.51    108.09    67.46    30.40    281.05    29.30    398.31    73.01             -1.69%    6.87%    -4.87%    1.56%    6.20%    -1.02%    0.80%    7.12%    -0.75%    2.89%    -4.75%    2.50%
    12/1/17    2,980.38    30.59    38.63    100.39    108.23    71.15    31.09    337.71    28.59    405.18    68.14        ...
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