Investment Analysis Assignment Part II - Summer 2018

25503 Investment Analysis
Assignment |Part II
Summer 2018

Table of Contents
Part 1: Portfolio Construction....................................................................................................3
[a] Weekly Return..................................................................................................................3
[b] Expected Return and Variance- Covariance Matrix.........................................................3
[c] Portfolio beta.....................................................................................................................3
[d] Total Risks........................................................................................................................3
[e] Capital Market Line (CML):.............................................................................................4
[f] Security Market Line (SML):............................................................................................5
Part 2: Advanced Portfolio.........................................................................................................7
[a] Portfolio with beta = 1......................................................................................................7
[b] Root-Mean-Square Error (RMSE)....................................................................................8
[c] RMSE with top 5:.............................................................................................................9
[d] Expected Return, variance, beta and R^2:........................................................................9
Part 3: Out of Sample portfolio................................................................................................10
[a] Time-series plot of the tracker portfolio.........................................................................10
[b] Simple annualised return of the tracker portfolio...........................................................10
[c] Beta, R^2, and RMSE.....................................................................................................10

Part 1: Portfolio Construction
[a] Weekly Return
[b] Expected Return and Variance- Covariance Matrix
[c] Portfolio beta
[d] Total Risks