Financial Investments in Practice

This document provides a comprehensive overview of financial investments in practice. It covers topics such as portfolio formation, macroeconomic analysis, industry analysis, and company analysis. The document also includes information on specific companies like Unilever PLC, Alliance Trust Inc., and Accenture PLC. Whether you're a beginner or an experienced investor, this document offers valuable insights and strategies for successful investments.

Financial Investments in
Practice

TABLE OF CONTENTS
Factsheet of the Portfolio.......................................................................................................3
Macroeconomic Analysis.......................................................................................................4
Industry analysis.....................................................................................................................5
Company analysis..................................................................................................................6
Government bonds.................................................................................................................9
Technical Analysis.................................................................................................................9
Portfolio formation...............................................................................................................10
Portfolio Evaluation.............................................................................................................11
REFERENCES.........................................................................................................................13
APPENDICES..........................................................................................................................14
Appendix A: Unilever PLC: Discounted Free Cash Flow Spreadsheet...............................14
Appendix B: Alliance Trust.: Discounted Free Cash Flow Spreadsheet.............................15
Appendix C: Accenture Plc. Discounted Free Cash Flow Spreadsheet...............................17
Appendix – D: Price Multiples Model Spreadsheet.............................................................18
Appendix E: Portfolio Optimisation Spreadsheet................................................................19
Appendix F: Portfolio Evaluation Spreadsheet....................................................................21

Factsheet of the Portfolio
PIGEON DELIGHT INVESTMENT FUND July 2015
The core objective behind this fund is to provide platform to capital appreciation in a term going from medium to long by
putting resources into values of organizations in various area of the economy. The portfolio is a broadened in nature which
includes interest in organizations of various area that is, monetary, innovation and customer staple areas. It is an open – ended
expanded asset classes which guarantees capital appreciation through the way of value speculation and return expansion
through putting resources into government bonds. The asset is helpful for those intending to accomplish their monetary
objectives in a medium to long term directions. The asset will in UK based organizations having presence worldwide having
their market capitalization of over £ 5 billion and their core values
Fund Objective Launch Date – July 14, 2016
Annual Return % Portfolio Stocks 10%
Benchmark 8%
Tracking error volatility Portfolio Stocks 9.4%
Annual Dividend Income Portfolio Stocks 4.0%
Benchmark 5.0%
Annual 95% VaR Portfolio Stocks 21%
Benchmark 15%
Historic performance 11 years Portfolio Allocation
Stocks 75%
Bonds 25%
UK T- Bills 18 months 80%
UK T- Bills 1 year 20%
Asset Allocation
Bond Allocation
Stock Allocation
Unilever PLC (ULVR) 40%
Alliance Trust Inc. (ATST) 34.5%
Accenture PLC (ACN) 25.5%
Equity Sector Weighting
Defensive Consumer 40%
Defensive Financial 34.5%
Defensive IT 25.5%
Unilever
plc
0.32Alliance
trust
0.27570
1599108
995
Accentur
e plc
20%
Equities
Unilever plc
Alliance trust
Accenture plc

Macroeconomic Analysis
UK is growing very fast which has resulted int o expanding its economy. With
respect to the current situation, the annual growth rate pertaining to the GDP is nearly 2%
which states the progressive economic situation in contrast to the other developing nations. It
is very clear that the countries which are developed are used to have less economic growth in
comparison to the developing nations. The estimation of the growth also has an impact over
the performance of the industries (McKibbin and Fernando, 2021). The industry like the
consumer staple, It and the finance are growing at a fast pace which has resulted into bringing
lots of opportunities for the UK economy. All these 3 industries is having a huge demand
which results into creating a huge growth and development options within the given markets.
On an overall basis, the growth in the GDP of the country is mainly affects the individual
growth of the industry and is therefore, related to the respective sector.
The top expanding industries in UK are- consumer staple, IT and financial sectors as
all these are related with every economic class. The role of the macroeconomic is very wide
and in-depth as it covers up the entire economic and not the individual household and also
incorporates all the dimensions of the business environment which are having impact over the
economy at large. The market of United Kingdom is extremely open and reformist that
directs the organizations to engage and help up the growth possibilities and potentially in the
market place. The market in respect to the developed nations is dynamic and creates steady
degree of item demand. This makes a stage for the business organizations to draw in with the
hefty item interest under the particular region and furthermore to support up the individual
degree of development (Ozili and Arun, 2020). The inflation in the economy of UK is
likewise under all around controlled stage that additionally upholds the organizations to get
drawn in with the successful development plausibility and potential to engage the best degree
of business development prospects. The monetary policy pertaining to the UK economy is
being very effective in regard to keeping the inflation rate below 2% mark which would
result into increasing the purchasing power and enhancing the overall capacity of the
potential customers within the market. Inflation rate is having a huge implication pertaining
to the growth and development, which depicts the possibility and potential of the economy in
regard to the respective business sectors.
In addition to the above, the risk related to the recession is also having a significant
impact over the economic growth and development of the economy. One of the well-known
incidents is in relation to BREXIT which affected the overall possibilities pertaining to the
growth of the economy. As per the recent facts which conveys that the economic growth of

the UK would sustain at 1.5% along with that RPI inflation rising to 3.3 per cent having an
unemployment rate at 4.4 per cent. Along with that, there is an increase in the budget deficit
of 10 billion. These are the major key areas which results into depicting the negative areas
pertaining to the economic situation of UK.
This has been surely shown that every one of these likewise make the colossal effect
over the development potential and conceivable outcomes of the diverse business sectors or
industries. Particularly the area that straightforwardly connected with the typical individuals
get handily affected with the effect of this load of components of macroeconomics (Malecki,
2018). The rivalry among the world economies, for example, with US, Australia and
numerous others are additionally enormous that likewise impact the monetary development at
a worldwide platform. The economic growth is very crucial and is also having a significant
impact over the various economic dimensions at a greater level. Within the growth and
development process pertaining to the economy, which plays a competitive part.
The effect of different economies is over the global exchanges as it confines the
economy in administering the worldwide exchanges and issues. This makes an effect for the
economy to impact the financial chance of the business element and monetary measurements.
Throughout the timeframe the economy in United Kingdom has been in a truly steady
circumstance or position even after the wide range of various impediments and obstacles
economy face (Hesmondhalgh and Meier, 2018). The public authority soundness in nation
could make it more stale for the economy to development quickly and give an extreme
contest to economies at a worldwide level. The whole macroeconomic examination expresses
the position and circumstance of the macroeconomic range of the nation.
Industry analysis
The stock market highlights the growth and the progress of the various industries in
relation to the business environment within UK. In respect to the financial sector, which is
very progressive sector depicting the high growth possibility pertaining to the respective
market. The finance industry is rising at 12 per cent each year which conveys that the sector
is expanding extensively in the business environment which results into making it more
significant for the entities in sustaining in the market place (Akbar and et.al., 2017). The main
area within financial sector is wealth and fund management practices. Within this, the
potential customers involved are the business class customer segment along with the general
people. But this market is impacted by the inflation which can have an influence over the
performance of the sector. In the year 2020, the contributed turnover is £132 billion in the
UK economy which results into supporting the economy at 6.9%.

On account of the consumer staple sector which involves the product categories
which are directly associated with the people. As per the recent statistics, the sector is
growing rapidly and contains an annual basis of the growth rate which is 3.4 per cent
(Stewart and Niero 2018). This sector is having a huge demand which results into providing
the companies within it a great opportunity for growth. In regard to the IT sector is rapidly
expanding at a worldwide level. The demand for this level needs to support the firms to
manage the pressure and meet with all the needs and of the products within business. In UK,
the IT sector is growing at 12% which clearly defines the level of demand it has. This sector
is involved in also mitigating the employment related requirements of the economy.
Company analysis
Unilever PLC (ULVR)
It is the British MNC which is into consumer goods or consumer staple. Organization is
having it headquarter in London, UK. The organization owns more than 400 brands, with a
turnover in 2020 of 51 billion euros (Unilever at glance. 2021). It is having wide range of
products which involves foods products, vitamins, minerals, supplements, beauty products
and the wide range of personal care products. the company is being listed on the London
stock exchange (LSE) under the FTSE 100 companies. In addition, the company is offering
employment to over 155,000 people. The presence of the company is very wide and
dominating.
Strength
 The organization is having a strong financial position which is its key strength as it
helps in delivering huge growth and development opportunities resulting into
attaining wider economic growth.
 The company is having diversified products which helps it in grabbing large customer
base which offers it strategic growth and development opportunities for the business
venture.
 The customer segment of the company involves different types of economic
categories or the classes of people which consequently helps in establishing the more
demand for the products.
 The HRM of the organization is well-structured which results into creating a better
chance for establishing greater demand for its products in the market.
Valuation
Current Price = 4275
High= 4305.85

Low = 4266
Target price = 4292
Discounted free cash flow = 55950
Price multiples = 32.49%
News
 The UK high court has approved its cross-border merger called as the Unilever
unification plan.
 Unilever has set the goal of achieving €1bn annual sales of plant-based items.
 The company has reported better than expected 4.4% increase in the underlying 3rd
quarter sales as there is increase in demand of hygiene and food products.
Alliance Trust plc. (ATST)
Alliance Trust plc is an investment trust which is having a unique set of portfolios
which results into bringing together alliance having best in class equity managers. This
company meets with the need of every generation with different risk appetite (About us.
2021). It involves blending the ideas of best world class stocks which helps in generating
market beating returns over long terms.
Strengths
 This sector is surrounded with the massive demand and growth opportunities.
 It is being listed in the LSE under the FTSE 100 companies.
 The financial stability of the company is very strong which makes it well-controlled
and effective in terms of delegating the right source of the business growth possibility
at a worldwide level.
 The company provides wide range of diversified products which results into
effectively meeting with the diverse needs of the businesses, individuals or the other
interest groups.
 It provides growth oriented products and services which makes it unique from its
competitors in the market. This is a vital strength of the company in attaining success.
Valuation
Current Price = 995
High= 1008
Low = 993.71
Target price = 1200
Discounted free cash flow = 43887
Price multiples = -73.75%

News
 In the year 2018, the company reported -6.1% of shareholder return.
 The company has invested global equities for the long-term capital growth and rising
income.
Accenture PLC (ACN)
Accenture plc is an Irish based MNC which provides consulting and professional
services (Our purpose. 2021). It is into IT sector and is having current clients includes 91 of
the fortune global 100. The company is mainly specialized into operations, strategics, digital
and consultancy. Accenture serves customers all across the world. It is having headquarter in
Dublin, Ireland.
Strengths
 The global level of the presence of the company is its main strength.
 The global presence of the organization is the core strength which has supported the
company in order to delegating to the advanced level.
 The company is having the capability to be involved into the constant process of the
innovation, growth and expansion.
 The nature of training which is being provided to its employees results into making it
favorable for the company in attaining the desired goals and objective in afar better
and effective way.
 The leadership style followed by the organization makes it highly effective in respect
to exercising control over the business strategies and performance. This consequently
leads to enhancing the growth in the business activities, operations resulting into
developing opportunities at the worldwide level.
Valuation
Current Price = 310.60
High= 316.22
Low = 310.18
Target price = 380
Discounted free cash flow = 84416
Price multiples = 16.23%
News
 Accenture attrition rises to 17% as demand for services grows.
 Accenture acquires a German firm umlaut to bolster engineering and services play.

Government bonds
The clearly depicts that nearly 20% of the overall bonds within UK are the
government bonds. The rise in the short-term interest rate along with 15% increase in the
number of government bonds has been noticed. In addition to this, there is a 5% rise on long
term government bonds. The increase in demand would certainly boost the prices of the
bonds but it also indicates that the price of the bonds would certainly rise in future due to rise
in demand.
Bond Maturity Price Yield
UKT 33/4 10 Aug, 2020 128.79 .65%
UKT 15/8 15 Dec, 2020 136.17 .62%
Technical Analysis
Unilever Plc
The share of Unilever is showing a medium term bullish which more or less remains the same
or constant. Here is a relative strength index which mor than 30 which incurs the possibility
that the price will trend will get reversed.
Alliance Trust Plc
The shares of Alliance Trust plc are showing a bullish trend in the year 2021. The price has
reached 991 which indicates a double price trend within a very short period of time. There
was uncertainty in the market due to pandemic but the organization performed very well. The
relative strength of the company is above 50 depicting possibility of future increase in price.

Accenture Plc
The share price of the company is seemed to be constant in the short term but in long term it
is expected to be bullish. In 2020, it is trading above 950 which is expect to rise in over 1200
in 2021. The relative strength index is above 50 indicating expected rise in the future price.
Portfolio formation
The selected companies Unilever PLC, Alliance Trust Plc and Accenture plc. The
five-year tenure has been analyzed of all these three selected organizations.
Weightings
Unilever PLC: 40%
Alliance Trust Plc: 34.5%

Accenture plc: 25.5%
The tracking error volatility in comparison to the benchmark is to 3.2%. It is also
expected that the annual returns are expected of 5 years historical data was approximately
7.2% as compare to the approximately 3% benchmark.
Outputs
Unilever plc Alliance trust Accenture plc FTSE 100 Portfolio T Error
Beta -0.06 -0.14 -0.17 1.00 -0.11
E(R) monthly 0.7% 1.1% 1.6% -0.6% 1.0%
σ 5.1% 6.7% 6.0% 7.6% 4.1%
TEV 9.4%
Average TE 1.6%
Value at Risk 95.0% -7.7% -9.9% -8.3% -13.1% -5.8%
VaR Annual -26.8% -34.4% -28.8% -45.3% -20.0%
Figure 1: Output from portfolio optimization calculations, beta and tracking error volatility
Portfolio Evaluation
FTSE All share Portfolio
Beta 1.00 -0.11
E(R) monthly -0.6% 1.0%
Standard deviation 7.6% 4.1%
E(R) annual -2.5% 5%
Standard deviation 35% 20%
Tracking error volatility 9.4%
Information ratio 1.43
Value at risk 95% -13.08% -5.76%
Value at risk (annual) -45.30% -19.96%
Sharpe ratio 0.1026 0.4581
Treynor ratio 0.0106 0.0638
Jensens Alpha 0.31%
Risk free
rate 1.14
The negative beta of 0.11 depicts that there is a 11% fall in the value of the portfolio when
there is a 100 per cent rise in the index. The value of the Jensen’s alpha shows the portfolio
has succeeded in attaining the required return as expected by the portfolio manager. The
information ratio of 1.43 indicates that there is greater potential of the portfolio. The Sharpe
ratio of 0.45 depicts there is higher return potential of the portfolio (Bodnar and Zabolotskyy,
2017). The positive Treynor ratio states that the stock or the portfolio has performed well as
expected from a risk-free instrument.

REFERENCES
Books and Journals
Akbar, S., and et.al., 2017. Board structure and corporate risk taking in the UK financial
sector. International Review of Financial Analysis. 50. pp.101-110.
Bodnar, T. and Zabolotskyy, T., 2017. How risky is the optimal portfolio which maximizes
the Sharpe ratio?. AStA Advances in Statistical Analysis. 101(1). pp.1-28.
Hesmondhalgh, D. and Meier, L. M., 2018. What the digitalisation of music tells us about
capitalism, culture and the power of the information technology sector. Information,
Communication & Society. 21(11). pp.1555-1570.
Malecki, E. J., 2018. Entrepreneurs, networks, and economic development: A review of
recent research. Reflections and extensions on key papers of the first twenty-five
years of advances.
McKibbin, W. and Fernando, R., 2021. The global macroeconomic impacts of COVID-19:
Seven scenarios. Asian Economic Papers. 20(2). pp.1-30.
Ozili, P. K. and Arun, T., 2020. Spillover of COVID-19: impact on the Global
Economy. Available at SSRN 3562570.
Stewart, R. and Niero, M., 2018. Circular economy in corporate sustainability strategies: A
review of corporate sustainability reports in the fast‐moving consumer goods
sector. Business Strategy and the Environment. 27(7). pp.1005-1022.
Online
About us. 2021. [Online]. Available Through:< https://www.alliancetrust.co.uk/about>.
Our purpose. 2021. [Online]. Available
Through:<https://www.accenture.com/gb-en/about/company-index>.
Unilever at glance. 2021. [Online]. Available Through:< https://www.unilever.com/our-
company/at-a-glance/>.

APPENDICES
Appendix A: Unilever PLC: Discounted Free Cash Flow Spreadsheet
Continued:

Appendix B: Alliance Trust.: Discounted Free Cash Flow Spreadsheet

Appendix C: Accenture Plc. Discounted Free Cash Flow Spreadsheet

Appendix – D: Price Multiples Model Spreadsheet
Price multiples model
Unilever Plc
Ratio Unilever Equity value P&G Nestle Colgate-Palmolive Mean
Market capitalisation in pound mllion 983 7.75 204.84 57.62
Price earning ratio 15.3 265.26 8.5 20.65 0 9.72
EV/EBITDA 4.65 68.25 3.2 4.3 0 2.5
Price to book value 2.62 43.22 1.3 2.3 1.15 1.58
Mean equity value 125.58
Number of shares 893 32.49%
Price 3572.61
Current 2695
Alliance Trust
Ratio Alliance Equity value Embark Group ETX Capital Bambu Mean
Market capitalisation in pound mllion 505.97 65.21 162.1 108
Price earning ratio 5 74357.1 0 213.5 36.3 83.27
EV/EBITDA 3.65 21750.5 2.5 48.43 22.14 24.36
Price to book value 112.94 24846.2 53.66 13.45 16.36 27.82
Mean equity value 40317.93
Number of shares 893 -73.75%
Price 720
Current 172
Accenture plc
Ratio Accenture Equity value Capgemini IBM HP Mean
Market capitalisation in pound mllion 799.6 10.79 39.48 573.59
Price earning ratio 71.36 6311.25 35.66 0 88.09 41.25
EV/EBITDA 22.81 2470.44 23.21 0 25.23 16.15
Price to book value 53.35 9461.52 172 5.01 8.51 61.84
Mean equity value 6081.07
Number of shares 500 16.23%
Price 39.74
Current 34.19

Appendix E: Portfolio Optimisation Spreadsheet
Input Data - Last Price
Date Unilever plc Alliance trust Accenture plc FTSE 100
01-01-2016 3085 545 106 6412
01-02-2016 3092 498 100 6430
01-03-2016 3152.5 503 115 6583
01-04-2016 3054.5 556 113 6215
01-05-2016 3146 521 119 6621
01-06-2016 3579 524 113 6413
01-07-2016 3533.5 624 113 6731
01-08-2016 3529 570 115 6651
01-09-2016 3654.5 576 122 6749
01-10-2016 3418 593 116 6510
01-11-2016 3196 580 119 6810
01-12-2016 3292.5 667 117 6598
01-01-2017 3227.5 650 114 6780
01-02-2017 3819 681 123 6845
01-03-2017 3939.5 685 120 6744
01-04-2017 3972 722 121 6730
01-05-2017 4331.5 699 124 6820
01-06-2017 4155 700 124 6623
01-07-2017 4321.5 715 129 6546
01-08-2017 4519 725 131 6723
01-09-2017 4319 758 135 6566
01-10-2017 4269.5 735 142 6749
01-11-2017 4164 734 148 6947
01-12-2017 4125.5 780 153 6773
01-01-2018 4000 752 161 6961
01-02-2018 3733.5 738 161 6984
01-03-2018 3955.5 747 154 6521
01-04-2018 4077.5 728 151 6696
01-05-2018 4146.5 741 156 6248
01-06-2018 4192 795 164 6062
01-07-2018 4355 768 159 6361
01-08-2018 4392 777 169 6356
01-09-2018 4216 830 170 6242
01-10-2018 4146.5 725 158 6084
01-11-2018 4243.5 738 165 6097
01-12-2018 4108.5 688 141 6175
01-01-2019 3984.5 725 154 6242
01-02-2019 4008 736 161 6231
01-03-2019 4395 795 176 6504
01-04-2019 4657.5 781 183 6724
01-05-2019 4837 754 178 6782
01-06-2019 4894.5 843 185 6899
01-07-2019 4955.5 833 193 6954
01-08-2019 5196 845 198 6784
01-09-2019 4890 799 192 7143
01-10-2019 4622.5 783 185 7099
01-11-2019 4578 872 201 7263
01-12-2019 4350.5 840 211 7323
01-01-2020 4533.5 823 205 7204
01-02-2020 4170 821 181 7520
01-03-2020 4075.5 642 163 7313
01-04-2020 4102 730 185 3957.65
01-05-2020 4332 814 202 4052.72
01-06-2020 4355 783 215 3611
01-07-2020 4573 777 225 2949.43
01-08-2020 4460 821 240 3282.6
01-09-2020 4776 814 226 3260
01-10-2020 4404 858 217 3220
01-11-2020 4571 880 249 3126
01-12-2020 4392 901 261 3137.61
01-01-2021 4240 929 242 3634.3

Monthly Return
Unilever plc Alliance trust Accenture plc FTSE 100 Portfolio T Error
0.2% -8.7% -5.0% 0.3% -4.2% -4.5%
2.0% 1.0% 15.1% 2.4% 5.0% 2.6%
-3.1% 10.7% -2.1% -5.6% 1.9% 7.5%
3.0% -6.4% 5.4% 6.5% 0.4% -6.2%
13.8% 0.6% -4.8% -3.1% 4.5% 7.6%
-1.3% 19.1% -0.4% 5.0% 6.0% 1.0%
-0.1% -8.8% 1.9% -1.2% -2.6% -1.4%
3.6% 1.1% 6.2% 1.5% 3.4% 1.9%
-6.5% 2.9% -4.9% -3.5% -2.8% 0.7%
-6.5% -2.2% 2.7% 4.6% -2.7% -7.3%
3.0% 15.1% -1.9% -3.1% 5.9% 9.0%
-2.0% -2.6% -2.8% 2.8% -2.4% -5.2%
18.3% 4.8% 7.6% 1.0% 10.9% 10.0%
3.2% 0.7% -2.1% -1.5% 0.9% 2.4%
0.8% 5.4% 1.2% -0.2% 2.5% 2.7%
9.1% -3.2% 2.6% 1.3% 3.2% 1.9%
-4.1% 0.1% -0.6% -2.9% -1.7% 1.1%
4.0% 2.1% 4.2% -1.2% 3.4% 4.5%
4.6% 1.5% 1.5% 2.7% 2.7% 0.0%
-4.4% 4.5% 3.3% -2.3% 0.6% 3.0%
-1.1% -3.0% 5.4% 2.8% -0.1% -2.9%
-2.5% -0.1% 4.0% 2.9% 0.0% -3.0%
-0.9% 6.3% 3.4% -2.5% 2.7% 5.2%
-3.0% -3.6% 5.0% 2.8% -1.2% -4.0%
-6.7% -1.9% 0.2% 0.3% -3.3% -3.6%
5.9% 1.2% -4.7% -6.6% 1.6% 8.2%
3.1% -2.6% -1.5% 2.7% 0.0% -2.7%
1.7% 1.8% 3.0% -6.7% 2.1% 8.7%
1.1% 7.3% 5.0% -3.0% 4.2% 7.2%
3.9% -3.4% -2.6% 4.9% -0.3% -5.2%
0.8% 1.2% 6.1% -0.1% 2.3% 2.4%
-4.0% 6.8% 0.7% -1.8% 0.9% 2.7%
-1.6% -12.7% -7.4% -2.5% -6.9% -4.4%
2.3% 1.8% 4.4% 0.2% 2.7% 2.5%
-3.2% -6.8% -14.3% 1.3% -7.3% -8.5%
-3.0% 5.4% 8.9% 1.1% 2.9% 1.8%
0.6% 1.5% 5.1% -0.2% 2.1% 2.2%
9.7% 8.0% 9.1% 4.4% 8.9% 4.6%
6.0% -1.8% 3.8% 3.4% 2.7% -0.6%
3.9% -3.5% -2.5% 0.9% -0.3% -1.2%
1.2% 11.8% 3.8% 1.7% 5.5% 3.8%
1.2% -1.2% 4.2% 0.8% 1.2% 0.4%
4.9% 1.4% 2.9% -2.4% 3.2% 5.6%
-5.9% -5.4% -2.9% 5.3% -5.0% -10.3%
-5.5% -2.0% -3.6% -0.6% -3.8% -3.2%
-1.0% 11.3% 8.5% 2.3% 5.7% 3.4%
-5.0% -3.6% 5% 0.8% -2.0% -2.9%
4.2% -2.0% -3% -1.6% 0.3% 2.0%
-8.0% -0.3% -12% 4.4% -6.4% -10.8%
-2.3% -21.8% -10% -2.8% -10.9% -8.1%
0.7% 13.7% 13.4% -45.9% 8.4% 54.3%
5.6% 11.5% 8.9% 2.4% 8.5% 6.1%
0.5% -3.8% 6.5% -10.9% 0.6% 11.5%
5.0% -0.8% 4.7% -18.3% 2.9% 21.3%
-2.5% 5.7% 6.7% 11.3% 2.7% -8.6%
7.1% -0.9% -5.8% -0.7% 1.1% 1.7%
-7.8% 5.4% -4.0% -1.2% -2.3% -1.1%
3.8% 2.6% 14.8% -2.9% 6.2% 9.1%
-3.9% 2.4% 4.9% 0.4% 0.5% 0.1%
-3.5% 3.1% -7.4% 15.8% -2.2% -18.0%

Outputs
Unilever plc Alliance trust Accenture plc FTSE 100 Portfolio T Error
Beta -0.06 -0.14 -0.17 1.00 -0.11
E(R) monthly 0.7% 1.1% 1.6% -0.6% 1.0%
σ 5.1% 6.7% 6.0% 7.6% 4.1%
TEV 9.4%
Average TE 1.6%
Value at Risk 95.0% -7.7% -9.9% -8.3% -13.1% -5.8%
VaR Annual -26.8% -34.4% -28.8% -45.3% -20.0%
Appendix F: Portfolio Evaluation Spreadsheet
Coefficients Standard Error t Stat P-value
Intercept -0.023456448 0.001442593 -16.2599 2.05898E-07
Portfolio 1.857965545 0.019815858 93.76155 1.86895E-13
VaR FTSE 100 Portfolio
95% -13.08% -5.76%
95.50% -13.50% -6.00%
96% -13.90% -6.20%
96.50% -14.30% -6.50%
97% -14.90% -6.70%
97.50% -15.50% -7.10%
98% -16.20% -7.50%
98.50% -17.10% -7.90%
99% -18.30% -8.60%
99.50% -20.20% -9.60%
Expected shortfall -15.70% -7.19%
Annual expected shortfall -47.80% -24.60%
Sharpe ratio 0.1026 0.4581
Treynor ratio 0.0106 0.0638
Jensens Alpha 0.31%
Risk free
rate 1.14