BAFI3178 Portfolio Management Assignment Help

Task 1 (20 marks)

You have been inspired by Fama and French factors and also know that small stocks have a reputation for outperforming the market. You are interested in evaluating how size may influence stock return. Use the data from “Australian Stock market data” to:

In January each year, based on the market capitalization by the previous year end, build two value-weighted portfolios, consisting of the smallest firms (Bottom ten percentile) and the largest firms (Top ten percentile), respectively. Estimate the two portfolios’ volatility, mean return and market beta between 2011 and 2020. Was one portfolio’s performance better than the other? Prepare tables and graphs showing your results. Market return is proxied by ASX200 index.       (10 marks)

How did the two portfolios’ volatilities and returns compare to the market average? (5 marks)

If you conduct a long-short strategy (long the small portfolio and short selling the large portfolio), how did this strategy perform over 2011-2020? (5 marks)
                                                                                                                                                         (Total=20 marks)