Investment Analysis Project: Portfolio Analysis, Risk, and Returns

This project presents an in-depth investment analysis, evaluating the performance and risk characteristics of various stock portfolios. The analysis includes calculating annualized returns, standard deviations, and beta coefficients for individual stocks. It also involves constructing and analyzing different portfolios, optimizing weights to achieve specific investment goals, and assessing systematic and unsystematic risks. The project further examines the diversification ratio and Sharpe ratio to gauge portfolio efficiency. Additionally, the document tracks the performance of a portfolio against the ASX200 index over a specific period, providing insights into market trends and investment strategies. The project uses financial data and calculations to illustrate portfolio construction and management principles, making it valuable for students studying finance and investment analysis.

Running head: INVESTMENT ANALYSIS
Investment Analysis
Name of the Student:
Name of the University:
Author’s Note:

1INVESTMENT ANALYSIS
Table of Contents
Answer to Question 1:.....................................................................................................................2
Requirement b:.............................................................................................................................2
Requirement c:.............................................................................................................................3
Requirement d:.............................................................................................................................3
Requirement e:.............................................................................................................................3
Requirement f:...........................................................................................................................10
Answer to Question 2:...................................................................................................................11
Requirement a:...........................................................................................................................11
Requirement b:...........................................................................................................................12
Requirement c:...........................................................................................................................13
Answer to Question 3:...................................................................................................................15
Requirement a:...........................................................................................................................15
Requirement b:...........................................................................................................................17
Requirement c:...........................................................................................................................17
Bibliography:.................................................................................................................................19

2INVESTMENT ANALYSIS
Answer to Question 1:
Requirement b:
CB
A
WB
C ANZ BHP NAB CSL TLS WES WOW MQG
ASX2
00
Annualiz
ed
Return
0.00
823
2
-
0.01
465
-
0.040
86040
7
-
0.148
78081
-
0.047
01194
7
0.111
14565
4
-
0.020
32087
-
0.024
44650
7
-
0.127
68734
9
0.132
22999
9
0.010
88135
5
Stdev
0.02
515
5
0.02
908
3
0.030
80135
1
0.043
82371
8
0.029
78261
0.025
24743
7
0.020
49531
4
0.022
63223
7
0.031
31528
1
0.034
18474
7
0.018
94945
3
Stocks Return
Vector of
returns CBA
0.00823
2
WBC -0.01465
ANZ -0.04086
BHP -0.14878
NAB -0.04701
CSL
0.11114
6
TLS -0.02032
WES -0.02445
WOW -0.12769
MQG 0.13223
ASX200
0.01088
1
Variance Covariance Matrix
CBA WBC ANZ BHP NAB CSL TLS WES WOW
MQ
G
CB
A
0.0006
88934
0.0004
89804
0.0002
80119
-
0.0006
56671
0.0001
93022
0.0010
70604
8.1569
8E-05
2.636E-
05
-
0.0006
37937
0.00
1506
W
BC
0.0004
89804
0.0010
59016
0.0013
65118
0.0028
09999
0.0014
03111
-
0.0013
32422
0.0005
69941
0.0006
35009
0.0022
8582
-
0.00
129
AN
Z
0.0002 0.0013 0.0025 0.0066 0.0026 - 0.0010 0.0012 0.0054 -

3INVESTMENT ANALYSIS
80119 65118 85648 46497 5926
0.0041
35385 88959 74822 98882
0.00
459
BH
P
-
0.0006
56671
0.0028
09999
0.0066
46497
0.0234
12951
0.0074
43357
-
0.0157
75904
0.0031
79262
0.0039
11591
0.0188
53618
-
0.01
839
NA
B
0.0001
93022
0.0014
03111
0.0026
5926
0.0074
43357
0.0030
46236
-
0.0048
25022
0.0012
04559
0.0014
27831
0.0063
09252
-
0.00
533
CS
L
0.0010
70604
-
0.0013
32422
-
0.0041
35385
-
0.0157
75904
-
0.0048
25022
0.0124
7106
-
0.0019
59961
-
0.0024
23872
-
0.0134
54357
0.01
4291
TL
S
8.1569
8E-05
0.0005
69941
0.0010
88959
0.0031
79262
0.0012
04559
-
0.0019
59961
0.0008
22786
0.0007
28053
0.0027
67265
-
0.00
245
W
ES
2.636E-
05
0.0006
35009
0.0012
74822
0.0039
11591
0.0014
27831
-
0.0024
23872
0.0007
28053
0.0010
95829
0.0034
55374
-
0.00
29
W
O
W
-
0.0006
37937
0.0022
8582
0.0054
98882
0.0188
53618
0.0063
09252
-
0.0134
54357
0.0027
67265
0.0034
55374
0.0167
40987
-
0.01
581
M
Q
G
0.0015
06416
-
0.0012
85836
-
0.0045
8825
-
0.0183
8827
-
0.0053
25165
0.0142
9052
-
0.0024
53884
-
0.0029
01412
-
0.0158
10413
0.01
7868
Requirement c:
CBA WBC ANZ BHP NAB CSL TLS WES WOW MQG
Be
ta
1.0687
45803
1.3171
24582
1.3715
52421
1.5866
58435
1.2952
69326
0.6830
36615
0.6413
91521
0.7132
0792
0.9135
18289
1.1869
88514
Requirement d:
CBA WBC ANZ BHP NAB CSL TLS WES WOW MQG
Total Var
0.000
63279
5
0.000
84584
6
0.000
94872
3
0.001
92051
8
0.000
88700
4
0.000
63743
3
0.000
42005
8
0.000
51221
8
0.000
98064
7
0.001
16859
7
Systemeti
c Risk
0.020
25214
9
0.024
95879
1
0.025
99016
9
0.030
06631
0
0.024
54464
6
0.012
94317
1
0.012
15401
9
0.013
51490
0
0.017
31067
2
0.022
49278
4
Unsystem
etic Risk
0.014
92132
2
0.014
92999
1
0.016
52980
2
0.031
88314
9
0.016
86903
1
0.021
67734
8
0.016
50265
8
0.018
15394
2
0.026
09573
6
0.025
74240
9
Diversific 0.648 0.736 0.711 0.470 0.679 0.262 0.351 0.356 0.305 0.432

4INVESTMENT ANALYSIS
ation
ratio
15505
7
47133
9
99781
9
69743
8
18493
0
81294
9
66621
5
59128
9
57319
3
93397
1
Requirement e:
CBA WBC ANZ BHP NAB CSL TLS WES WOW MQG
CBA
0.000688
934
0.0004
9
0.0002
8
-
0.0006
6
0.00019
302
0.0010
71
8.16E-
05
2.64E-
05
-
0.0006
4
0.0015
06
WB
C
0.000489
804
0.0010
59
0.0013
65
0.0028
1
0.00140
311
-
0.0013
3
0.0005
7
0.0006
35
0.0022
86
-
0.0012
9
ANZ
0.000280
119
0.0013
65
0.0025
86
0.0066
46
0.00265
926
-
0.0041
4
0.0010
89
0.0012
75
0.0054
99
-
0.0045
9
BHP
-
0.000656
67
0.0028
1
0.0066
46
0.0234
13
0.00744
336
-
0.0157
8
0.0031
79
0.0039
12
0.0188
54
-
0.0183
9
NAB
0.000193
022
0.0014
03
0.0026
59
0.0074
43
0.00304
624
-
0.0048
3
0.0012
05
0.0014
28
0.0063
09
-
0.0053
3
CSL
0.001070
604
-
0.0013
3
-
0.0041
4
-
0.0157
8
-
0.00482
5
0.0124
71
-
0.0019
6
-
0.0024
2
-
0.0134
5
0.0142
91
TLS
8.15698E
-05
0.0005
7
0.0010
89
0.0031
79
0.00120
456
-
0.0019
6
0.0008
23
0.0007
28
0.0027
67
-
0.0024
5
WE
S
2.636E-
05
0.0006
35
0.0012
75
0.0039
12
0.00142
783
-
0.0024
2
0.0007
28
0.0010
96
0.0034
55
-
0.0029
WO
W
-
0.000637
94
0.0022
86
0.0054
99
0.0188
54
0.00630
925
-
0.0134
5
0.0027
67
0.0034
55
0.0167
41
-
0.0158
1
MQ
G
0.001506
416
-
0.0012
9
-
0.0045
9
-
0.0183
9
-
0.00532
52
0.0142
91
-
0.0024
5
-
0.0029
-
0.0158
1
0.0178
68
Assets Stats Mean Stdev Var
CBA 0.008231813 0.025155425
0.00063
3

5INVESTMENT ANALYSIS
WBC -0.0146451 0.02908343
0.00084
6
ANZ
-
0.040860407 0.030801351
0.00094
9
BHP
-
0.148780811 0.043823718
0.00192
1
NAB
-
0.047011947 0.02978261
0.00088
7
CSL 0.111145654 0.025247437
0.00063
7
TLS -0.02032087 0.020495314 0.00042
WES
-
0.024446507 0.022632237
0.00051
2
WOW
-
0.127687349 0.031315281
0.00098
1
MQG 0.132229999 0.034184747
0.00116
9
Market
Portfolio 0.010881355 0.018949453
0.00035
9
PF
Weights
PF Stats using
Matrix
CBA 0.264100331 Mean
0.01091
9
WBC
-
0.139566465 Standard Dev 0.02
ANZ
-
0.062701224 Var 0.0004
BHP 0.031394148
NAB 0.002699481
CSL 0.156465851
TLS 0.394006473
WES 0.245520687
WOW 0.033612213 rf 0.01
MQG 0.074468506 Sharpe
PF
Weights
PF Stats using
Matrix
CBA 0.268413815 Mean
0.02545
4
WBC
-
0.135867555 Standard Dev 0.03

6INVESTMENT ANALYSIS
ANZ
-
0.085197312 Var 0.0009
BHP 0.022406983
NAB 0.002525485
CSL 0.186695182
TLS 0.37728015
WES 0.251782616
WOW 0.00195046 rf 0.01
MQG 0.110010177 Sharpe
PF
Weights
PF Stats using
Matrix
CBA 0.260875943 Mean
0.00049
8
WBC
-
0.143247467 Standard Dev
0.01715
8
ANZ
-
0.046000322 Var
0.00029
4
BHP 0.037969462
NAB 0.00302269
CSL 0.13506311
TLS 0.407230725
WES 0.239701481
WOW 0.056353802 rf 0.01
MQG 0.049030577 Sharpe
PF
Weights
PF Stats using
Matrix
CBA 0 Mean
0.12307
6
WBC 0 Standard Dev
0.12285
4
ANZ 0 Var
0.01509
3
BHP 0
NAB 0
CSL 0.434141122
TLS 0
WES 0
WOW 0 rf 0.01
MQG 0.565858871 Sharpe
0.92041
3

7INVESTMENT ANALYSIS
Linear Combo of two EFF
portfolios
Covar 0.055%
Weight in 6 stocks
portfolio 50.000%
Mean 1.8187%
Stdev 2.447%
2.447%
1.8187
%
-7
0.12610991
4
0.12719
9
-6.9
0.12469013
4
0.12574
6
-6.8
0.12327066
6
0.12429
2
-6.7
0.12185152
1
0.12283
9
-6.6 0.12043271
0.12138
5
-6.5
0.11901424
5
0.11993
2
-6.4 0.11759614
0.11847
8
-6.3
0.11617840
6
0.11702
5
-6.2
0.11476105
7
0.11557
1
-6.1
0.11334410
9
0.11411
8
-6
0.11192757
7
0.11266
4
-5.9
0.11051147
6
0.11121
1
-5.8
0.10909582
2
0.10975
7
-5.7
0.10768063
5
0.10830
4
-5.6
0.10626593
2 0.10685
-5.5
0.10485173
4
0.10539
7
-5.4 0.10343806
0.10394
3
-5.3 0.10202493 0.10249

8INVESTMENT ANALYSIS
2
-5.2
0.10061237
4
0.10103
6
-5.1 0.09920041
0.09958
3
-5
0.09778906
6
0.09812
9
-4.9
0.09637836
8
0.09667
6
-4.8
0.09496834
6
0.09522
2
-4.7
0.09355903
1
0.09376
9
-4.6
0.09215045
4
0.09231
5
-4.5
0.09074264
9
0.09086
2
-4.4
0.08933565
5
0.08940
8
-4.3
0.08792950
9
0.08795
5
-4.2
0.08652425
3
0.08650
1
-4.1 0.08511993
0.08504
8
-4
0.08371658
9
0.08359
4
-3.9
0.08231427
8
0.08214
1
-3.8
0.08091305
2
0.08068
7
-3.7
0.07951296
8
0.07923
4
-3.6
0.07811408
8 0.07778
-3.5
0.07671647
6
0.07632
7
-3.4
0.07532020
5
0.07487
3
-3.3
0.07392534
9 0.07342
-3.2
0.07253199
1
0.07196
6
-3.1
0.07114021
8
0.07051
3
-3
0.06975012
6
0.06905
9

9INVESTMENT ANALYSIS
-2.9
0.06836181
6
0.06760
6
-2.8 0.0669754
0.06615
2
-2.7
0.06559099
8
0.06469
9
-2.6 0.06420874
0.06324
5
-2.5
0.06282876
8
0.06179
2
-2.4
0.06145123
5
0.06033
8
-2.3
0.06007630
9
0.05888
5
-2.2
0.05870417
4
0.05743
1
-2.1 0.05733503
0.05597
8
-2
0.05596909
7
0.05452
4
-1.9
0.05460661
4
0.05307
1
-1.8
0.05324784
8
0.05161
7
-1.7
0.05189309
1
0.05016
4
-1.6
0.05054266
3 0.04871
-1.5
0.04919692
3
0.04725
7
-1.4
0.04785626
6
0.04580
3
-1.3 0.04652113 0.04435
-1.2
0.04519200
6
0.04289
6
-1.1
0.04386943
9
0.04144
3
-1
0.04255404
2
0.03998
9
-0.9
0.04124649
9
0.03853
6
-0.8
0.03994758
4
0.03708
2
-0.7
0.03865816
4
0.03562
9
-0.6
0.03737922
3
0.03417
5

10INVESTMENT ANALYSIS
-0.5
0.03611187
3
0.03272
2
-0.4
0.03485738
1
0.03126
8
-0.3
0.03361718
4
0.02981
5
-0.2
0.03239292
5
0.02836
1
-0.1
0.03118648
1
0.02690
8
-8.13238E-
15
0.03000000
1
0.02545
4
0.1 0.02883595
0.02400
1
0.2
0.02769715
6
0.02254
7
0.3
0.02658686
4
0.02109
4
0.4
0.02550879
6 0.01964
0.5
0.02446721
3
0.01818
7
0.6
0.02346697
3
0.01673
3
0.7
0.02251358
6 0.01528
0.8
0.02161325
5
0.01382
6
0.9
0.02077287
9
0.01237
3
1
0.02000001
7
0.01091
9
1.1 0.01930278
0.00946
6
1.2
0.01868963
4
0.00801
2
1.3
0.01816909
4
0.00655
9
1.4
0.01774931
1
0.00510
5
1.5
0.01743756
1
0.00365
2
1.6
0.01723970
8
0.00219
8
1.7
0.01715969
1
0.00074
5
1.8 0.01719915 -

11INVESTMENT ANALYSIS
5 0.00071
1.9
0.01735728
4
-
0.00216
2
0.01763088
7
-
0.00362
2.1
0.01801470
3
-
0.00507
2.2
0.01850187
3
-
0.00652
2.3
0.01908448
5
-
0.00798
2.4
0.01975409
6
-
0.00943
2.5
0.02050218
4
-
0.01088
2.6
0.02132048
8
-
0.01234
2.7
0.02220124
7
-
0.01379
2.8
0.02313732
9
-
0.01524
2.9
0.02412229
4 -0.0167
3 0.0251504
-
0.01815
3.1
0.02621657
2 -0.0196
3.2
0.02731635
3
-
0.02106
weight
in rF
6.143%
6.6538
%
1 0 0.01
0.9 0.0122854
0.02130
8
0.8 0.0245708
0.03261
5
0.7
0.0368561
9
0.04392
3
0.6
0.0491415
9
0.05523
1
0.5
0.0614269
9
0.06653
8

12INVESTMENT ANALYSIS
0.4
0.0737123
9
0.07784
6
0.3
0.0859977
8
0.08915
3
0.2
0.0982831
8
0.10046
1
0.1
0.1105685
8
0.11176
9
0
0.1228539
8
0.12307
6
-0.1
0.1351393
8
0.13438
4
-0.2
0.1474247
7
0.14569
2
-0.3
0.1597101
7
0.15699
9
-0.4
0.1719955
7
0.16830
7
-0.5
0.1842809
7
0.17961
5
-0.6
0.1965663
6
0.19092
2
-0.7
0.2088517
6 0.20223
-0.8
0.2211371
6
0.21353
8
-0.9
0.2334225
6
0.22484
5
-1
0.2457079
5
0.23615
3

13INVESTMENT ANALYSIS
0 0.05 0.1 0.15 0.2 0.25 0.3
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
0.3
TG
MinVar
Pf B
Pf A
Efficient Frontier Pf A Pf B MinVar
TG CML Stocks Market Portfolio
Requirement f:
Assets Stats Mean Stdev Var
CBA 0.008231813 0.025155425
0.00063
3
WBC -0.0146451 0.02908343
0.00084
6
ANZ
-
0.040860407 0.030801351
0.00094
9
BHP
-
0.148780811 0.043823718
0.00192
1
NAB
-
0.047011947 0.02978261
0.00088
7
CSL 0.111145654 0.025247437
0.00063
7
TLS -0.02032087 0.020495314 0.00042
WES
-
0.024446507 0.022632237
0.00051
2
WOW
-
0.127687349 0.031315281
0.00098
1
MQG 0.132229999 0.034184747
0.00116
9

14INVESTMENT ANALYSIS
Market
Portfolio 0.010881355 0.018949453
0.00035
9
PF
Weights
PF Stats using
Matrix
CBA 0% Mean
0.12307
6
WBC 0% Standard Dev
0.12285
4
ANZ 0% Var
0.01509
3
BHP 0%
NAB 0%
CSL 43%
TLS 0%
WES 0%
WOW 0% rf 1%
MQG 57% Sharpe
0.92041
3
Total 100%
0 0.08 0.16 0.24 0.32 0.4 0.48 0.56 0.64 0.72 0.8 0.88 0.96 1.04
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
Stocks Market Portfolio SML

15INVESTMENT ANALYSIS
Answer to Question 2:
Requirement a:
Wei
ght
s 16% 7% 5% 11% 4% 15% 18% 13% 1% 9%
0 CBA WBC ANZ BHP NAB CSL TLS WES WOW MQG
16
%
CB
A
0.000
689
0.000
49
0.000
28
-
0.000
657
0.000
193
0.001
0706
8.16E-
05
2.64E-
05
-
0.000
638
0.001
5064
7%
WB
C
0.000
49
0.001
059
0.001
365
0.002
81
0.001
403
-
0.001
332
0.000
57
0.000
635
0.002
286
-
0.001
286
5%
AN
Z
0.000
28
0.001
365
0.002
586
0.006
646
0.002
659
-
0.004
135
0.001
089
0.001
275
0.005
499
-
0.004
588
11
%
BH
P
-
0.000
657
0.002
81
0.006
646
0.023
413
0.007
443
-
0.015
776
0.003
179
0.003
912
0.018
854
-
0.018
388
4%
NA
B
0.000
193
0.001
403
0.002
659
0.007
443
0.003
046
-
0.004
825
0.001
205
0.001
428
0.006
309
-
0.005
325
15
% CSL
0.001
071
-
0.001
332
-
0.004
135
-
0.015
776
-
0.004
825
0.012
4711
-
0.001
96
-
0.002
424
-
0.013
454
0.014
2905
18
% TLS
8.16E-
05
0.000
57
0.001
089
0.003
179
0.001
205
-
0.001
96
0.000
823
0.000
728
0.002
767
-
0.002
454
13
%
WE
S
2.64E-
05
0.000
635
0.001
275
0.003
912
0.001
428
-
0.002
424
0.000
728
0.001
096
0.003
455
-
0.002
901
1%
W
O
W
-
0.000
638
0.002
286
0.005
499
0.018
854
0.006
309
-
0.013
454
0.002
767
0.003
455
0.016
741
-
0.015
81
9%
M
QG
0.001
506
-
0.001
286
-
0.004
588
-
0.018
388
-
0.005
325
0.014
2905
-
0.002
454
-
0.002
901
-
0.015
81
0.017
868
1
0.000
0664
0.000
0354
0.000
0279
0.000
0640
0.000
0213
0.000
0414
0.000
0476
0.000
0385
0.000
0021
0.000
0405
Requirement b:
Wei 14% 0% 0% 1% 0% 14% 39.4 24.5 4% 3%

16INVESTMENT ANALYSIS
ght
s 3% 2%
0 CBA WBC ANZ BHP NAB CSL TLS WES WOW MQG
14
%
CB
A
0.000
689
0.000
49
0.000
28
-
0.000
657
0.000
193
0.001
0706
8.16E-
05
2.64E-
05
-
0.000
638
0.001
5064
0%
WB
C
0.000
49
0.001
059
0.001
365
0.002
81
0.001
403
-
0.001
332
0.000
57
0.000
635
0.002
286
-
0.001
286
0%
AN
Z
0.000
28
0.001
365
0.002
586
0.006
646
0.002
659
-
0.004
135
0.001
089
0.001
275
0.005
499
-
0.004
588
1%
BH
P
-
0.000
657
0.002
81
0.006
646
0.023
413
0.007
443
-
0.015
776
0.003
179
0.003
912
0.018
854
-
0.018
388
0%
NA
B
0.000
193
0.001
403
0.002
659
0.007
443
0.003
046
-
0.004
825
0.001
205
0.001
428
0.006
309
-
0.005
325
14
% CSL
0.001
071
-
0.001
332
-
0.004
135
-
0.015
776
-
0.004
825
0.012
4711
-
0.001
96
-
0.002
424
-
0.013
454
0.014
2905
39
% TLS
8.16E-
05
0.000
57
0.001
089
0.003
179
0.001
205
-
0.001
96
0.000
823
0.000
728
0.002
767
-
0.002
454
25
%
WE
S
2.64E-
05
0.000
635
0.001
275
0.003
912
0.001
428
-
0.002
424
0.000
728
0.001
096
0.003
455
-
0.002
901
4%
W
O
W
-
0.000
638
0.002
286
0.005
499
0.018
854
0.006
309
-
0.013
454
0.002
767
0.003
455
0.016
741
-
0.015
81
3%
M
QG
0.001
506
-
0.001
286
-
0.004
588
-
0.018
388
-
0.005
325
0.014
2905
-
0.002
454
-
0.002
901
-
0.015
81
0.017
868
1
0.000
0417
0.000
0000
0.000
0000
0.000
0042
0.000
0000
0.000
0424
0.000
1188
0.000
0739
0.000
0107
0.000
0097
Requirement c:
Statistiscs of 1st Portfolio:
Expected Returns
Average
Return
Standard
Deviation

17INVESTMENT ANALYSIS
CBA 0.00823 0.02516
WBC -0.01465 0.02908
ANZ -0.04086 0.03080
BHP -0.14878 0.04382
NAB -0.04701 0.02978
CSL 0.11115 0.02525
TLS -0.02032 0.02050
WES -0.02445 0.02263
WOW -0.12769 0.03132
MQG 0.13223 0.03418
Portfolio Statistics
Portfolio Average
Return -0.97%
Variance 0.04%
Slope -25.2045
Beta 1.00
Statistiscs of 2nd Portfolio:
Expected Returns
Average
Return
Standard
Deviation
CBA 0.00823 0.02516
WBC -0.01465 0.02908
ANZ -0.04086 0.03080
BHP -0.14878 0.04382
NAB -0.04701 0.02978
CSL 0.11115 0.02525
TLS -0.02032 0.02050
WES -0.02445 0.02263
WOW -0.12769 0.03132
MQG 0.13223 0.03418
Portfolio
Statistics
Portfolio Average -2.04%

18INVESTMENT ANALYSIS
Return
Variance 0.03%
Slope
-
67.791
4
Answer to Question 3:
Requirement a:
Total
Invest
ment
$1,00
0,000.
00
Weight
s 13.8%
0.
0
%
0.
0
% 1.4%
0.
0
%
14.1
%
39.4
%
24.5
% 3.5% 3.2%
100.0
%
Numbe
r of
stocks 1654 0 0 543 0 1394
7611
5 5778
145
3 365 174
ASX20
0 CBA
W
B
C
A
N
Z BHP
N
A
B CSL TLS WES
WO
W
MQ
G
Tracke
r
portfoli
o
ASX2
00
1/4/
201
7
5736.4
0
$138,
262.2
7
$
0.
0
0
$
0.
0
0
$13,
894.
15
$
0.
0
0
$140
,830.
69
$394
,274.
66
$245
,211.
38
$35,
380.
53
$32,
146.
33
$1,000,
000.00
$1,00
0,000.
00
1/11
/201
7
5771.5
0
$140,
560.8
5
$
0.
0
0
$
0.
0
0
$14,
116.
58
$
0.
0
0
$144
,775.
17
$398
,841.
55
$243
,651.
36
$35,
453.
18
$31,
660.
93
$1,009,
059.62
$1,00
6,118.
82
1/18
/201
7
5678.8
0
$136,
691.2
9
$
0.
0
0
$
0.
0
0
$14,
387.
85
$
0.
0
0
$138
,154.
57
$393
,513.
51
$240
,357.
99
$35,
307.
88
$30,
952.
89
$989,3
65.98
$989,
958.8
6
1/25
/201
7
5671.5
0
$135,
980.2
2
$
0.
0
0
$
0.
0
0
$15,
131.
11
$
0.
0
0
$156
,525.
00
$385
,902.
03
$235
,157.
94
$35,
816.
43
$30,
712.
01
$995,2
24.75
$988,
686.2
8
2/1/
201
7
5653.2
0
$135,
632.9
5
$
0.
0
0
$
0.
0
0
$14,
691.
66
$
0.
0
0
$157
,946.
69
$385
,902.
03
$236
,082.
39
$36,
455.
75
$30,
890.
85
$997,6
02.32
$985,
496.1
3
2/8/ 5651.4 $136, $ $ $13, $ $157 $387 $233 $36, $30, $996,0 $985,

19INVESTMENT ANALYSIS
201
7 0
178.6
6
0.
0
0
0.
0
0
964.
67
0.
0
0
,417.
04
,424.
33
,713.
48
848.
06
551.
43 97.67
182.3
4
2/15
/201
7
5809.1
0
$139,
783.6
3
$
0.
0
0
$
0.
0
0
$14,
398.
70
$
0.
0
0
$164
,469.
72
$395
,035.
81
$250
,353.
65
$36,
848.
06
$31,
974.
80
$1,032,
864.37
$1,01
2,673.
45
2/22
/201
7
5805.1
0
$138,
427.6
3
$
0.
0
0
$
0.
0
0
$14,
404.
12
$
0.
0
0
$167
,996.
07
$369
,156.
77
$249
,198.
08
$38,
693.
37
$31,
733.
92
$1,009,
609.97
$1,01
1,976.
15
3/1/
201
7
5704.8
0
$136,
939.3
4
$
0.
0
0
$
0.
0
0
$13,
498.
10
$
0.
0
0
$164
,636.
98
$353
,172.
67
$247
,638.
07
$37,
066.
01
$31,
620.
78
$984,5
71.95
$994,
491.3
2
3/8/
201
7
5759.7
0
$137,
633.8
8
$
0.
0
0
$
0.
0
0
$13,
687.
98
$
0.
0
0
$170
,727.
94
$355
,456.
11
$251
,913.
67
$37,
865.
16
$31,
894.
51
$999,1
79.24
$1,00
4,061.
78
3/15
/201
7
5774.0
0
$140,
263.1
9
$
0.
0
0
$
0.
0
0
$13,
140.
03
$
0.
0
0
$173
,641.
00
$356
,978.
41
$253
,531.
46
$38,
286.
53
$32,
555.
10
$1,008,
395.72
$1,00
6,554.
63
3/22
/201
7
5684.5
0
$136,
773.9
8
$
0.
0
0
$
0.
0
0
$12,
977.
27
$
0.
0
0
$170
,853.
38
$346
,322.
33
$250
,122.
54
$36,
949.
77
$31,
547.
79
$985,5
47.06
$990,
952.5
1
3/29
/201
7
5873.5
0
$142,
446.0
2
$
0.
0
0
$
0.
0
0
$13,
004.
40
$
0.
0
0
$173
,292.
55
$350
,889.
22
$259
,309.
30
$38,
286.
53
$32,
573.
35
$1,009,
801.37
$1,02
3,900.
01
4/5/
201
7
5876.2
0
$142,
197.9
7
$
0.
0
0
$
0.
0
0
$13,
427.
57
$
0.
0
0
$176
,177.
74
$352
,411.
52
$255
,727.
04
$38,
896.
79
$32,
471.
15
$1,011,
309.78
$1,02
4,370.
69
4/12
/201
7
5934.0
0
$143,
338.9
9
$
0.
0
0
$
0.
0
0
$13,
736.
81
$
0.
0
0
$178
,003.
63
$321
,204.
45
$259
,887.
08
$38,
620.
72
$32,
347.
07
$987,1
38.76
$1,03
4,446.
69
4/19
/201
7
5804.0
0
$139,
932.4
6
$
0.
0
0
$
0.
0
0
$12,
977.
27
$
0.
0
0
$177
,906.
06
$314
,354.
12
$256
,304.
82
$38,
039.
52
$31,
620.
78
$971,1
35.04
$1,01
1,784.
39
4/26
/201
7
5912.0
0
$144,
050.0
7
$
0.
0
0
$
0.
0
0
$13,
064.
08
$
0.
0
0
$181
,348.
78
$322
,726.
75
$253
,878.
13
$39,
201.
92
$33,
350.
73
$987,6
20.45
$1,03
0,611.
53

20INVESTMENT ANALYSIS
5/3/
201
7
5892.3
0
$141,
139.6
3
$
0.
0
0
$
0.
0
0
$12,
592.
08
$
0.
0
0
$185
,976.
23
$325
,010.
19
$250
,700.
32
$38,
664.
31
$33,
409.
12
$987,4
91.88
$1,02
7,177.
32
5/10
/201
7
5875.4
0
$135,
153.3
9
$
0.
0
0
$
0.
0
0
$12,
754.
84
$
0.
0
0
$187
,774.
25
$339
,472.
00
$254
,918.
14
$38,
940.
38
$33,
555.
11
$1,002,
568.11
$1,02
4,231.
23
5/17
/201
7
5786.0
0
$133,
896.6
1
$
0.
0
0
$
0.
0
0
$13,
058.
65
$
0.
0
0
$184
,889.
06
$334
,905.
11
$250
,526.
98
$38,
126.
70
$32,
409.
11
$987,8
12.24
$1,00
8,646.
54
5/24
/201
7
5769.0
0
$133,
946.2
2
$
0.
0
0
$
0.
0
0
$13,
129.
18
$
0.
0
0
$185
,530.
21
$342
,516.
59
$247
,002.
50
$38,
141.
23
$32,
427.
36
$992,6
93.31
$1,00
5,683.
01
5/31
/201
7
5724.6
0
$131,
713.7
9
$
0.
0
0
$
0.
0
0
$12,
966.
42
$
0.
0
0
$180
,205.
85
$334
,905.
11
$246
,713.
61
$37,
850.
63
$32,
719.
33
$977,0
74.75
$997,
942.9
6
6/7/
201
7
5667.2
0
$129,
812.0
8
$
0.
0
0
$
0.
0
0
$12,
581.
23
$
0.
0
0
$182
,979.
54
$339
,472.
00
$232
,442.
36
$37,
690.
80
$31,
660.
93
$966,6
38.93
$987,
936.6
9
6/14
/201
7
5833.9
0
$136,
095.9
8
$
0.
0
0
$
0.
0
0
$12,
852.
49
$
0.
0
0
$197
,976.
95
$331
,860.
52
$236
,371.
29
$38,
199.
35
$32,
956.
56
$986,3
13.14
$1,01
6,996.
72
6/21
/201
7
5665.7
0
$133,
615.4
9
$
0.
0
0
$
0.
0
0
$11,
989.
87
$
0.
0
0
$194
,436.
67
$329
,577.
08
$232
,384.
58
$36,
470.
28
$32,
566.
05
$971,0
40.02
$987,
675.2
0
6/28
/201
7
5755.7
0
$136,
773.9
8
$
0.
0
0
$
0.
0
0
$12,
418.
47
$
0.
0
0
$195
,774.
72
$331
,860.
52
$235
,562.
39
$37,
298.
49
$32,
117.
14
$981,8
05.71
$1,00
3,364.
48

21INVESTMENT ANALYSIS
1/4/2017
1/10/2017
1/16/2017
1/22/2017
1/28/2017
2/3/2017
2/9/2017
2/15/2017
2/21/2017
2/27/2017
3/5/2017
3/11/2017
3/17/2017
3/23/2017
3/29/2017
4/4/2017
4/10/2017
4/16/2017
4/22/2017
4/28/2017
5/4/2017
5/10/2017
5/16/2017
5/22/2017
5/28/2017
6/3/2017
6/9/2017
6/15/2017
6/21/2017
6/27/2017
92.00
94.00
96.00
98.00
100.00
102.00
104.00
106.00
Time series Plot
Normalise value of Tracker Portfolio Normalise value of ASX200
Requirement b:
Annualised
Return
Tracker portfolio -4.459%
ASX200 -1.238%
Requirement c:
Return of
tracker
Portfolio
Return of
ASX200
1/4/2017
1/11/2017 0.902% 0.610%
1/18/2017 -1.971% -1.619%
1/25/2017 0.590% -0.129%
2/1/2017 0.239% -0.323%
2/8/2017 -0.151% -0.032%
2/15/2017 3.625% 2.752%
2/22/2017 -2.277% -0.069%
3/1/2017 -2.511% -1.743%
3/8/2017 1.473% 0.958%
3/15/2017 0.918% 0.248%
3/22/2017 -2.292% -1.562%
3/29/2017 2.431% 3.271%
4/5/2017 0.149% 0.046%
4/12/2017 -2.419% 0.979%
4/19/2017 -1.635% -2.215%

22INVESTMENT ANALYSIS
4/26/2017 1.683% 1.844%
5/3/2017 -0.013% -0.334%
5/10/2017 1.515% -0.287%
5/17/2017 -1.483% -1.533%
5/24/2017 0.493% -0.294%
5/31/2017 -1.586% -0.773%
6/7/2017 -1.074% -1.008%
6/14/2017 2.015% 2.899%
6/21/2017 -1.561% -2.926%
6/28/2017 1.103% 1.576%
Variance 0.030%
Beta 0.852
R Square 0.619
RMSE 0.017

23INVESTMENT ANALYSIS
Bibliography:
Bodie, Z., 2013. Investments. McGraw-Hill
Schlarbaum, G.G., Lewellen, W.G. and Lease, R.C., 1978. Realized returns on common stock
investments: The experience of individual investors. Journal of Business, pp.299-325