a) Construct a portfolio that invests 50% in SCL stock and 50% in SAN stock, and to
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Question:
a) 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.
b) Compare the estimated beta and expected return of the portfolio with those for the two individual stocks.
Name | SCL price | SAN price | NZX50 index | 90 DAY BANK BILL (RFR) - % p.a. | |||
Jan-15 | 1.43 | 4.80 | 5568.28 | 3.67 | |||
Feb-15 | 1.52 | 4.95 | 5756.68 | 3.64 | |||
Mar-15 | 1.55 | 4.95 | 5892.67 | 3.63 | |||
Apr-15 | 1.57 | 4.85 | 5835.58 | 3.64 | |||
May-15 | 1.63 | 4.86 | 5797.40 | 3.62 | |||
Jun-15 | 1.73 | 5.10 | 5844.95 | 3.47 | |||
Jul-15 | 1.70 | 5.20 | 5794.35 | 3.24 | |||
Aug-15 | 2.00 | 5.07 | 5957.85 | 3.06 | |||
Sep-15 | 2.00 | 5.01 | 5654.99 | 2.89 | |||
Oct-15 | 2.02 | 4.90 | 5585.43 | 2.83 | |||
Nov-15 | 2.11 | 4.95 | 5983.84 | 2.95 | |||
Dec-15 | 2.23 | 5.70 | 6150.68 | 2.85 | |||
Jan-16 | 2.46 | 5.60 | 6324.26 | 2.75 | |||
Feb-16 | 2.28 | 5.70 | 6174.49 | 2.69 | |||
Mar-16 | 2.35 | 6.40 | 6280.90 | 2.56 | |||
Apr-16 | 3.08 | 6.20 | 6708.02 | 2.33 | |||
May-16 | 3.35 | 6.00 | 6791.82 | 2.38 | |||
Jun-16 | 3.31 | 5.80 | 7022.40 | 2.42 | |||
Jul-16 | 2.98 | 5.56 | 6926.23 | 2.42 | |||
Aug-16 | 3.27 | 5.62 | 7356.63 | 2.26 | |||
Sep-16 | 3.21 | 5.85 | 7423.19 | 2.23 | |||
Oct-16 | 3.20 | 6.38 | 7372.49 | 2.20 | |||
Nov-16 | 3.10 | 6.26 | 6930.49 | 2.13 | |||
Dec-16 | 3.47 | 6.75 | 6932.74 | 2.04 | |||
Jan-17 | 3.45 | 6.78 | 6881.22 | 2.00 | |||
Feb-17 | 3.41 | 7.00 | 7055.50 | 2.02 | |||
Mar-17 | 3.45 | 7.50 | 7148.78 | 2.00 | |||
Apr-17 | 3.43 | 7.32 | 7225.01 | 2.00 | |||
May-17 | 3.35 | 7.27 | 7382.22 | 1.98 | |||
Jun-17 | 3.33 | 7.15 | 7450.90 | 1.95 | |||
Jul-17 | 3.34 | 6.95 | 7588.43 | 1.99 | |||
Aug-17 | 3.40 | 7.25 | 7729.44 | 1.96 | |||
Sep-17 | 3.39 | 7.36 | 7821.98 | 1.96 | |||
Oct-17 | 3.70 | 7.90 | 7928.89 | 1.94 | |||
Nov-17 | 3.78 | 7.90 | 8053.81 | 1.95 | |||
Dec-17 | 3.87 | 8.07 | 8188.83 | 1.91 | |||
Jan-18 | 4.78 | 8.30 | 8398.08 | 1.88 | |||
Feb-18 | 4.78 | 7.96 | 8383.87 | 1.89 | |||
Mar-18 | 4.49 | 7.70 | 8342.71 | 1.92 | |||
Apr-18 | 4.51 | 7.43 | 8319.07 | 1.97 | |||
May-18 | 4.51 | 7.60 | 8435.97 | 2.03 | |||
Jun-18 | 4.66 | 7.70 | 8636.16 | 2.01 | |||
Jul-18 | 4.63 | 7.70 | 8942.47 | 1.98 | |||
Aug-18 | 4.61 | 7.62 | 8859.92 | 1.91 | |||
Sep-18 | 4.81 | 7.70 | 9257.29 | 1.90 | |||
Oct-18 | 4.90 | 7.95 | 9327.27 | 1.90 | |||
Nov-18 | 4.63 | 7.39 | 8843.83 | 1.94 | |||
Dec-18 | 4.47 | 6.70 | 8876.09 | 1.97 | |||
Jan-19 | 4.50 | 6.60 | 8811.27 | 1.97 | |||
Feb-19 | 4.40 | 6.68 | 8999.17 | 1.93 | |||
Mar-19 | 4.74 | 6.60 | 9351.68 | 1.89 | |||
Apr-19 | 4.98 | 6.97 | 9853.91 | 1.84 | |||
May-19 | 4.98 | 6.83 | 9966.42 | 1.79 | |||
Jun-19 | 4.75 | 6.75 | 10117.99 | 1.64 | |||
Jul-19 | 4.67 | 6.81 | 10464.53 | 1.62 | |||
Aug-19 | 4.55 | 6.71 | 10860.82 | 1.46 | |||
Sep-19 | 4.77 | 6.75 | 10800.00 | 1.18 | |||
Oct-19 | 5.00 | 6.80 | 10996.99 | 1.09 | |||
Nov-19 | 5.21 | 7.05 | 10761.69 | 1.12 | |||
Dec-19 | 5.19 | 7.80 | 11301.98 | 1.22 | |||
Jan-20 | 5.01 | 7.95 | 11491.90 | 1.29 | |||
Feb-20 | 4.63 | 7.56 | 11550.16 | 1.25 | |||
Mar-20 | 4.10 | 6.90 | 11103.43 | 0.90 | |||
Apr-20 | 4.43 | 6.59 | 9926.08 | 0.49 | |||
May-20 | 4.88 | 7.00 | 10449.01 | 0.26 | |||
Jun-20 | 4.92 | 6.85 | 10882.41 | 0.26 | |||
Jul-20 | 4.97 | 6.35 | 11350.27 | 0.30 | |||
Aug-20 | 4.93 | 6.49 | 11666.09 | 0.30 |
Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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