Risk, Portfolio and Investment Analysis

XYZ an investment management company has given you the following share price data in the file “Datasets RP&IA 19-20.xlsx” (located under resource Datasets for midterm in Unit 3):

Dataset 1 consists of 5 years of daily share price data for all firms in the FTSE100

Dataset 2 consists of the next 5 years of daily share price data for all firms in the FTSE100

They have asked you to construct portfolios (detailed below) as part of an investment model building development programme:

From the data supplied, write a report on the exercise you have been asked to undertake. Your report must consist of two clearly marked sections that address the following tasks:

1. Create a low risk 10 share portfolio and a high risk 10 share portfolio based on Dataset 1

(50 marks)
• Assess the performance of your portfolios based on Dataset 2
(50 marks)
• Take the portfolio as an equal weighted combination of the shares in your portfolio
• It is the performance of your portfolio not the individual shares that matters.
• Relate your findings to the graphs, tables and theory as delivered in the lectures (use the slides). Do not try to find an “answer” on the internet, the exercise is designed to prevent that.
• You must fully explain your choice of shares, applying concepts and theories delivered in the module.
• You are not being assessed on whether or not your portfolios performed well but rather:
• the method by which you constructed the portfolios
• the presentation, clarity and understanding of the relationship to the module content that matters.
• Portfolios that have no clear rationale will receive a fail mark irrespective of their performance.


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