Investment Management Name of the University Author's Name
Added on 2020-02-24
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Running head: INVESTMENT MANAGEMENT
Investment Management
Name of the Student
Name of the University
Author’s Note
Investment Management
Name of the Student
Name of the University
Author’s Note
1
INVESTMENT MANAGEMENT
Table of Contents
Question 2........................................................................................................................................0
Answer to Part A.........................................................................................................................0
Answer to Part B.........................................................................................................................5
Answer to Part C and Part D.....................................................................................................10
Answer to Part E.........................................................................................................................0
References........................................................................................................................................1
INVESTMENT MANAGEMENT
Table of Contents
Question 2........................................................................................................................................0
Answer to Part A.........................................................................................................................0
Answer to Part B.........................................................................................................................5
Answer to Part C and Part D.....................................................................................................10
Answer to Part E.........................................................................................................................0
References........................................................................................................................................1
0
INVESTMENT MANAGEMENT
Question 2
Answer to Part A
Calculation of Rate of return using Single Index model
Calculation of
required rate of
return
Month ASX200
Percentage daily
change ASX200
Closing Price
of BHP
Percentage daily change
BHP Closing Price Of CBA
Percentage
change
closing price
of CBA
Closing
Price of
TLS
Percentage
change
closing
price of
TLS
Closing
Price of
WOW
Percentage
change
closing
price of
WOW
8/31/2012 4387.0 23.229971 39.641315 2.851738 28.471
9/30/2012 4517.0 2.963% 24.735937 6.483% 41.048679 3.550% 3.011784 5.612% 29.1145 2.260%
10/31/2012 4506.0 -0.244% 24.83703 0.409% 42.427601 3.359% 3.135456 4.106% 29.28 0.568%
11/30/2012 4649.0 3.174% 26.794292 7.880% 44.197498 4.172% 3.179105 1.392% 29.33 0.171%
12/31/2012 4878.8 4.943% 27.068739 1.024% 45.811039 3.651% 3.346427 5.263% 31.24 6.512%
1/31/2013 5104.1 4.618% 26.772577 -1.094% 47.815491 4.375% 3.339153 -0.217% 34.93 11.812%
2/28/2013 4966.5 -2.696% 23.659847 -11.627% 50.102146 4.782% 3.429078 2.693% 33.79 -3.264%
3/31/2013 5191.2 4.524% 24.173956 2.173% 54.109741 7.999% 3.786432 10.421% 36.41 7.754%
4/30/2013 4926.6 -5.097% 25.785566 6.667% 49.254967 -8.972% 3.603953 -4.819% 33 -9.366%
5/31/2013 4802.6 -2.517% 23.190737 -10.063% 50.964081 3.470% 3.626763 0.633% 32.81 -0.576%
6/30/2013 5052.0 5.193% 25.60812 10.424% 54.669621 7.271% 3.794035 4.612% 33.32 1.554%
INVESTMENT MANAGEMENT
Question 2
Answer to Part A
Calculation of Rate of return using Single Index model
Calculation of
required rate of
return
Month ASX200
Percentage daily
change ASX200
Closing Price
of BHP
Percentage daily change
BHP Closing Price Of CBA
Percentage
change
closing price
of CBA
Closing
Price of
TLS
Percentage
change
closing
price of
TLS
Closing
Price of
WOW
Percentage
change
closing
price of
WOW
8/31/2012 4387.0 23.229971 39.641315 2.851738 28.471
9/30/2012 4517.0 2.963% 24.735937 6.483% 41.048679 3.550% 3.011784 5.612% 29.1145 2.260%
10/31/2012 4506.0 -0.244% 24.83703 0.409% 42.427601 3.359% 3.135456 4.106% 29.28 0.568%
11/30/2012 4649.0 3.174% 26.794292 7.880% 44.197498 4.172% 3.179105 1.392% 29.33 0.171%
12/31/2012 4878.8 4.943% 27.068739 1.024% 45.811039 3.651% 3.346427 5.263% 31.24 6.512%
1/31/2013 5104.1 4.618% 26.772577 -1.094% 47.815491 4.375% 3.339153 -0.217% 34.93 11.812%
2/28/2013 4966.5 -2.696% 23.659847 -11.627% 50.102146 4.782% 3.429078 2.693% 33.79 -3.264%
3/31/2013 5191.2 4.524% 24.173956 2.173% 54.109741 7.999% 3.786432 10.421% 36.41 7.754%
4/30/2013 4926.6 -5.097% 25.785566 6.667% 49.254967 -8.972% 3.603953 -4.819% 33 -9.366%
5/31/2013 4802.6 -2.517% 23.190737 -10.063% 50.964081 3.470% 3.626763 0.633% 32.81 -0.576%
6/30/2013 5052.0 5.193% 25.60812 10.424% 54.669621 7.271% 3.794035 4.612% 33.32 1.554%
1
INVESTMENT MANAGEMENT
7/31/2013 5135.0 1.643% 26.428757 3.205% 53.660385 -1.846% 3.725605 -1.804% 35.67 7.053%
8/31/2013 5218.9 1.634% 26.42132 -0.028% 54.599335 1.750% 3.933066 5.569% 35 -1.878%
9/30/2013 5425.5 3.959% 28.628956 8.356% 58.33329 6.839% 4.099253 4.225% 34.9 -0.286%
10/31/2013 5320.1 -1.943% 28.423702 -0.717% 59.667393 2.287% 4.004289 -2.317% 33.69 -3.467%
11/30/2013 5352.2 0.603% 28.87977 1.605% 59.65213 -0.026% 4.154648 3.755% 33.85 0.475%
12/31/2013 5190.0 -3.031% 27.800299 -3.738% 56.914856 -4.589% 4.067597 -2.095% 34.07 0.650%
1/31/2014 5404.8 4.139% 29.1763 4.950% 57.244564 0.579% 3.996376 -1.751% 36.07 5.870%
2/28/2014 5394.8 -0.185% 27.724312 -4.977% 61.503452 7.440% 4.185248 4.726% 35.72 -0.970%
3/31/2014 5489.1 1.748% 29.456768 6.249% 62.662968 1.885% 4.30059 2.756% 37.32 4.479%
4/30/2014 5492.5 0.062% 28.879326 -1.960% 64.79937 3.409% 4.399455 2.299% 37.53 0.563%
5/31/2014 5395.7 -1.762% 28.01321 -2.999% 64.235558 -0.870% 4.292351 -2.434% 35.22 -6.155%
6/30/2014 5632.9 4.396% 30.182432 7.744% 66.514908 3.548% 4.523034 5.374% 36.95 4.912%
7/31/2014 5625.9 -0.124% 28.614029 -5.196% 64.584984 -2.901% 4.580705 1.275% 36.16 -2.138%
8/31/2014 5292.8 -5.921% 26.429104 -7.636% 62.188057 -3.711% 4.535831 -0.980% 34.24 -5.310%
9/30/2014 5526.6 4.417% 27.246634 3.093% 66.474876 6.893% 4.818251 6.226% 36 5.140%
10/31/2014 5313.0 -3.865% 24.807594 66.673111 0.298% 4.8696 1.066% 31.12 -13.556%
INVESTMENT MANAGEMENT
7/31/2013 5135.0 1.643% 26.428757 3.205% 53.660385 -1.846% 3.725605 -1.804% 35.67 7.053%
8/31/2013 5218.9 1.634% 26.42132 -0.028% 54.599335 1.750% 3.933066 5.569% 35 -1.878%
9/30/2013 5425.5 3.959% 28.628956 8.356% 58.33329 6.839% 4.099253 4.225% 34.9 -0.286%
10/31/2013 5320.1 -1.943% 28.423702 -0.717% 59.667393 2.287% 4.004289 -2.317% 33.69 -3.467%
11/30/2013 5352.2 0.603% 28.87977 1.605% 59.65213 -0.026% 4.154648 3.755% 33.85 0.475%
12/31/2013 5190.0 -3.031% 27.800299 -3.738% 56.914856 -4.589% 4.067597 -2.095% 34.07 0.650%
1/31/2014 5404.8 4.139% 29.1763 4.950% 57.244564 0.579% 3.996376 -1.751% 36.07 5.870%
2/28/2014 5394.8 -0.185% 27.724312 -4.977% 61.503452 7.440% 4.185248 4.726% 35.72 -0.970%
3/31/2014 5489.1 1.748% 29.456768 6.249% 62.662968 1.885% 4.30059 2.756% 37.32 4.479%
4/30/2014 5492.5 0.062% 28.879326 -1.960% 64.79937 3.409% 4.399455 2.299% 37.53 0.563%
5/31/2014 5395.7 -1.762% 28.01321 -2.999% 64.235558 -0.870% 4.292351 -2.434% 35.22 -6.155%
6/30/2014 5632.9 4.396% 30.182432 7.744% 66.514908 3.548% 4.523034 5.374% 36.95 4.912%
7/31/2014 5625.9 -0.124% 28.614029 -5.196% 64.584984 -2.901% 4.580705 1.275% 36.16 -2.138%
8/31/2014 5292.8 -5.921% 26.429104 -7.636% 62.188057 -3.711% 4.535831 -0.980% 34.24 -5.310%
9/30/2014 5526.6 4.417% 27.246634 3.093% 66.474876 6.893% 4.818251 6.226% 36 5.140%
10/31/2014 5313.0 -3.865% 24.807594 66.673111 0.298% 4.8696 1.066% 31.12 -13.556%
2
INVESTMENT MANAGEMENT
-8.952%
11/30/2014 5411.0 1.845% 23.563988 -5.013% 70.745247 6.108% 5.109229 4.921% 30.68 -1.414%
12/31/2014 5588.3 3.277% 23.475811 -0.374% 73.784798 4.296% 5.562812 8.878% 31.78 3.585%
1/31/2015 5928.8 6.093% 26.99798 15.003% 75.924126 2.899% 5.451556 -2.000% 30.71 -3.367%
2/28/2015 5891.5 -0.629% 24.895859 -7.786% 79.567451 4.799% 5.581706 2.387% 29.49 -3.973%
3/31/2015 5790.0 -1.723% 26.683275 7.180% 75.708336 -4.850% 5.51094 -1.268% 29.48 -0.034%
4/30/2015 5777.2 -0.221% 26.429522 -0.951% 72.488174 -4.253% 5.502094 -0.161% 28 -5.020%
5/31/2015 5459.0 -5.508% 24.160814 -8.584% 72.522194 0.047% 5.431328 -1.286% 26.96 -3.714%
6/30/2015 5699.2 4.400% 23.624899 -2.218% 74.592384 2.855% 5.740931 5.700% 28.6 6.083%
7/31/2015 5207.0 -8.636% 22.767435 -3.629% 65.403519 -12.319% 5.104033 -11.094% 26.4 -7.692%
8/31/2015 5021.6 -3.561% 19.846703 -12.829% 64.815086 -0.900% 5.15669 1.032% 24.84 -5.909%
9/30/2015 5239.4 4.337% 21.660965 9.141% 68.389183 5.514% 4.963659 -3.743% 24.11 -2.939%
10/31/2015 5166.5 -1.391% 17.022017 -21.416% 70.795685 3.519% 4.926891 -0.741% 23.67 -1.825%
11/30/2015 5295.9 2.505% 16.805599 -1.271% 76.232582 7.680% 5.15669 4.664% 24.5 3.507%
12/31/2015 5005.5 -5.483% 14.44378 -14.054% 70.118294 -8.021% 5.175074 0.357% 24.28 -0.898%
1/31/2016 4880.9 -2.489% 14.650791 1.433% 62.515537 -10.843% 4.82578 -6.750% 22.9 -5.684%
INVESTMENT MANAGEMENT
-8.952%
11/30/2014 5411.0 1.845% 23.563988 -5.013% 70.745247 6.108% 5.109229 4.921% 30.68 -1.414%
12/31/2014 5588.3 3.277% 23.475811 -0.374% 73.784798 4.296% 5.562812 8.878% 31.78 3.585%
1/31/2015 5928.8 6.093% 26.99798 15.003% 75.924126 2.899% 5.451556 -2.000% 30.71 -3.367%
2/28/2015 5891.5 -0.629% 24.895859 -7.786% 79.567451 4.799% 5.581706 2.387% 29.49 -3.973%
3/31/2015 5790.0 -1.723% 26.683275 7.180% 75.708336 -4.850% 5.51094 -1.268% 29.48 -0.034%
4/30/2015 5777.2 -0.221% 26.429522 -0.951% 72.488174 -4.253% 5.502094 -0.161% 28 -5.020%
5/31/2015 5459.0 -5.508% 24.160814 -8.584% 72.522194 0.047% 5.431328 -1.286% 26.96 -3.714%
6/30/2015 5699.2 4.400% 23.624899 -2.218% 74.592384 2.855% 5.740931 5.700% 28.6 6.083%
7/31/2015 5207.0 -8.636% 22.767435 -3.629% 65.403519 -12.319% 5.104033 -11.094% 26.4 -7.692%
8/31/2015 5021.6 -3.561% 19.846703 -12.829% 64.815086 -0.900% 5.15669 1.032% 24.84 -5.909%
9/30/2015 5239.4 4.337% 21.660965 9.141% 68.389183 5.514% 4.963659 -3.743% 24.11 -2.939%
10/31/2015 5166.5 -1.391% 17.022017 -21.416% 70.795685 3.519% 4.926891 -0.741% 23.67 -1.825%
11/30/2015 5295.9 2.505% 16.805599 -1.271% 76.232582 7.680% 5.15669 4.664% 24.5 3.507%
12/31/2015 5005.5 -5.483% 14.44378 -14.054% 70.118294 -8.021% 5.175074 0.357% 24.28 -0.898%
1/31/2016 4880.9 -2.489% 14.650791 1.433% 62.515537 -10.843% 4.82578 -6.750% 22.9 -5.684%
3
INVESTMENT MANAGEMENT
2/29/2016 5082.8 4.137% 15.864635 8.285% 69.418701 11.042% 4.899315 1.524% 22.1 -3.493%
3/31/2016 5252.2 3.333% 19.797533 24.790% 68.464333 -1.375% 5.143843 4.991% 22.11 0.045%
4/30/2016 5378.6 2.407% 18.265808 -7.737% 71.744392 4.791% 5.364567 4.291% 22.12 0.045%
5/31/2016 5233.4 -2.700% 17.854156 -2.254% 68.909096 -3.952% 5.335777 -0.537% 20.89 -5.561%
6/30/2016 5562.3 6.285% 18.687033 4.665% 71.670273 4.007% 5.537308 3.777% 23.41 12.063%
7/31/2016 5433.0 -2.325% 19.558201 4.662% 66.537064 -7.162% 5.047876 -8.839% 23.71 1.281%
8/31/2016 5435.9 0.053% 21.424988 9.545% 70.005005 5.212% 5.18 2.617% 23.27 -1.856%
9/30/2016 5317.7 -2.174% 22.37534 4.436% 70.962257 1.367% 4.98 -3.861% 23.65 1.633%
10/31/2016 5440.5 2.309% 23.674992 5.808% 76.048256 7.167% 5.05 1.406% 22.89 -3.214%
11/30/2016 5665.8 4.141% 24.305418 2.663% 79.683876 4.781% 5.1 0.990% 24.1 5.286%
12/31/2016 5620.9 -0.792% 25.837843 6.305% 78.958687 -0.910% 5 -1.961% 24.6 2.075%
1/31/2017 5712.2 1.624% 24.247227 -6.156% 79.596848 0.808% 4.82 -3.600% 25.76 4.715%
2/28/2017 5864.9 2.673% 23.316133 -3.840% 85.910004 7.931% 4.66 -3.320% 26.5 2.873%
3/31/2017 5924.1 1.009% 23.719999 1.732% 87.400002 1.734% 4.22 -9.442% 26.88 1.434%
4/30/2017 5724.6 -3.368% 23.9 0.759% 79.650002 -8.867% 4.4 4.265% 26.05 -3.088%
5/31/2017 5721.5 -0.054% 23.280001 82.809998 3.967% 4.3 -2.273% 25.54 -1.958%
INVESTMENT MANAGEMENT
2/29/2016 5082.8 4.137% 15.864635 8.285% 69.418701 11.042% 4.899315 1.524% 22.1 -3.493%
3/31/2016 5252.2 3.333% 19.797533 24.790% 68.464333 -1.375% 5.143843 4.991% 22.11 0.045%
4/30/2016 5378.6 2.407% 18.265808 -7.737% 71.744392 4.791% 5.364567 4.291% 22.12 0.045%
5/31/2016 5233.4 -2.700% 17.854156 -2.254% 68.909096 -3.952% 5.335777 -0.537% 20.89 -5.561%
6/30/2016 5562.3 6.285% 18.687033 4.665% 71.670273 4.007% 5.537308 3.777% 23.41 12.063%
7/31/2016 5433.0 -2.325% 19.558201 4.662% 66.537064 -7.162% 5.047876 -8.839% 23.71 1.281%
8/31/2016 5435.9 0.053% 21.424988 9.545% 70.005005 5.212% 5.18 2.617% 23.27 -1.856%
9/30/2016 5317.7 -2.174% 22.37534 4.436% 70.962257 1.367% 4.98 -3.861% 23.65 1.633%
10/31/2016 5440.5 2.309% 23.674992 5.808% 76.048256 7.167% 5.05 1.406% 22.89 -3.214%
11/30/2016 5665.8 4.141% 24.305418 2.663% 79.683876 4.781% 5.1 0.990% 24.1 5.286%
12/31/2016 5620.9 -0.792% 25.837843 6.305% 78.958687 -0.910% 5 -1.961% 24.6 2.075%
1/31/2017 5712.2 1.624% 24.247227 -6.156% 79.596848 0.808% 4.82 -3.600% 25.76 4.715%
2/28/2017 5864.9 2.673% 23.316133 -3.840% 85.910004 7.931% 4.66 -3.320% 26.5 2.873%
3/31/2017 5924.1 1.009% 23.719999 1.732% 87.400002 1.734% 4.22 -9.442% 26.88 1.434%
4/30/2017 5724.6 -3.368% 23.9 0.759% 79.650002 -8.867% 4.4 4.265% 26.05 -3.088%
5/31/2017 5721.5 -0.054% 23.280001 82.809998 3.967% 4.3 -2.273% 25.54 -1.958%
4
INVESTMENT MANAGEMENT
-2.594%
6/30/2017 5720.6 -0.016% 25.85 11.040% 83.730003 1.111% 4.1 -4.651% 26.7 4.542%
7/31/2017 5743.8 0.406% 25.549999 -1.161% 80.5 -3.858% 4.15 1.220% 26.75 0.187%
βa (BHP) 0.220 βb (CBA) 0.454 βc (TLS) 0.383 βd (WOW) 0.461
Expected market return of
Bendigo (Rm1) 0.46%
Expected
market return
of Suncorp
(Rm2) 1.34%
Expected market return of
Bendigo (Rm3) 0.73%
Expected
market
return of
Suncorp
(Rm4) 0.01%
Required rate of return
(SIM) 0.2249
Required rate
of return (SIM) 0.46701
Required rate of return
(SIM) 0.3898
Required
rate of
return (SIM) 0.461
INVESTMENT MANAGEMENT
-2.594%
6/30/2017 5720.6 -0.016% 25.85 11.040% 83.730003 1.111% 4.1 -4.651% 26.7 4.542%
7/31/2017 5743.8 0.406% 25.549999 -1.161% 80.5 -3.858% 4.15 1.220% 26.75 0.187%
βa (BHP) 0.220 βb (CBA) 0.454 βc (TLS) 0.383 βd (WOW) 0.461
Expected market return of
Bendigo (Rm1) 0.46%
Expected
market return
of Suncorp
(Rm2) 1.34%
Expected market return of
Bendigo (Rm3) 0.73%
Expected
market
return of
Suncorp
(Rm4) 0.01%
Required rate of return
(SIM) 0.2249
Required rate
of return (SIM) 0.46701
Required rate of return
(SIM) 0.3898
Required
rate of
return (SIM) 0.461
5
INVESTMENT MANAGEMENT
Answer to Part B
Calculation of required rate of return
Month Closing Price of BHP
Percentage daily change
BHP
Closing Price
Of CBA
Percentage change
closing price of CBA
Closing
Price of
TLS
Percentage
change
closing
price of
TLS
Closing
Price of
WOW
Percentage
change closing
price of WOW
8/31/2012 23.229971 39.641315 2.85174 28.471
9/30/2012 24.735937 6.483% 41.048679 3.550% 3.01178 5.612% 29.1145 2.260%
10/31/2012 24.83703 0.409% 42.427601 3.359% 3.13546 4.106% 29.28 0.568%
11/30/2012 26.794292 7.880% 44.197498 4.172% 3.17911 1.392% 29.33 0.171%
12/31/2012 27.068739 1.024% 45.811039 3.651% 3.34643 5.263% 31.24 6.512%
1/31/2013 26.772577 -1.094% 47.815491 4.375% 3.33915 -0.217% 34.93 11.812%
2/28/2013 23.659847 -11.627% 50.102146 4.782% 3.42908 2.693% 33.79 -3.264%
3/31/2013 24.173956 2.173% 54.109741 7.999% 3.78643 10.421% 36.41 7.754%
4/30/2013 25.785566 6.667% 49.254967 -8.972% 3.60395 -4.819% 33 -9.366%
5/31/2013 23.190737 -10.063% 50.964081 3.470% 3.62676 0.633% 32.81 -0.576%
6/30/2013 25.60812 10.424% 54.669621 7.271% 3.79404 4.612% 33.32 1.554%
7/31/2013 26.428757 3.205% 53.660385 -1.846% 3.72561 -1.804% 35.67 7.053%
8/31/2013 26.42132 54.599335 1.750% 3.93307 5.569% 35 -1.878%
INVESTMENT MANAGEMENT
Answer to Part B
Calculation of required rate of return
Month Closing Price of BHP
Percentage daily change
BHP
Closing Price
Of CBA
Percentage change
closing price of CBA
Closing
Price of
TLS
Percentage
change
closing
price of
TLS
Closing
Price of
WOW
Percentage
change closing
price of WOW
8/31/2012 23.229971 39.641315 2.85174 28.471
9/30/2012 24.735937 6.483% 41.048679 3.550% 3.01178 5.612% 29.1145 2.260%
10/31/2012 24.83703 0.409% 42.427601 3.359% 3.13546 4.106% 29.28 0.568%
11/30/2012 26.794292 7.880% 44.197498 4.172% 3.17911 1.392% 29.33 0.171%
12/31/2012 27.068739 1.024% 45.811039 3.651% 3.34643 5.263% 31.24 6.512%
1/31/2013 26.772577 -1.094% 47.815491 4.375% 3.33915 -0.217% 34.93 11.812%
2/28/2013 23.659847 -11.627% 50.102146 4.782% 3.42908 2.693% 33.79 -3.264%
3/31/2013 24.173956 2.173% 54.109741 7.999% 3.78643 10.421% 36.41 7.754%
4/30/2013 25.785566 6.667% 49.254967 -8.972% 3.60395 -4.819% 33 -9.366%
5/31/2013 23.190737 -10.063% 50.964081 3.470% 3.62676 0.633% 32.81 -0.576%
6/30/2013 25.60812 10.424% 54.669621 7.271% 3.79404 4.612% 33.32 1.554%
7/31/2013 26.428757 3.205% 53.660385 -1.846% 3.72561 -1.804% 35.67 7.053%
8/31/2013 26.42132 54.599335 1.750% 3.93307 5.569% 35 -1.878%
End of preview
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