Caso
Group Assignment IA
- Grado
- Institución
Case of 11 pages for the course Investment Analysis at UVT (Group Assignment IA)
[Mostrar más]Vista previa 2 fuera de 11 páginas
Vista previa 2 fuera de 11 páginas
Añadir al carrito
Añadir al carrito
1 revisar
Por: seymabas01 • 1 mes hace
Vendedor
Seguir
sprangersbart
Comentarios recibidos
Vista previa del contenido
Group number: 1Lieuwe Bil - 2104794
Sander Slegers - 2014239
Niek van den Hurk - 2079279
Bart Sprangers - 2108613
Introduction:
To complete the assignment, we collected data of 75 different stocks, over a time-period ranging
from 1981 until 2022 (no data on 2023 was available). We selected companies with share code
of 10 or 11 and collected all the necessary data. We randomly chose 75 companies based on the
returns per company. While answering the questions below, we added more columns and
calculations to the dataset. The used PERMNO’s are included in Appendix 1.
Question 1: Suppose you are a US investor who invests in a market-value weighted
portfolio that contains stocks that you collected. (i) Calculate the market-value weighted
portfolio. (ii) What is the average monthly return? (iii) What is the risk as measured by
standard deviation? (iv) What is the annual 99% Value at Risk (VaR) for an investment of
€200.000, -? (v) Finally, calculate the monthly 10% GUISE as has been explained during
class.
(i) To answer this question, we used the full dataset of 75 stocks. To calculate the market-value
weighted portfolio, we first need to find the weights of the portfolio. The weights are calculated
by dividing the market capitalization of the individual stock by the sum of all 75 market
capitalizations in the portfolio. Summing up all the weights of the individual stocks equals one.
(ii) The average monthly return of our portfolio of 75 stocks is 1.07%. So, on average the
portfolio gained 1.07% each month from 1981 up until 2022.
(iii) The standard deviation of the portfolio has been calculated using the portfolio returns and
average return calculated for question 1.ii. As we have the monthly returns, the mean of the
monthly returns and the number of observations the following general formula can be used:
√
n
∑ ( xi−μ )2
i =1
σ=
n
As the dataset contains monthly returns the formula calculates monthly standard deviation. To
calculate the annual standard deviation, we multiplied the monthly standard deviation of 5.30%
by the square root of twelve which returned an annual standard deviation of the portfolio of
18.37%
1
, (iv) To calculate the Value at Risk (VaR) we use the following formula:
VaRt = Wt * (2.33 * SD - 𝜇) = 200.000 * ABS ((2.33 * 18,37%) - 13,56%) = €58.341.
Meaning we can say with 99% confidence that within a year not more than €58.341 out of the
€200.000 investment will be lost.
(v) To calculate the 10% GUISE, we used the Excel provided on Canvas and the lecture slides.
The assumptions made in the lecture are the same assumptions we are using during our
calculations of the GUISE. As the monthly GUISE is asked and the returns in the dataset are also
monthly returns the Arithmic GUISE can be used. This is because any compounding within the
month is already in the monthly returns. The yearly costs are assumed to be 0.5% and the initial
costs are estimated to be 2.00%. The invested amount is €200.000.
In the bad state of the world, the investor will get an expected payoff of €179.522 for his
€200.000 investment. The GUISE calculation is included in Appendix 2.
Question 2: (i) Draw the mean-variance frontier based on the 6 assets when short sales are
allowed. (ii) Next, in the same figure, draw the mean-variance frontier when short sales are
NOT allowed. (iii) Moreover, put these 6 assets and the value-weighted portfolio of those
assets in the figure as well. (iv) Explain the results.
(i) & (ii) & (iii)
2
Los beneficios de comprar resúmenes en Stuvia estan en línea:
Garantiza la calidad de los comentarios
Compradores de Stuvia evaluaron más de 700.000 resúmenes. Así estas seguro que compras los mejores documentos!
Compra fácil y rápido
Puedes pagar rápidamente y en una vez con iDeal, tarjeta de crédito o con tu crédito de Stuvia. Sin tener que hacerte miembro.
Enfócate en lo más importante
Tus compañeros escriben los resúmenes. Por eso tienes la seguridad que tienes un resumen actual y confiable. Así llegas a la conclusión rapidamente!
Preguntas frecuentes
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
100% de satisfacción garantizada: ¿Cómo funciona?
Nuestra garantía de satisfacción le asegura que siempre encontrará un documento de estudio a tu medida. Tu rellenas un formulario y nuestro equipo de atención al cliente se encarga del resto.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller sprangersbart. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for 8,86 €. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
45,681 summaries were sold in the last 30 days
Founded in 2010, the go-to place to buy summaries for 14 years now