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

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.

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

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