Portfolio Analysis

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Course Code

Dated
 PRE COVID 30 JAN 2019 - 29 JAN 2020
INDUSTRY P/F ALL CWN FLT KME SGR RIO BLD BSL FMG NCM
Mean 0.0001863 0.00154 -0.00018 -0.00042 0.00249 -0.00032 0.00073 0.00010 0.00067 0.00356 0.00114
Standard Error 0.0000820 0.00096 0.00105 0.00122 0.00162 0.00113 0.00095 0.00140 0.00132 0.00165 0.00110
Median 0.0001399 0.00135 0.00083 0.00077 0.00000 0.00000 0.00235 0.00206 0.00081 0.00484 0.00122
Standard Deviation 0.0002592 0.01526 0.01668 0.01942 0.02572 0.01791 0.01509 0.02222 0.02093 0.02625 0.01755
Sample Variance 0.0000001 0.00023 0.00028 0.00038 0.00066 0.00032 0.00023 0.00049 0.00044 0.00069 0.00031
Kurtosis 0.3883233 1.82341 57.45417 12.84103 4.16670 33.30532 0.91669 46.60466 1.46736 0.98138 0.75131
Skewness 1.0040110 0.55220 3.90656 -2.09031 0.86392 -3.16218 -0.62823 -4.77954 0.00620 -0.31080 0.15089
Range 0.0007958 0.10620 0.27514 0.19747 0.21580 0.22830 0.09291 0.29446 0.16142 0.16295 0.11859
Minimum -0.0000848 -0.03771 -0.09552 -0.12466 -0.07696 -0.17130 -0.04876 -0.23023 -0.08731 -0.08701 -0.04913
Maximum 0.0007111 0.06849 0.17962 0.07280 0.13884 0.05700 0.04414 0.06423 0.07411 0.07593 0.06946

DURING COVID 30 JAN 2019 - 29 JAN 2020

INDUSTRY P/F ALL CWN FLT KME SGR RIO BLD BSL FMG NCM
Mean -0.000293 -0.00350 -0.00195 -0.01165 -0.00605 -0.00357 -0.00112 -0.00574 -0.00305 0.00152 0.00105
Standard Error 0.000269 0.00575 0.00392 0.00778 0.00675 0.00638 0.00285 0.00602 0.00505 0.00451 0.00155
Median -0.000224 -0.00080 0.00000 0.00000 0.00000 0.00000 -0.00310 -0.00388 -0.00286 0.00216 0.00163
Standard Deviation 0.000601 0.05235 0.03567 0.07085 0.06149 0.05812 0.02596 0.05480 0.04604 0.04111 0.01413
Sample Variance 0.000000 0.00274 0.00127 0.00502 0.00378 0.00338 0.00067 0.00300 0.00212 0.00169 0.00020
Kurtosis -0.968676 6.06467 3.03878 11.01704 4.05385 6.74123 0.52752 2.77984 1.80197 1.08334 0.26143
Skewness -0.601739 -0.53134 -0.37979 -2.08800 -0.77279 -1.21402 0.11613 -0.54275 -0.58954 -0.21713 0.00131
Range 0.001451 0.42787 0.22379 0.54569 0.43355 0.45937 0.13298 0.35152 0.25732 0.23427 0.07615
Minimum -0.001147 -0.22709 -0.12006 -0.40097 -0.27103 -0.26885 -0.06635 -0.20169 -0.15490 -0.11233 -0.03889
Maximum 0.000304 0.20078 0.10373 0.14471 0.16252 0.19052 0.06663 0.14984 0.10242 0.12195 0.03726

POST COVID FROM 01 JUNE

INDUSTRY P/F ALL CWN FLT KME SGR RIO BLD BSL FMG NCM
Mean 0.000329 0.00124 0.00003 0.00127 0.002685 0.00146 0.00131 0.00308 0.00305 0.00346 -0.00113
Standard Error 0.000092 0.00181 0.00169 0.00317 0.003183 0.00208 0.00126 0.00170 0.00196 0.00200 0.00150
Median 0.000277 0.00000 0.00109 -0.00321 0 0.00000 0.00000 0.00209 0.00345 0.00290 -0.00225
Standard Deviation 0.000292 0.02221 0.02071 0.03894 0.039115 0.02557 0.01546 0.02091 0.02409 0.02458 0.01847
Sample Variance 0.000000 0.00049 0.00043 0.00152 0.00153 0.00065 0.00024 0.00044 0.00058 0.00060 0.00034
Kurtosis -0.183480 0.92121 1.72403 0.76226 1.406801 0.42957 1.34264 1.45633 1.91886 4.17677 0.78458
Skewness -0.580475 0.53439 -0.39893 0.12845 0.493134 0.28558 0.60325 0.16887 0.53246 0.51644 0.04976
Range 0.000918 0.13476 0.13854 0.24644 0.239705 0.13764 0.10076 0.13965 0.16187 0.20460 0.11845
Minimum -0.000226 -0.05345 -0.08590 -0.11681 -0.09531 -0.06657 -0.03434 -0.07431 -0.05874 -0.07995 -0.06301
Maximum 0.000692 0.08131 0.05264 0.12963 0.144395 0.07107 0.06642 0.06534 0.10313 0.12465 0.05544
 5.1 Present descriptive statistics of returns and risk measures for the pre-COVID, COVID
and post-COVID periods for individual companies and for weighted average industry
portfolio. Provide a comparison. (10 marks)

As shown in the figure below the mean returns for each company fell down considerably post
covid. The largest fall was seen for the companies including CWN, FLT, SGR, BLD and
BSL. The weighted average industry had also experienced a fall in returns post-covid as
compared to the pre-covid. It means that the pre-covid returns of the companies were not that
worse, however after covid the returns of almost all of the companies fell down sharply
including the weighted average industry portfolio.
 Figure 1: Average Returns of the Companies (Pre & Post Covid)
Moving to the medians of the companies, let’s see the changes in the medians of each firm.
 Figure 2: Average Medians of the Companies (Pre & Post Covid)
The figure 2 shows that the average median returns of the companies also fell sharply for
almost all of the companies except for NCM as it improved in post-covid as compared to the
pre-covid median returns. The sharpest decline was in KME, SGR, RIO and BSL. The
standard deviation of the individual returns show that the volatility has increased from pre
covid times to post covid times for all of the stocks. Thereby indicating that the variation is
strong in post covid times and the investors can expect volatile returns.

5.2 Present the regression results for the single index model and Fama-French 3 factor
model for individual companies and for weighted average industry portfolio with a
concise interpretation. (15 marks)

The interpretations of the single index model for each individual company and weighted
average industry portfolio is given below;

Model Alpha Coefficie p-value R- Interpretation

nt of of Square
 Market market
Return return
or Beta or beta
ALL 0.000124 0.236828 0.289618 0.003367 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
CWN -0.00062 -0.04137 0.813278 0.000168 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
FLT -0.00342 0.257614 0.391345 0.002207 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
KME 0.000555 -0.30255 0.297777 0.003255 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
SGR -0.00118 0.155642 0.534998 0.001157 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
RIO 0.000142 -0.00126 0.992825 2.43E-07 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
BLD -0.00123 -0.1894 0.459221 0.001646 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
BSL -0.00013 -0.15477 0.489169 0.001438 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
FMG 0.002758 0.108854 0.639406 0.00066 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
NCM 0.001163 -0.20522 0.107486 0.007762 Single Index Model does not hold true
p-value of market return is more than
0.05 and the value of R-Square is very
low.
The interpretations for Fama-French model are shown in the table below;

Model Alpha RM-RF SMB HML p-value p-value p-value R-Square Interpretation
of RM- of SMB of HML
RF
ALL -0.00696 -0.06598 -0.85908 -0.18169 0.766251 1.87E-07 0.44309 0.08539 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
CWN -0.00781 -0.2158 -0.48928 -0.19209 0.224155 0.000175 0.310362 0.046462 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
FLT -0.01074 0.288307 0.106226 -0.33658 0.353983 0.6386 0.310551 0.005792 Fama French 3 factor model does not hold
true p-value of RM-RF, HML and SMB is
more than 0.05 and the value of R-Square is
very low.
KME -0.00678 -0.25262 0.146672 -0.09603 0.401226 0.502812 0.764765 0.004783 Fama French 3 factor model does not hold
true p-value of RM-RF, HML and SMB is
more than 0.05 and the value of R-Square is
very low.
SGR -0.00832 -0.11722 -0.7642 -0.32788 0.642716 4.04E-05 0.224358 0.057053 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
RIO -0.007 -0.14471 -0.4203 0.146723 0.305617 5.28E-05 0.330247 0.049528 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
BLD -0.00843 -0.24452 -0.17288 0.237282 0.355793 0.369478 0.400933 0.005888 Fama French 3 factor model does not hold
true p-value of RM-RF, HML and SMB is
more than 0.05 and the value of R-Square is
very low.
BSL -0.0072 -0.43922 -0.826 0.149335 0.049867 6.07E-07 0.530944 0.074048 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
FMG -0.00429 -0.15994 -0.78306 0.205453 0.493229 5.6E-06 0.409492 0.061764 Fama French 3 factor model does not hold
true p-value of RM-RF, HML is more than
0.05 and the value of R-Square is very low.
NCM -0.00609 -0.21093 -0.02364 0.139177 0.109993 0.805122 0.322394 0.010812 Fama French 3 factor model does not hold
true p-value of RM-RF, HML and SMB is
more than 0.05 and the value of R-Square is
very low.