Prices NameS&P/ASX 50 Indexa2 Milk Co Ltd/TheAGL Energy LtdAmpol LtdAristocrat Leisure LtdAmcor PLC Step 1: Calculate daily log returns (ignore non trading days) Step 2: Evaluate the statistics...

Please read carefully the project file details. It has all the important information regarding the assignment. The page limit is 5pages for the assignment which does not inclues cover page and references. The main part and the appendix is included in the page limit. The Excel file has to be submitted separately. I have attached some.of the example files and hints that my faculty has provided.


Prices NameS&P/ASX 50 Indexa2 Milk Co Ltd/TheAGL Energy LtdAmpol LtdAristocrat Leisure LtdAmcor PLCStep 1: Calculate daily log returns (ignore non trading days)Step 2: Evaluate the statistics CodeASX50A2MAGLALDALLAMCASX50A2MAGLALDALLAMC DatesDatesASX50A2MAGLALDALLAMC 1/1/191/1/19daily SD0.5558%2.1331%1.1746%1.5406%1.7578%0.6787% 1/2/195483.110.420.325.1721.0613.271/2/19daily mean0.1742%0.4422%0.1146%0.0664%0.2487%0.2430% 1/3/195560.110.520.3825.3921.413.281/3/190.01394545930.0095694510.00393314170.00870258660.01601541530.0007532957annulised SD8.8230%33.8626%18.6467%24.4565%27.9045%10.7741% 1/4/195557.910.120.6525.7121.513.181/4/19-0.0003957546-0.03883983330.01316129160.01252462560.0046620131-0.007558615annulised mean43.8965%111.4309%28.8817%16.7263%62.6719%61.2286% 1/5/191/5/19 1/6/191/6/19 1/7/195606.710.4820.6925.8921.9113.371/7/190.00874197210.0369332550.00193517240.00697677250.01889021850.014312862Correlation (You may use the correlation function in data analysis tool pack) 1/8/195643.610.5120.8726.2622.6213.191/8/190.00655984860.0028585060.00866222930.01419007510.0318913171-0.0135544244ASX50A2MAGLALDALLAMC 1/9/195693.510.820.8826.3423.2613.251/9/190.00880301350.02721894920.00047904190.00304182740.02790067640.0045385857ASX5010.06379374650.0872795020.09035950590.36456027470.1232318107 1/10/19571510.821.0226.5123.0913.351/10/190.00376912400.00668260240.006433324-0.00733552370.0075188324A2M0.06379374651-0.4465182098-0.13793916770.16417395640.1884730738 1/11/195695.810.7121.1626.6123.2513.351/11/19-0.0033652361-0.00836824970.00663824150.00376506470.00690550870AGL0.087279502-0.446518209810.11079964110.20685782230.025312158 1/12/191/12/19ALD0.0903595059-0.13793916770.11079964111-0.06182874350.0137843714 1/13/191/13/19ALL0.36456027470.16417395640.2068578223-0.061828743510.1165066378 1/14/195694.610.7921.226.5123.0813.41/14/19-0.00021070380.00744189480.0018885747-0.0037650647-0.00733869040.0037383221AMC0.12323181070.18847307380.0253121580.01378437140.11650663781 1/15/195734.5911.2121.2626.2723.3613.361/15/190.00699789980.03818645780.0028261912-0.00909441660.0120587163-0.0029895388 1/16/195753.411.4221.1226.4523.913.41/16/190.00327472720.0185599671-0.00660691410.00682855460.0228533010.0029895388Var-Cov Matrix (By border matrix method) 1/17/195765.611.8420.726.423.5313.361/17/190.00211824020.0361174252-0.0200867586-0.0018921482-0.0156022562-0.0029895388ASX50A2MAGLALDALLAMC 1/18/195789.211.7520.926.2823.5613.391/18/190.0040848882-0.00763038890.0096154587-0.00455581650.0012741560.00224299168.8230%33.8626%18.6467%24.4565%27.9045%10.7741% 1/19/191/19/19ASX508.8230%0.00778454220.0019059670.00143591930.0019497780.00897554120.0011714453 1/20/191/20/19A2M33.8626%0.0019059670.1146677955-0.0281942893-0.01142360350.01551314170.0068762665 1/21/195798.611.7520.9526.8624.3113.441/21/190.001622396300.00238948740.02182999750.03133742950.0037271754AGL18.6467%0.0014359193-0.02819428930.03476982380.00505282650.01076336220.0005085259 1/22/19576011.8120.8926.5824.6413.51/22/19-0.00667903440.0050933896-0.0028680708-0.01047913780.01348335030.0044543503ALD24.4565%0.001949778-0.01142360350.00505282650.0598121725-0.00421949010.0003632155 1/23/195749.211.7921.0626.3324.2113.51/23/19-0.00187676-0.00169491570.0081049311-0.0094500798-0.01760536770ALL27.9045%0.00897554120.01551314170.0107633622-0.00421949010.07786629760.0035027415 1/24/195776.411.721.4426.6624.3913.621/24/190.0047199366-0.00766287270.01788282950.01245534120.00740744130.0088496153AMC10.7741%0.00117144530.00687626650.00050852590.00036321550.00350274150.0116082113 1/25/195815.111.6621.6626.7124.613.681/25/190.0066773315-0.00342466090.01020890540.00187371240.00857323070.0043956115 1/26/191/26/19risk-free rate0.50% 1/27/191/27/19 1/28/191/28/19Global Minimum Variance Portfolio 1/29/195786.311.6221.5826.6524.2113.581/29/19-0.0049649282-0.0034364295-0.0037002817-0.0022488765-0.015980672-0.00733679011-vectorRelative WeightsWeights 1/30/195807.811.5821.6326.9524.1613.541/30/190.0037087872-0.00344827930.00231428010.0111941467-0.0020673979-0.00294985461A2M14.42529658230.1001451208 1/31/195768.812.0821.4226.8424.6313.651/31/19-0.0067377550.0422717204-0.0097561749-0.00408998530.01926683910.00809125411AGL36.25613928090.2517019616 2/1/195767.212.2121.5627.1824.4113.792/1/19-0.00027739250.01070409560.0065146810.0125880966-0.00897232770.01020417021ALD16.13135250980.1119891183 2/2/192/2/191ALL2.46795266710.0171333335 2/3/192/3/191AMC74.76318715410.5190304659 2/4/195795.812.0921.827.9224.513.852/4/190.0049468232-0.00987662350.01107022380.02686186920.00368023310.0043415408 2/5/195925.212.1721.9827.6424.713.862/5/190.02208092440.00659524240.0082229792-0.0100792790.00813012610.0007217611Portfolio Variance0.0069423266 2/6/195936.912.4322.1627.5725.6314.062/6/190.00197266990.02113899850.0081559129-0.00253577390.03696029670.0143268926Portfolio SD8.33% 2/7/196005.812.5421.127.4725.314.262/7/190.01153855740.0088106297-0.0490158214-0.0036337249-0.01295914460.0141245286Portfolio Mean53.16% 2/8/195990.612.4721.3527.2924.614.292/8/19-0.0025340949-0.00559777550.0117786992-0.0065741654-0.02805795280.002101577Sharpe Ratio6.32 2/9/192/9/19 2/10/192/10/19Optimum portfolio 2/11/195977.712.8421.3727.2324.4914.562/11/19-0.00215569550.02923953860.0009363297-0.002201028-0.0044815720.0187180508mu_i-r_f vectorRelative WeightsWeights 2/12/195989.712.7821.8227.6724.9414.632/12/190.0020054488-0.00468384930.02083891110.01602948710.01820806930.0047961723110.9309%A2M10.81725088890.1426198542 2/13/195963.51321.8527.525.4214.82/13/19-0.00438377040.01706790850.0013739411-0.00616278910.01906332550.011552965728.3817%AGL15.2047947720.2004673495 2/14/195957.512.7421.8127.7925.0114.662/14/19-0.001006627-0.0202027073-0.00183234130.0104902391-0.0162605209-0.009504484316.2263%ALD3.35818501390.0442759313 2/15/19596412.2522.0528.0624.7614.742/15/190.0010904669-0.03922071320.01094402170.0096688309-0.01004629710.005442190362.1719%ALL1.90501909770.0251166908 2/16/192/16/1960.7286%AMC44.56148942130.5875201742 2/17/192/17/19 2/18/195991.412.6822.0428.2324.8114.742/18/190.00458371080.034500012-0.00045361760.00604016760.00201734990Portfolio Variance0.0078407868 2/19/196014.912.3422.0628.2524.8714.852/19/190.0039146165-0.02717993050.00090702950.00070821530.00241546010.0074349785Portfolio SD8.85% 2/20/195999.313.6421.3127.824.6414.852/20/19-0.00259692840.1001606339-0.0345895677-0.0160574369-0.00929111910Portfolio Mean59.97% 2/21/196048.414.121.3827.6725.59152/21/190.00815097850.0331681450.0032794595-0.00468722690.03783051150.0100503359Sharpe Ratio6.72 2/22/196068.913.9321.5327.0425.9314.912/22/190.0033835953-0.01213000960.0069914058-0.02303154260.0131989494-0.0060180723 2/23/192/23/19Efficient Frontier 2/24/192/24/19W_GMVW_OptSDMean 2/25/19608514.0521.4127.6125.6915.032/25/190.00264935690.008577608-0.00558920880.0208607748-0.00929878840.008016075-100%200%0.10264583460.667843388 2/26/196025.414.1121.3328.925.0515.022/26/19-0.00984285920.0042613701-0.00374357010.0456635692-0.0252279836-0.0006655574-90%190%0.10092456540.6610288605 2/27/196046.613.9821.2928.825.1914.952/27/190.0035122634-0.0092560291-0.0018770536-0.0034662080.0055732628-0.0046713465-80%180%0.09926397950.654214333 2/28/196070.613.7721.2128.624.6215.052/28/190.0039613164-0.0151354241-0.0037647103-0.0069686693-0.02288796960.0066666914-70%170%0.09766717240.6473998055 3/1/196094.213.8521.3827.2225.1814.953/1/190.00388005220.00579291990.007983137-0.04945472060.0224909079-0.0066666914-60%160%0.09613732210.640585278 3/2/193/2/19-50%150%0.09467767450.6337707505 3/3/193/3/19-40%140%0.09329152480.626956223 3/4/196112.314.0721.1527.425.2214.753/4/190.00296563520.0157596385-0.01081600010.00659101620.0015873019-0.0134682171-30%130%0.09198219580.6201416955 3/5/196100.614.2721.4527.5824.8414.753/5/19-0.00191600740.01411456040.01408473990.006547859-0.01518207350-20%120%0.09075301260.613327168 3/6/196147.414.1621.6328.2424.4314.783/6/190.0076421012-0.00773834320.00835659460.0236485403-0.01664337180.0020318327-10%110%0.08960727350.6065126405 3/7/196167.314.0521.972824.8314.933/7/190.0032319126-0.00779869250.0155966464-0.00853490240.01624071430.0100976960%100%0.08854821750.599698113 3/8/19610714.0421.9327.6624.1414.93/8/19-0.0098254866-0.0007119972-0.001822324-0.0122171839-0.0281823839-0.002011398610%90%0.08757898940.5928835855 3/9/193/9/1920%80%0.08670260180.586069058 3/10/193/10/1930%70%0.08592189550.5792545305 3/11/196081.513.8721.7927.5923.6514.83/11/19-0.0041842782-0.0121821643-0.0064044135-0.002533938-0.0205071007-0.006734032240%60%0.08523949970.572440003 3/12/196075.213.7921.8327.3523.1414.893/12/19-0.0010364656-0.00578454250.0018340216-0.0087368594-0.02180039320.006062665950%50%0.08465779160.5656254755 3/13/196065.813.7621.9727.3322.9214.83/13/19-0.0015484724-0.00217785930.0063927158-0.0007315289-0.0095528299-0.006062665960%40%0.08417885880.558810948 3/14/196078.513.7221.7827.3522.9414.833/14/190.0020915169-0.0029112102-0.00868576890.00073152890.00087221990.002024975470%30%0.08380446320.5519964205 3/15/196073.313.422.0827.7923.1914.853/15/19-0.0008558403-0.02359991530.01368010390.01595971490.01083903960.001347709180%20%0.08353601050.545181893 3/16/193/16/1990%10%0.08337452390.5383673655 3/17/193/17/19100%0%0.08332062550.531552838 3/18/196089.913.3221.8628.5523.6214.823/18/190.0027295466-0.0059880418-0.01001373870.02698069230.0183726595-0.0020222454110%-10%0.08337452390.5247383105 3/19/196085.613.1521.9327.5424.6314.823/19/19-0.0007063365-0.01284490650.0031970797-0.03601744280.04187140140120%-20%0.08353601050.517923783 3/20/196068.313.1122.1526.6124.2214.963/20/19-0.0028468248-0.00304646080.0099819341-0.0343524083-0.0167864740.0094023527130%-30%0.08380446320.5111092555 3/21/196074.813.3421.9826.5324.4114.993/21/190.00107056690.0173917427-0.0077045475-0.00301091680.00781414630.0020033396140%-40%0.08417885880.504294728 3/22/19611013.4122.0426.4924.8215.193/22/190.00577770630.00523365680.0027260353-0.00150886490.01665689540.0132540045150%-50%0.08465779160.4974802006 3/23/193/23/19160%-60%0.08523949970.4906656731 3/24/193/24/19170%-70%0.08592189550.4838511456 3/25/196052.613.3421.7425.9824.3715.213/25/19-0.0094388414-0.0052336568-0.0137051026-0.019440292-0.01829691210.0013157897180%-80%0.08670260180.4770366181 3/26/196048.513.4421.9225.8424.6315.213/26/19-0.00067762440.00746829460.0082455804-0.00540333230.01061234450190%-90%0.08757898940.4702220906 3/27/19605613.4821.6125.6424.3415.233/27/190.00123920870.0029717704-0.0142432916-0.0077700469-0.01184412460.0013140606200%-100%0.08854821750.4634075631 3/28/196094.213.5521.962624.2215.363/28/190.00628798310.00517944180.01606644610.013942906-0.00494234940.0084995608 3/29/196097.813.6221.7726.2124.5115.393/29/190.00059055120.0051527534-0.00868974140.00804447930.01190245940.0019512201 3/30/193/30/19 3/31/193/31/19 Efficient Frontier Mean0.102645834605297530.100924565351645689.9263979492207222E-29.7667172383817377E-29.6137322106877407E-29.467767448518645E-29.329152476819412E-29.1982195803516617E-29.0753012620565857E-28.9607273467006782E-28.8548217487894779E-28.757898940948293E-28.6702601779297062E-28.5921895511113081E-28.5239499674482716E-28.4657791637272634E-28.4178858798714007E-28.3804463222539788E-28.3536010480465536E-28.3374523936134717E-28.3320625536369972E-28.3374523936134717E-28.3536010480465536E-28.3804463222539788E-28.4178858798714007E-28.4657791637272634E-28.5239499674482702E-28.5921895511113094E-28.6702601779297048E-28.757898940948293E-28.8548217487894779E-20.667843388019147550.661028860520423980.654214333021700290.64739980552297660.640585278024253250.633770750525529560.626956223026805870.62014169552808240.613327168029358720.606512640530635250.599698113031911560.592883585533187980.58606905803446430.579254530535740610.572440003037017140.565625475538293570.558810948039569880.55199642054084630.545181893042122720.538367365543399150.531552838044675570.524738310545951990.51792378304722830.511109255548504730.504294728049781150.497480200551057520.490665673052333990.483851145553610420.477036618054886730.470222090556163150.46340756305743952SD Mean Prices NameS&P/ASX 50 Indexa2 Milk Co Ltd/TheAGL Energy LtdAmpol LtdAristocrat Leisure LtdAmcor PLCAustralia & New Zealand BankinAPA GroupAfterpay LtdASX LtdAurizon Holdings LtdBHP Group LtdBrambles LtdCommonwealth Bank of AustraliaCochlear LtdColes Group LtdComputershare LtdCSL LtdDexusFortescue Metals Group LtdGoodman GroupGPT Group/TheInsurance Australia Group LtdJames Hardie Industries PLCLendlease Corp LtdMirvac GroupMedibank Pvt LtdMacquarie Group LtdNational Australia Bank LtdNewcrest Mining LtdOrigin Energy LtdOrica LtdQantas Airways LtdQBE Insurance Group LtdRamsay Health Care LtdRio Tinto LtdSouth32 LtdScentre GroupStocklandSonic Healthcare LtdSantos LtdSuncorp Group LtdSydney AirportTransurban GroupTelstra Corp LtdTreasury Wine Estates LtdWestpac Banking CorpWesfarmers LtdWoolworths Group LtdWoodside Petroleum LtdXero Ltd CodeASX50A2MAGLALDALLAMCANZAPAAPTASXAZJBHPBXBCBACOHCOLCPUCSLDXSFMGGMGGPTIAGJHXLLCMGRMPLMQGNABNCMORGORIQANQBERHCRIOS32SCGSGPSHLSTOSUNSYDTCLTLSTWEWBCWESWOWWPLXRO Dates 1/1/19 1/2/195483.110.420.325.1721.0613.2723.868.531259.584.2433.689.9870.97174.911.7117185.3810.524.1510.685.316.9114.9111.112.22.5106.8523.6321.716.3216.95.769.8557.7676.653.273.843.4521.85.2812.74976.483511.552.7714.6824.4831.5529.1530.4941.95 1/3/195560.110.520.3825.3921.413.2824.348.6611.9861.14.3133.6810.0671.84177.811.9917189.4510.574.210.725.337.0115.2511.542.212.54109.8323.9322.656.4717.035.7410.0657.8976.653.253.93.521.65.4913.04846.58111.592.8514.6725.0431.7529.3331.5442.09 1/4/195557.910.120.6525.7121.513.1824.258.9312.0860.674.2833.3810.0771.89175.3811.8116.63188.5310.584.310.785.416.9515.111.32.212.53109.4123.9823.536.6116.745.6910.0157.3276.833.283.923.4921.95.5512.65716.483511.62.8914.0225.0332.0829.331.9140.9 1/5/19 1/6/19 1/7/195606.710.4820.6925.8921.9113.3724.598.9312.9461.54.3334.3910.1572.57175.9911.7116.93187.510.594.4410.755.366.9115.1111.442.22.54110.5724.2223.386.7116.975.7910.2357.5478.93.373.883.4721.595.7912.65716.405511.592.8514.4125.2232.2229.632.3241.91 1/8/195643.610.5120.8726.2622.6213.1924.86913.1861.824.3534.4310.2472.4717811.7217.09189.9210.564.5310.735.336.8615.1711.832.222.54112.6724.4423.456.8617.275.910.425879.33.393.933.5121.955.7312.60566.38611.572.914.3625.5232.2229.6832.4243.52 1/9/195693.510.820.8826.3423.2613.2525.198.9713.661.864.3734.310.4372.33183.2611.8517.49195.110.564.6510.995.376.9315.211.922.262.58113.9824.5723.496.9417.396.1110.5258.280.023.443.5921.955.8112.65716.454211.672.9114.9625.7632.0229.833.1543.5 1/10/19571510.821.0226.5123.0913.3525.339.0713.762.224.3933.1410.4872.45184.6711.6617.38196.4710.794.5711.155.426.9915.311.652.282.56113.9524.623.96.9517.426.0710.4558.8180.133.434.063.6321.95.8512.74976.50311.842.8914.24525.8531.9729.8733.3743 1/11/195695.810.7121.1626.6123.2513.3525.249.1213.5362.044.3932.7910.5371.66184.0711.5317.25195.210.964.5811.375.487.0415.3311.772.32.58113.2124.5523.796.9917.35.9110.557.9279.653.44.073.6521.955.8412.56446.444511.782.9314.8525.6131.9529.6433.2642.66 1/12/19 1/13/19 1/14/195694.610.7921.226.5123.0813.425.379.0913.0562.314.432.7110.5171.92184.6811.8917.4194.3810.984.5211.315.497.0315.0712.042.292.57113.2824.6723.756.9117.285.9210.5558.3579.43.44.083.6521.645.8312.51296.483511.812.9214.425.7431.2629.7133.0842 1/15/195734.5911.2121.2626.2723.3613.3625.549.0513.5762.844.4133.0610.5172.65185.7911.7617.35197.9111.054.5511.55.537.1114.9411.922.292.59114.9824.7223.87.1317.375.9610.6557.64803.44.13.721.745.912.64686.46411.782.914.5625.7632.0829.6833.4642.35 1/16/195753.411.4221.1226.4523.913.425.759.0113.9263.114.432.9310.5872.55186.4511.8817.72197.2911.044.4711.495.537.1814.8712.062.32.6511624.823.447.1217.45610.8457.279.643.334.113.7322.255.9812.92486.473711.912.9314.682632.2930.0233.5242.95 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