### 代写r语言之风险投资组合分析BAO3403 Investment and Portfolio Management

**BAO3403 Investment and Portfolio Management**

Asia - Semester 3, 2018

CUFE, China

Group Assignment

This is a group assignment which carries 30% of the assessment in this unit. It is due on 16 February 2018. The number of members for a group is four. The group needs to appoint a leader who should coordinate the activities of the group to ensure that each member makes an equal contribution. The group leader should maintain records of the group meetings and of attendance and divide the tasks among group members.

Choose four companies listed on the Australian Stock Exchange (ASX) or from Yahoo Finance and collect the following data for these companies on a monthly basis for the period January 2015 to the December 2017: (i) Closing share prices, (ii) dividends, (iii) closing values of S&P/ASX 200 index, and

(iv) data on a proxy variable for the risk-free rate of return in Australia. Please note that you need to obtain unadjusted shares prices for the companies selected and unadjusted values for the S&P/ASX 200 index. Save the data in an Excel sheet from column A to I and name it ‘data’. The companies chosen should have been traded in all months during the above period. Using the above data, perform the following tasks:

1. Compute monthly holding period returns (HPRs) for the companies and for the market

2. Compute average HPRs with and without compounding for the companies and for the market and compare the returns.

3. Compute annualised HPRs for the companies and for the market with and without compounding using the figures you computed in (2) above.

4. Compute standard deviation of share returns for the companies and for the market and comment on the standard deviations.

5. Compute annualised standard deviation of share returns for the companies and for the market.

6. Assume you buy two shares of each company in January 2015 and one share in each company in December of that year and sell all shares in December 2017. Also assume you collect the dividends paid by each company. For each company

(i) Calculate your total cash flows for each year

(ii) Calculate your dollar weighted return using the cash flows calculated above

7. Compute the covariance and correlation matrix using share returns you calculated in (1). Why correlation is important in investment decisions?

8. On the basis of the calculations in 7 above, select any two companies. Assume you invest 60% of your money in one company and the balance in the other company. Compute the following:

i. Portfolio return

ii. Portfolio standard deviation

iii. Comment on the standard deviation of the portfolio.

9. Compute beta coefficient for each company and interpret them. Explain the use of beta

10. What value for beta would you expect for the market? Explain.

11. Compute required rates of returns for each company using an appropriate method/model as discussed in the class.

12. Using the calculations you performed above, calculate the systematic and unsystematic variance for each company. Compute the unsystematic risk as a ratio of total variance of each security and interpret the results.

**Instructions**

a. The assignment should be professionally prepared. Please consult your lecturer as to the format of a professionally prepared assignment.

b. Your must assign yourself to a group on the VU Collaborate before you start the assignment. Otherwise VU Collaborate will not allow you to submit your assignment to the drop box.

c. You are required to upload two documents to the VU Collaborate as separate files to the respective folders. The first file should contain the assessment declaration sheet (first page) signed by all the members of the group and the assignment as a word document containing your answers to each of the above questions. On the first page of the word document write the code and the name of the unit and your names and Victoria University student identification numbers. In the word document, you need to clearly show all the formulas and figures used to do the calculations when you answer each question. The second file should be an Excel file containing your data and calculations. This file **will not be marked**. It is just to verify that you have collected correct data and have performed calculations accurately.

Name the sheet in which you have data as ‘data’. Open a second sheet and name this as

‘calculations’. In this sheet show calculations for each question consecutively one below the other starting in the left hand side. Do not create any links between the first sheet and the second sheet.

d. In the word document, you need to show only answers with necessary tables. Do not cut and paste the Excel sheets to the word file.

e. The maximum number of decimal places for calculated figures should be four.

f. If you want to withdraw a submitted assignment to revise it you are allowed to do so until the submission date.

g. Check your similarity score carefully. If it is higher than 20%, your assignment would be marked as if you had not plagiarised and then a penalty will be applied to the final mark you have obtained.

h. Assignments submitted via email will not be marked.

i. A hard copy of the assignment with the signed university assessment declaration sheet should be handed in to your lecturer on or before the due date by your group leader.

j. It is the group leader’s responsibility to ensure that all members contribute equally to the assignment, keep records of group meetings and upload the assignment. Please note that **only one member **needs to upload or withdraw the assignment. If more than one memberof a group uploads the assignment, your similarity index might go up. **Any mistake** **committed in uploading **will not be given any consideration in marking.

k. Assignments will not be marked until the assignment is submitted with the assessment declaration sheet attached.

l. Late submissions without prior approval will attract a 10% penalty per day. The penalty will be applied to the marks obtained. Submissions which are 10 days later than the due date are not marked.

m. Maximum similarity score tolerated is 20%. Therefore, your final mark will be 1-(similarity score – 20%)*actual mark.

n. You are required to keep soft and hard copies of the assignment and a soft copy of the Excel sheets until the exam marks are released.