finance question

Final Team Portfolio Project

Prof. Efremidze

Part 1

In this project you will test Value or Growth investment strategy (it is assigned to you, see excel file of teams and assignments). This will include selection of stocks and creation of portfolios with three different methods: Markowitz method, fundamentals weighting, and equal weighted.

For the next class, work on making progress on accomplishing Part 1 tasks. Select 8 stocks from ValueLine S&O report (date of the report for each team is different and Table name is specified for each team in the excel file of teams). Describe how you selected 8 stocks out of 20 stocks. You can use 1, 2 or 3 criteria from the specified table to identify 8 stocks out of 20. Please describe why you use these particular criteria to select your stocks, justify your analysis with investment strategies and theories you learned in this class and the chapter 16. Bring the list of stock symbols to class and be ready to discuss your criteria.

Describe your investment strategy, objectives conceptually and numerically, benchmarks used and selection criteria for assets as an investment policy statement.

Part 2

Using the R program file, you will calculate weekly returns, standard deviations, betas, and optimal weights. Detailed program is posted on Sakai.

You will also use S&P500 market index as benchmark. R program downloads this data automatically.

a). Using posted excel file calculate fundamental weights (we will discuss this in class) for Fundamental-weighted portfolio (use Sales + Net income for each company (based on the report within last 3 months before the date of the Value Line Report), and assign relative weights to each stock based on this measure. All weights should add up to 1.

b). Now we will form equally weighted portfolio (each asset has equal weight in the portfolio) at the beginning of the testing period (Period 2).

c). Calculate using R performance measures for the three portfolios and your benchmark Returns, standard deviations, annualized Sharpe ratio, CAPM beta, CAPM alpha, Sortino ratio, semideviation, maximum drawdown, Treynor ratio.

Present these results in formal table and figure style (MLA or APA).

In the report answers these questions:

1. How did each portfolio perform?

2. Discuss risk measures and offer your opinion which portfolio offers better risk-return tradeoff.

3. Discuss why your portfolios performed well or poorly and offer suggestions how would you improve the strategies.

Part 3

From your midterm assignment of US Sector and Global Region, please present results of how your US Sector and Global Region performed along with the overall performance of each fund portfolio.

1) Use attribution analysis and R program output to discuss the performance.

2) Please offer several suggestions how would you improve the investment strategy for the US and Global funds.

Part 4

Each student in the team will Interview one other student within the team and write 250 word section covering 3 interview questions and answers. Please think of 3 questions to ask in this interview regarding individual’s Global Mindset development dimensions and how this course was helpful. You all took participated in GMI (Global Mindset Institute) workshop and took the test. Each course contributes in various ways to advance your level of expertise along Global Mindset area. Your questions should focus on the areas of Global Mindset, this course, and include individual’s personal experiences in this course. Include your name and the person you interviewed.

Deliverables:

5-page report covering all the above. Font size must be 12, line spacing must be 1.5.

Include several most important graphs and tables in the main body of the text. Other tables and graphs can be included in appendices. No need to include historical stock prices.

R program code files should be uploaded to Sakai Drop Box.

10 slide presentation (10-12 minutes) in class, summarizing your work. Upload the slides to Sakai Drop Box.