AFIN818 Session 2 2018 Case Study: Portfolio Performance Evaluation

This report, prepared for AFIN818, evaluates the performance of ten stocks using the Capital Asset Pricing Model (CAPM), Jensen's alpha, and the information ratio. The analysis ranks stocks based on their risk-adjusted returns, with Boeing (BA) showing the best performance according to both alpha and information ratio. The report also compares the performance of an unconstrained and a constrained optimal risky portfolio, using both the CAPM and Fama-French 3-factor models. The CAPM model is used to calculate the expected return of the two portfolios, highlighting the impact of market risk. The Fama-French 3-factor model is also used to calculate the expected returns, incorporating market risk premium, size premium, and value premium, revealing the sensitivity of each portfolio to these factors. The appendix includes tables with the calculated values and references for the models and metrics used.