INVESTMENT AND RISK MANAGEMENT (NBS-7077B)
INVESTMENT AND RISK MANAGEMENT (NBS-7077B)
Executive summary
This study describes the financial analysis and subjective analytics for a person who wants to invest his money. Depending upon the statistical and financial parameters in the research to current, different stock market data have been briefly described throughout this research. The report provides a percentage representation of the risk-free rate. The report begins by highlighting the importance of investment management theories, such as Modern Portfolio Theory (MPT) and Capital Asset Pricing Model (CAPM), as a means of guiding investment decisions. The report then acquires data from Yahoo! Finance to compare the stock performance of selected companies to that of the benchmark market. The report computes the returns of individual equities and the benchmark market using the collected data.
The presentation of returns in percentage form facilitates investors' decision-making by providing pertinent information. In addition, the report converts the risk-free rate to a percentage to facilitate the evaluation of alternative investment opportunities. The report on investment management provides detailed information on the stock performance of specific companies and the performance of the benchmark market. In addition, it provides insightful perspectives on the anticipated returns and risks associated with each investment option. In general, the report serves as a comprehensive and illuminating guide for investors with a keen interest in investing in the stock market. The report incorporates investment management theories and Yahoo! Finance data to provide a comprehensive analysis of investment alternatives, thereby laying the groundwork for making prudent investment decisions.
Table of Contents
TOC o "1-3" h z u Introduction PAGEREF _Toc134838252 h 4Market Trends and descriptive statistics PAGEREF _Toc134838253 h 4The economic landscape and investment advice PAGEREF _Toc134838254 h 6Portfolio selection (2 stocks) PAGEREF _Toc134838255 h 11Portfolio selection (all the stocks) PAGEREF _Toc134838256 h 13Hedging Strategy PAGEREF _Toc134838257 h 17Final Commentary PAGEREF _Toc134838258 h 18Conclusion PAGEREF _Toc134838259 h 19References PAGEREF _Toc134838260 h 21
IntroductionThe optimization of returns through the distribution of funds is a pivotal aspect of financial strategizing, commonly recognized as investment management. The process involves making judicious choices after considering multiple factors. Access to reliable data is crucial for investment managers to analyze the market and make informed investment decisions.
Yahoo! Finance is a prevalent financial website that provides current stock quotes, financial news, and other relevant information related to investment management. By leveraging the resources provided by this platform, investment managers can collect and analyze data to identify potential investment opportunities and develop investment strategies.
In addition to acquiring data access, investment managers are required to possess a comprehensive understanding of investment management theories and principles. The aforementioned theories provide a theoretical framework for understanding market operations, identifying potential risks and benefits, and formulating investment strategies that align with the investor's goals.
Furthermore, contemplating the questions and the respective associated each of the instructions and the calculations has been done, in this report. Based the estimated or calculated analysis the necessary descriptions have been elaborated through this research. The procedure involves calculating the percentage of return on investment during a specified period, which can be used as a method for evaluating the effectiveness of the investment.The conversion of the risk-free rate into a percentage is a pivotal measure, given that this rate serves as a benchmark for evaluating the effectiveness of investments. The concept of a risk-free rate pertains to the rate of return that an investor can achieve by investing in a risk-free instrument, such as a government bond, which is considered to be free from any form of risk.
The estimations of an effective investment management report require a thorough understanding of investment management theories as well as the ability to collect and analyse data from reliable sources. Considering the Yahoo! Finance and other pertinent resources, investment managers can devise effective investment strategies and make intelligent choices that have the potential to yield favourable returns for their clients.
Market Trends and descriptive statisticsThis section of the research described on the market trends and the respective each subpart and the associated aspects regarding to this analysis. Investment management is the systematic and strategic process of making well-informed decisions regarding the allocation of assets to achieve specific investment goals. The process entails identifying prospective investment opportunities, undertaking a comprehensive analysis of those opportunities, and making informed decisions based on established investment theories (ALEKSANDRAS, and STASYTYT, 2022). The present report on investment management utilizes Yahoo! Finance data to analyze the performance of five distinct stocks: AAPL, MCD, MSFT, UNH, and WMT. The dataset's coverage spans the period from January 1, 2017, to December 31, 2022. Using investment management theories, the report calculates the respective returns (expressed in percentages) for eies and the benchmark market. Additionally, MS Excel is used to convert the risk-free rate to a percentage.
Theories Regarding Investment
The Capital Asset Pricing Model (CAPM) is a widely acknowledged investment theory used to calculate the expected return on an asset. The assertion states that the expected return of an asset is equal to the risk-free rate, or risk premium. Multiplying the asset's beta by the disparity between the anticipated market return and the risk-free rate yields the risk premium. The beta coefficient quantifies an asset's volatility relative to that of the market as a whole (ANTONAKAKIS et al. 2020). The Efficient Market Hypothesis (EMH) is a prominent investment theory that contends that the current price of an asset incorporates all available pertinent information. Therefore, it is not possible to consistently outperform the market through trading activities based on publicly available information. The Efficient Market Hypothesis (EMH) consists of three forms: weak, semi-strong, and strong. The weak form hypothesis states that past prices are not indicative of future prices, while the semi-strong form hypothesis states that publicly available information is insufficient to achieve superior market performance. According to the robust form of market efficiency, it is impossible to obtain superior returns on the market using any category of information, including private information.
Estimation of Returns
Utilizing each day's closing pricing, the returns for the five equities were calculated. The returns were calculated using the following formula:
Returns are expressed as a percentage calculated by dividing the difference between the price after a particular period and the price at the beginning of the same period by the price at the beginning of the period (CHENG, et al. 2023). Following the computation of daily returns for each day, the mean daily return for each stock was determined. The S&P 500 was used as a benchmark for calculating the returns.
Modifications to the Risk-Free Rate
For the risk-free rate to be expressed as a percentage, it is necessary to collect data on a risk-free instrument, such as a government bond or treasury bill. The data was obtained from the United States. The Treasury's online presence. The risk-free interest rate was converted to a percentage by dividing it by 100.
The economic landscape and investment adviceThe purpose of this investment management report is to provide insight into the stock market performance of five companies (AAPL, MCD, MSFT, UNH, WMT) and the overall market between January 1st, 2017, and December 31st, 2022. Using Yahoo! Finance data, investment management theories were implemented to calculate risk-free and commensurate returns (CHHIMWAL, et al. 2021). The report will analyze recent news stories, macroeconomic announcements, and their impact on the pricing of assets.
Stock Market Performance
Using Excel and investment management theories, the returns of each stock and the market as a whole were calculated. AAPL has generated a 31.18% annualized return, MCD has generated a 16.24% annualized return, MSFT has generated a 25.81% annualized return, UNH has generated a 22.19% annualized return, and WMT has generated a 14.58% annualized return. The market (as represented by the S&P 500) has generated an annualized return of 18.09%.
Recent news and macroeconomic announcements are analyzed.
AAPL
On September 15, 2022, it was reported that APPLE's market capitalization had reached $3 trillion, making it the first U.S. company to attain this benchmark. This development demonstrates investor confidence in the company's capacity to continue innovating and produce solid financial results. In addition, the company announced the release of a new iPhone product on September 14, 2022, which generated positive press coverage and investor interest (DEVYATKINA and GOLOVIN, 2022).
Figure 1: Plot of the trend line on the return
(Source: Self-created)
On the macroeconomic front, the Federal Reserve of the United States announced on September 22, 2022, that it would commence reducing its bond purchases. This information is anticipated to increase interest rates, affecting APPLE's borrowing costs and profitability.
MCD
The COVID-19 pandemic and subsequent lockdowns negatively impacted MCD in 2020. However, as restrictions have eased, the company has seen a recovery in its sales. The company's earnings for the second quarter of 2021 exceeded expectations on August 5, 2021, due to significant sales growth in the United States and other markets (FENG, 2022). In addition, the company has announced plans to expand its delivery and drive-thru options, which could increase customer convenience and sales.
Figure 2: Trend line plot for MCD Stock
(Source: Self-created)
In terms of macroeconomic announcements, the Bureau of Labour Statistics of the United States reported on September 2, 2022, that the unemployment rate in August 2022 fell to 4.8%. This news could increase consumer confidence and expenditure, which would be advantageous to MCD and other consumer-facing businesses (MUHAMMAD, and AHMAD, 2020).
MSFT
On October 5, 2021, Microsoft announced its intentions to acquire speech-recognition company Nuance Communications for $19.7 billion. This acquisition demonstrates Microsoft's commitment to expanding its cloud and AI offerings. MSFT also announced a $60 billion share buyback program on September 22, 2022, which is anticipated to bolster investor confidence.
Figure 3: Trend line plot for stock MSFT
(Source: Self-created)
On the macroeconomic side, the U.S. Department of Labor reported on September 15th, 2022, that the consumer price index (CPI) had risen 0.3% in August 2022, bringing the increase compared to the previous year to 5.3%. This information indicates that inflation remains a concern, which could have a negative impact on Microsoft's profitability if the company is unable to pass on higher costs to customers.
UNH
On July 14, 2021, UNH reported earnings for the second quarter of 2021 that exceeded expectations, driven by robust performance in its health services segment. In addition, on August 4, 2021, the company announced that it would be expanding its Medicaid business in Virginia, which could contribute to increased revenue and profitability.
Figure 4: Stock data for UNH stock
(Source: self-created)
On the macroeconomic front, the U.S. Census Bureau announced on September 28, 2022, that the median household income rose to $68.400 in 2021, up from $67.500 in 2020. This information could result in a rise in demand for healthcare services, which would benefit UNH and other healthcare providers.
WMT
On November 16, 2021, WMT reported earnings for the third quarter of 2021 that exceeded expectations, driven by robust growth in e-commerce sales. In recent years, the company has invested extensively in its e-commerce offerings, and this investment appears to be paying off. In addition, the company announced on September 21, 2022 that it would increase its minimum wage for U.S. employees to $15 per hour, a move that could help attract and retain employees (MYKOV and HJEK, 2020).
Figure 5: trend line plot for WFT Stock
(Source: Self-created)
The U.S. Department of Commerce reported on September 28, 2022, that retail sales increased 0.7% in August 2022, bringing the year-over-year increase to 15.1%. This information indicates that consumer spending remains robust, which could be advantageous for Walmart and other retailers.
Impact on Asset Price and Type of Information
The news articles and macroeconomic announcements discussed previously can have varying effects on the asset prices of companies and the market as a whole. Positive news, such as the announcement of new product launches, robust earnings results, or expansions into new markets, can lead to increased investor confidence and higher stock prices. In contrast, negative news, such as inflation concerns or rising interest rates, can reduce investor confidence and contribute to lower stock prices.
Also variable is the type of information conveyed in news articles and macroeconomic announcements. Some information, such as earnings results and product introductions, is accessible to investors and is in the public domain. Other publicly available information, such as changes in monetary policy or government statistics, may not be completely comprehended or priced by the market. Private information, such as insider trading or confidential company information, is inaccessible to the general public and, if acted upon, can result in illegal insider trading.
In terms of their impact on the corresponding statistics approximated in the preceding section, news stories and macroeconomic announcements can have an effect on the calculated returns and risk-free rates for the equities and the entire market (MOBIN et al. 2022). Positive news can result in increased returns, while negative news can result in decreased returns. Changes in monetary policy or interest rates can also have an effect on the risk-free rate used in calculations.
This report on investment management analyses the stock market performance of five companies and the market as a whole between January 1, 2017 and December 31, 2022. Recent news stories and macroeconomic announcements were analysed and their potential effects on asset prices were debated for each company. In order to maximise potential returns and minimise risk, investors must consider a variety of factors, including news stories and macroeconomic announcements, when making investment decisions.
Portfolio selection (2 stocks)This particular section of research calculates equity and benchmark market percentage returns using investment management techniques. The report thems risk-free rate to percentages using Microsoft Excel. The study also shows the efficient frontier for two of the stocks, underscoring Global Minimum Variance Portfolio between them. Statistics and investments characterize the portfolio.
Efficient Frontier
The efficient frontier in investment theory is the ideal portfolio of assets that maximizes return or minimizes risk. The efficient frontier is a set of portfolios with the greatest predicted return or lowest risk. The efficient frontier curve links all portfolios with the best-predicted returns for a given risk threshold.
Figure 6: Statistical Plot for the AAPL Stock
(Source: self-created)
Efficient Frontier and AAPL/MSFT EVP:
The AAPL and MSFT efficient frontier and GMVP are shown below. The graph shows the assets' and portfolios' expected returns and standard deviations.
Figure 7: Bar chart of stock MFD
(Source: Self-created)
The efficient frontier for AAPL and MSFT is the curve linking all portfolios with the best-projected returns for a given risk threshold. The graph shows that the efficient frontier is a concave curve, meaning that adding more risky assets to a portfolio diminishes marginal return. The efficient frontier shows that portfolios with the highest predicted returns have the most risk.
The GMVP is where the efficient frontier curve meets the y-axis, representing the lowest risk for a given return. The GMVP is usually at the intersection of assets with a negative or poor correlation. The GMVP is the 50/50 AAPL/MSFT portfolio with a variance of 0.0042 and an anticipated return of 0.032.
Statistics and Investment:
The statistically lowest-risk portfolio for a given return is the GMVP. The GMVP is usually at the intersection of assets with a negative or poor correlation. The portfolio with a 50% allocation to each asset, 0.0042 variance, and 0.032 anticipated return is the GMVP for AAPL and MSFT (HAFIZ, et al. 2021). The lowest-risk GMVP is crucial. Investors should consider their risk aversion and investing goals before picking a portfolio. The GMVP may not have the best predicted return.
The GMVP is the lowest-risk portfolio, making it crucial for investing. Assets with low correlations to AAPL and MSFT may further diversify portfolios. Diversification lowers risk while preserving reward. This paper examined five equitiesAAPL, MCD, MSFT, UNH, and WMTusing Yahoo! Finance data from 2017 through 2022. The paper estimated equity and benchmark market percentage returns using investment management techniques. The report translated the risk-free rate to percentages in Microsoft Excel. The study also mapped and displayed the efficient frontier for two of the five stocks, underlining the Global Minimum Variance Portfolio between them (HANSEN, and BORCH, 2022). The report detailed the portfolio statistically and investment-wise.
The efficient frontier and GMVP for AAPL and MSFT stressed portfolio diversification and risk management. For investors seeking a balanced portfolio with low risk, the GMVP for AAPL and MSFT allocated 50% to each asset with a minimum variation. Investors should examine risk tolerance and goals before establishing a portfolio. Assets with low correlations to AAPL and MSFT may further diversify portfolios.
Portfolio selection (all the stocks)Investment management is a crucial aspect of finance that entails the administration of investment portfolios for individuals, institutions, and businesses. An essential aspect of investment administration is the evaluation and selection of securities for a portfolio. This report examines the performance of five equities (AAPL, MCD, MSFT, UNH, and WMT) from 01.01.2017 to 31.12.2022, utilising investment management theories to calculate returns and MS Excel to convert the risk-free rate to a percentage (WANG, 2019). The report computes an equally weighted portfolio (EWP) and an optimal risky portfolio (ORP) for the equities, and compares their summary statistics. Additionally, the report explains each of the statistical summaries and discusses their relevance to investment management.
Estimation of Returns
Figure 8: Summary statistics of Stock companies
(Source: Self-created)
The above added figure describes the summary statistics of stock market data along with several respective values. Using Yahoo! Finance dataset, the returns for the five equities from January 1, 2017 to 31.12.2022 were calculated. The returns were computed with the formula (Price at Time T - Price at Time T-1)/Price at Time T-1. The returns were then converted to percentages and calculated with Microsoft Excel. In addition, the risk-free rate was converted to percentages using Microsoft Excel.
Figure 9: Summary Statistics of Stock EWP
(Source: Self-created)
This estimation has been done using the contemplated thoughts the companies data and the associated issues concerning with necessary data. Implementing the excel formulas and the further issues associated with this research contemplating several issues and regarding this context. Using the portfolio optimization utility in Microsoft Excel, the optimal risky portfolio (ORP) was formulated. The expected return for the ORP was calculated as the utmost return for a given risk level, whereas the volatility was calculated as the minimum risk for a given return level. Using the same formulas as for the EWP, the Sharpe Ratio, beta, CAPM-predicted return, alpha, Information Ratio, Treynor Ratio, Unique Risk, and Diversified Risk were calculated.
Indicative Statistics
Statistics Portfolio Weighted Equally Optimal Risky Portfolio
Expected Annual Return of 17.04% 20.82%
Monthly Volatility 21.27% 27.54%
Sharpe Ratio: 0.64 0.64 Beta: 0.82 CAPM: 1.21 Forecast Return 13.88 % 18.03%
Alpha 3.16% 2.79%
0.56 0.43 Information Ratio 20.73 % Treynor Ratio 17.24%
Unique Risk 108.33% 283.76%
Diversified Risk 98.61% 208.67%
Summary Statistics Explanation
Annualized Expected Return This is the average return on a particular investment over a specified time period, expressed on an annualized basis.
Using Microsoft Excel, the report also converts the risk-free rate to a percentage. In addition, the report suggests an optimal capital allocation between the client's risk-free asset and optimal risky portfolio (ORP).
Optimal Capital Allocation:
Using the Capital Allocation Line (CAL), the optimal capital allocation between the risk-free asset and the ORP for the client can be determined. The CAL is a graphical representation of the risk-return trade-off for a portfolio consisting of both a risk-free asset and a hazardous portfolio (NAM et al. 2020). The ORP is the portfolio that maximises the expected return for a given level of risk in this analysis.
Figure 10: Summary statistics of options
(Source: Self-created)
The above added figure illustrates about the calculation of the statistical data of the4 concerning companies. Based on the available data of respective companies the requisite aspects and the other issues regarding to this context the necessary discussion has been elaborated using hedging strategies. Depending upon the formulas and the corresponding issues the analytics has been performed. The investor's risk preference must be taken into account when determining the optimal capital allocation. Assuming the investor is risk-averse, the CAL would be a line with a positive slope, indicating that higher returns are associated with greater risk. The optimal allocation between the risk-free asset and the ORP can be determined by finding the point of tangency between the capital asset pricing model (CAPM) and the efficient frontier, the set of portfolios with the highest expected return for a given stage of risk.
Allocations within the Total Portfolio:
The total portfolio consists of both hazardous and risk-free investments. The dangerous component is the return on investment, while the risk-free component is the investment in a risk-free asset. The investor's preference for risk, expected return, and ORP volatility all influence the weight of the hazardous component (KANNO, 2018).
The optimal allocation between the risk-free asset and the ORP was determined to be 30% in the risk-free asset and 70% in the ORP, assuming an investor's risk preference. The expected returns and associated hazards of individual equities determine their ORP weights. The allocation for each stock is as follows: 25% for AAPL, 5% for MCD, 30% for MSFT, 20% for UNH, and 20% for WMT.
Expected annualised return, volatility, and Sharpe ratio:
The annualised expected return (AER) is computed by weighting the expected returns of each component by their respective weights. The AER for the entire portfolio in this analysis is 13.43%. The annualised volatility (AV) of the entire portfolio is computed using the variance of the portfolio, which is the weighted sum of the variances and covariances of the individual equities. In this analysis, the total portfolio's AV is 19.82% (SUN et al. 2022). The Sharpe Ratio (SR) is a measure of risk-adjusted return that is calculated by dividing the portfolio's excess return over the risk-free rate by the portfolio's volatility. In this analysis, assuming a risk-free interest rate of 1.5%, the portfolio's SR is 0.61. The ORP has an SR of 0.64.
Hedging StrategyIn this section of this report the hedging strategies along with the requisite planning and the correspondences has been discussed and referred through this analysis. In order to mitigate portfolio risk, the report recommends a hedging strategy involving the pricing of an at-the-money (ATM) put option on one of the selected equities. A protective put option is essentially a long position in the underlying stock combined with a put option on the same stock. The strategy is intended to protect against potential downside risk, with the put option offering limited protection against stock price declines (OFORI-BOATENG et al. 2021).
Using the binomial tree method, the report illustrates the comprehensive protective put strategy, including the option profit and loss function, option total profit, stock total profit, and strategy total profit. The analysis demonstrates that the strategy can offer some downside protection, as the put option can bring in a profit if the stock price falls below the strike price. However, the report also discusses the associated dangers with the strategy.
Analysis of Investment and Risk Management
From an investment and risk management standpoint, the protective put strategy is an effective method for mitigating portfolio adverse risk. The strategy is especially useful for risk-averse investors who wish to safeguard their portfolio against potential losses. The put option protects the investor against substantial declines in the stock's price, thereby limiting their potential losses.
However, the investor should be aware of the associated hazards with this strategy. The cost of the put option can reduce the portfolio's prospective return if the stock price does not fall below the strike price (OFORI-BOATENG et al. 2022). This can result in an opportunity cost, in which the investor foregoes prospective stock price gains.
Another risk is that the protective put strategy does not offer complete loss protection. If the stock price falls significantly below the strike price, the put option may not provide sufficient protection, exposing the investor to significant losses.
With this strategy, the client's utmost possible loss is limited to the premium paid for the put option. However, this expense can still have a substantial impact on the returns of the portfolio, especially if the stock price stays below the strike price.
Final CommentaryFrom an active management standpoint, the portfolio suggested in this report offers the client several benefits. The portfolio comprises five companies that are well-diversified across various industries and sectors. This diversification could be contemplated to reduce the overall risk of the portfolio and provide more stable returns over time. Additionally, the portfolio includes a hedging strategy that can provide some protection against prospective losses. The protective put strategy is an effective method of risk management and portfolio protection against significant stock price declines.
According to NING, XU and LONG, (2019),while it is possible to replicate the portfolio using a passive strategy, an active manager has the ability to make informed investment decisions and modify the portfolio's holdings in response to changing market conditions. Additionally, an active manager can provide customised advice and direction based on the client's particular investment objectives and risk tolerance.
ConclusionIn this contrast the concluding statements related on this overall task has been briefly illustrated and the necessary descriptions has been stated. Considering the each of the above mentioned analyse the necessary discussions and the calculations through excel work book has been demonstrated through this analysis. The performance of five distinct equities from January 1, 2017 to December 31, 2022 was analysed in this investment management report. Examined equities included AAPL, MCD, MSFT, UNH, and WMT. Using investment management theories, the report evaluated the performance of each stock and the benchmark market. Using Microsoft Excel, the objective was to compute the corresponding returns in percentage and convert the risk-free rate to a percentage.
The analysis of the stock data revealed that the stocks performed well over the past five years, albeit to varying degrees. In comparison to the other equities, AAPL and MSFT had the most remarkable performance, with returns of 238% and 192%, respectively. UNH stock also performed well, generating a return of 124%. In contrast, the MCD and WMT stock returns were 51% and 38%, respectively.
The benchmark market also performed well over the past five years. The S&P 500 index had a 105% return. The analysis of the data revealed that market factors and company-specific factors such as financial statements, industry trends, and management decisions had a significant impact on the performance of the equities.
The report utilised investment decision-making theories including the efficient market hypothesis (EMH), modern portfolio theory (MPT), and capital asset pricing framework (CAPM) to assess the performance of the stocks. According to the EMH, stock prices reflect all available market data, rendering consistent outperformance of the market impossible. In contrast, the Modern Portfolio Theory (MPT) proposes that investors can optimise their portfolios by diversifying their investments across multiple asset classes and securities in order to reduce risk (SINGH et al. 2022). CAPM provides a framework for estimating the anticipated return on an investment using the risk-free rate, market risk, and asset-specific risk.
Microsoft Excel was used to convert the risk-free rate to a percentage in the report. This benchmark rate is used to evaluate the performance of other investments and signifies the minimal return an investor can expect from a risk-free asset, such as a government bond or treasury bill. Over a five-year period, the risk-free rate was calculated to be 0.5%.
In conclusion, the stock data and reference market analysis revealed a positive performance over the past five years. This report provides a framework for evaluating the performance of equities and optimising investment portfolios based on the investment management theories utilised. The percentage resulting from converting the risk-free rate to a decimal provided a standard for measuring investment performance. This report's findings can enlighten investment decisions and provide investors seeking to optimise their portfolios with valuable insights.
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