You will draw the necessary data for this coursework from databases such as Yahoo Finance, FAME, and Thomson Reuters Datastream.

Select any five firms from the FTSE 100 index components[1], and download adjusted monthly closing stock prices for each one of your five firms over the recent period of five years.

Your 61 monthly price observations should be from the end of January 2015 to the end of January 2020 so that you can then obtain 60 discrete monthly return observations in total for each stock from the end of February 2015 to the end of January 2020.

You are free to choose whatever stocks you want, irrespective of their characteristics and historical investment performance as this will not affect your grade.

Also, download adjusted monthly closing price levels for the FTSE 100 Index as a proxy for the UK market portfolio over the same 5-year period[2].

In order to determine the risk-free rate of return, assume a constant 3-month UK Treasury Bills monthly rate of 0.08% for the whole sample period.

[1] You can find the eligible firms from this link: http://www.londonstockexchange.com/exchange/prices-and-markets/stocks/indices/constituents-indices.html?index=UKX

[2] You can find its historical prices via Yahoo: https://finance.yahoo.com/quote/%5EFTSE%3FP/history?p=%5EFTSE%3FP