PORTFOLIO & INVESTMENT FINAL TEST Name:

April 29th, 2024

A

Return Data
Month KLBF BMRI ICBP SMGR R Market Step 1 Calculate the Expected Return for each stock KLBF BMRI ICBP SMGR
1 -0.042453 -0.024155 0.106383 -0.02521 -0.040842 25% 25% 25% 25% 100%
2 0.0281956 0.029703 -0.032051 0.093234 0.004314 Expected Return -0.010613 -0.006039 0.026596 -0.006303 0.003641
3 -0.065854 0.1009615 -0.011038 0.148148 0.040451 KLBF -0.0299 0.007049 0.007426 -0.008013 0.023309 0.02977
4 -0.052219 0.0524017 0.016768 -0.02509 0.00316 BMRI 0.0292 -0.016463 0.02524 -0.002759 0.037037 0.043055
5 -0.033058 0 -0.011161 -0.055147 -0.001923 ICBP 0.0104 -0.013055 0.0131 0.004192 -0.006272 -0.002035
6 -0.037037 -0.058091 -0.065463 -0.050584 -0.027044 SMGR 0.0062 -0.008264 0 -0.00279 -0.013787 -0.024841
7 -0.044379 0.030837 0.115942 0.065574 0.048655 -0.009259 -0.014523 -0.016366 -0.012646 -0.052794
8 -0.003096 0.034188 -0.084416 -0.015385 0.027124 Step 2 Calculate the Risk for each stock -0.011095 0.007709 0.028986 0.016393 0.041994
9 -0.062112 0.0991736 0.113475 -0.03125 -0.008918 -0.000774 0.008547 -0.021104 -0.003846 -0.017177
10 -0.013245 0.0526316 -0.019108 -0.016129 0.015007 Risk -0.015528 0.024793 0.028369 -0.007813 0.029822
11 -0.003356 0.0035714 -0.015152 -0.020492 -0.009384 KLBF 0.0289 -0.003311 0.013158 -0.004777 -0.004032 0.001037
BMRI 0.0481
ICBP 0.0707
SMGR 0.0658
Step 3 Calculate the Risk and the expected return of portfolio with the SAME PROPORTION for each stock
Risk 0.031332
Expected Return 0.005247
Step 4 Calculate the Risk, the expected return, and the weight of portfolio using solver with 0.015 (1.5%) targeted return
Risk 0.03353
Expected Return 0.015

KLBF BMRI ICBP SMGR

-0.0059 0.0194 0.0014 0.0000

Step 5 Create 7 combinations of stock that will Step 6 Draw the efficient frontier based on the combinations Make sure to change back the stock proportion into equal proportions
result to different risk and return of step 5 after you're done using the solver
Risk Return
1 0.025
2 0.023
3 0.021
4 0.019
5 0.017
6 0.015
7 0.013

Step 7 Calculate the Beta for each stock with the Step 8 Evaluate the portfolio using RVAR and RVOL
SAME PROPORTION for each stock using the SAME PROPORTION for each stock
BETA Weight Risk Free monthly 0.006
KLBF 25%
BMRI 25% RVAR
ICBP 25% RVOL
SMGR 25%
Beta Portfolio