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DAVIDE VIOTO (MSGF) – [email protected]
HOMEWORK PART 2 GLOBAL EQUITY PORTFOLIO MANAGEMENT – Professor Douglas W. Blackburn
Davide Vioto (MSGF) – [email protected]
Using as data source finance.yahoo.com, I downloaded the monthly price of the 10 Stocks listed below for the period 2009-‐2013 and for 2014.
DIS GE JPM KO M
MCD NKE PEP PG TWX
Davide Vioto (MSGF) – [email protected]
The Adjusted Prices of the 10 Stocks are shown in the tables below for the period 2009-‐2013 and for 2014.
Dates DIS GE JPM KO M MCD NKE PEP PG TWX
02/01/09 18.99 9.61 22.31 17.56 8.01 46.95 20.58 45.09 44.42 19.51
02/02/09 15.40 6.94 19.98 16.79 7.05 42.67 18.89 45.32 39.26 16.08
02/03/09 16.68 8.25 23.25 18.26 8.02 44.57 21.45 45.60 38.38 14.86
… … … … … … … … … … …
01/10/13 66.52 24.61 49.22 37.53 44.52 90.94 74.19 80.07 76.48 63.94
01/11/13 68.41 25.09 54.64 38.38 51.43 92.51 77.51 80.42 79.76 61.39
02/12/13 75.00 26.60 55.85 39.45 51.81 92.19 77.26 79.51 77.10 65.13
Dates DIS GE JPM KO M MCD NKE PEP PG TWX
02/01/14 71.69 23.85 53.56 36.12 51.62 89.47 71.57 77.04 73.12 58.69
03/02/14 79.79 24.38 54.97 36.48 56.14 91.17 77.16 76.76 75.06 63.02
… … … … … … … … … … …
03/11/14 91.35 25.78 59.38 44.09 63.91 95.15 98.45 98.07 88.35 84.41
01/12/14 94.19 24.83 61.77 41.53 65.08 92.09 95.61 93.24 88.99 84.71
Davide Vioto (MSGF) – [email protected]
The Returns of the 10 Stocks are shown in the tables below for the period 2009-‐2013 and for 2014.
Dates DIS GE JPM KO M MCD NKE PEP PG TWX
02/01/09
02/02/09 -‐18.91% -‐27.78% -‐10.43% -‐4.38% -‐12.07% -‐9.11% -‐8.22% 0.50% -‐11.61% -‐17.56%
02/03/09 8.29% 18.80% 16.32% 8.73% 13.86% 4.44% 13.57% 0.61% -‐2.24% -‐7.64%
… … … … … … … … … … …
01/10/13 6.36% 9.42% 0.44% 4.46% 6.56% 0.32% 4.30% 5.77% 7.66% 4.45%
01/11/13 2.84% 1.99% 11.02% 2.28% 15.51% 1.72% 4.46% 0.44% 4.30% -‐3.99%
02/12/13 9.64% 5.99% 2.20% 2.79% 0.75% -‐0.35% -‐0.32% -‐1.13% -‐3.34% 6.10%
Dates DIS GE JPM KO M MCD NKE PEP PG TWX
02/01/14 -‐4.41% -‐10.35% -‐4.09% -‐8.45% -‐0.37% -‐2.95% -‐7.36% -‐3.11% -‐5.17% -‐9.88%
03/02/14 11.29% 2.24% 2.64% 1.01% 8.76% 1.90% 7.81% -‐0.36% 2.66% 7.37%
… … … … … … … … … … …
03/11/14 1.24% 2.63% -‐0.53% 7.78% 12.26% 4.19% 6.79% 4.09% 3.62% 7.53%
01/12/14 3.11% -‐3.71% 4.02% -‐5.82% 1.82% -‐3.21% -‐2.88% -‐4.91% 0.73% 0.35%
Davide Vioto (MSGF) – [email protected]
To compute the weights, the Poraolio return and variance (ST.DEV.), I used the following data: • The returns of the Stocks shown previously. • Variance – Covariance Metrics (Above).
DIS GE JPM KO M MCD NKE PEP PG TWX
0,484% 0,469% 0,395% 0,127% 0,350% 0,102% 0,243% 0,070% 0,126% 0,341%
0,469% 0,859% 0,580% 0,178% 0,471% 0,094% 0,326% 0,099% 0,195% 0,338%
0,395% 0,580% 0,804% 0,118% 0,458% 0,068% 0,234% 0,061% 0,127% 0,309%
0,127% 0,178% 0,118% 0,189% 0,007% 0,088% 0,101% 0,065% 0,066% 0,071%
0,350% 0,471% 0,458% 0,007% 1,189% 0,026% 0,395% 0,069% 0,131% 0,214%
0,102% 0,094% 0,068% 0,088% 0,026% 0,146% 0,101% 0,033% 0,060% 0,096%
0,243% 0,326% 0,234% 0,101% 0,395% 0,101% 0,484% 0,054% 0,091% 0,175%
0,070% 0,099% 0,061% 0,065% 0,069% 0,033% 0,054% 0,103% 0,053% 0,066%
0,126% 0,195% 0,127% 0,066% 0,131% 0,060% 0,091% 0,053% 0,177% 0,116%
0,341% 0,338% 0,309% 0,071% 0,214% 0,096% 0,175% 0,066% 0,116% 0,476%
Davide Vioto (MSGF) – [email protected]
Using the Model constructed in class, I computed Beta, Total Risk Contribudon and Sq. Diff of the 10 Stocks.
BETA TRC Sq Diff. DIS 1,574467861 0,0036033 0,000 GE 2,051956095 0,003606641 0,000 JPM 1,715892371 0,003602409 0,000 KO 0,751159202 0,003608993 0,000 M 1,714964125 0,003606383 0,000
MCD 0,622403314 0,00361163 0,000 NKE 1,308788161 0,003600176 0,000 PEP 0,513508102 0,003607654 0,000 PG 0,769625532 0,003609383 0,000 TWX 1,314566259 0,003616284 0,000
Davide Vioto (MSGF) – [email protected]
Using the Solver on Excel, I computed the Weights, the Return and the ST. DEV. Of the Poraolio.
Weights E[R] DIS 6,344% 2,60% GE 4,873% 2,17% JPM 5,820% 1,97% KO 13,319% 1,47% M 5,830% 3,75%
MCD 16,086% 1,22% NKE 7,626% 2,51% PEP 19,476% 1,02% PG 13,001% 1,03% TWX 7,626% 2,30%
0,000%
5,000%
10,000%
15,000%
20,000%
25,000%
DIS GE JPM KO M MCD NKE PEP PG TWX
Weights
Weights
Risk Parity PorFolio Return 1,6949% ST. DEV 3,61%
Davide Vioto (MSGF) – [email protected]
Using the Poraolio weights obtained form the model and the Returns of the stocks for 2014, I computed the Poraolio Returns for each month in 2014. Also, the stadsdcs shown in the next page, for the Poraolio and the Stocks (rf=0%).
Date PorFolio 02/01/14 -‐4,41% 03/02/14 19,10% 03/03/14 4,45% 01/04/14 7,89% 01/05/14 15,13% 02/06/14 9,41% 01/07/14 5,99% 01/08/14 12,65% 02/09/14 21,95% 01/10/14 13,42% 03/11/14 18,15% 01/12/14 2,86%
Davide Vioto (MSGF) – [email protected]
BETA is computed considering S&P 500.
Sharpe RaLo PorFolio 0.40895
DIS GE JPM KO M MCD NKE PEP PG TWX PorFolio
Mean 1,99% -‐0,50% 0,91% 0,56% 2,05% 0,03% 1,95% 1,38% 1,26% 2,46% 1.12%
Variance 0,144% 0,162% 0,142% 0,290% 0,292% 0,093% 0,361% 0,102% 0,126% 0,560% 0.075%
ST. DEV 4,057% 4,034% 3,769% 5,387% 5,411% 3,053% 6,015% 3,196% 3,560% 7,484% 2.750%
Skewness 0,8886 -‐1,4025 -‐0,7966 -‐0,5137 0,5081 -‐0,5799 0,2656 -‐0,7980 -‐0,1397 0,3292 -‐1.1359
Kurtosis 1,6099 2,2000 0,9683 -‐0,9357 -‐0,4020 -‐0,1052 -‐0,2193 -‐0,3060 -‐0,2376 0,7089 1.5656
BETA 1,3928 1,3631 0,4888 1,4707 1,4547 0,6528 1,0401 0,7874 0,9686 0,6937 0.9804
Davide Vioto (MSGF) – [email protected]
I compared the “out-‐of-‐sample” performance using as Benchmark Poraolio S&P500. The results I computed for S&P500 are shown in the following tables:
Date S&P 500 (^GSPC) Returns 02/12/13 1848,359985 02/01/14 1782,589966 -‐3,56% 03/02/14 1859,449951 4,31% 03/03/14 1872,339966 0,69% 01/04/14 1883,949951 0,62% 01/05/14 1923,569946 2,10% 02/06/14 1960,22998 1,91% 01/07/14 1930,670044 -‐1,51% 01/08/14 2003,369995 3,77% 02/09/14 1972,290039 -‐1,55% 01/10/14 2018,050049 2,32% 03/11/14 2067,560059 2,45% 01/12/14 2058,899902 -‐0,42%
The “out-‐of-‐sample” Mean return is 1.12%, higher than the Benchmark Poraolio, which has a Mean Return of 0.93%. However, the Variance of S&P500 for 2014 is lower (0.05%) than the “out-‐of-‐sample” (0.0757%). Also the Skewness and the Kurtosis are different; Skewness are negadve for for both, Kurtosis posidve for the “out-‐of-‐sample” and negadve for S&P500. In conclusion, the Sharpe Rado of the “out-‐of-‐sample” is a lirle bit higher that the one of the S&P500, so the out-‐of-‐sample Poraolio performs a lirle bit berer than S&P500 for 2014.
Comparing the Results of Model 2 with Model 1, we can observe a significadve higher return for the Model 1 Poraolio, but also the inverse for the variance (and ST. DEV.). The Beta computed in the Model 2 is lower than the one in the Model 1. These result can be explained by the lack of short posidon in the Model 2 (the weights are posidve)
Mean 0,93% Variance 0,05% ST. DEV. 2,34% Skewness -‐0,44302489 Kurtosis -‐0,41576619
rf 0% Sharpe RaLo 0,39645255
