QING Xin Answer

EFN 412
Assignment
Xin QING
N10065148
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According to the requirement of these assignment, I have searched four companies
which are Bendigo and Adelaide Bank Limited (BEN.AX), Technology One Limited
(TNE.AX), Qantas Airways Limited (QAN.AX) and Super Retail Group Limited
(SUL.AX) on Yahoo finance website. The data range is from December 31, 2013 to
December 31, 2018. I also download the data of ASX 200 which could be used in this
project.
In part A, I have already calculated mean return, standard deviation

variance/covariance matrix and sharpe ratio.
The mean return of BEN.AX is 0.02593, TNE.AX is 0.10045, QAN.AX is 0.15234

and SUL.AX is -0.01254. The standard deviation of BEN.AX is 0.03796, TNE.AX is
0.04987, QAN.AX is 0.05547 and SUL.AX is 0.05460.
The mean return of ASX 200 is 0.00750 and standard deviation is 0.02274. Also, the
mean return of the equally weighted portfolio is 0.02892 and standard deviation is
0.03101.
Figure 1 Covariance Matrix

From figure 1, it has shown covariance of the combination of each two companies
including ASX 200 and the equally weighted portfolio.
Figure 2 Sharpe Ratio

According to figure 2, this table shows sharpe ratio of each company. The formula of
sharpe ratio is sharpe ratio = (mean return – risk free rate)/standard deviation.
Figure 3 CML
I also construct the CML based on the market portfolio and risk-free rate. The point of
the Portfolio is 1.10289 and the point of ASX 200 is 0.80860.
The CAPM could be expressed by the following equation:
Er – Rf = β (Rm-Rf)
where:
Rf = the rate of return for a risk-free security
Rm = the broad market's expected rate of return
β = beta of the asset
Part b
Figure 4
In figure 4, the weight of BEN.AX is 0.3257 and SUL.AX is 0.6743. TNE.AX and
QAN.AX are 0.
In part C, I have done some regression analyses.
Figure 5 BEN.AX Regression (FF model)

For example, I show the regression of BEN.AX (FF model). The R Square of Fama-
French three factors model for BEN.AX shares is 0.44262. which means that 44.26%
of BEN.AX’s daily returns are explained by the three factors. The Beta of BEN.AX
stock for market factor found in the Fama-French three factors model is 1.8789E-160.
The Beta of BEN.AX stock for value factor i.e. that Beta Coefficient of HML is
0.014441709. The Beta of BEN.AX stock for size factor i.e. that Beta Coefficient of
SMB is 0.313404958. This shows that the expected return has the liner relationship
with the market expected return.
I also done the regression between BEN.AX & ASX 200, TNE.AX & ASX 200,
QAN.AX & ASX 200, SUL.AX & ASX 200, the Portfolio & ASX 200. The
regressions using Fama-French three factors model are BEN.AX, TNE.AX,
QAN.AX, SUL.AX and the equally weighted Portfolio. The results are shown in the
excel.
In part D, I compare these four companies.
BEN.AX TNE.AX QAN.AX SUL.AX

PE ratio 13.78 53.98 10.69 13.05
EPS 0.75 0.16 0.52 0.64
Forward 0.70 0.09 0.24 0.43
Dividend
Ex-dividend 2019-03-01 2018-11-29 2019-03-04 2019-02-22
date
Figure 6
According to figure 6, the biggest PE ratio is 53.98, which is owned by TNE.AX. The
largest EPS is 0.75, which is owned by BEN.AX. The largest forward dividend is 0.43
in SUL.AX. The ex-dividend date of BEN.AX is 01/03/2019, TNE.AX is 29/11/2018,
QAN.AX is 04/03/2019 and SUL.AX is 22/02/2019.
Balance Sheet
BEN.AX TNE.AX QAN.AX SUL.AX
Total current 6415900 197019 3712000 5913000
assets
Total assets 71439800 281088 18647000 1762600
Total current 60431000 97184 7596000 427400
liabilities
Total 6589500 101569 14688000 963400
liabilities
Figure 7 Balance Sheet
The biggest total asset is 71439800, which is owned by BEN.AX. In contract, the
largest total liability is 14688000 in QAN.AX which means this company has much
more risk to investment. Also, the largest total current asset is 6415900 and the largest
total current liability is 60431000, also in BEN.AX.
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EFN 412

In part A, I have already calculated mean return, standard deviation

The mean return of BEN.AX is 0.02593, TNE.AX is 0.10045, QAN.AX is 0.15234

Figure 1 Covariance Matrix

Figure 2 Sharpe Ratio

Figure 5 BEN.AX Regression (FF model)

In part D, I compare these four companies.

BEN.AX TNE.AX QAN.AX SUL.AX

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