Financial Portfolio Analysis: Calculating Returns, Variance, and VaR

This finance assignment presents an analysis of a stock portfolio comprising Apple Inc., Coca-Cola, and Netflix. The analysis begins with the selection criteria, highlighting the companies' market leadership and industry diversification. The assignment then delves into the calculation of monthly returns, mean, variance, standard deviation, and correlation coefficients for each stock. Portfolio weights are determined, with 30% invested in Apple, and 35% each in Coca-Cola and Netflix. The portfolio mean, variance, and standard deviation are calculated, along with the portfolio return after a 10% loss. Furthermore, the Value at Risk (VaR) at a 99% confidence level is computed. Finally, the efficient frontier of the portfolio is graphically represented, providing a visual of the portfolio's risk-return trade-off.

Finance

Selection criteria for the Stock
 The stocks selected from the portfolio are Apple Inc, Coco Cola and Netflix, as all
the three companies fall in different industries.
 Moreover, the stock selected for investment are considered one of the market
leaders, which can allow the portfolio to adequately improve their overall returns
from investment.
 The main criteria for the selection was to detect stock with the highest market cap
and market value.

Monthly rate of return for the three stock
4/1/2009
7/1/2009
10/1/2009
1/1/2010
4/1/2010
7/1/2010
10/1/2010
1/1/2011
4/1/2011
7/1/2011
10/1/2011
1/1/2012
4/1/2012
7/1/2012
10/1/2012
1/1/2013
4/1/2013
7/1/2013
10/1/2013
1/1/2014
4/1/2014
7/1/2014
10/1/2014
1/1/2015
4/1/2015
7/1/2015
10/1/2015
1/1/2016
4/1/2016
7/1/2016
10/1/2016
1/1/2017
4/1/2017
7/1/2017
10/1/2017
1/1/2018
4/1/2018
7/1/2018
10/1/2018
1/1/2019
4/1/2019
-60.00%
-40.00%
-20.00%
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
Monthly return of APPLE, COKE, and NFLX
Apple Inc Return COKE Return NFLX Return

Calculating the mean, variance and
standard deviation
Particulars Apple Inc COKE NFLX
Mean 2.6451% 1.9784% 4.8125%
Variance 0.0051 0.0082 0.0296
Standard deviation 0.0717 0.0907 0.1719

Calculating the correlation coefficient
Correlation Apple Inc Return COKE Return NFLX Return
Apple Inc Return 1 0.06408049 0.080014241
COKE Return 0.06408049 1 -0.055161196
NFLX Return 0.080014241 -0.055161196 1

Percentage of weights that would be
invested in the portfolio
The above table provides information on the weights of the
portfolio, which can be used increasing the returns from
investment. The portfolio weights are divided in three
different parts, where 30% is invested in Apple Inc, while
35% of the portfolio investment is conducted on Netflix and
Coco Cola. The weights are allocated on the basis of industry,
where consumer industry is preferred over technology.
Particulars Apple Inc COKE NFLX Total
Weights 30.00% 35.00% 35.00% 100.00%

Portfolio mean, variance, and standard
deviation
Particulars Portfolio
Mean 3.1704%
Variance 0.0051
Standard deviation 0.0719

Calculating the portfolio return with a loss
of 10%:
Particulars Value
Portfolio after loss 2.8533%

Calculating the VaR of the portfolio with
99% confidence level
Particulars Value
VaR 99%
Investment $ 100,000.00
Mean return 3.1704%
Portfolio Sigma 7.1915%
Mean Investment $ 103,170.36
Sigma of Investment $ 7,191.51
Cutoff $ 86,440.42
Cumulative PDF 0.01
1 Month VaR at 99% level $ 13,559.58

Drawing the efficient frontier of portfolio
5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
2.60%
Efficient frontier

THANK YOU