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ACC91210-Risk And Return Analysis Using Historical Market Data

tag 0 Download 6 Pages / 1,310 Words tag 02-07-2020


The assignment requires you to conduct a risk and return analysis using historical market data. Prepare your data prior to performing the risk and return calculations:

Choose one company from Table 1 below. This company will be your case company for this and Task 1 of the next assessment.

Table 1: Monthly Data for Case Companies

For completion of the assessment tasks, you will also need the following data (see Table 2 below):
Table 2: Monthly Data for Reference Company and Market Index

Tasks for Case Study 1

a) Using the data above, calculate:
(1) the historical monthly rates of return for the market index only (monthly rates of return for the companies are given); and
(2) the historical average rate of return and standard deviation of returns for:
i) your case company;

ii) the reference company; and

iii) the market index. 

b) Calculate portfolio historical average rate of return and standard deviation assuming a portfolio of equal weighting for your case company and the reference company (2.5 marks).
c) Use CAPM to estimate the expected return for the shares of: 1) your case company; and 2) the reference company as at 28 February 2018. To do this, use the yield to maturity on that date of a 10-year Australian Treasury bond as a proxy for the risk-free rate, assume the market risk premium is 6.6% and use the company’s current beta. Assume that the reference company has a negative beta of -0.20. 

d) Using the data from part c, calculate the portfolio expected return and beta, again assuming equal weights for the two companies.  company, discuss the risk and return measures you have calculated.
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Total 6 pages

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