Assignment on Corporate Finance in Business

Added on - 29 Apr 2020

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Running head: CORPORATE FINANCECorporate FinanceName of the Student:Name of the University:Author’s Note:Course ID:
1CORPORATE FINANCETable of ContentsAnswer to PART I:..........................................................................................................................2Requirement 1:.............................................................................................................................2Requirement 2:.............................................................................................................................4Requirement 3:.............................................................................................................................5Requirement 4:.............................................................................................................................6Requirement 5:.............................................................................................................................7Answer to PART II:.......................................................................................................................10Portfolio’s monthly returns, average excess return and CAPM alpha:.....................................10Betting against Beta strategy:....................................................................................................22References:....................................................................................................................................29
2CORPORATE FINANCEAnswer to PART I:Requirement 1:Tangent Portfolio:TG PortfolioWeightsPF Stats usingMatrixXOM-65.53%Mean0.0025774CVX81.38%StandardDeviation0.0249155AA-26.20%Var0.0006207841MMM6.67%GE-40.65%BA-26.38%UTX23.36%CAT50.25%DD5.92%KO78.34%HD-41.16%KFT6.94%MCD129.67%PG-42.91%WMT-2.88%TRV10.42%AXP-7.96%BAC-9.52%JPM26.67%JNJ-35.87%MRK20.42%PFE-55.79%T16.62%HPQ29.45%INTC-31.87%MSFT-20.70%VZ29.16%CSCO-7.86%rf0.004%Total100%Sharpe0.101840679
3CORPORATE FINANCE00.020.040.060.080.10.120.140.16-0.01-0.0100.010.010.020.02StockPF1PF2MinVarEFTGRiskReturnMinVarWeightsPF Stats usingMatrixXOM-7.25%Mean0.0003737CVX0.54%StandardDeviation0.0090386AA-7.22%Var0.0000816968MMM12.93%GE1.76%BA1.20%UTX-6.12%CAT2.70%DD-2.47%KO13.37%HD-3.52%KFT15.06%MCD19.41%PG14.57%WMT13.16%TRV-6.02%AXP-5.41%BAC-1.07%JPM-1.92%JNJ43.31%MRK-6.81%PFE1.74%T1.84%HPQ6.48%
4CORPORATE FINANCEINTC0.03%MSFT0.20%VZ2.61%CSCO-3.09%rf0.004%Total100%Sharpe0.036920212Requirement 2:Tangent Portfolio:TG PortfolioWeightsPF Stats usingMatrixXOM0.00%Mean0.0008074CVX0.00%StandardDeviation0.0127573AA0.00%Var0.0001627493MMM0.00%GE0.00%BA0.00%UTX0.00%CAT1.03%DD0.00%KO23.26%HD0.00%KFT0.00%MCD75.71%PG0.00%WMT0.00%TRV0.00%AXP0.00%BAC0.00%JPM0.00%JNJ0.00%MRK0.00%PFE0.00%T0.00%HPQ0.00%INTC0.00%MSFT0.00%VZ0.00%CSCO0.00%rf0.004%Total100%Sharpe0.060154772
5CORPORATE FINANCE00.020.040.060.080.10.120.140.16-0.01-0.0100.010.010.020.02StockPF1PF2MinVarEFTGRiskReturnRequirement 3:Tangent Portfolio:TG PortfolioWeightsPF Stats usingMatrixXOM0.00%Mean0.0007427CVX0.00%StandardDeviation0.0121322AA0.00%Var0.0001471893MMM0.00%GE0.00%BA0.00%UTX0.00%CAT5.88%DD0.00%KO43.83%HD0.00%KFT0.00%MCD50.00%PG0.00%WMT0.00%TRV0.00%AXP0.00%BAC0.00%JPM0.00%JNJ0.00%MRK0.00%
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