Investments & Portfolio Management
Assignment
Part 1: Create an equity portfolio and equity factors
Work and perform the following tasks in an Excel file. The results should be summarized in the first sheet, called “Part 1”, with your names and student id numbers. All intermediate computations should be gathered in an appendix in the same Excel file.
➢ Select 20 stocks of your choice listed in the main countries represented in the Euro Stoxx 50 Index (France, Germany, Netherlands, Italy, Spain, Belgium) with the following conditions:
o The representation per country (country weighting) should be as close as possible to the allocation of the Euro Stoxx 50 Index (e.g., France has a weight of 38% → select 8 French stocks for a weight of 40% in your sample).
o None of your stocks should be a current member of the Euro Stoxx 50 Index.
o Each stock should have uninterrupted (non-missing) monthly prices (€) for the 10-year period 2013-2022.
o Make sure there is enough variety in the industries of the chosen stocks (e.g., healthcare, consumer goods, industrial goods, services, financials, technology, etc....) such that the weighting of sectors is consistent with the one of the Euro Stoxx 50 Index.
➢ Compute the monthly total returns (dividends reinvested) (€) of your chosen 20 stocks for the 10-year period 31/12/2012 - 31/12/2022 (121 observations per stock & 20 stocks).
➢ Download the Euro Stoxx 50 Index total returns (€) for the same period (the “ES50” index). You may have to download the index values (€) and then compute the index total returns based on the index values.
➢ Retrieve the series of the German 3-month treasury bill rate (or the German 1-year government bond rate) for the same period. Interest rates are most often expressed in annual terms. Thus, you should convert them to monthly rates (i.e., divide the rates by 12). Call this series “Rf”.
You have now 22 series of monthly rates of total return (including dividends).
With this material, do the following:
Assignment
Part 1: Create an equity portfolio and equity factors
Work and perform the following tasks in an Excel file. The results should be summarized in the first sheet, called “Part 1”, with your names and student id numbers. All intermediate computations should be gathered in an appendix in the same Excel file.
➢ Select 20 stocks of your choice listed in the main countries represented in the Euro Stoxx 50 Index (France, Germany, Netherlands, Italy, Spain, Belgium) with the following conditions:
o The representation per country (country weighting) should be as close as possible to the allocation of the Euro Stoxx 50 Index (e.g., France has a weight of 38% → select 8 French stocks for a weight of 40% in your sample).
o None of your stocks should be a current member of the Euro Stoxx 50 Index.
o Each stock should have uninterrupted (non-missing) monthly prices (€) for the 10-year period 2013-2022.
o Make sure there is enough variety in the industries of the chosen stocks (e.g., healthcare, consumer goods, industrial goods, services, financials, technology, etc....) such that the weighting of sectors is consistent with the one of the Euro Stoxx 50 Index.
➢ Compute the monthly total returns (dividends reinvested) (€) of your chosen 20 stocks for the 10-year period 31/12/2012 - 31/12/2022 (121 observations per stock & 20 stocks).
➢ Download the Euro Stoxx 50 Index total returns (€) for the same period (the “ES50” index). You may have to download the index values (€) and then compute the index total returns based on the index values.
➢ Retrieve the series of the German 3-month treasury bill rate (or the German 1-year government bond rate) for the same period. Interest rates are most often expressed in annual terms. Thus, you should convert them to monthly rates (i.e., divide the rates by 12). Call this series “Rf”.
You have now 22 series of monthly rates of total return (including dividends).
With this material, do the following:
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