Industries performance in the Market | Project Study

Running head: INVESTMENT MANAGEMENT
Investment management
Name of the student
Name of the university
Authors name

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Executive Summary
The aim of the project is to analyze in depth the performance of different portfolio which are
prepared by taking 30 stocks from different industries. The investment in equities of different
companies require sufficient knowledge and constant evaluation of the portfolio to determine
whether portfolio requires strategic asset allocation or tactical asset allocation. The project
studies the affect of different strategies like short selling of risky asset and considering not short
selling in different portfolios to see the different performance based return. The project
concludes the ratios like sharp ratio, treynor ratio, sortino ratio and beta calculation are necessary
for analyzing the expected rate of return of the portfolio and the risk associated with the different
portfolio.

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Table of Contents
Introduction......................................................................................................................................3
Discussion........................................................................................................................................4
Task 1...........................................................................................................................................4
Task 2...........................................................................................................................................8
Task 3.........................................................................................................................................13
Conclusion.....................................................................................................................................19
References......................................................................................................................................20

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Introduction
The project attempts to study different types of industries performance in the market. The
different industries taken for the study are Materials, Energy, Technology, Health Care,
Utilities). The report tries to study the industrial performances of these industries by conducting
research. The research report contains data relating to the five years which are 2014, 2015, 2016,
2017, 2018 and 2019. The industrial sector in United Kingdom faced a sharp decline in the 1970s
but if we the see the data provided by the different sources, the market performance has
improved in the recent years. The years between 2014 to 2019 are very crucial years for the
industries whether they are utilities, materials, energy, technology and health care. The project
takes around 30 stocks to study the performance of these industries by calculating beta, sharp
ratio, treynor ratio, Sortino ratio and Jensen’s Alpha.The UK’s industrial performance has
improved by 1.4% every year since 1948, as per the recent data published by National Statistics
(ONS). The companies selected for the comprehensive study of the project is The data of the
overall five years concerning stock prices are taken are Merck & Co., Inc. (MRK),
AmerisourceBergen Corporation (ABC),HCA Healthcare, Inc. (HCA), Dentsply Sirona Inc.
(XRAY) and Cigna Corporation (CI) from healthcare sector;HP Inc. (HPQ), International
Business Machines Corporation (IBM), Salesforce.com, inc. (CRM), Oracle Corporation
(ORCL) and Fortinet, Inc. (FTNT) from technology sector; American Express Company (AXP),
Bank of America Corporation (BAC), BlackRock, Inc. (BLK), Citigroup Inc. (C) and The
Goldman Sachs Group, Inc. (GS) from finance industry; Barrick Gold Corporation (GOLD),
Newmont Mining Corporation (NEM), Kinross Gold Corporation (KGC), Gold Fields Limited
(GFI) and Yamana Gold Inc. (AUY) from basic material sector; The AES Corporation (AES),
Alliant Energy Corporation (LNT), Ameren Corporation (AEE), American Water Works

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Company, Inc. (AWK) and CenterPoint Energy, Inc. (CNP) from utilities sector; EOG
Resources, Inc. (EOG), Chevron Corporation (CVX), Hess Corporation (HES), HollyFrontier
Corporation (HFC) and ConocoPhillips (COP) from energy sector.
Discussion
Task 1
There are 30 companies shares prices are taken for studying in detail the effect of short
selling and not short selling the stocks. The effects of short selling are studied by calculating the
returns of each stock in the portfolio for 61 days. The expected rate of return is the probable
return which an investment portfolio can provide to the investors. The return which the investors
get from the investment is known as variable and it keeps on changing as per the market
valuation. The expected return is calculated by multiplying the expected return from a stock to
the probability percent (Kasaoka 2016).
The expected return of the share price is calculated using the formula given below:
The actual return is calculated for the three months by taking closing prices of the stock.
The returns calculated by dividing the difference in prices of previous month closing price and
current month closing price by the current month closing price (Tarczyński and Tarczyńska
2018). The returns are calculated for every stock and then the average rate of return is calculated

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by taking returns of each stock. The average rate of return is calculated by adding the actual
return calculated for each month and then dividing the result with the number of month taken for
calculation using excel (Abidin 2017).
Tangency
Portfolio
1 No
short
sale
Tangency
Portfolio 2
With short
sale
Tangency
Portfolio
3 High
Beta
Tangency
Portfolio
4 Low
Beta
1 0.045004 0.056443784 0.122732 0.008465
2 0.03604 0.05595068 0.019635 0.03397
3 0.050187 0.002763604 0.056214 0.035647
Average 0.043744 0.038386023 0.066194 0.026027
STDV 0.007157 0.030850905 0.052268 0.015232
The standard deviation calculation of a portfolio is considered important. For calculating
the standard deviation, weights of the respective assets of the portfolio is taken and then the
correlation is taken into consideration between the weights of the portfolio assets and the returns
associated with every assets of the portfolio (Penev, Shevchenko and Wu 2019).
The calculation of the given table directly provides the overall return of each portfolio for
the month of October, November and December. After deriving the returns, relevant calculation
regarding average return and standard deviation has been calculated for each portfolio. The
average return of the portfolio 1 which consists of no short sale is at the level of 0.043. The
average return of the portfolio which consists of short sale of the risky assets depicts that the
average return level of portfolio 2 is 0.038 and the standard deviation is 0.030. The portfolio 3
which is consisting of high beta stocks gives the highest average return of 0.066 and the standard
deviation is also high due the possibility of high return. The standard deviation of the portfolio 3

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is highest which is around 0.052. The portfolio 4 consist of consist of low beta stocks and thus
giving lower returns resulting in lower standard deviation which is around 0.0152.
P1 P2 P3 P4
Sharp Ratio 5.934909905 1.203202 1.242195033 1.625552
Treynor ratio 2.616102285 0.765219 1.338469115 0.510443
Jensen’s Alpha. 0.043743453 0.038386 0.066193334 0.026027
Sortino’s ratios #DIV/0! #DIV/0! 3.549935106 #DIV/0!
The treynor ratio is calculated in the above table. This ratio is considered important as it
shows what amount of excess return a portfolio can generate excluding the risk free return of the
portfolio. The ratio here calculated gives an idea that portfolio 3 has the efficiency of generating
excess rewards in spite of the continuous volatility present in the market. The other portfolio fails
to generate the maximum return over risk free return. The other three portfolios are sowing lower
treynor ratio as compared to the portfolio 3 consisting of high beta stocks (Taheri, Shafiee, and
Evazzadeh 2019).
Formula for calculation of average return under CAPM model:
The Jensen’s alpha is calculated which represents the excess or lower average return
compared with the return calculated under CAPM model using beta of the portfolio (Sattar
2017). This shows that the all three portfolios are giving good returns inspite of the systematic

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risk present in the market but the portfolio 4 consisting of lower beta stocks are giving the least
return in this run. But since the ratio is greater than 1 in all the three portfolios, it can be
concluded that each of the given portfolios has capacity to beat the market volatility
(Bunnenberg et al. 2019).
The sortino ratio is also calculated for finding out the average return excluding the risk
free return in downside market. the standard deviation taken for studying the sortino ratio is the
downside or negative standard deviation. The downside risk is only taken into consideration for
calculating the sortino ratio. this ratio tells us that even in the case of extreme risk that is the
downside risk (Mohan, Singh and Ongsakul 2016). The higher sortino is considered good
because higher ratio gives an indication that the portfolio can generate good returns even in the
case of downside risk. The portfolio 3 consisting of high beta stocks has only the positive sortino
ratio which is considered good for any investors. If these investors money is invested in highly
risky stocks then they are also getting higher returns (Sanford 2019).
The two portfolios 1 and 2 are the portfolios in which 1 considered short selling of the
risky assets and the others consider not short selling the risky assets. The portfolio 2 which
considers short selling of risky assets for minimizing the risk associated with the portfolio. the
short selling reduces the level of risk and thus it can be seen that the standard deviation of the
portfolio is the minimum among the 4 portfolios giving an idea that the portfolio matches the
objective which can favour the risk averse clients. The portfolio which do not consider short
selling of assets is giving higher return than the portfolio 2 which is short selling the risky assets
for minimizing the risk (Menna and Tirelli 2018).
.

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Problems relating to short selling:
Short selling of risky assets can generate some of the more risks like the loan for the
stocks may become expensive and recalling of the stock may become difficult. The short selling
of stocks has to be done by analyzing the price of the stock because if the stock is mispriced in
the market, the prediction of declining its price in the market can go wrong. Moreover if short
selling is done only for risky assets then the portfolio may generate lower returns. Fund
managers do the short selling do minimize the downside risk. The benchmark return is 0.00765
which is higher than the portfolio 1 and 2 return. Short selling of the risky assets is the portfolio
which is minimizing risk and thus the return of the portfolio is also lower than the benchmark
return (Appel, Bulka and Fos 2019).
Task 2
Answer a
Investment objective
The investment objective of socially responsible Investments is the objective of
maintaining social values in the investment portfolio. The SRI investments are made with the
objective to invest in the companies which are following proper social value. These companies
have chance of creating greater influence on the society and can give consistent returns. These
socially responsible funds are after all investment funds and they focus on generating good
returns based on the social impact and popularity (Tao et al. 2017).
The investment objective of investing in treasury funds is to earn moderate rate of return
by taking moderate and minimal risk. These funds generally have short term objectives and
backed by the government. The investment objectives in BND is to track the performance of the
bond market as a whole. The Vanguard Total Bond market ETF are traded on the market like
securities. The objective of investing in TIAA-CREF social choice bond fund is to gain long
term return with the help of capital appreciation and the objective in investment in ishares TIPS

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Bond ETF is to track the treasury inflation protected securities. These funds includes maximum
investments in the treasury bonds and tracks the underlying index which is S&P 500
(Kouwenberg 2017).
Answer b
The rationale behind the portfolio construction
The return of 60 days is evaluated by taking the closing price of each day. The average
return of the 60 day period for all the ETF and treasury fund is calculated. The different
contribution of the different ETF and treasury fund are considered to determine the standard
deviation of the portfolio. The return, risk free return and the standard deviation helps to find out
the efficient social funds for creating the best possible portfolio. Strategic asset allocation
strategy has been used for selecting the two funds on the basis of their performance with respect
to the benchmark return (Buchner, Mohamed and Schwienbacher 2017). The reason behind
taking the social funds in the portfolio is that these funds are becoming famous among the new
investors by the social impact they are creating. In addition, treasury bonds are always a sign of
lower risk and moderate returns. This helps the investors in generating steady returns for the
invested period. Moreover, the portfolio can be created by taking the two funds which are SUSA
and TSBIX as these are the two funds which are showing constantly positive returns and has the
ability to outperform the market. The performance of the two funds with respect to the volatility
present in the market is calculated by determining different ratios which are Sharpe, Treynor and
Sortino’s ratios and Jensen’s Alpha (Bardgett, Gourier and Leippold 2019).
Answer c
The characteristics and composition of the portfolio and the structure of the portfolio.

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Asset class Active weight Benchmark weight Excess Weight Benchmark Return Allocation Effect
ETF 0.22086155 0.22086155 0 0.002293605 0
Tresury funds 0.77913845 0.77913845 0 0.001510394 0
Assets alocation effect
Asset class Active Performance Benchmark Return Excess Performance Benchmark Weight Selection Effect
ETF 0.001875918 0.002293605 -0.000417687 0.22086155 -0.000092251
Tresury funds 0.002175232 0.001510394 0.000664838 0.77913845 0.000518001
Security selection Effect
The portfolio is being created by taking in £450,000 and the amount is invested in
different exchange traded fund and treasury funds. The objective is to minimise the risk of the
investors and generate a fair return. Before creating a portfolio of social fund, different social
responsibility exchange traded funds and different treasury bonds exchange trade funds are
evaluated on the basis of the return and their performance. The calculation of the average return
and different performance ratios such as sharp and treynor ratio are calculated to compare the
returns with the risk and volatility in the market (Ko and Ge 2018). The returns of different funds
are also compared with the benchmark return to see how much they can outperform the market.
The capitalisation of the ETF and Treasury funds are kept same as per the index. However, it can
be seen with the help of the above table that the ETF are performing lower than the benchmark
while treasury funds are capable of outperforming the benchmark performance (Santandrea et al.
2017). The different exchange traded funds which are taken for making the portfolio are SUSA,
PBW, PBD and the different treasury funds which are taken for creating the portfolio are TSBIX,
TIP and BND.
Answer d
The closing prices at which the ETF funds and treasury funds are traded on the market for
a period of 60 days are analysed to determine the actual return they are generating over this
period. The average return for a period of 60 days of SUSA fund is 0.008, the average return for
PBW is -0.0004 and the average return for the PBD fund is 0.00164. The standard deviation
shows the amount of volatility the fund is facing in the market. The SUSA fund is a moderately
risky fund and generating a good amount of return. However the PBW is showing the highest
volatility and risk is high with standard deviation at 0.0638. The PBW fund is generating a

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negative return for the investors due the amount of increased volatility in the market. The PBD
fund is also facing high volatility and risk as compared to the return, it is generating for its
investors as the standard deviation calculated is showing value of 0.050624 and the average
return of this ETF fund is 0.00164 (McCaughey et al. 2016).
The performance comparision of the ETF fund shows that SBW is taking the lesser risk
and it is showing lesser volatility and earing higher return than the other two ETF which are
PBW and PBD. The sharp ratio calculates the excess return that the fund can generate over the
risk free return and the result then divided by the standard deviation. The sharp ratio of the
portfolio of social responsibility funds and the treasury funds is calculated as 0.31. which shows
that when a portfolio is created by combining one social responsibility fund and treasury fund on
the basis of the average return contribution for 60 days period, the excess return that the portfolio
is generating is positive and over the risk free return of the funds (Gravit 2017). The treynor ratio
is similar to the sharp ratio and showing the excess return over the risk free return generated by
the funds but it considers the market volatility as a whole by taking beta as one of the factor for
its calculation. The treynor ratio is also positive and shows that the social fund portfolio can beat
the market to some extent as ratio is positive but lower than the sharp ratio (Andrienko et al.
2019). The Jensen Alpha ratio shows a positive value shows that the portfolio consisting of ETF
and Treasury bond can outperform the market. The sortino ratio is also calculated for looking the
performance of the fund concerning the downside risk present in the market. The sortino ratio
shows the value of 0.0017 which is the lowest among the 4 ratios. It shows that the social funds
have the highest risk of downside volatility (Robiyanto 2018).
Task 3
In the above case, it is seen that a hedge fund manager has an initial cash balance of
£350,000, which he needs to invest fully or partially to obtain profitable outcomes. To ensure

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profitability for all investors, the hedge manager constructed four portfolios namely, portfolio 1
with no short sale, portfolio 2 with short selling, portfolio 3 with high beta, and portfolio 4 with
low beta.
Month
s
Risk-free
rate market
Tangency
Portfolio 1
No short sale
Tangency
Portfolio 2
With a short
sale
Tangency
Portfolio 3
High Beta
Tangency
Portfolio 4
Low Beta
Feb 0.001978332 0.02972893 0.007538439 -0.01267162 0.075893151 0.011040043
Mar 0.001962022 0.017924288 0.013511722 0.02071848
-
0.021695491
-
0.000506982
Apr 0.001937552 0.039313435
-
0.002693942
-
0.055542147 0.053915356
-
0.002559387
May 0.001790593
-
0.065777726
-
0.084616361
-
0.061831523
-
0.133043449 0.003766973
Jun 0.001733379 0.068930183 0.120627295 0.02122618 0.047102738 0.051896314
Jul 0.001610655 0.013128195 0.044446657 0.019384531 0.03046416 0.007748341
Aug 0.001561519
-
0.018091653
-
0.012381791
-
0.053396864
-
0.031811503 0.023128044
Sep 0.00136471 0.017181168
-
0.017172205 0.028505252
-
0.001788677
-
0.006782174
Oct 0.001274363 0.020431747 0.058133855 - 0.056260372 0.039083359

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0.021194863
Nov 0.001274363 0.034047064
-
0.000203374 0.140494019 0.122732468 0.008464994
Dec 0.001257927 0.028589803 0.050626617 0.03936783 0.019634562 0.033969628
Jan 0.001257927 -0.00162809
-
0.060470541
-
0.061136993 0.05621415 0.035646796
Return 0.16% 1.53% 0.98% 0.03% 2.28% 1.71%
Stdev 0.03% 3.19% 5.23% 5.59% 6.23% 1.83%
Beta 1.285090549
Beta is one of the significant factors for calculating the overall systematic risk of a
portfolio of investment. Beta is the risk that cannot be diversified, and thus it cannot reduce the
overall systematic risk associated with portfolios. In this case, the hedge fund manager calculates
the beta factor as 1.28509055, and when the beta value is more than one, then it is more volatile
than the market. As estimated by the hedge manager, the risk-free rate of return of twelve months
comes to 0.16% and the market risk premium is 1.53%. The market risk premium is the
difference between the expected return on a market portfolio and risk-free rate (Burney et al.
2019). Even the standard deviation of the market is 3.19%, which is more than the standard
deviation of the risk-free rate that comes to 0.03%. As risk-free rate of return of an investment
assumes to be an investment with zero risks, it returns and standard deviation is less than the
risk-free market return and standard deviation. It is correctly said that more return attracts more

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risk, and the standard deviation of a portfolio is used to measure the inherent volatility of an
investment. Standard deviation analyzes the stability of performance of a portfolio and evaluates
the investment risk. If one evaluates the above table, then the return is more for the portfolio with
a high beta rate of 2.28% and even the risk associated with the portfolio is more as compared to
another portfolio. Investing in top beta stocks results in great investments in bull markets. They
expected to outperform the S&P 500 by some marginal value. In this scenario, the market is
susceptible and hence required active management skills. Volatility level is exceptionally high in
this situation, thus risk investment in isolation.
Ratios portfolio 1 S&P 500
Sharpe 0.156674181 0.430542449
Treynor 0.006377179 0.013731167
Sortino 0.287780557 0.687138384
Jensen -0.00945054
If the tangency portfolio with no short sale is considered, then it will give a return of
0.98%, and the risk associated with the portfolio comes to 5.23%. The standard deviation, which
is the risk-measuring factor, is extremely high as compared to its return. To efficiently evaluating
portfolio 1, the hedge manager calculated a few ratios that will measure the amount of return on
the portfolio as compared to the market condition. Sharpe index measures the investment
performance; in this case, the ratio results to 0.157 (approx.). It reflects what an investor will
gain by taking more risk. The Treynor ratio comes to 0.00637718, and it measures excess return

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over the additional risk taken. In this case, systematic risk is used rather than total risk. The beta
factor is an essential element in this ratio. The Sortino ratio refers to the extension of the Sharpe
ratio, and it comes to 0.28778056. It takes into consideration only those return that is falling
below the required rate of return. Jensen alpha evaluates the average performance on the
portfolio, and in this case, it comes to a negative value of (0.00945054) that reflects that the fund
manager is not able to beat the market.
In the portfolio,
two the hedge manager is
short selling, and when
this process is used must
use advanced strategy to
gain profitability. In short sale, an investor believes that the stock price will decrease in future,
and then the investor can buy the shares at a low price. Here the Sharpe ratio is negative that
reflects that risk-free rate is more significant than portfolio return or the portfolio return is
negative. The Treynor ratio is negative, that shows that investment has performed worse than a
risk-free asset. The high ratio tends to compensate better for risk taken. Even the Sortino ratio
comes to negative that indicates the fund manager can have a better risk-adjusted rate of return
(Anwar and Arif 2017). In this case, the Jensen alpha is negative, that shows the inefficiency of
the hedge manager to beat the market.
Ratios portfolio 3 S&P 500
Ratios portfolio 2 S&P 500
sharpe -0.022492903 0.430542449
treynor -0.000977951 0.01068498
sortino -0.045972477 0.687138384
Jensen -0.018902548

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Sharpe 0.341115582 0.430542449
Treynor 0.016527661 0.01068498
Sortino 0.537124647 0.687138384
Jensen 0.003593748
Portfolio 3 refers to investing with high beta value. This type of portfolio attracts more
risk and event return is earned as per the expectation of various investors. The stocks having
higher beta value are supposed to be riskier;however; they result in a potentially higher return. It
is seen that the standard deviation is coming to 6.23% that is higher from all the other portfolios,
and the return is coming to 2.28%. Even though the risk factor is higher, it will give a higher
yield as compared to the other entire portfolios. The hedge manager needs to be active to manage
the funds in an efficient way, as the market is sensitive, and even the level of volatility is high
(Maguire, Moffett and Maguire 2018). In this case, all the ratios are positive, the Sortino ratio is
more from all the other rates, and this indicates that the investment is earning more return as
compared to the amount of risk it has undertaken. Even the Jensen ratio is positive, that shows
the fund manager has managed to beat the market to some extent (Zhao, Ledoit and Jiang 2019).
Ratios portfolio 4 S&P 500
sharpe 0.84823445 0.430542449
treynor 0.012054443 0.01068498
sortino 3.052934271 0.687138384
Jensen -0.002154742

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Investing in a portfolio having low beta factor will result in a low return and that too,
with less risk factor. When the beta factor is low, the standard deviation is small, that is 1.83%,
which is less as compared to other portfolios. In this case, the Jensen ratio is negative that
reflects the fund manager could have to manage the funds in a better way to obtain profitable
results; however, due to inefficient fund management the manager will not be able to beat the
market competition. All other ratios are positive that reflects that there will be profitable result in
future. Even the Sortino ratio is more significant than two that are considered to extremely good
for investment (Brightman, Kalesnik and Shim 2017).
Conclusion
Therefore, the discussion of the report helps in clear understanding of the affect of the
different risk and return relationship. The study concludes that the performance of different
portfolio can be done by calculating the expected return, actual return and the standard deviation.
The calculation of these data helps to determine the performance and also helps in the
comparision of the risk and return with the market benchmark. The project concludes that the
high beta stocks are the riskiest stock but they can generate huge profits by taking high risk.
These have the capacity to beat the market. While the volatility in the portfolio having low beta
stock are showing lower standard deviation and taking lower risk , therefore the return of these
portfolio is also lower. The portfolio with no short sale and the portfolio with low beta stock are
showing low volatility.

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