Week 3. It will be marked out of 30. Marks will be allocated as indicated in the rubric below. Your total
assignment submission should not exceed 1,500 words, excluding cover sheet and reference list.
Overall, the assignment requires you to conduct a risk and return analysis using historical market data.
Prepare your data prior to performing the risk and return calculations:
Choose one company from Table 1 below. This company will be your case company for this and
Task 1 of the next assessment (Case Study 2).
Table 1: Monthly Data for Case Companies
Boral (BLD) CSL (CSL) Cochlear
(COH) JB HiFi (JBH) MYOB (MYO)
Bega Cheese (BGA)
Monthly returns
Monthly returns
Monthly returns
Monthly returns
Monthly returns
Monthly returns
Sep-17
Oct-17 5.613% 3.710% 10.496% -0.087% 25.727% 7.613%
Nov-17 5.175% 3.174% 2.729% 3.100% -6.933% 4.898%
Dec-17 3.590% -1.423% -5.251% 5.633% 3.725% -6.226%
Jan-18 2.696% 3.623% 1.454% 17.201% -5.801% -2.490%
Feb-18 -0.813% 11.440% 5.860% -8.279% -7.331% -2.695% Source: Returns calculated from historical share prices and dividends from Morningstar DatAnalysis Premium.
For completion of the assessment tasks, you will also need the following data (see Table 2 below):
Table 2: Monthly Data for Reference Company and Market Index
Reference Company
All Ords Accumulated
Monthly returns
Month Closing Index
Sep-17 55459.750
Oct-17 -8.000% 57712.860
Nov-17 -2.000% 58813.500
Dec-17 7.000% 60007.770
Jan-18 -2.000% 59809.190
Feb-18 6.000% 59916.010
Source: Hypothetical reference company data. All Ordinaries Accumulated Index data from S&P https://au.spindices.com/indices/equity/all-ordinaries.
Note: You will NOT submit a spreadsheet, but a written analysis (as Word file) for this assessment.
Assessment 3: Case Study I ACC91210 SP2 2018
2
Tasks for Case Study 1
a) Using the data in the spreadsheet you have downloaded, calculate:
(1) the historical monthly rates of return for the market index only (monthly rates of return for
the companies are given); and
(2) the historical average rate of return and standard deviation of returns for:
i) your case company;
ii) the reference company; and
iii) the market index. (5 marks)
b) Calculate portfolio historical average rate of return and standard deviation assuming a portfolio
of equal weighting for your case company and the reference company (2.5 marks).
c) Use CAPM to estimate the expected return for the shares of: 1) your case company; and 2) the
reference company as at 28 February 2018. To do this, use the yield to maturity on that date of a
10-year Australian Treasury bond as a proxy for the risk-free rate, assume the market risk
premium is 6.6% and use the company’s current beta. Assume that the reference company has a
negative beta of -0.20. (5 marks)
d) Using the data from part c, calculate the portfolio expected return and beta, again assuming
equal weights for the two companies. (2.5 marks)
e) Drawing on expectations from theory and incorporating the overall context of your chosen
company, discuss the risk and return measures you have calculated. (10 marks)
Note: The remaining five (5) marks are allocated to presentation and written expression of the
analysis (see the rubric below).
Assessment 3: Case Study I ACC91210 SP2 2018
3
Marking criteria for calculations TOTAL: 15 marks
MARKING CRITERIA Excellent Very Good Good Poor Very poor
Accurate calculation of historical returns and standard deviation for two companies and index (5 marks)
You have used the correct data and techniques for calculating historical rate of return and standard deviation and final figures presented are correct (5 marks)
You have used the correct data and techniques for calculating historical rate of return and standard deviation but some final figures presented are incorrect (4 to 4.5 marks)
You have used the correct data and mostly correct techniques for calculating historical rate of return and standard deviation but some or all of the final figures presented are incorrect (2.5 to 3.5 marks)
You have not used correct data or correct techniques for calculating historical rate of return and standard deviation (1 to 2 marks)
There is little to no attempt to calculate historical rate of return and standard deviation. Data and techniques are incorrect (0 to 0.5 marks)
Accurate calculation of portfolio historical average rate of return and standard deviation (2.5 marks)
You have used the appropriate input data and correct technique for calculating portfolio historical rate of return and standard deviation and final figures presented are correct (2.5 marks)
You have used the appropriate input data and correct technique for calculating portfolio historical rate of return and standard deviation but some final figures presented are incorrect (2 marks)
You have used the appropriate input data and mostly correct technique for calculating portfolio historical rate of return and standard deviation but some or all final figures presented are incorrect (1.5 marks)
You have not used appropriate input data or the correct technique for calculating portfolio historical rate of return and standard deviation. (1 mark)
There is little to no attempt to calculate portfolio historical rate of return and standard deviation. Data and techniques are incorrect (0 to 0.5 marks)
Accurate calculation of expected returns for two companies (5 marks)
You have sourced and used all the correct input data to calculate expected return. You have used the correct technique to calculate expected return and presented correct final expected return figures (5 marks).
You have sourced and used all the correct input data to calculate expected return. You have used the correct technique to calculate expected return but presented some incorrect final expected return figures (4 to 4.5 marks).
You have sourced and used mostly correct input data to calculate expected return. You have mostly used the correct technique to calculate expected return but some or all final expected return figures are incorrect (2.5 to 3.5 marks).
You have not sourced and used correct input data to calculate expected return or you have not used the correct technique to calculate expected return (1 to 2 marks).
There is little or no attempt to calculate expected return. Data and techniques are incorrect (0 to 0.5 marks)
Accurate calculation of portfolio expected return and beta (2.5 marks)
You have used the appropriate input data and correct technique for calculating portfolio expected return and beta and final figures presented are correct (2.5 marks)
You have used the appropriate input data and correct technique for calculating portfolio expected return and beta but some final figures presented are incorrect (2 marks)
You have used mostly appropriate input data and mostly correct technique for calculating portfolio expected return and beta but some or all final figures presented are incorrect (1.5 marks)
You have not used appropriate input data or correct technique for calculating portfolio expected return and beta (1 marks)
There is little or no attempt to calculate portfolio expected return and beta. Data and techniques are incorrect (0 to 0.5 marks)
Assessment 3: Case Study I ACC91210 SP2 2018
4
Marking criteria for written & structural component TOTAL: 15 marks
MARKING CRITERIA Excellent Very Good Good Poor Very poor
Insightful and relevant discussion of risk and return demonstrated in the quantitative analysis (10 marks)
You have accurately and comprehensively interpreted each calculated risk and return measure. You have compared appropriate measures and explained differences, drawing on relevant theory. You have accurately woven relevant context (e.g. company industry, market conditions) into your explanations. You have used and explained important technical terms. (9 to 10 marks)
You have accurately interpreted nearly all calculated risk and return measures. You have compared appropriate measures and explained differences, drawing on relevant theory. You have woven relevant context into your explanations. You have used and explained most important technical terms. (7.5 to 8.5 marks)
You have interpreted most calculated risk and return measures. You have compared appropriate measures and explained some differences, drawing on relevant theory. You have included some relevant context in your discussion. You have used and explained some technical terms. (5 to 7 marks)
You have interpreted some calculated risk and return measures. You have compared appropriate measures and summarised some differences. You have used and explained some technical terms. (2.5 to 4.5 marks)
While an explanation of technical terms may have been attempted, there is little or no interpretation or comparison of risk and return measures. (0 to 2 marks)
Presentation and written expression (5 marks)
Overall presentation is well designed and professional. Data sources are provided in appropriate format and detail, as are other references as needed. Use of language makes meaning consistently clear. There are no or very few grammar, syntax and spelling errors. (5 marks)
Overall presentation is professional. Data sources and other references are provided, mostly in appropriate format and detail. Use of language makes meaning consistently clear. There are very few grammar, syntax and spelling errors. (4 to 4.5 marks)
Overall presentation is generally professional. Data sources are provided and other references are provided. Use of language mostly makes meaning clear. There may be several grammar, syntax and spelling errors. (2.5 to 3.5 marks)
Overall presentation is generally unprofessional. Data sources are not provided in appropriate format and detail. Use of language often makes meaning unclear. There are several grammar, syntax and spelling errors. (1 to 2 marks)
Overall presentation is unprofessional. Data sources are not provided. Use of language mostly makes meaning unclear. There are many grammar, syntax and spelling errors. (0.5 to 0 marks)