FINM2003 Study Guide - Final Guide: Sharpe Ratio, Westpac, Modern Portfolio Theory
Mean Standard
Excess Return Deviation
WOW 0.018107302 0.175660095
FLT 0.197027768 0.307784282
ABP 0.172309422 0.192685992
WBC (Westpac) 0.108543159 0.203028234
SEK (Seek Limited) 0.244843048 0.295132982
XRO (Xero Limited) 0.232141217 0.54676026
AMC (Amcor) 0.174094573 0.166547742
CTX 0.170001115 0.218469087
AGL 0.149766537 0.157577381
ANN 0.116233314
0.23989486
Correlation matrix WOW FLT ABP WBC (Westpac)
WOW
10.274477242 0.280647737 0.580849851
FLT 0.274477242 1 0.037112802 0.081612934
ABP 0.280647737 0.037112802 1 0.269563349
WBC (Westpac) 0.580849851 0.081612934 0.269563349 1
SEK (Seek Limited) 0.512671621 0.35319915
0.344325276 0.477333534
XRO (Xero Limited) -0.035363366 0.200443738 -0.118765978 0.16235663
AMC (Amcor) 0.128337448 0.010541616 0.244220984 0.268081592
CTX 0.264774934 0.213296323 0.325277054 0.156664287
AGL 0.413351521 0.078935484 0.346443816 0.480049241
ANN -0.00732459 -0.017437623 -0.043534968 0.191365774
average 0.379971887 0.249957699 0.303202782 0.386279046
WOW FLT ABP WBC (Westpac)
WOW 0.030856469 0.014839726 0.009499151 0.020715405
FLT 0.014839726 0.094731164 0.002201001 0.005099902
ABP 0.009499151 0.002201001 0.037127892 0.010545506
WBC (Westpac) 0.020715405 0.005099902 0.010545506 0.041220464
SEK (Seek Limited) 0.02657848 0.108709147 0.019581087 0.028601982
XRO (Xero Limited) -0.003396438 0.033731517 -0.012512357 0.018022847
AMC (Amcor) 0.003754614 0.000540371 0.007837397 0.009064883
CTX 0.010161082 0.014342333 0.013692841 0.006948906
AGL 0.011441594 0.003828358 0.010519058 0.015358051
ANN -0.000308658 -0.001287522 -0.002012377 0.009320552
WOW FLT ABP WBC (Westpac)
Weights 0.100 0.100 0.100 0.100
0.100 0.000308565 0.000148397 9.49915E-05 0.000207154
0.100 0.000148397 0.000947312 2.09076E-08 5.0999E-05
0.100 9.49915E-05 2.201E-05 0.000371279 0.000105455
0.100 0.000207154 5.0999E-05 0.000105455 0.000412205
Efficient Frontier for 10 companies
Covariance Matrix
Bordered Covariance Matrix for Target Return Portfolio (Equal weighted portfolio)
0.100 0.000265785 0.001087091 0.000195811 0.00028602
0.100 -3.39644E-05 0.000337315 -0.000125124 0.000180228
0.100 3.75461E-05 5.40371E-06 7.8374E-05 9.06488E-05
0.100 0.000101611 0.000143423 0.000136928 6.94891E-05
0.100 0.000114416 3.82836E-05 0.000105191 0.000153581
0.100 -3.08658E-06 -1.28752E-05 -2.01238E-05 9.32055E-05
1.000 0.001241414 0.00276736 0.000942803 0.001648985
Portfolio Variance 0.018635073
Portfolio Standard Deviation 0.136510339
Portfolio Mean 0.16
Sharpe Ratio 1.159668542
WOW FLT ABP WBC (Westpac)
Weights 0.000 0.109 0.161 0.000
0.000 0 0 0 0
0.109 0 0.001124548 0 0
0.161 0 3.85442E-05 0.000959165 0
0.000 0 0 0 0
0.000 0 0 0 0
0.033 0 0.000121011 -6.62186E-05 0
0.308 0 1.81056E-05 0.000387388 0
0.070 0 0.000108607 0.000152962 0
0.300 0 0.000125082 0.000507007 0
0.020 0 -2.87438E-06 -6.62755E-06 0
1.000 0 0.001533023 0.001933675 0
Portfolio Variance 0.011949025
Portfolio Standard Deviation 0.109311594
Portfolio Mean 0.17
Sharpe Ratio 1.550175104
WOW FLT ABP WBC (Westpac)
Weights 0.142 0.067 0.125 0.000
0.142 0.0006246 0.000140815 0.000169377 0
0.067 0.000140815 0.000421388 2.48639E-08 0
0.125 0.000169377 1.83974E-05 0.000583155 0
0.000 0 0 0 0
0.000 0 0 0 0
0.017 -8.40128E-06 3.91133E-05 -2.72631E-05 0
0.221 0.00011781 7.94836E-06 0.000216623 0
0.049 7.1103E-05 4.70473E-05 8.44024E-05 0
0.274 0.00044596 6.99501E-05 0.00036116 0
0.105 -4.59504E-06 -8.98532E-06 -2.63897E-05 0
1.000 0.001556669 0.000735675 0.001361089 0
Portfolio Variance 0.010965826
Portfolio Standard Deviation 0.104717839
Portfolio Mean 0.14
Sharpe Ratio 1.349301611
Bordered Covariance Matrix for Target Return Portfolio (Minimum Variance Portfolio Weights)
Bordered Covariance Matrix for Target Return Portfolio (Optimal Risky portfolio Weights)
Portfolio Frontier weights
St. Dev Mean WOW FLT ABP
0.172300134 0.02 0.981 0.000 0.000
0.138956783 0.05 0.710 0.000 0.016
0.120803104 0.08 0.517 0.000 0.056
0.109070731 0.11 0.335 0.031 0.101
0.104716531 0.14 0.151 0.067 0.127
0.109677907 0.17 0.000 0.110 0.162
0.154605672 0.2 0.000 0.000 0.192
0.22980484 0.23 0.000 0.000 0.016
0.295132974 0.24 0.000 0.000 0.000
Standard Mean
Deviation Excess Return
WOW 0.175660095
0.018107302
FLT 0.307784282 0.197027768
ABP 0.192685992 0.172309422
WBC 0.203028234 0.108543159
SEK 0.295132982 0.244843048
XRO 0.54676026 0.232141217
AMC 0.166547742 0.174094573
CTX 0.218469087 0.170001115
AGL 0.157577381 0.149766537
ANN 0.23989486 0.116233314
ORP 0.109311594 0.169452111
mvp 0.104710903 0.141295949
