Estimate the minimum variance portfolio

Reference no: EM132182743

Assessment -

Part 1 requirements -

You are an analyst working for a major stock broking firm. Your boss has asked you to prepare a report on the risk and return characteristics of two S&P/NZX 50 Gross Index (^NZ50) companies.

The S&P/NZX 50 Gross Index is designed to measure the performance of the 50 largest, eligible stocks listed on the Main Board (NZSX) of the NZX by float-adjusted market capitalization. The index is widely considered as New Zealand's preeminent benchmark index. The index is covering approximately 90% of New Zealand equity market capitalization

Resent 3-year daily data is required to perform the calculations (Part one).

You are expected to include the following contents in your calculations:

Calculate the historical daily returns of the two NZ50 companies.
Obtain the summary statistics of the daily returns of the two NZ50 companies.
Create Histogram for the two NZ50 companies.
Convert the daily returns to annul returns for the two NZ50 companies.
Perform a t-test to examine whether the mean of the two NZ50 companies' daily returns are statistically different.
Estimate portfolio returns and standard deviations based on varying proportions of the two NZ50 companies in the portfolio.
Estimate the minimum variance portfolio.

You need to match the sample to perform portfolio return and risk analyses, e.g., please exclude the trading dates that is only available for one of the two NZ50 companies.

Part 2 requirements -

Your report will be delivered to clients of the firm who may have little knowledge of finance, so please interpret your results clearly. Please have a focus on the finance concepts rather than the statistical analyses. Your boss points out that although the past is not always a good predictor of the future, the clients may want to use the historical return and risk data when making buy and sell decisions.

Attachment:- Assignment File.rar

Reference no: EM132182743

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Reviews

len2182743

12/1/2018 3:55:30 AM

The project counts for 20% of your final grade. It is not something that you can do in the last week before it is due so I suggest that you start working on it well before the due date. The project consists of two parts. Part one is worth 10 marks. It involves analysing the risk and return characteristics of two companies of your choice. Part two involves writing a report to your clients to discuss the analysis results you did in Part one. Please keep in mind that your clients may have little knowledge of finance. The second part is worth 10 marks.

len2182743

12/1/2018 3:55:25 AM

What needs to be handed? In electronic copy (submitted through 125.250 Financial Modelling Stream at “125250 project submission drop-box”). Your Excel Workbook - Please use separate spreadsheets to performance the calculations and name each spreadsheets. The written report with a cover sheet showing your name and Massey ID number. Your report should include a write-up with a maximum length of eight pages (1.5 line-spaced, exclude appendix).

len2182743

12/1/2018 3:55:19 AM

The format of the report should follow the standard report writing format, which includes the introduction, discussion (data and results) and summary/conclusion sections. There is no need to provide tables/charts into the written report. If you prefer to include tables and charts, please put them in the appendix. You should provide the references list for all the sources that you have cited (e.g. journal papers, website articles, etc.)

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