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Investment Assignment

This document appears to be an investment management assignment analyzing the risk and return of 10 stock portfolios. It includes tables showing the expected return and risk of each stock, as well as correlation and covariance matrices. The analysis finds that while Stock 8 has the lowest average return, it does not carry the lowest risk. Stock 3 offers the lowest risk with a higher return than Stock 8. Stock 1 has the highest return but also the highest risk. The report is presented by a group of 5 students at the University of Ghana Business School.

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David Adeabah Osafo
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31 views7 pages

Investment Assignment

This document appears to be an investment management assignment analyzing the risk and return of 10 stock portfolios. It includes tables showing the expected return and risk of each stock, as well as correlation and covariance matrices. The analysis finds that while Stock 8 has the lowest average return, it does not carry the lowest risk. Stock 3 offers the lowest risk with a higher return than Stock 8. Stock 1 has the highest return but also the highest risk. The report is presented by a group of 5 students at the University of Ghana Business School.

Uploaded by

David Adeabah Osafo
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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University of Ghana

Business School

INVESTMENT MANAGEMENT ASSIGNMENT

Portfolio Risk and Return


By
Group 10

November, 2016

Introduction
Objectives
Methodology
Analysis of results
Stock
Stock 1
Stock 2
Stock 3
Stock 4
Stock 5
Stock 6
Stock 7
Stock 8
Stock 9
Stock 10

Expected Return
2.53%
1.99%
1.19%
1.49%
1.89%
1.64%
1.59%
1.18%
1.54%
1.64%

Risk
14.25%
9.69%
6.51%
11.36%
9.23%
9.95%
9.46%
6.98%
10.42%
7.75%

Though on average, an investor earns less on stock 8 at 1.18%, this stock does not give the
lowest risk given by a standard deviation of 6.98%. Comparatively, stock 3 offers the lowest
risk at 6.51% with even a higher return at 1.19%. Stock 1 earns 2.53% on the average, but it also
has more risk given by a standard deviation of the return equal to 14.25%.
Again, stock 6 and 10 all earn the same return of 1.64%; however, stock 6 is riskier than stock 10
with standard deviations of 9.95% and 7.75% respectively.

Expected Return Risk


3.00%
2.50%
2.00%

Expected Return

1.50%
1.00%
0.50%
0.00%
6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% 15.00%

Risk

Correlation and Covariance Matrix of Return

Stock 1
Stock 1
1
Stock 2 0.434829
Stock 3 0.123696
Stock 4
0.48837
Stock 5 0.374839
Stock 6
0.4094
Stock 7 0.332443
Stock 8 0.123548
Stock 9 0.445019
Stock 10 0.319356

Stock 2

Stock 3

Correlation Matrix of Return


Stock 4
Stock 5
Stock 6

1
0.194823
0.637835
0.508949
0.468916
0.453994
0.035962
0.440682
0.505416

1
0.184839
0.347751
0.392025
0.32578
0.398039
0.310217
0.484614

1
0.568924
0.569111
0.555311
0.152547
0.634074
0.511468

1
0.681737
0.652051
0.392444
0.666857
0.512299

1
0.755057
0.367623
0.772668
0.599666

Stock 7

Stock 8

Stock 9

1
0.326997
0.660497
0.561378

1
0.3883
0.40793

1
0.474443

Stock 10

Stock 1
Stock 2
Stock 3
Stock 4
Stock 5
Stock 6
Stock 7
Stock 8
Stock 9
Stock 10

Stock 1
0.02029
7
0.00600
2
0.00114
8
0.00790
6
0.00492
7
0.00580
2
0.00448
1
0.00122
9
0.00660
8
0.00352
4

Stock 2

Stock 3

Covariance Matrix of Return


Stock 4
Stock 5
Stock 6

Stock 7

Stock 8

Stock 9

0.00487
7
0.00282
6
0.00220
6

0.01086
2

Stock 10

0.00938
8
0.00123
0.00702
2

0.00424
2
0.00136
8

0.00455

0.00209

0.00452
0.00416
2
0.00024
3

0.00254
0.00200
7
0.00181
1
0.00210
6
0.00244
5

0.00445
0.00379
3

0.01291
1
0.00596
4
0.00643
3
0.00596
9
0.00121
1
0.00750
9
0.00450
1

0.00851
3
0.00625
7
0.00569
1
0.00252
9
0.00641
2
0.00366
1

0.00989
7
0.00710
6
0.00255
4
0.00801
1
0.00462

0.00895
0.00216
0.00651
2
0.00411
3

0.00383

0.00599
9

This report is presented by group 10. As members of this group, we have:


David Adeabah

10551139

Gifty Apaw Agyei


Emmanuel Arthur
George Joe Arthur
Desmond Ampah Aseidu
Title Page
2. Abstract
3. Table of Contents
4. Chapter One Introduction
5. Chapter Two - Review of Literature (a working review; may not include all or even most of
your proposed review but should be sub-divided into the appropriate sections)
6. Chapter Three - Methods (Outline only)
7. References

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