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Investment Finance Part A

Essay by   •  September 1, 2018  •  Research Paper  •  733 Words (3 Pages)  •  622 Views

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Contents Page

Question 1: HPR, AAR & GAR                                                        4                                                        

Question 2: Daily Value at Risk                                                8

Question 3: Portfolio Selection                                                        9

Question 4: The Capital Asset Pricing Model                                        11

Question 5: Single Index Portfolio Risk & Return                                13

Telstra (TLS)

Question 1: HPR, AAR & GAR – Data source; DatAnalysis

  1. Monthly HPRs
  • Formula - source: Principles of Investment

[pic 1]

  • Excel formula

= (5.25 – 5.63)/5.63  …

  • Results

[pic 2]

  • Line graph

[pic 3]

  1. Variance - “Expected value of the square deviation from the mean” (Bodie, Drew, Basu, Kane & Marcus, 2017).
  • Formula - source: Principles of Investment

[pic 4]

  • Excel formula

=VAR.S(C4:C26)

Standard Deviation

Formula - source: Principles of Investment

[pic 5]

  • Excel formula

=STDEV.S(C4:C26)

  • Results

[pic 6]

Minimum Return

  • Excel formula

=MIN(C4:C26)

Maximum Return

  • Excel formula

=MAX(C4:C26)

  • Results

[pic 7] 

  1. Arithmetic Average
  • Formula - “The sum of returns in each period divided by the number of periods” (Bodie, Drew, Basu, Kane & Marcus, 2017).
  • Excel formula

=SUM(C4:C26)/COUNT(C4:C26)

Geometric Average – effective rate per period of the holding return

  • Excel formula

=(PRODUCT(D4:D26)^(1/23))-1

  • Results

[pic 8]

  1. Number of TLS shares purchased:-
  • Formula - Funds available after brokerage (49970) / TLS share price (5.63) (at the beginning of the period.
  1. Gain on the disposal of 8875.666075 TLS shares (based on the last market price of the share).
  • Formula – no. of shares (8875.666075) * last market price (3.63)
  • Results

[pic 9]

Telstra (TLS) + National Australia Bank (NAB)

Question 2: Daily Value at Risk - Data source; Yahoo Finance

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