For this project, you will build a portfolio of 8 assets plus the S&P 500 from...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
For this project, you will build a portfolio of 8 assets plus the S&P 500 from the following options (9 assets in all): Asset Group Bulldog: (select 2 stocks from this group. You can't pick three in a row) Coca-Cola (KO) Pepsico, Inc. (PEP) Home Depot (HD) Lowes (LOW) Target (TGT) Walgreen Corporation (WAG) WalMart Stores (WMT) Asset Group Yellow Jacket: (select 4 stocks from this group. You can't pick four in a row) Cicso Systems (CSCO) International Business Machines (IBM) General Electric (GE) Apple Computer (AAPL) Exxon Mobil (XOM) Caterpillar (CAT) Facebook (FB) Twitter (TWTR) Yahoo! (YHOO) Johnson and Johnson (JNJ) Verizon (VZ) Netflix (NFLX) Asset Group Hoosier: (select 2 stocks from this group. You can't pick three in a row) Synovous (SNV) World Wrestling Entertainment (WWE) Anheuser-Busch InBEV (BUD) AT&T (T) Ford Motor Company (F) Delta Air Lines, Inc (DAL) Asset Group Falcon: (select 1 from this group) S&P 500 (^GSPC) Using your 9 stock portfolio plus the S&P Index, perform the following steps: A) Download and calculate daily returns for the portfolio for the following time period: 6/15/2016- 6/15/2017. B) Calculate the average returns, average daily variance, and average daily standard deviation for each asset. Calculate the yearly equivalent for average. variance, and standard deviation. D) Calculate the betas for all stocks. Use daily returns on the S&P 500 as a proxy for the market portfolio. E) Calculate the required return on each stock for the upcoming year ASSUMING a market portfolio risk premium of 6%. Use CAPM. (You will need to find a current value for the risk-free rate). Use the current 90-day T-bill for the risk free rate. F) Create the daily variance-covariance matrix for your returns (Omit the S&P 500 for this section). Keep in mind that this is a daily risk assessment. Scale this up to an annual basis. You may assume 252 trading days per year. (YOU WILL NEED TWO MATRICES HERE. ONE FOR DAILY, ONE CONVERTED TO YEARLY) G) Calculate portfolio return and risk for an equally weighted portfolio using expected returns for the upcoming year. (you may want to copy and paste these results to another sheet. It is a deliverable for the project). Returns are forward looking so use the CAPM model. H) Find the minimum variance portfolio. Short-selling is allowed. I) Using SOLVER, create the efficient frontier. J) Plot the 9 securities on your graph. K) Use Solver to find the market portfolio (composed of 8 stocks. Again ignore the S&P). Plot the market portfolio on your graph. L) Plot the Capital Market Line on your graph. For this project, you will build a portfolio of 8 assets plus the S&P 500 from the following options (9 assets in all): Asset Group Bulldog: (select 2 stocks from this group. You can't pick three in a row) Coca-Cola (KO) Pepsico, Inc. (PEP) Home Depot (HD) Lowes (LOW) Target (TGT) Walgreen Corporation (WAG) WalMart Stores (WMT) Asset Group Yellow Jacket: (select 4 stocks from this group. You can't pick four in a row) Cicso Systems (CSCO) International Business Machines (IBM) General Electric (GE) Apple Computer (AAPL) Exxon Mobil (XOM) Caterpillar (CAT) Facebook (FB) Twitter (TWTR) Yahoo! (YHOO) Johnson and Johnson (JNJ) Verizon (VZ) Netflix (NFLX) Asset Group Hoosier: (select 2 stocks from this group. You can't pick three in a row) Synovous (SNV) World Wrestling Entertainment (WWE) Anheuser-Busch InBEV (BUD) AT&T (T) Ford Motor Company (F) Delta Air Lines, Inc (DAL) Asset Group Falcon: (select 1 from this group) S&P 500 (^GSPC) Using your 9 stock portfolio plus the S&P Index, perform the following steps: A) Download and calculate daily returns for the portfolio for the following time period: 6/15/2016- 6/15/2017. B) Calculate the average returns, average daily variance, and average daily standard deviation for each asset. Calculate the yearly equivalent for average. variance, and standard deviation. D) Calculate the betas for all stocks. Use daily returns on the S&P 500 as a proxy for the market portfolio. E) Calculate the required return on each stock for the upcoming year ASSUMING a market portfolio risk premium of 6%. Use CAPM. (You will need to find a current value for the risk-free rate). Use the current 90-day T-bill for the risk free rate. F) Create the daily variance-covariance matrix for your returns (Omit the S&P 500 for this section). Keep in mind that this is a daily risk assessment. Scale this up to an annual basis. You may assume 252 trading days per year. (YOU WILL NEED TWO MATRICES HERE. ONE FOR DAILY, ONE CONVERTED TO YEARLY) G) Calculate portfolio return and risk for an equally weighted portfolio using expected returns for the upcoming year. (you may want to copy and paste these results to another sheet. It is a deliverable for the project). Returns are forward looking so use the CAPM model. H) Find the minimum variance portfolio. Short-selling is allowed. I) Using SOLVER, create the efficient frontier. J) Plot the 9 securities on your graph. K) Use Solver to find the market portfolio (composed of 8 stocks. Again ignore the S&P). Plot the market portfolio on your graph. L) Plot the Capital Market Line on your graph.
Expert Answer:
Answer rating: 100% (QA)
A To download and calculate daily returns for the portfolio for the given time period you would need access to financial data or a financial software The daily returns can be calculated using the form... View the full answer
Related Book For
Statistical Reasoning for Everyday Life
ISBN: 978-0321817624
4th edition
Authors: Jeff Bennett, Bill Briggs, Mario F. Triola
Posted Date:
Students also viewed these accounting questions
-
In this program, you will build a Netflix movie database using the provided file, netflix.csv. The file contains more than two hundred records of movies and TV programs, with each record consisting a...
-
You were asked to calculate the convexity of a 10 year bond that has a coupon of 2.80% and a YTM of 3.40%. You could have typed the numbers into the duration calculator rather than actually...
-
Find the energy stored in a uniformly charged solid sphere of radius R and charge q by using: =ofEdr dt W (Hint: integrate over all space; dt = r sine dr de do )
-
Data was collected for a sample of organic snacks. The amount of sugar (in mg) in each snack is summarized in the histogram below. Frequency 12 -10 8 6 4 2 n = 180 200 220 240 260 280 300 320 amount...
-
How is the utilization factor u for cogeneration plants defined? Could u be unity for a cogeneration plant that does not produce any power?
-
The performance time (minutes) for Beethoven's Ninth Symphony is obtained from each of seven compact discs. 66.9 66.2 71.0 68.6 65.4 68.4 71.9 (a) Find the sample median. (b) Find the sample mean....
-
Describe the trends in wages and employment implied by the cobweb model for the engineering market. What would happen to the cobwebs if a consulting firm sold information on the history of wages and...
-
Filmore Homebuilders issued $250,000 of 8%, 10-year bonds at par on September 30, 2012. Filmore pays semiannual interest on March 31 and September 30. Requirements 1. Journalize the issuance of the...
-
Following the launch of new electric cars by Toyota and Honda, demand for Japanese cars increases for all values of the real exchange rate, domestic GDP and foreign GDP. In other words, all things...
-
When the motorcyclist is at A, he increases his speed along the vertical circular path at the rate of v = (0.3t) ft/s, where t is in seconds and t = 0 at A. If he starts from rest at A, determine the...
-
Use Simulink to find the Real, Reactive and Power Factor of the source E1. L1 10 mH1 11 10 ARMS 50 Hz +36 Deg R1 5 Ohm ele R2 4Ohm L2 15 mH R4 8 Ohm 12 7ARMS 50 Hz *74 Deg C1 150 micro F R3 3Ohm mm....
-
In the era of avocado sourdough toast and coconut chia seed pudding, the yeast extract Marmite makes for an underwhelming breakfast to post on your social media account. But last year, the brand...
-
Discuss the implications of the Medicare and Medicaid programs on the fi nancial outcomes of providers of care in the United States. Also discuss the changes in the clinical health of the US...
-
Go to the Web. Locate your states criminal statutes online. What forms of gambling are legal in your state? Using other resources available on the Internet, determine whether there are efforts...
-
Go to the Web. Locate your states criminal statutes. Determine whether possession of small amounts of marijuana is a felony, a misdemeanor, or a noncriminal infraction in your state.
-
Go to the Web. Locate your states criminal statutes online. Determine whether your state has its own laws against racketeering or other forms of organized crime. Use your state governments Internet...
-
Tom and Granny are fighting over ownership of the family home. Since the two are unable to resolve their dispute amicably, Tom files a lawsuit against Granny in Federal District Court. At trial, both...
-
Explain what is meant by vicarious liability and when it is available?
-
The average salary of all active professional basketball players. State whether the mean or median would give a better description of the "average." Explain your reasoning.
-
In your own words, describe the law of large numbers.
-
Choose two variables that appear to have a relationship that is worth investigating. One variable should have at least two categories of individualsfor example, two or more age categories, racial...
-
Do the assumptions for Bernoulli trials appear to hold? Explain. If the assumptions hold, identify success and the probability of interest. (a) A TV ratings company will use their electronic...
-
Use Table 1, or software, to find (a) \(B(8 ; 16,0.40)\); (b) \(b(8 ; 16,0.40)\); (c) \(B(9 ; 12,0.60)\); (d) \(b(9 ; 12,0.60)\); (e) \(\sum_{k=6}^{20} b(k ; 20,0.15)\); (f) \(\sum_{k=6}^{9} b(k ;...
-
Use Table 1, or software, to find (a) \(B(7 ; 18,0.45)\); (b) \(b(7 ; 18,0.45)\); (c) \(B(8 ; 11,0.95)\); (d) \(b(8 ; 11,0.95)\); (e) \(\sum_{k=4}^{11} b(k ; 11,0.35)\); (f) \(\sum_{k=2}^{4} b(k ;...
Study smarter with the SolutionInn App