Introduction
The focus of this assignment is on Risk and Return. The expectation is that students will develop technical skills in measuring returns, risk ssessment and analysis. Students are required to use the data provided in the case problem and exhibits to make various calculations with the view of producing a 500 word analytical report.
Table: End of the Month share price and ASXALL Index value
|
End of the month
|
ASXALL
|
AGL
|
ANZ
|
|
30/11/2014
|
5,388.60
|
11.36
|
24.88
|
|
31/12/2014
|
5,551.60
|
12.08
|
25.59
|
|
31/01/2015
|
5,898.50
|
12.80
|
27.40
|
|
28/02/2015
|
5,861.90
|
13.30
|
28.41
|
|
31/03/2015
|
5,773.70
|
13.29
|
26.36
|
|
30/04/2015
|
5,774.90
|
14.20
|
25.74
|
|
31/05/2015
|
5,451.20
|
13.60
|
25.93
|
|
30/06/2015
|
5,681.70
|
14.59
|
26.32
|
|
31/07/2015
|
5,222.10
|
14.78
|
22.49
|
|
31/08/2015
|
5,058.60
|
14.40
|
21.81
|
|
30/09/2015
|
5,288.60
|
15.08
|
21.91
|
|
31/10/2015
|
5,218.20
|
14.92
|
21.87
|
|
30/11/2015
|
5,344.60
|
16.30
|
23.70
|
|
31/12/2015
|
5,056.60
|
16.77
|
20.52
|
|
31/01/2016
|
4,947.90
|
16.53
|
19.01
|
|
29/02/2016
|
5,151.80
|
16.86
|
19.91
|
|
31/03/2016
|
5,316.00
|
16.90
|
20.60
|
|
30/04/2016
|
5,447.80
|
17.18
|
21.62
|
|
31/05/2016
|
5,310.40
|
17.82
|
21.44
|
|
30/06/2016
|
5,644.00
|
19.02
|
22.97
|
|
31/07/2016
|
5,529.40
|
17.14
|
23.91
|
|
31/08/2016
|
5,525.20
|
18.09
|
24.56
|
|
30/09/2016
|
5,402.40
|
18.21
|
24.76
|
|
31/10/2016
|
5,502.40
|
19.92
|
25.26
|
|
30/11/2016
|
5,719.10
|
20.97
|
28.18
|
|
31/12/2016
|
5,675.00
|
21.46
|
27.14
|
|
31/01/2017
|
5,761.00
|
22.90
|
28.63
|
|
28/02/2017
|
5,903.80
|
25.61
|
29.48
|
|
31/03/2017
|
5,947.60
|
25.99
|
30.35
|
|
30/04/2017
|
5,761.30
|
25.60
|
25.95
|
|
31/05/2017
|
5,764.00
|
24.77
|
27.64
|
|
30/06/2017
|
5,773.90
|
23.41
|
28.51
|
|
31/07/2017
|
5,776.30
|
23.30
|
28.29
|
|
31/08/2017
|
5,744.90
|
23.37
|
28.48
|
|
30/09/2017
|
5,976.40
|
25.27
|
28.79
|
|
31/10/2017
|
6,023.50
|
24.55
|
28.22
|
Assignment Task
1. Copy and paste the data given in the table in to excel worksheet.
2. Using the given price and index data estimate the monthly return
3. Estimate the average (Mean) return and standard deviation for the given shares and for the market. Evaluate the risk and return characteristics of each stock and the market (if you feel, you can use the other statistics like maximum return, minimum return, median and normality for your analysis) .
4. Estimate the coefficient of variation for the market and the two shares, Compare the risk and return characteristics.
5. Explain how portfolio can change the risk and return an investor has to be endured.
6. Estimate correlation coefficients between market and ANZ Ltd, Market and AGL Ltd, and AGL LTD and ANZ Ltd. Interpret the correlation coefficients you estimated.
7. The standard deviation of returns for a portfolio consisting with 60% of AGL Ltd shares and 40% of ANZ Ltd. Evaluate your portfolio
8. Estimate beta coefficient for both AGL LTD and ANZ Ltd. Interpret.
9. You are required to present the statistics you estimated from task three to eight. Data table is not required to include in to your report. The softcopy of the excel worksheet should be able to present when ever asked.
REPORT
Your team is also required to produce an approximately 500 word report that comments on the results calculated above. The report will need to refer to each statistic calculated and interpret (not simply summarise your results) the result and make comparisons amongst the market index and the two companies. Your team is required to specifically address what each statistic is actually measuring and its implications from a risk and return viewpoint. You will also need to focus on the impact of creating a portfolio of two shares and the implications for risk reduction (You will need to provide some quantitative evidence of risk reduction). Furthermore, the Beta of each company needs to assessed and interpreted in the context of asset pricing. That is, what is the implication for risk and required return and what impact will this have on the asset's price?
Formatting & Referencing: Harvard