Markowitz and SIM-Based Portfolio Optimisation
Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: THEend8_
FINS5513
Markowitz and SIM-Based Portfolio Optimisation
iLAB PROJECT SUMMARY
This iLab project has 3 parts:
▪ Parts A and B – Portfolio Construction (Excel based) – 12 marks
▪ Part C – Portfolio Analysis (Word based including presenting Excel derived graphs) – 8 marks
Each of the parts are described below. Please attempt ALL parts.
PART A: 5 STOCK MARKOWITZ OPTIMISATION
PARTS A AND B ARE WORTH 12 MARKS
A1 Allocated Stocks
You are evaluating a portfolio of 5 U.S. equities drawn from the S&P500. The five allocated stocks are
randomly drawn and are unique to you. Each student will have a different combination of stocks. Your
allocated stocks will be emailed to you from
[email protected]. You should have received
this email already – if you haven’t, please check your junk file and all other inboxes. If you still cannot
find it, please email
[email protected].
The allocated stocks used in the iLab session are an EXAMPLE only (because your allocated stocks
will be different). The five stocks used in the iLab session have the FactSet identifiers (i) APPL-US,
(ii) DIS-US, (iii) GS-US, (iv) JNJ-US, and (v) V-US.
A2 Data Download and Validation
▪ For the period from January 2014 through December 2018, download the monthly returns for each
stock in your portfolio from FactSet (60 observations). All returns should be inclusive of dividends
- in the FactSet dropdown box "Total Return" select "% Return."
▪ We will first verify that you have downloaded the correct data for your assigned companies and
that you are able to correctly compute some basic statistics.
▪ Given that you can multiply monthly average returns by 12 to annualise them, what is the average
annualised return for...
QA1. ...Stock 1?
QA2. ...Stock 2?
QA3. ...Stock 3?
QA4. ...Stock 4?
QA5. ...Stock 5?
▪ Given that you can multiply monthly standard deviations by √12 to annualise them, what is the
annualised standard deviation of monthly returns for...
QA6. ... Stock 1?
QA7. ... Stock 2?
QA8. ... Stock 3?
QA9. ... Stock 4?
QA10. ..Stock 5?