This document provides an analysis of a portfolio for Mr. Thompsen consisting of five New Zealand stocks within his risk tolerance. It includes:
1) Analysis of the risk and return characteristics of each stock and justification for their selection. Contact Energy and Auckland International Airport are favored for their growth potential.
2) Calculation of a minimum variance portfolio with an expected return of 12.66% and standard deviation of 7.81%.
3) Determination of an optimal variance portfolio with the highest expected return of 19.61% that meets Mr. Thompsen's 15% risk tolerance.
4) Recommendation of allocating Mr. Thompsen's $10 million portfolio according to the
MMP222 2014 T2 Assignment 1 Haroon SufiHaroon Sufi
This document provides a research report that analyzes and critically evaluates two listed Australian property development companies, Stockland and GPT Group, for an investor considering where to invest capital.
It begins with a brief history of each company and their development strategies. Stockland was founded in 1952 and has a diverse portfolio across various sectors, while GPT was founded in 1971 focusing on providing investment opportunities.
The document then examines the asset structure of each company, finding Stockland has a larger and more diverse portfolio across five sectors totaling $14 billion in assets, compared to GPT's three sector portfolio of $9.3 billion.
Financial performance between 2013-2014 is also critically analyzed, with Stockland shown to
Royal Dutch Shell plc second quarter 2017 results analyst presentationsShell plc
Royal Dutch Shell reported its second quarter 2017 results. Key highlights included underlying CCS earnings of $3.6 billion, cash flow from operations of $11.3 billion, and a dividend of $0.47 per share. The company is reshaping Shell through ongoing divestments totaling over $25 billion completed, announced or in advanced progress. Capital investment is being managed with discipline, efficiency and flexibility. Operational excellence initiatives are driving down costs. The company expects to generate $38 billion in cash flow from operations over the last four quarters at an oil price of less than $50 per barrel.
Royal Dutch Shell plc socially responsible investors briefing in London, Apri...Shell plc
- The document discusses Royal Dutch Shell's investments and strategy for sustainable growth. It covers topics such as safety, asset integrity, sustainability reporting, climate change, gas, biofuels, and operations in Nigeria.
- Shell aims to invest in priority areas like deepwater, integrated gas, and resource plays while optimizing its downstream portfolio. It is also focusing on growing gas, biofuels, and technologies like carbon capture and storage.
- Updates on Nigeria operations discuss progress on reducing spills, clearing remediation backlogs, and plans to reduce gas flaring through new gas gathering projects.
This document provides an analysis of the financial ratios and performance of Spritzer Berhad, a bottled water producer in Malaysia, for the years 2013-2014. Key ratios calculated include return on equity, net profit margin, gross profit margin, selling expenses ratio, general expenses ratio, financial expenses ratio, working capital ratio, total debt ratio, stock turnover, debtor turnover, and interest coverage. Overall, the analysis found that Spritzer's profitability increased from 2013-2014 as seen by higher return on equity and gross profit margin, while expenses were generally better controlled. However, net profit margin declined slightly. The document also examines Spritzer's share price to earnings ratio and provides an investment recommendation.
Shell Socially responsible investors briefing in London, April 10, 2014Shell plc
1. The document provides definitions and cautionary notes regarding Royal Dutch Shell's use of terms like reserves, resources, organic, and resources plays in presentations.
2. It summarizes Shell's approach to sustainability, which includes helping shape a more sustainable energy future, sharing wider benefits where they operate, and running a safe, efficient, responsible and profitable business.
3. The document outlines Shell's agenda for an SRI event, including panels on topics like carbon management, North America operations, international upstream assets and Nigeria, and health and environmental performance.
MMP222 2014 T2 Assignment 1 Haroon SufiHaroon Sufi
This document provides a research report that analyzes and critically evaluates two listed Australian property development companies, Stockland and GPT Group, for an investor considering where to invest capital.
It begins with a brief history of each company and their development strategies. Stockland was founded in 1952 and has a diverse portfolio across various sectors, while GPT was founded in 1971 focusing on providing investment opportunities.
The document then examines the asset structure of each company, finding Stockland has a larger and more diverse portfolio across five sectors totaling $14 billion in assets, compared to GPT's three sector portfolio of $9.3 billion.
Financial performance between 2013-2014 is also critically analyzed, with Stockland shown to
Royal Dutch Shell plc second quarter 2017 results analyst presentationsShell plc
Royal Dutch Shell reported its second quarter 2017 results. Key highlights included underlying CCS earnings of $3.6 billion, cash flow from operations of $11.3 billion, and a dividend of $0.47 per share. The company is reshaping Shell through ongoing divestments totaling over $25 billion completed, announced or in advanced progress. Capital investment is being managed with discipline, efficiency and flexibility. Operational excellence initiatives are driving down costs. The company expects to generate $38 billion in cash flow from operations over the last four quarters at an oil price of less than $50 per barrel.
Royal Dutch Shell plc socially responsible investors briefing in London, Apri...Shell plc
- The document discusses Royal Dutch Shell's investments and strategy for sustainable growth. It covers topics such as safety, asset integrity, sustainability reporting, climate change, gas, biofuels, and operations in Nigeria.
- Shell aims to invest in priority areas like deepwater, integrated gas, and resource plays while optimizing its downstream portfolio. It is also focusing on growing gas, biofuels, and technologies like carbon capture and storage.
- Updates on Nigeria operations discuss progress on reducing spills, clearing remediation backlogs, and plans to reduce gas flaring through new gas gathering projects.
This document provides an analysis of the financial ratios and performance of Spritzer Berhad, a bottled water producer in Malaysia, for the years 2013-2014. Key ratios calculated include return on equity, net profit margin, gross profit margin, selling expenses ratio, general expenses ratio, financial expenses ratio, working capital ratio, total debt ratio, stock turnover, debtor turnover, and interest coverage. Overall, the analysis found that Spritzer's profitability increased from 2013-2014 as seen by higher return on equity and gross profit margin, while expenses were generally better controlled. However, net profit margin declined slightly. The document also examines Spritzer's share price to earnings ratio and provides an investment recommendation.
Shell Socially responsible investors briefing in London, April 10, 2014Shell plc
1. The document provides definitions and cautionary notes regarding Royal Dutch Shell's use of terms like reserves, resources, organic, and resources plays in presentations.
2. It summarizes Shell's approach to sustainability, which includes helping shape a more sustainable energy future, sharing wider benefits where they operate, and running a safe, efficient, responsible and profitable business.
3. The document outlines Shell's agenda for an SRI event, including panels on topics like carbon management, North America operations, international upstream assets and Nigeria, and health and environmental performance.
Socially responsible investors briefing in London, April 14, 2015Shell plc
Ben van Beurden, Chief Executive Officer and Chad Holliday, Non-Executive Director and Chairman of the Corporate and Social Responsibility Committee presented to Shell’s socially responsible investors in London during the annual socially responsible investors briefing. The event also included a short presentation on climate change.
Presentation on Shell’s Alaska activities Dec 4th & 5th 2012Shell plc
Royal Dutch Shell provided an Alaska update, discussing its Arctic activities and investments. Shell spent $5 billion in Alaska from 2006 to 2012, leasing acreage and drilling exploration wells in the Chukchi and Beaufort Seas. However, the 2012 drilling season faced challenges like heavy ice and a prolonged whaling season, allowing Shell to drill only two top holes. Shell aims to understand the resource potential of the Arctic and employs multiple barriers and response measures to operate safely.
ISES 2013 - Day 2 - Mitchell Winkler (Director Arctic, Shell) - Arctic DrillingStudent Energy
Shell has significant Arctic exploration and production positions across multiple countries and sees the Arctic as important for meeting future energy demand. Drilling in the Arctic comes with great responsibility to protect the environment and requires comprehensive risk management, including barriers and response plans to control hazards. Shell advocates for a stepwise technology-based approach and collaborating with stakeholders to co-create solutions for developing the Arctic responsibly.
The document discusses the importance of culture for organizations like Shell. It provides three key points:
1) Examples are given of how culture and behaviors have significantly impacted Shell's performance. Culture can enable or undermine even the best strategies.
2) The role of finance is discussed as balancing controls with trust and enabling business performance management.
3) Views are presented that culture and behaviors do not receive enough attention in trainings at Shell, and that neither a good strategy carried out poorly due to culture nor a poor strategy embraced by culture are ideal outcomes. The optimal situation balances strategic and cultural factors.
This document provides information about Coal India Limited (CIL), the largest coal mining company in India. CIL was established in 1973 by the Indian government taking over private coal mines. It is headquartered in Kolkata, India and is the single largest coal producer in the world. The document includes CIL's vision, mission, industry group, ownership details, employee numbers, mines, directors, financial analysis techniques used to analyze CIL's financial statements like vertical analysis and ratio analysis. Key financial ratios of CIL for FY2011 and FY2010 are also presented.
Royal Dutch Shell plc 2016 Management Day Shell plc
Royal Dutch Shell plc provided an update on the company during Management Day on Tuesday November 8, 2016. Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live audio webcast of Management Day.
Shell Socially responsible investors briefing in London - May 11, 2016Shell plc
This document summarizes an annual roundtable held by Royal Dutch Shell for socially responsible investors on May 11, 2016. The roundtable included presentations and panel sessions on Shell's strategies regarding new energies, oil and gas, scenarios for carbon dioxide management, and environmental and social issues. Key topics discussed included Shell's portfolio resilience under different energy transition scenarios, investments in low-carbon technologies, and ongoing engagement with stakeholders on sustainability reporting and shareholder resolutions.
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live analyst video webcast of the 2016 fourth quarter and full year results on Thursday February 2, 2017.
Peter Voser, CEO of Royal Dutch Shell, presented the Royal Dutch Shell fourth quarter 2012 results and Strategy update to Analysts on January 31, 2013.
The document analyzes various profitability and stability ratios for a business between 2011 and 2012. It shows that most ratios improved over this period, indicating better profitability and control of expenses. However, total debt and interest coverage ratios decreased slightly. Appendices include the P/E ratio, an investment recommendation, and profit/loss and balance sheets for 2011-2012. The recommendation is not to invest due to the high P/E ratio requiring a long time to recoup the principal.
Royal Dutch Shell plc second quarter 2016 results webcast presentationShell plc
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live audio webcast of the second quarter 2016 results on Thursday July 28, 2016
Shell responsible investor briefing in London – April 16, 2018Shell plc
Ben van Beurden, Chief Executive Officer, Hans Wijers, Non-Executive Director and Chair of the Corporate and Social Responsibility Committee, Harry Brekelmans, Projects & Technology Director, Donny Ching, Legal Director, and Maarten Wetselaar, Integrated Gas & New Energies Director, presented in London during the annual responsible investors briefing.
Royal Dutch Shell plc capital markets day 2016 Shell plc
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live analyst video webcast of the Capital Markets Day on Tuesday June 7, 2016, providing an update on the company’s strategy, that sets a clear course for stronger returns and free cash flow.
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosts a video webcast of the fourth quarter 2014 and full year results on Thursday January 29, 2015.
See http://www.shell.com/results for more information.
Fonterra is a New Zealand dairy cooperative that faced several challenges in recent years from changes in the global dairy market. The report analyzes Fonterra's response to declining dairy prices and increased competition from factors like the EU lifting milk quotas. Fonterra reduced costs through measures like improving fuel efficiency in transport fleets and laying off 750 employees. It also increased processing capacity and invested in higher-margin value-added products. From a management accounting perspective, strategies like reducing storage costs and optimizing the production mix between commodities and value-added goods could help maximize profits.
Improving Returns from the Markowitz Model using GA- AnEmpirical Validation o...idescitation
Portfolio optimization is the task of allocating the investors capital among
different assets in such a way that the returns are maximized while at the same time, the
risk is minimized. The traditional model followed for portfolio optimization is the
Markowitz model [1], [2],[3]. Markowitz model, considering the ideal case of linear
constraints, can be solved using quadratic programming, however, in real-life scenario, the
presence of nonlinear constraints such as limits on the number of assets in the portfolio, the
constraints on budgetary allocation to each asset class, transaction costs and limits to the
maximum weightage that can be assigned to each asset in the portfolio etc., this problem
becomes increasingly computationally difficult to solve, ie NP-hard. Hence, soft computing
based approaches seem best suited for solving such a problem. An attempt has been made in
this study to use soft computing technique (specifically, Genetic Algorithms), to overcome
this issue. In this study, Genetic Algorithm (GA) has been used to optimize the parameters
of the Markowitz model such that overall portfolio returns are maximized with the standard
deviation of the returns being minimized at the same time. The proposed system is validated
by testing its ability to generate optimal stock portfolios with high returns and low standard
deviations with the assets drawn from the stocks traded on the Bombay Stock Exchange
(BSE). Results show that the proposed system is able to generate much better portfolios
when compared to the traditional Markowitz model.
Socially responsible investors briefing in London, April 14, 2015Shell plc
Ben van Beurden, Chief Executive Officer and Chad Holliday, Non-Executive Director and Chairman of the Corporate and Social Responsibility Committee presented to Shell’s socially responsible investors in London during the annual socially responsible investors briefing. The event also included a short presentation on climate change.
Presentation on Shell’s Alaska activities Dec 4th & 5th 2012Shell plc
Royal Dutch Shell provided an Alaska update, discussing its Arctic activities and investments. Shell spent $5 billion in Alaska from 2006 to 2012, leasing acreage and drilling exploration wells in the Chukchi and Beaufort Seas. However, the 2012 drilling season faced challenges like heavy ice and a prolonged whaling season, allowing Shell to drill only two top holes. Shell aims to understand the resource potential of the Arctic and employs multiple barriers and response measures to operate safely.
ISES 2013 - Day 2 - Mitchell Winkler (Director Arctic, Shell) - Arctic DrillingStudent Energy
Shell has significant Arctic exploration and production positions across multiple countries and sees the Arctic as important for meeting future energy demand. Drilling in the Arctic comes with great responsibility to protect the environment and requires comprehensive risk management, including barriers and response plans to control hazards. Shell advocates for a stepwise technology-based approach and collaborating with stakeholders to co-create solutions for developing the Arctic responsibly.
The document discusses the importance of culture for organizations like Shell. It provides three key points:
1) Examples are given of how culture and behaviors have significantly impacted Shell's performance. Culture can enable or undermine even the best strategies.
2) The role of finance is discussed as balancing controls with trust and enabling business performance management.
3) Views are presented that culture and behaviors do not receive enough attention in trainings at Shell, and that neither a good strategy carried out poorly due to culture nor a poor strategy embraced by culture are ideal outcomes. The optimal situation balances strategic and cultural factors.
This document provides information about Coal India Limited (CIL), the largest coal mining company in India. CIL was established in 1973 by the Indian government taking over private coal mines. It is headquartered in Kolkata, India and is the single largest coal producer in the world. The document includes CIL's vision, mission, industry group, ownership details, employee numbers, mines, directors, financial analysis techniques used to analyze CIL's financial statements like vertical analysis and ratio analysis. Key financial ratios of CIL for FY2011 and FY2010 are also presented.
Royal Dutch Shell plc 2016 Management Day Shell plc
Royal Dutch Shell plc provided an update on the company during Management Day on Tuesday November 8, 2016. Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live audio webcast of Management Day.
Shell Socially responsible investors briefing in London - May 11, 2016Shell plc
This document summarizes an annual roundtable held by Royal Dutch Shell for socially responsible investors on May 11, 2016. The roundtable included presentations and panel sessions on Shell's strategies regarding new energies, oil and gas, scenarios for carbon dioxide management, and environmental and social issues. Key topics discussed included Shell's portfolio resilience under different energy transition scenarios, investments in low-carbon technologies, and ongoing engagement with stakeholders on sustainability reporting and shareholder resolutions.
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live analyst video webcast of the 2016 fourth quarter and full year results on Thursday February 2, 2017.
Peter Voser, CEO of Royal Dutch Shell, presented the Royal Dutch Shell fourth quarter 2012 results and Strategy update to Analysts on January 31, 2013.
The document analyzes various profitability and stability ratios for a business between 2011 and 2012. It shows that most ratios improved over this period, indicating better profitability and control of expenses. However, total debt and interest coverage ratios decreased slightly. Appendices include the P/E ratio, an investment recommendation, and profit/loss and balance sheets for 2011-2012. The recommendation is not to invest due to the high P/E ratio requiring a long time to recoup the principal.
Royal Dutch Shell plc second quarter 2016 results webcast presentationShell plc
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live audio webcast of the second quarter 2016 results on Thursday July 28, 2016
Shell responsible investor briefing in London – April 16, 2018Shell plc
Ben van Beurden, Chief Executive Officer, Hans Wijers, Non-Executive Director and Chair of the Corporate and Social Responsibility Committee, Harry Brekelmans, Projects & Technology Director, Donny Ching, Legal Director, and Maarten Wetselaar, Integrated Gas & New Energies Director, presented in London during the annual responsible investors briefing.
Royal Dutch Shell plc capital markets day 2016 Shell plc
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosted a live analyst video webcast of the Capital Markets Day on Tuesday June 7, 2016, providing an update on the company’s strategy, that sets a clear course for stronger returns and free cash flow.
Ben van Beurden, Chief Executive Officer of Royal Dutch Shell plc hosts a video webcast of the fourth quarter 2014 and full year results on Thursday January 29, 2015.
See http://www.shell.com/results for more information.
Fonterra is a New Zealand dairy cooperative that faced several challenges in recent years from changes in the global dairy market. The report analyzes Fonterra's response to declining dairy prices and increased competition from factors like the EU lifting milk quotas. Fonterra reduced costs through measures like improving fuel efficiency in transport fleets and laying off 750 employees. It also increased processing capacity and invested in higher-margin value-added products. From a management accounting perspective, strategies like reducing storage costs and optimizing the production mix between commodities and value-added goods could help maximize profits.
Improving Returns from the Markowitz Model using GA- AnEmpirical Validation o...idescitation
Portfolio optimization is the task of allocating the investors capital among
different assets in such a way that the returns are maximized while at the same time, the
risk is minimized. The traditional model followed for portfolio optimization is the
Markowitz model [1], [2],[3]. Markowitz model, considering the ideal case of linear
constraints, can be solved using quadratic programming, however, in real-life scenario, the
presence of nonlinear constraints such as limits on the number of assets in the portfolio, the
constraints on budgetary allocation to each asset class, transaction costs and limits to the
maximum weightage that can be assigned to each asset in the portfolio etc., this problem
becomes increasingly computationally difficult to solve, ie NP-hard. Hence, soft computing
based approaches seem best suited for solving such a problem. An attempt has been made in
this study to use soft computing technique (specifically, Genetic Algorithms), to overcome
this issue. In this study, Genetic Algorithm (GA) has been used to optimize the parameters
of the Markowitz model such that overall portfolio returns are maximized with the standard
deviation of the returns being minimized at the same time. The proposed system is validated
by testing its ability to generate optimal stock portfolios with high returns and low standard
deviations with the assets drawn from the stocks traded on the Bombay Stock Exchange
(BSE). Results show that the proposed system is able to generate much better portfolios
when compared to the traditional Markowitz model.
The document describes three problems related to constructing optimal self-financing portfolios consisting of stocks and options. Problem 1 involves a portfolio with one stock and one option, Problem 2 involves one stock and two options, and Problem 3 prices an up-and-out option using a finite difference method. For each problem, the document outlines the portfolio composition, parameters, and numerical approach taken to determine optimal quantities of options to minimize portfolio variance.
This document presents an analysis of factors to use in filtering stocks for long and short positions in a portfolio. For long positions, the factors of alpha, dividend yield, price-to-book ratio, and changes in stock outstanding are analyzed. For short positions, the factors of market value, price-to-book ratio, capital investment, and liquidity are considered. Principal component analysis is used to analyze the factors and scores are calculated to select 50 stocks for long and short positions that are backtested for returns. The results show the filtered portfolio outperformed the total market.
The document summarizes a stock portfolio optimization report that uses Gaussian quadrature to analyze stock market data and optimize a portfolio to minimize risk and maximize returns. It describes collecting stock market data, applying a Gaussian quadrature formula to analyze the data and calculate the probability of gains and expected returns. The results show probabilities of gains around 50% and expected returns between 0.081 to 0.132, indicating the difficulty of predicting stock market behaviors but some ability to modestly optimize returns and reduce risk.
This paper proposes using a "shrinkage" estimator as an alternative to the traditional sample covariance matrix for portfolio optimization. The shrinkage estimator combines the sample covariance matrix with a structured "shrinkage target" using a shrinkage constant to minimize distance from the true covariance matrix. The paper finds this shrinkage estimator significantly increases the realized information ratio of active portfolio managers compared to the sample covariance matrix. An empirical study on historical stock return data confirms the shrinkage method leads to higher ex post information ratios in portfolio optimization. However, the shrinkage target assumes identical pairwise correlations that may not fully reflect market characteristics.
This document is an investment analysis and portfolio management assignment submitted to Mr. Abrar Hussain by a group of five students. It analyzes daily stock price data from 2010-2014 of 30 Pakistani companies to construct minimum variance, maximum variance, and risky-riskless combination portfolios. It calculates returns, variances, standard deviations, betas, and various risk-adjusted performance metrics for the portfolios. The optimal minimum variance portfolio allocates weights to 20 stocks and has a return of 0.11%, variance of 0.48, and standard deviation of 0.69. An 85-15% risky-riskless portfolio combination achieves the highest return of 1.78% with variance of 0.0063 and standard
The document discusses the Capital Asset Pricing Model (CAPM) and its use in calculating the required rate of return for Greggs plc. It provides background on the development of the CAPM by Markowitz and Sharpe. The author then calculates the beta and required rate of return for Greggs using 5 years of stock price data and the CAPM formula. While the CAPM is widely used, the document also discusses criticisms of the model, such as its unrealistic assumptions and inability to explain all returns. Overall, the CAPM remains a commonly used model despite its limitations.
The document analyzes the beta and risk characteristics of a portfolio of stocks compared to the S&P 500 market index from 1989 to present. It loads historical price data for the stocks and market, calculates logarithmic monthly returns, and estimates basic statistics. The analysis finds the stocks and market had average monthly returns between 0.16-1.36% with varying levels of volatility as measured by minimum, maximum and interquartile ranges of returns.
1) The document describes finding the minimum variance portfolio from 16 stocks selected across 4 industries. It calculates the annualized mean, variance, and covariance of the stock returns to obtain the covariance matrix.
2) Using the Markowitz model and Lagrange multipliers, it determines the minimum variance portfolio weights for two expected return levels. This produces two portfolios which are used to plot the efficient frontier curve.
3) The minimum variance point on the efficient frontier identifies the optimal portfolio, which is calculated to have an expected return of 0.05033 and variance of 0.008008 based on the two-fund theorem weights.
Resolving Multi Objective Stock Portfolio Optimization Problem Using Genetic ...Hok Lie
This document summarizes a research paper that proposes using a genetic algorithm to solve a multi-objective stock portfolio optimization problem. It aims to generate a portfolio with the highest expected return and lowest risk. The document first discusses modern portfolio theory and defines the optimization problem. It then describes using a genetic algorithm with real number encoding to evolve portfolio weight solutions. The algorithm is verified using historical stock data, where expected returns and risk are estimated and a fitness function is developed to maximize return and minimize risk. The results show the genetic algorithm converges to better solutions than random search.
The document describes an investor creating an optimal stock portfolio using linear programming. The financial advisor collected stock data and formulated an optimization problem to minimize portfolio risk while achieving a 2% return. The optimal portfolio allocated 53% to Humana, 39% to Apple, and 8% to JP Morgan, with a variance of 0.003285607. Additional experiments imposed maximum weight limits and maximized return subject to a variance constraint.
This document is the final project for an Economics 424 course on Computational Finance and Financial Econometrics. It analyzes monthly closing price data and returns for 6 mutual funds from 2009-2014. Key findings include:
1) Stock index funds for the S&P 500, Europe, and emerging markets had higher volatility than bond funds. The S&P 500 fund achieved the highest return over 5 years.
2) Value-at-risk was highest for the emerging markets fund and lowest for the short-term bond fund.
3) Rolling estimates of mean and standard deviation showed country index funds had more stable parameters while bond funds' parameters moved together more.
Is capm a good predictor of stock return in the nigerian banking stocksAlexander Decker
This document summarizes a research study that tested the predictive power of the Capital Asset Pricing Model (CAPM) for stock returns in the Nigerian banking sector from 2000-2011. The study found that CAPM correctly estimated stock returns for only one bank (5.5%) in 2007 and 2011, while it undervalued stocks 66.7-72.2% of the time and overvalued them 22.2-27.8% of the time in other years. Therefore, the study concluded that CAPM is not a good predictor of stock returns in the Nigerian banking sector.
This document discusses estimating covariance matrices for portfolio selection. It introduces a shrinkage estimator that is an optimally weighted average of the sample covariance matrix and single-index covariance matrix. The empirical part compares these estimators to determine which produces the most efficient portfolio with smallest return variability. The sample covariance matrix has problems when the number of assets is large, as it has high variance and its inverse is a poor estimator. Shrinkage aims to improve upon the sample covariance matrix by combining it with a factor model-based estimator.
The document is a scanned receipt from a grocery store purchase on June 15th, 2022 totaling $58.37. It lists items bought including ground beef, chicken breasts, tortillas, cheese, and produce such as tomatoes, lettuce, and onions. The receipt shows the item prices, taxes, and total amount due.
This document describes a portfolio optimization project. It analyzes historical stock return data for Apple and Netflix to construct an efficient frontier. A risk-free rate is calculated from treasury bill returns. An optimal risky portfolio is determined by maximizing the Sharpe ratio. Based on a risk aversion index of 1, the appropriate weights in the optimal portfolio and risk-free asset are calculated to maximize utility. Graphs of the efficient frontier, capital allocation line, and indifference curve illustrate the optimal portfolio selection.
This document discusses portfolio optimization using the tracking model method. It defines various types of investment risk that investors and financial institutions face, such as interest rate risk, business risk, credit risk, inflation risk, and reinvestment risk. It then examines various risk measures used in portfolio optimization models, including variance, mean absolute deviation, value at risk (VaR), and conditional value at risk (CVaR). The results section finds that using the tracking model and provided data, the portfolio is only feasible for a risk lover investor, as it invests entirely in the single best performing asset.
This document is a research project submitted by Nduati Michelle Wanjiku in partial fulfillment of the requirements for a Bachelor's degree in financial economics from Strathmore University in Nairobi, Kenya. The research project compares the relative performance of single-index models and multifactor models in determining the optimal portfolio allocation through the efficient frontier. It establishes that the single index model outperforms the multifactor model as it yields higher Sharpe ratios. This is attributed to the single index model containing characteristics of macroeconomic variables. The research uses historical factor betas between 2001 and 2012 to minimize risk and maximize returns in constructing the efficient frontier.
This document provides a report on a portfolio optimization project. It summarizes the construction, weekly performance, and rebalancing of a portfolio formed using Markowitz's modern portfolio theory. Over the course of a month, the portfolio was initially constructed using 20 stocks and was rebalanced weekly based on updated stock prices. The portfolio achieved a return of 4.58%, outperforming the S&P 500 benchmark. A risk analysis of the portfolio returns was also conducted using measures like the Sharpe ratio, Treynor ratio, and Sortino ratio.
The document discusses Shell's operations across the energy supply chain from upstream exploration and production through midstream transportation and downstream manufacturing and sales. It provides overviews of Shell's activities in upstream oil and gas extraction, midstream pipeline transportation of crude oil and natural gas, and downstream refining and petrochemical production. It also identifies supplier opportunities in areas like equipment, services, infrastructure, and logistics across the different segments of the energy supply chain.
Download here - http://www.parker.com/parkerimages/Parker.com/About%20Us/Literature/FY13%20Annual%20Report%20Final.pdf
On the cover, Michael Gore, a T10 complete paraplegic, stands tall in the Parker Indego® which gives him the independence to do something he was told by the medical community that he would never do again – walk. Parker is pursuing a new growth platform in human motion and control as a natural extension of our vision to be the global leader in motion and control technologies. Indego® presents a compelling first step in a broader opportunity to create a meaningful and positive impact on the lives of individuals with limited mobility.
This year’s annual report focuses on innovations that have helped our customers solve problems. The difference made in the lives of our customers is representative of the broader change we hope to effect in the world around us.
It is our dedication to solving some of the world’s greatest engineering challenges, and our commitment to partner with our customers in search of unique and promising advancements, that drives Parker people forward and secures our future growth.
Adapted from ima ima educational case journal vol. 8, noAASTHA76
Forge Group Ltd was an engineering and construction company that grew rapidly through acquisitions between 2007-2013. However, in early 2014 it collapsed after revealing significant cost overruns on two major projects, the Diamantina Power Station and West Angelas Power Station, acquired in 2012. These projects were $61 million and $41.7 million over budget respectively due to poor costing and budgeting. Forge Group's administrator report also showed work-in-progress income was $126 million below forecast, while labor, material, and overhead costs were all well over budget. The collapse of Forge Group highlights the risks that come with large construction projects and the importance of accurate costing and budgeting systems.
About Progressive Planet Solutions Inc.
Progressive Planet is an emerging company, providing innovative circular solutions and Earth-friendly micronized minerals that naturally unlock sustainability benefits across the construction and agriculture industries. Tapping into the Earth's inherent binding powers and properties, Progressive Planet is developing and scaling a portfolio of proprietary solutions to help its customers build, grow and operate more responsibly.
Progressive Planet continues work on creating supplementary cementing materials with a focus on minimizing the carbon footprint of the SCMs it creates, utilizing waste materials where possible to create the most sustainable SCMs and sequestering carbon dioxide in SCMs to address climate change. Progressive Planet's research team has begun exploring the opportunity to utilize the legacy CO2 stream generated by APL's natural gas rotary kiln dryer in operation in Kamloops.
Progressive Planet's operations currently include:
A comminution facility in Spallumcheen, B.C., which is currently producing micronized minerals used by farmers in lieu of chemical fertilizers to promote healthy soils without the addition of chemicals;
A research lab in Calgary, Alta., focused on creating SCMs and associated technologies to sequester CO2 in concrete;
Three natural pozzolan properties in British Columbia, including its flagship Z1 natural pozzolan quarry in Cache Creek, B.C., and its two pozzolan properties under development, the Z2 natural pozzolan property near Falkland and the Heffley Creek metal and natural pozzolan property.
Shell Financial And Operational Information 2003 2007earningsreport
This document summarizes Shell's annual reports and publications for 2007. It provides an overview of Shell's businesses including exploration and production, gas and power, oil sands, oil products, and chemicals. It also summarizes Shell's major projects, financial statements, business segment earnings, and proved oil and gas reserves for 2007. Key information includes total revenues of $355.8 billion, income for the period of $31.9 billion, and basic earnings per share of $3.97.
Adapted from IMA IMA EDUCATIONAL CASE JOURNAL VOL. 8, NO.docxSALU18
Adapted from IMA
IMA EDUCATIONAL CASE JOURNAL VOL. 8, NO. 1, ART. 2, MARCH 2015
ISSN 1940-204X
Forge Group Ltd Case Study (A)The Revealing Nature of Numbers
Suzanne Maloney
University of Southern Queensland
Toowoomba, Australia, 4350.
[email protected]
THE FORGE GROUP LTD SUMMARY
In 2012-2013, Forge Group Limited had more than 2,000 employees working across
eight countries on four continents. The pride in the growth story is evident, as Forge
Group’s 2012 Annual Report (released in September 2013) lists accomplishments in
what is described as a groundbreaking year. The main milestones give a snapshot of
the types of projects the company was involved in (see Figure 1). At the time of listing
(June 26, 2007), Forge Group Ltd (FGL) shares traded for $0.56. (All monetary amounts
discussed herein are in Australian dollars. To convert to another currency, visit www.x-
rates.com.) The shares peaked at $6.98 on March 6, 2013, valuing the company at
$600 million. In less than a year, FGL was placed in a trading halt (February 11, 2014).
Voluntary administrators and receivers were appointed.
http://www.openbriefing.com/AsxDownload.aspx?pdfUrl=Report%2FComNews%2F201
30829%2F01438557.pdf
THE ENGINEERING AND CONSTRUCTION INDUSTRY
The engineering and construction sector provides significant economic activity in many
countries. Large-scale engineering and construction projects—including highways,
bridges, railways, airports, harbors, production facilities, and office and apartment
buildings—provide employment opportunities and attract large capital investment. The
quantum of resources employed in this industry and the profound affect they have on
society means that there are strict compliance, regulatory, environmental, and tax
requirements on those operating in the sector. The governments of many countries
publicly funded a number of large-scale infrastructure projects in the aftermath of the
Global Financial Crisis (GFC) to stimulate the economy.
Joint ventures and public/private partnerships are common in the industry to reduce the
risk of large-scale projects and to ensure adequate capital and expertise. Major
contracts generally involve a number of different companies with primary contractor and
sub-contractor status, all tendering and quoting on various stages of work in a project.
This makes the industry highly competitive, and therefore it is vital to have appropriate
costing and project management expertise.
Mining companies also took advantage of the cheaper finance post GFC and the
upswing in demand for minerals and resources. Large-scale mining projects have been
the driving force for some economies, especially in Australia. But with the construction
of a number of the large projects nearing completion (and moving into production
phase), there is a drop in engineering and construction spending. In Australia in 2013-
2014, engineering and construction spending wa.
Adapted from IMA IMA EDUCATIONAL CASE JOURNAL VOL. 8, NO.docxdaniahendric
Adapted from IMA
IMA EDUCATIONAL CASE JOURNAL VOL. 8, NO. 1, ART. 2, MARCH 2015
ISSN 1940-204X
Forge Group Ltd Case Study (A)The Revealing Nature of Numbers
Suzanne Maloney
University of Southern Queensland
Toowoomba, Australia, 4350.
[email protected]
THE FORGE GROUP LTD SUMMARY
In 2012-2013, Forge Group Limited had more than 2,000 employees working across
eight countries on four continents. The pride in the growth story is evident, as Forge
Group’s 2012 Annual Report (released in September 2013) lists accomplishments in
what is described as a groundbreaking year. The main milestones give a snapshot of
the types of projects the company was involved in (see Figure 1). At the time of listing
(June 26, 2007), Forge Group Ltd (FGL) shares traded for $0.56. (All monetary amounts
discussed herein are in Australian dollars. To convert to another currency, visit www.x-
rates.com.) The shares peaked at $6.98 on March 6, 2013, valuing the company at
$600 million. In less than a year, FGL was placed in a trading halt (February 11, 2014).
Voluntary administrators and receivers were appointed.
http://www.openbriefing.com/AsxDownload.aspx?pdfUrl=Report%2FComNews%2F201
30829%2F01438557.pdf
THE ENGINEERING AND CONSTRUCTION INDUSTRY
The engineering and construction sector provides significant economic activity in many
countries. Large-scale engineering and construction projects—including highways,
bridges, railways, airports, harbors, production facilities, and office and apartment
buildings—provide employment opportunities and attract large capital investment. The
quantum of resources employed in this industry and the profound affect they have on
society means that there are strict compliance, regulatory, environmental, and tax
requirements on those operating in the sector. The governments of many countries
publicly funded a number of large-scale infrastructure projects in the aftermath of the
Global Financial Crisis (GFC) to stimulate the economy.
Joint ventures and public/private partnerships are common in the industry to reduce the
risk of large-scale projects and to ensure adequate capital and expertise. Major
contracts generally involve a number of different companies with primary contractor and
sub-contractor status, all tendering and quoting on various stages of work in a project.
This makes the industry highly competitive, and therefore it is vital to have appropriate
costing and project management expertise.
Mining companies also took advantage of the cheaper finance post GFC and the
upswing in demand for minerals and resources. Large-scale mining projects have been
the driving force for some economies, especially in Australia. But with the construction
of a number of the large projects nearing completion (and moving into production
phase), there is a drop in engineering and construction spending. In Australia in 2013-
2014, engineering and construction spending wa ...
The document contains the agenda for Glencore's 2014 Investor Day, which includes presentations on various commodities and business units from senior leadership. The day will begin with welcome remarks from the CEO and then include updates on finance, copper, coal, zinc, nickel, oil, agricultural products and a conclusion with Q&A.
1) Aspire Mining Limited is developing the Ovoot Coking Coal Project in Mongolia which has a registered JORC resource of 330 million tonnes and potential for future resource growth (Paragraph 23).
2) The Ovoot project is a premium, high quality coking coal located 600km from rail infrastructure, and Aspire is fully funded to complete a pre-feasibility study and exploration program (Paragraph 23).
3) A 411km rail line connecting Ovoot to existing rail infrastructure would provide major economic benefits to northern
1) Aspire Mining Limited is an Australian mining company focused on coal mining projects in Mongolia, including the 100% owned Ovoot Coking Coal Project.
2) The Ovoot project contains a 330 million tonne JORC-compliant coal resource with potential for further growth. The coal is a premium coking coal suitable for steelmaking.
3) Aspire is fully funded to complete a pre-feasibility study for an open-pit mine at Ovoot with a production target of 11-12 million tonnes per year
Australian Private Equity & Venture Capital Journal // September 2014CAR FOR YOU
The document discusses several private equity deals and investments:
- Affinity Equity Partners is acquiring a 35% stake in Virgin Australia's frequent flyer program Velocity Frequent Flyer for $336 million.
- Advent Private Capital has invested up to $50 million for a 35% stake in the merger of two large regional diagnostic imaging businesses, Lake Imaging and South Coast Radiology, creating Australia's fourth largest player in the radiology services sector.
- Pacific Equity Partners sold down its stake in Veda, returning $579.3 million, after escrow ended following Veda releasing its FY2014 results which exceeded forecasts.
The corporate presentation provides an overview of Western Areas Ltd's operations, growth projects, and the nickel market. It discusses the company's mining operations in Forrestania including Flying Fox and Spotted Quoll mines. The presentation also outlines its Cosmos Complex project including the Odysseus mine, which has a mine life of over 10 years. Additionally, it describes growth projects such as the Mill Recovery Enhancement Project and New Morning/Daybreak resource.
Lincoln Crowne & Company market update report on the Australian Engineering & Construction Sectors including coverage of deals announced during the week by Puma Energy and Air Change International
Sheet1CategoryPointsScoreDescriptionDocumentation & Formatting1010Project will be done in Excel and will contain formulas to receive maximum credit.Organization and Cohesiveness1515Calculations for all parts should be organized and correctly labeled.Content1010Journal EntriesA quality case study will have all required work completed and will be correct.Content33Closing EntriesContent66Statement of Revenues, Expenditures, and Changes in Fund BalanceContent66Balance SheetTotal5050A quality project will meet or exceed all of the above requirements.
Sheet2
Sheet3
Group Assignment (Due Date: Friday, 17 October 2014 at 6:00 pm)
This item of assessment is Compulsory.
You are a Graduate Trainee Investment Analyst at a renowned fund management company. After six (6) months of joining the company, you are asked by your superior to produce a comprehensive report on a publicly listed company on the New Zealand Stock Exchange Limited (NZX) (Meridian Energy) or Australian Stock Exchange Limited (ASX). This assignment is important in determining your confirmation as a permanent employee of the company.
The intended audiences for your report are potential institutional investors who are existing clients of the company. Your report should be at least 2,000 words. As a guide, your report should comprise at least the following:-
1. Executive Summary
2. Introduction - Purpose and Objectives
3. General Company Description – Shareholders and Management Team
4. Products and/or Services
5. Industry/Sectoral Analysis
6. SWOT (Strength, Weaknesses, Opportunities and Threats) Analysis
7. Porter’s Five Forces Analysis
8. Financial Ratio Analysis
9. Competitors Analysis
10. Scenario Analysis (Good / Average / Poor)
11. Conclusions and Recommendations
12. Appendices
13. References
Hints:
1. Limit the executive summary to one page, in point form of between 8 and 10 points only. It summarizes the whole report for a busy reader who only wants to know the salient points of your report.
2. Be specific on the purpose of your report. Provide some objectives that you think are very relevant and important. A good report will also include scope and limitations.
3. On the company’s description, a copy and paste from the latest annual report will not deserve an A. Be resourceful by including major shareholder changes, director changes, or corporate moves that are pertinent to the company.
4. Point (3) above applies to products and/or services of the company too.
5. Provide a review and development of only the principal business activity of the company.
6. No need for a lengthy elaboration in SWOT Analysis.
7. Same goes for Porter’s Five Forces Analysis (please refer to Chapter 17). This is a finance paper, not management. The SWOT and Porter analyses are only there so that students have an idea of what should be there in a complete ‘Company Analysis’.
8. Perform a financial ratio analysis (please refer to Chapter 19) for the two (2) subsequent latest years. For any annual report of.
Natural gas and bio methane as fuel for transport m. kootEuropean Commission
This document discusses safety aspects of transporting liquefied natural gas (LNG). It begins with definitions of terms like reserves, resources, and organic. The document then discusses the composition of LNG, including that it consists mainly of methane. It notes key characteristics of LNG like its atmospheric boiling point and density. The document also compares LNG to compressed natural gas and discusses safety mitigation measures at LNG retail stations, like collision protection, emergency stops, and gas detectors.
CD&R is recognized as a pioneer in the Private Equity industry and particularly for the successful development of a business model that truly balances financial engineering and operational transformation competencies, delivering value to all stakeholders.
The compilation of these case studies is an outcome of this researcher’s endeavor to gain deeper insight into the firm’s strategies and focus as part of developing a broader understanding of the Private Equity industry.
The corporate presentation provides an overview of Western Areas Ltd, including its operations, growth plans, nickel market outlook, and key highlights from the fiscal year. It discusses the company's high grade, low cost nickel assets in Australia, organic growth options, strong balance sheet with no debt, and positioning to benefit from rising nickel prices. It also outlines fiscal year 2018 guidance targets for production, costs, capital expenditures, and exploration spending.
The corporate presentation provides an overview of Western Areas Ltd, including its operations, growth projects, nickel market outlook, and key performance metrics. It discusses the company's high grade, low cost nickel assets in Australia, organic growth options, strong balance sheet with no debt, and positioning to benefit from an expected recovery in nickel prices. The presentation also outlines fiscal year 2018 production and cost guidance targets.
Royal Dutch Shell published an outlook document for 2020 that contained the following key points:
1) 2019 saw record LNG supply growth as new liquefaction projects neared completion, with most growth absorbed by Europe. Asia remains a major growth region for LNG imports.
2) Gas continues to provide a source of more and cleaner energy by enabling coal-to-gas switching in power generation and other sectors, helping to reduce emissions.
3) Asia is set to be the key growth region for LNG demand going forward, with China and South Asia expected to drive most of the increase in LNG imports into Asia.
Siem Offshore is an offshore vessel owner and operator with 38 vessels in operation and 10 under construction. The company provides offshore support vessels and has expanded into subsea vessels and offshore renewable energy. Siem Offshore reported operating revenue of $172 million for the first half of 2013 and has a contract backlog of $806 million for vessels and $180 million for submarine power cable activities. The company has a strong financial position with a book equity ratio of 44% and has secured financing for its newbuilding program through 2014.
1. Cameron Turner 0184431
Campbell Stanley 1392078
Jacky Lin 1392601
Oliver Harding-Sheath 1301155
Rhenzelle Emboido 1318502
Yunfan Qiu 1376370
Stream 80 Group 5 396003
Investment and
Portfolio Analysis
Group Investment Project
2. 1 | P a g e
Contents
Introduction ............................................................................................................................................2
Company Background.............................................................................................................................3
Risk and Return Characteristics of Individual Stocks ..............................................................................4
Minimum Variance Portfolio...................................................................................................................4
Optimal Variance Portfolio .....................................................................................................................5
The Efficient Frontier ..............................................................................................................................5
Mr. Thompsen’s Portfolio with A.P. Investments...................................................................................6
Appendix .................................................................................................................................................7
Appendix A..........................................................................................................................................7
Appendix B..............................................................................................................................................7
Appendix C. .........................................................................................................................................8
References ..............................................................................................................................................9
3. 2 | P a g e
Introduction
The primary objective of this report is to provide a detailed analysis and clear investment
recommendation of an established passive portfolio for Mr. Thompsen. As A.P investment trainees
we have been assigned to select five liquid stocks and provide a diversified portfolio that would give
Mr. Thompsen the most return with the maximum amount of risk he is willing to take of 15%. This
portfolio includes risky assets such as stock shares. A minimum-variance, optimal portfolio and 95%
confidence interval is also included, to justify recommendations for the $10 million investment Mr
Thompsen wishes to invest for the coming year. There is also a brief description of the terminology
commonly used in the industry included in this introduction as these have been incorporated in the
findings of this report.
Beta
A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the
market as a whole. The beta of the market index is measured as 1.0 any stock with a beta lower than
1.0 demonstrates that the stock has decreased sensitivity to changing market conditions.
Correlation
A measure that determines the degree to which two variable's movements are associated. For Mr
Thompsen’s portfolio this represents the movements between two securities corresponding to each
other the range of the correlation co-efficient is between -1 and +1. +1 correlation indicates that
both securities will move in the same direction. -1 correlation indicates that when one security
declines the other with trend upwards.
Expected Return
Denoted as a percentage, expected return is the annual return that is expected to be received by an
investor who invests in the portfolio. This report uses 5 years of historical data to establish its
expected return.
Short selling
Short selling is the concept that the seller does not in fact own the stock or it is borrowed. An
investor will short a stock on the belief that the stock prices is going to decline. This portfolio utilises
the function of short selling to maximise its returns with minimum level of risk.
Standard Deviation
Standard deviation utilises the annual rate of return of the investment in order to measure the
investments volatility standard deviation is the measure of how much the prices are expected to
fluctuate. Standard deviation is used to measure the overall level of uncertainty.
4. 3 | P a g e
Company Background
Auckland International Airport Ltd (AIA)
Auckland International Airport Limited is a New Zealand-based Company. The Company provides
airport facilities and supporting infrastructure in Auckland, New Zealand. The Company earns revenue
from aeronautical activities, on airport retail concessions and car parking facilities, standalone
investment properties and other charges and rents associated with operating an airport. The
Company also holds investments in three other airports being Cairns Airport and Mackay Airport in
Queensland, Australia, as well as Queenstown Airport in New Zealand. The Company’s subsidiaries
consist of Auckland Airport Limited, Auckland International Airport Limited Share Purchase Plan,
Auckland Airport Holdings Limited, and Auckland Airport Holdings (No. 2) Limited (Google Finance,
2015).
Fletcher Building Limited (FBU)
Fletcher Building Limited is the holding company of the Fletcher Building Group. The Company is
involved in the manufacturing and distribution of building materials and residential and commercial
construction. Its segments include Heavy Building Products, Light Building Products, Laminates &
Panels, Distribution New Zealand, Distribution Australia and Construction. Heavy Building Products
division is a manufacturer, distributor and marketer of heavy construction material used in the early
stages of the construction cycle. Light Building Products division manufactures building products for
residential and commercial markets. Laminates & Panels division manufactures and distributes
decorative surface laminates. (Google Finance, 2015).
Goodman Property Trust (GMT)
Goodman Property Trust (the Trust) is a New Zealand-based company engaged in property business.
The Trust invests in industrial and business space property in New Zealand. Its portfolio includes
industrial estates, warehouse and distribution centres, business parks and office parks. The Trust has
over $2.0 billion of assets. The Trust issued debt securities through its subsidiary GMT Bond Issuer
Limited. Goodman Property Trust has over 1,750 customers globally. The Trust’s customers include
international companies in the industries such as logistics, pharmaceutical, automotive, retail and e-
retail. (Google Finance, 2015).
Contact Energy Limited (CEN)
Contact Energy Limited is a New Zealand-based diversified and integrated energy company, focusing
on the generation and retailing of electricity. It supplies electricity and natural gas through its Contact
Energy brand and bottled LPG through Contact Rockgas LPG. It operates electricity generation
stations, including renewable hydro power stations on the Clutha River in Central Otago, renewable
geothermal plants around Taupo and four natural gas-fired power stations in Taranaki, Auckland and
the Waikato. Its Clyde Dam on Lake Dunstan is a concrete gravity dam consisting of a million cubic
meters of concrete in the dam with another 200,000 cubic meters in the powerhouse. It is capable of
producing 432 megawatts of power from its four turbine generator units. (Google Finance, 2015).
Restaurant Brands New Zealand Limited (RBD)
Restaurant Brands New Zealand Limited together with its subsidiaries operates quick service and
takeaway restaurant concepts. The Company is engaged in operating outlets of KFC, Pizza Hut,
Starbucks Coffee and Carl's Jr. It has four segments: KFC, Pizza Hut, Starbucks Coffee and Carl's Jr.
The Company operates the New Zealand franchises for KFC, which is a fast food restaurant chain;
Pizza Hut, which offers fast food online ordering system for pizzas; Starbucks Coffee, which offers a
range of coffee, and Carl's Jr, which offers burgers, beverages and breakfasts. The Company
operates around 182 stores. (Google Finance, 2015)
5. 4 | P a g e
Risk and Return Characteristics of Individual Stocks
AIA FBU GMT CEN RBD
Average Weekly Return 0.0043 0.001 0.0021 0.0009 0.0032
Average Annual Return 0.223 0.052 0.108 0.048 0.164
Weekly SD 0.0196 0.0301 0.0135 0.0285 0.0249
Annual SD 0.142 0.217 0.097 0.206 0.18
Risk Free Rate 0.0283
A.P. investments advises Mr Thompsen that to achieve a higher expected return he must be
prepared to incorporate a higher degree of risk in his portfolio. Figures shown in the table above
present Contact Energy Limited with the highest level of standard deviation. Contact Energy Limited
has undergone a long period of large capital investment in its New Zealand operations. In 2013 these
infrastructure investments were completed. Based on these findings this report concludes that
Contact Energy Limited will experience increased value as they capitalise on completed projects. A.P.
investments view is an expected appreciation in Contact Energy stocks and it will continue to
distribute a healthy dividend.
Currently Auckland International Airport is in the process of heavy investment of its facilities. The
past 8 years have seen a massive upswing in travellers passing through Auckland International
Airport and the share price trend has tracked upwards accordingly. A.P. investment allocated
Auckland International Airport to this portfolio because of its significance in the NZX50 and both its 5
years of historical results accompanied by its trajectory both short and long-term (Auckland
International Airport , 2014).
Fletcher Building, Goodman Property and Restaurant Brands Limited correlative data presents us
with good market diversification. Restaurant bands has continued to broaden its revenues streams
while continuing to improve its annual results through affordable food outlets. Fletcher building is
forecasted to maintain strong growth over the next 18 months with a good portfolio of long-term
contracts including 10 year Christchurch Council plans. While Goodman Property and Fletcher
Construction feature in the same sector the business activities are in principle very different.
Fletcher is heavily weighted in construction for property development whereas Goodman Property
has derived its main cash flow is from property lease agreements and land banking.
Minimum Variance Portfolio
The minimum variance portfolio can be defined as a combination providing the lowest possible risk
denoted as standard for the rate of expected return. The minimum variance portfolio calculated in
this prospectus yields an expected return of 12.66% with a standard deviation of 7.81% (refer to Table
below for details of weights)
Based on asset allocation this report calculates the weights using Excel by using these weights we
were able to calculate how much money is invested in each stock and how much money we would
AIA FBU GMT CEN RBD risk free E(rp)
Weight 0.861709 -0.0773805 0.539154 -0.1548441 0.301862 -0.4705 0.275003
Money Allocation 8617089 -773805.27 5391536 -1548440.5 3018621 -4705000
6. 5 | P a g e
receive and lend out from short selling. Auckland International Airport gave us the highest return out
of all the securities which is why majority of the portfolio is allocated to this security.
Optimal Variance Portfolio
The optimal portfolio can be defined as the portfolio offer the highest possible expect return with
the lowest value of risk.
In this case, according to data form five company, the most suitable combination of five weight
respectively are 0.5860, -0.0526, 0.3666, -0.1053, 0.2053. In this way, it will get highest expect
return with the amount 19.61%, almost 20%. At the same time, it also achieves the target of
standard deviation with value of 15% which fulfil customer’s request. Visual representation of the
optimal variance portfolio is displayed in Appendix C.
The Efficient Frontier
The graph of Efficient Frontier graphically depicts detail of expect return and their standard
deviation for five different stocks and their combinations. The portfolio is derived from five years of
historical data acquired from multiple online data sources This data accompanied by recent financial
statements has been interpreted to provide Mr Thompsen with this portfolio. On the one hand, five
different stocks combinations have different expect return and standard deviation which create the
curve. On the other the graph of Efficient Frontier is easily present at the optimal risky portfolio for
highest expect return and minimum risk portfolio for lowest risk portfolio. The graph of Efficient
Frontier also displays a straight line which is the Capital Allocation Line (CAL), it is created by Mr
Thompson’s portfolio and risk free rate. The points which locate on the Capital Allocation Line
depicts five possible stock combinations of risk and return providing Mr. Thompsen’s portfolio with a
range of viable investment options.
0
0.05
0.1
0.15
0.2
0.25
0.3
0 0.05 0.1 0.15 0.2 0.25
E(rp)
σ(rp)
CAL and Efficient Frontier Graph
Mr Thompsens porffolio
risk free rate 2.83%
Optimal risky portfilio
Minimum risk portfilio
Auckland International Airport
Goodman Property Trust
Contact Energy Limited
Fletcher Building
Restaurant Brands Limited
7. 6 | P a g e
Mr. Thompsen’s Portfolio with A.P. Investments
Based on investment criteria detailed, this report provides a portfolio containing five stocks from the
S&P/NZX 50. adhering to the constraints including a maximum overall risk figure of 15%. This report
has based its risk free rate at 2.83% aligned with the 90 day rate set in August 2015. While being able
to maximise his return over a 1 year period. Interpreting our calculations, in order to meet Mr
Thompsen’s requirements we recommend that an investment is made in an optimal risky portfolio
with 147% and short sell 47.05% in risk free asset. This findings in this report has created a portfolio
where Mr Thompsen will be holding and shorting risky assets, lending out the excess money at the
risk free rate. In this report we advise short selling firstly because the portfolio requires more capital
to invest in the optimal portfolio. With this we have calculated Mr. Thompsen’s portfolio expected
return of 27.50% with his desired maximum standard deviation of 15%. It is of our opinion that these
five selected stocks together offer a high potential growth for the one year time horizon.
If Mr Thompsen wishes to invest based on the recommendations provided in this portfolio. We have
calculated the 1 year maximum gain and loss with 95% confidence. The maximum gain and loss for
the investment is shown in the graph below.
Return( 95% confidence)
95% confidence factor = 1.64485
Investment value $ 10m
At 15% standard deviation
Return Value after 1 year Gain/Loss
Expected return 0.2750034 $12,750,030 $2,750,030
95% confidence max. return 0.5217324 $15,217,324 $5,217,324
95% confidence max. loss 0.0282744 $10,282,744 $282,744
From the above table we can see that the maximum gain with 95% confidence is $5,217,324 and the
maximum lost being a positive number/ gain at $282,744
Mr.Thompsen's Portfolio
Portfolio Return 27.50%
Standard Deviation 15%
Portfolio Beta 0.394470681
Market Premium 62.54%
portfolio market risk 25%
portfolio firm specific risk -0.0967034
______________________________________________________________________
8. 7 | P a g e
Appendix
Appendix A.
Appendix B.
Correlations AIA FBU GMT CEN RBD
Auckland International Airport (AIA) 1 0.210654 0.174575 0.283464 0.129627
Fletcher Buliding Limited (FBU) 0.210654 1 0.065537 0.204576 0.079273
Goodman Property Limited (GMT) 0.174575 0.065537 1 0.068037 0.068037
Contact Energy Limited (CEN) 0.283464 0.204576 0.068037 1 0.110726
Resturant Brands Limited (RBD) 0.129627 0.079273 0.068037 0.110726 1
Auckland International BETA
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.016068596 0.002840027 -5.65790217 4.2634E-08 -0.02166258 -0.01047461 -0.02166258 -0.01047461
S&P NZX50 0.337042607 0.092925946 3.627002147 0.00034883 0.15400694 0.520078279 0.154006935 0.52007828
Fletcher Building BETA
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.015634439 0.004363382 -3.58310151 0.00040955 -0.02422897 -0.00703991 -0.02422897 -0.00703991
S&P NZX50 0.472352906 0.142770236 3.308483042 0.00107901 0.19113924 0.753566572 0.191139239 0.75356657
Goodman Property BETA
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.020881933 0.001948171 -10.7187373 3.112E-22 -0.02471923 -0.01704463 -0.02471923 -0.01704463
S&P NZX50 0.242885612 0.063744329 3.81030931 0.00017558 0.11732879 0.36844243 0.117328794 0.36844243
Contact Energy BETA
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.019839345 0.004139527 -4.79265986 2.8554E-06 -0.02799295 -0.01168574 -0.02799295 -0.01168574
S&P NZX50 0.322242497 0.135445694 2.379126926 0.01812048 0.05545594 0.589029057 0.055455938 0.58902906
Restaurant Brands Limited BETA
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.02083151 0.003638287 -5.72563663 3.0032E-08 -0.02799782 -0.0136652 -0.02799782 -0.0136652
S&P NZX50 0.205268328 0.119045081 1.724290718 0.08591669 -0.02921404 0.439750699 -0.02921404 0.4397507
9. 8 | P a g e
Appendix C.
Optimal Risky Portfolio
Stocks Weighting
Auckland International Airport (AIA) 0.585997227
Fletcher Buliding Limited (FBU) -0.052621915
Goodman Property Limited (GMT) 0.366646448
Contact Energy Limited (CEN) -0.105300273
Restaurant Brands Limited (RBD) 0.205278513
E(rp) σ(rp) Sharpe Ratio
19.61% 0.102046242 1.644042888
10. 9 | P a g e
References
Auckland International Airport . (2014). Airport of the Future. 37.
Construction, F. (2014, October 5). Our Vision Fletcher Construction. Retrieved from
http://www.fbu.com/investor-centre/2014-annual-report/annual-report/
Google Finance. (2015). Google Finance. Retrieved October 10, 2015, from Google Finance Beta:
http://www.google.com/finance
Limited, C. E. (2015, October 14). Contact Energy Limited Investor Information. Retrieved from
https://contact.co.nz/corporate/media-centre/results-and-reports/annual-and-half-yearly-
reports
Limited, G. P. (2015, October 14). Goodman Investor Center. Retrieved from
http://investors.nz.goodman.com/phoenix.zhtml?c=164117&p=irol-IRHome
Reports, R. B. (2015, October 14). Resturant Brands Limited. Retrieved from
http://www.restaurantbrands.co.nz/share-price-graph/shareholder-reports/
Ross, S. A., Westerfield, R. W., & Jaffe, J. (2013). Corporate Finance 10th ed.
Zealand, R. B. (2015). Monetary Policy Statement .