02 Jul Stock report
Question Description
1. Select 10 publicly traded stocks
2. i. Pick one of the stocks and, for a reasonable length of relevant data, calculate its equity Beta and asset beta from the S&P500 index and risk free government bonds. The data can be daily or monthly. Calculate the company’s return on equity and return on assets using CAPM. Calculate the company’s expected return using the Fama French 3 factor method and data.
Explain your choices and comment on your data, results, and techniques used.
Once you have decided on the 10 stocks, look back at their history and create portfolios as if you made all your initial purchases on the first trading day of this year
3. Create a series of portfolio weights for your 10 stocks based on:
i. weighted by mkt cap (value)
ii. weighted by dividend
iii. weighted by equal-weights
iv. weighted by stock prices
v. weighted by an accounting ratio of your choice!
For each of these you will need to make procedural choices and decisions how best to measure the weighting attribute. For accounting ratios you can use each firm’s 10Q quarterly reporting to SEC EDGAR, or look up the data on a reputable financial website. Make sure to document these choices.
Calculate the equity beta for each of these portfolios
At some time after the end of the first quarter 2019, rebalance the portfolios based on changes of their specific weighting attributes, recording the trades that would happen
Report on the performance of each of these portfolios over this time frame, relevant idiosyncratic risks
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