| APPENDIX 1 : Data collected from 12-Sep-97 till 13-Mar-98 | |||||||||
| PERIOD | DATE |
BHP | Dividend Payable | NCP | Dividend Payable | CML | Dividend Payable | All Ords Accum Index | 90-day Bills (Annual) |
| 0 | 12-Sep-97 | $16.300 | $ 6.310 | $6.430 | 11239 | 4.71% | |||
| 1 | 19-Sep-97 | $15.700 | $ 6.600 | $6.825 | 11640.4 | 4.72% | |||
| 2 | 26-Sep-97 | $16.050 | $ 7.110 | $6.610 | 11850.5 | 4.72% | |||
| 3 | 3-Oct-97 | $16.180 | $ 6.850 | $6.550 | 11804.9 | 4.76% | |||
| 4 | 10-Oct-97 | $15.790 | $ 6.870 | $0.01** | $6.577 | 11519 | 4.71% | ||
| 5 | 17-Oct-97 | $15.081 | $ 6.750 | $6.880 | 11318.3 | 4.80% | |||
| 6 | 24-Oct-97 | $14.111 | $ 6.800 | $6.922 | 10963.3 | 4.83% | |||
| 7 | 31-Oct-97 | $14.100 | $ 6.810 | $6.840 | 10571.5 | 4.84% | |||
| 8 | 7-Nov-97 | $14.270 | $ 7.170 | $7.253 | 11028.6 | 4.88% | |||
| 9 | 14-Nov-97 | $14.100 | $ 7.220 | $7.180 | $0.10** | 10743.7 | 4.96% | ||
| 10 | 21-Nov-97 | $13.800 | $ 7.390 | $7.320 | 10474.8 | 4.97% | |||
| 11 | 28-Nov-97 | $13.430 | $0.25** | $ 7.820 | $7.200 | 10593.6 | 5.05% | ||
| 12 | 5-Dec-97 | $14.130 | $ 8.260 | $7.480 | 11005.6 | 5.08% | |||
| 13 | 12-Dec-97 | $13.240 | $ 8.110 | $7.330 | 10859.3 | 5.04% | |||
| 14 | 19-Dec-97 | $13.661 | $ 8.030 | $7.460 | 11059.3 | 5.02% | |||
| *15 | 26-Dec-97 | $14.020 | $ 8.280 | $7.380 | 11046.9 | 5.07% | |||
| 16 | 2-Jan-98 | $14.200 | $ 8.480 | $7.426 | 11296 | 5.04% | |||
| 17 | 9-Jan-98 | $13.500 | $ 8.560 | $7.650 | 11443.7 | 4.94% | |||
| 18 | 16-Jan-98 | $13.930 | $ 8.910 | $7.850 | 11157.9 | 4.99% | |||
| 19 | 23-Jan-98 | $14.070 | $ 9.270 | $7.480 | 11224.3 | 5.00% | |||
| 20 | 30-Jan-98 | $14.433 | $ 9.190 | $7.361 | 11411.5 | 5.03% | |||
| 21 | 6-Feb-98 | $15.070 | $ 9.250 | $7.430 | 11484 | 4.99% | |||
| 22 | 13-Feb-98 | $14.480 | $ 9.430 | $7.380 | 11558.2 | 4.96% | |||
| 23 | 20-Feb-98 | $14.360 | $ 9.243 | $7.370 | 11504 | 4.98% | |||
| 24 | 27-Feb-98 | $14.500 | $ 9.350 | $7.620 | 11685.5 | 5.00% | |||
| 25 | 6-Mar-98 | $15.430 | $ 9.540 | $7.610 | 11514.3 | 4.97% | |||
| 26 | 13-Mar-98 | $15.650 | $ 9.910 | $7.877 | 11812.9 | 4.94% | |||
| DIVIDEND HISTORY |
|||||||||
| Company | Amount | Payable | |||||||
| BHP | $0.25 | 26-Nov-97 | |||||||
| NCP | $0.01 | 12-Sep-97 | |||||||
| CML | $0.10 | 10-Nov-97 | |||||||
* No trading on 26-Dec-97. Figures reflect closing prices of 24-Dec-97. **Dividend payments reflected on coming Friday's price |
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| APPENDIX 2 : Arithmetic and geometric means, variances, and standard deviations of returns | |||||||||||||||||
| PERIOD | DATE | BHP | Discrete Return | Continuous Return | NCP | Discrete Return | Continuous Return | CML | Discrete Return | Continuous Return | All Ords Accumulation Index | Discrete Return | Continuous Return | BHP Base @ 100 | NCP Base @ 100 | CML Base @ 100 | Index Base @ 100 |
| 0 | 12-Sep-97 | $16.300 | $ 6.310 | $6.430 | 11239 | 100 | 100 | 100 | 100 | ||||||||
| 1 | 19-Sep-97 | $15.700 | -3.6810% | -3.7504% | $ 6.600 | 4.5959% | 4.4934% | $6.825 | 6.1431% | 5.9618% | 11640.4 | 3.5715% | 3.5092% | 96 | 105 | 106 | 104 |
| 2 | 26-Sep-97 | $16.050 | 2.2293% | 2.2048% | $ 7.110 | 7.7273% | 7.4433% | $6.610 | -3.1502% | -3.2009% | 11850.5 | 1.8049% | 1.7888% | 98 | 113 | 103 | 105 |
| 3 | 3-Oct-97 | $16.180 | 0.8100% | 0.8067% | $ 6.850 | -3.6568% | -3.7254% | $6.550 | -0.9077% | -0.9119% | 11804.9 | -0.3848% | -0.3855% | 99 | 109 | 102 | 105 |
| 4 | 10-Oct-97 | $15.790 | -2.4104% | -2.4399% | $ 6.870 | 0.4380% | 0.4370% | $6.577 | 0.4122% | 0.4114% | 11519 | -2.4219% | -2.4517% | 97 | 109 | 102 | 102 |
| 5 | 17-Oct-97 | $15.081 | -4.4902% | -4.5941% | $ 6.750 | -1.7467% | -1.7622% | $6.880 | 4.6070% | 4.5040% | 11318.3 | -1.7423% | -1.7577% | 93 | 107 | 107 | 101 |
| 6 | 24-Oct-97 | $14.111 | -6.4319% | -6.6481% | $ 6.800 | 0.7407% | 0.7380% | $6.922 | 0.6105% | 0.6086% | 10963.3 | -3.1365% | -3.1868% | 87 | 108 | 108 | 98 |
| 7 | 31-Oct-97 | $14.100 | -0.0780% | -0.0780% | $ 6.810 | 0.1471% | 0.1470% | $6.840 | -1.1846% | -1.1917% | 10571.5 | -3.5737% | -3.6392% | 87 | 108 | 106 | 94 |
| 8 | 7-Nov-97 | $14.270 | 1.2057% | 1.1985% | $ 7.170 | 5.2863% | 5.1514% | $7.253 | 6.0380% | 5.8627% | 11028.6 | 4.3239% | 4.2330% | 88 | 114 | 113 | 98 |
| 9 | 14-Nov-97 | $14.100 | -1.1913% | -1.1985% | $ 7.220 | 0.6974% | 0.6949% | $7.180 | 0.3723% | 0.3716% | 10743.7 | -2.5833% | -2.6172% | 87 | 114 | 113 | 96 |
| 10 | 21-Nov-97 | $13.800 | -2.1277% | -2.1506% | $ 7.390 | 2.3546% | 2.3273% | $7.320 | 1.9499% | 1.9311% | 10474.8 | -2.5029% | -2.5347% | 85 | 117 | 114 | 93 |
| 11 | 28-Nov-97 | $13.430 | -0.8696% | -0.8734% | $ 7.820 | 5.8187% | 5.6557% | $7.200 | -1.6393% | -1.6529% | 10593.6 | 1.1342% | 1.1278% | 84 | 124 | 112 | 94 |
| 12 | 5-Dec-97 | $14.130 | 5.2122% | 5.0809% | $ 8.260 | 5.6266% | 5.4740% | $7.480 | 3.8889% | 3.8152% | 11005.6 | 3.8891% | 3.8154% | 87 | 131 | 116 | 98 |
| 13 | 12-Dec-97 | $13.240 | -6.2987% | -6.5058% | $ 8.110 | -1.8160% | -1.8327% | $7.330 | -2.0053% | -2.0257% | 10859.3 | -1.3293% | -1.3382% | 81 | 129 | 114 | 97 |
| 14 | 19-Dec-97 | $13.661 | 3.1798% | 3.1303% | $ 8.030 | -0.9864% | -0.9913% | $7.460 | 1.7735% | 1.7580% | 11059.3 | 1.8417% | 1.8250% | 84 | 127 | 116 | 98 |
| 15 | 26-Dec-97 | $14.020 | 2.6279% | 2.5940% | $ 8.280 | 3.1133% | 3.0658% | $7.380 | -1.0724% | -1.0782% | 11046.9 | -0.1121% | -0.1122% | 86 | 131 | 115 | 98 |
| 16 | 2-Jan-98 | $14.200 | 1.2839% | 1.2757% | $ 8.480 | 2.4155% | 2.3867% | $7.426 | 0.6233% | 0.6214% | 11296 | 2.2549% | 2.2299% | 87 | 134 | 115 | 101 |
| 17 | 9-Jan-98 | $13.500 | -4.9296% | -5.0552% | $ 8.560 | 0.9434% | 0.9390% | $7.650 | 3.0164% | 2.9718% | 11443.7 | 1.3075% | 1.2991% | 83 | 136 | 119 | 102 |
| 18 | 16-Jan-98 | $13.930 | 3.1852% | 3.1355% | $ 8.910 | 4.0888% | 4.0074% | $7.850 | 2.6144% | 2.5808% | 11157.9 | -2.4974% | -2.5292% | 85 | 141 | 122 | 99 |
| 19 | 23-Jan-98 | $14.070 | 1.0050% | 1.0000% | $ 9.270 | 4.0404% | 3.9609% | $7.480 | -4.7134% | -4.8281% | 11224.3 | 0.5951% | 0.5933% | 86 | 147 | 116 | 100 |
| 20 | 30-Jan-98 | $14.433 | 2.5800% | 2.5472% | $ 9.190 | -0.8630% | -0.8667% | $7.361 | -1.5909% | -1.6037% | 11411.5 | 1.6678% | 1.6541% | 89 | 146 | 114 | 102 |
| 21 | 6-Feb-98 | $15.070 | 4.4135% | 4.3189% | $ 9.250 | 0.6529% | 0.6508% | $7.430 | 0.9374% | 0.9330% | 11484 | 0.6353% | 0.6333% | 92 | 147 | 116 | 102 |
| 22 | 13-Feb-98 | $14.480 | -3.9151% | -3.9938% | $ 9.430 | 1.9459% | 1.9273% | $7.380 | -0.6729% | -0.6752% | 11558.2 | 0.6461% | 0.6440% | 89 | 149 | 115 | 103 |
| 23 | 20-Feb-98 | $14.360 | -0.8287% | -0.8322% | $ 9.243 | -1.9830% | -2.0030% | $7.370 | -0.1355% | -0.1356% | 11504 | -0.4689% | -0.4700% | 88 | 146 | 115 | 102 |
| 24 | 27-Feb-98 | $14.500 | 0.9749% | 0.9702% | $ 9.350 | 1.1576% | 1.1510% | $7.620 | 3.3921% | 3.3359% | 11685.5 | 1.5777% | 1.5654% | 89 | 148 | 119 | 104 |
| 25 | 6-Mar-98 | $15.430 | 6.4138% | 6.2165% | $ 9.540 | 2.0321% | 2.0117% | $7.610 | -0.1312% | -0.1313% | 11514.3 | -1.4651% | -1.4759% | 95 | 151 | 118 | 102 |
| 26 | 13-Mar-98 | $15.650 | 1.4258% | 1.4157% | $ 9.910 | 3.8784% | 3.8051% | $7.877 | 3.5085% | 3.4484% | 11812.9 | 2.5933% | 2.5602% | 96 | 157 | 123 | 105 |
| Arithmetic Mean | -0.0271% | -0.0856% | 1.7942% | 1.7418% | 0.8725% | 0.8339% | 0.2163% | 0.1915% | |||||||||
| Geometric Mean | -0.0855% | -0.1447% | 1.7570% | 1.7060% | 0.8373% | 0.7994% | 0.1917% | 0.1670% | |||||||||
| Variance | 12.0756% | 12.1987% | 7.8778% | 7.5864% | 7.3857% | 7.2325% | 5.1296% | 5.1092% | |||||||||
| Standard deviation | 3.4750% | 3.4927% | 2.8067% | 2.7543% | 2.7177% | 2.6893% | 2.2649% | 2.2604% | |||||||||
| ***Figures in BOLD indicate returns with dividends added | |||||||||||||||||
| APPENDIX 3 : Calculated covariances and correlation coefficients between stocks and between stocks and market | ||||
| Discrete Return | Continuous Return | |||
| Covariance | Correlation Coefficient | Covariance | Correlation Coefficient | |
| BHP / NCP | 2.7621 | 0.2832 | 2.7280 | 0.2836 |
| BHP / CML | -0.6025 | -0.0638 | -0.6044 | -0.0643 |
| NCP / CML | 0.7999 | 0.1049 | 0.7471 | 0.1009 |
| BHP / Index | 2.3679 | 0.3009 | 2.3958 | 0.3035 |
| NCP / Index | 2.8325 | 0.4456 | 2.7357 | 0.4394 |
| CML / Index | 2.0308 | 0.3299 | 1.9313 | 0.3177 |
APPENDIX 4 : Weekly rate of return and variance of individual stocks and the equally weighted portfolio |
||||||||||
| Discrete Return | Continuous Return |
|||||||||
| PERIOD | DATE | BHP | NCP | CML | Portfolio | BHP | NCP | CML | Portfolio | |
| 0 | 12-Sep-97 | |||||||||
| 1 | 19-Sep-97 | -3.6810% | 4.5959% | 6.1431% | 2.3527% | -3.7504% | 4.4934% | 5.9618% | 2.2349% | |
| 2 | 26-Sep-97 | 2.2293% | 7.7273% | -3.1502% | 2.2688% | 2.2048% | 7.4433% | -3.2009% | 2.1491% | |
| 3 | 3-Oct-97 | 0.8100% | -3.6568% | -0.9077% | -1.2515% | 0.8067% | -3.7254% | -0.9119% | -1.2768% | |
| 4 | 10-Oct-97 | -2.4104% | 0.4380% | 0.4122% | -0.5201% | -2.4399% | 0.4370% | 0.4114% | -0.5305% | |
| 5 | 17-Oct-97 | -4.4902% | -1.7467% | 4.6070% | -0.5433% | -4.5941% | -1.7622% | 4.5040% | -0.6174% | |
| 6 | 24-Oct-97 | -6.4319% | 0.7407% | 0.6105% | -1.6936% | -6.6481% | 0.7380% | 0.6086% | -1.7672% | |
| 7 | 31-Oct-97 | -0.0780% | 0.1471% | -1.1846% | -0.3718% | -0.0780% | 0.1470% | -1.1917% | -0.3742% | |
| 8 | 7-Nov-97 | 1.2057% | 5.2863% | 6.0380% | 4.1767% | 1.1985% | 5.1514% | 5.8627% | 4.0709% | |
| 9 | 14-Nov-97 | -1.1913% | 0.6974% | 0.3723% | -0.0406% | -1.1985% | 0.6949% | 0.3716% | -0.0440% | |
| 10 | 21-Nov-97 | -2.1277% | 2.3546% | 1.9499% | 0.7256% | -2.1506% | 2.3273% | 1.9311% | 0.7026% | |
| 11 | 28-Nov-97 | -0.8696% | 5.8187% | -1.6393% | 1.1033% | -0.8734% | 5.6557% | -1.6529% | 1.0431% | |
| 12 | 5-Dec-97 | 5.2122% | 5.6266% | 3.8889% | 4.9092% | 5.0809% | 5.4740% | 3.8152% | 4.7900% | |
| 13 | 12-Dec-97 | -6.2987% | -1.8160% | -2.0053% | -3.3733% | -6.5058% | -1.8327% | -2.0257% | -3.4547% | |
| 14 | 19-Dec-97 | 3.1798% | -0.9864% | 1.7735% | 1.3223% | 3.1303% | -0.9913% | 1.7580% | 1.2990% | |
| 15 | 26-Dec-97 | 2.6279% | 3.1133% | -1.0724% | 1.5563% | 2.5940% | 3.0658% | -1.0782% | 1.5272% | |
| 16 | 2-Jan-98 | 1.2839% | 2.4155% | 0.6233% | 1.4409% | 1.2757% | 2.3867% | 0.6214% | 1.4279% | |
| 17 | 9-Jan-98 | -4.9296% | 0.9434% | 3.0164% | -0.3233% | -5.0552% | 0.9390% | 2.9718% | -0.3815% | |
| 18 | 16-Jan-98 | 3.1852% | 4.0888% | 2.6144% | 3.2961% | 3.1355% | 4.0074% | 2.5808% | 3.2412% | |
| 19 | 23-Jan-98 | 1.0050% | 4.0404% | -4.7134% | 0.1107% | 1.0000% | 3.9609% | -4.8281% | 0.0443% | |
| 20 | 30-Jan-98 | 2.5800% | -0.8630% | -1.5909% | 0.0420% | 2.5472% | -0.8667% | -1.6037% | 0.0256% | |
| 21 | 6-Feb-98 | 4.4135% | 0.6529% | 0.9374% | 2.0013% | 4.3189% | 0.6508% | 0.9330% | 1.9675% | |
| 22 | 13-Feb-98 | -3.9151% | 1.9459% | -0.6729% | -0.8807% | -3.9938% | 1.9273% | -0.6752% | -0.9139% | |
| 23 | 20-Feb-98 | -0.8287% | -1.9830% | -0.1355% | -0.9824% | -0.8322% | -2.0030% | -0.1356% | -0.9902% | |
| 24 | 27-Feb-98 | 0.9749% | 1.1576% | 3.3921% | 1.8416% | 0.9702% | 1.1510% | 3.3359% | 1.8190% | |
| 25 | 6-Mar-98 | 6.4138% | 2.0321% | -0.1312% | 2.7715% | 6.2165% | 2.0117% | -0.1313% | 2.6990% | |
| 26 | 13-Mar-98 | 1.4258% | 3.8784% | 3.5085% | 2.9376% | 1.4157% | 3.8051% | 3.4484% | 2.8897% | |
| Arithmetic Mean | -0.0271% | 1.7942% | 0.8725% | 0.8798% | 2.41042 | -0.0856% | 1.7418% | 0.8339% | 0.8300% | |
| Geometric Mean | -0.0855% | 1.7570% | 0.8373% | 0.8621% | -0.1447% | 1.7060% | 0.7994% | 0.8125% | ||
| Variance | 12.0756% | 7.8778% | 7.3857% | 3.6954% | 12.1987% | 7.5864% | 7.2325% | 3.6399% | ||
| Standard deviation | 3.4750% | 2.8067% | 2.7177% | 1.9223% | 3.4927% | 2.7543% | 2.6893% | 1.9079% | ||
APPENDIX 5 : Proxied risk free rate calculation |
||||
| PERIOD | DATE | 90-day Bills (Annual) | Compounded weekly | 90-day Bills (Weekly) |
| 0 | 12-Sep-97 | 4.71% | 4.6045% | 0.08855% |
| 1 | 19-Sep-97 | 4.72% | 4.6140% | 0.08873% |
| 2 | 26-Sep-97 | 4.72% | 4.6140% | 0.08873% |
| 3 | 3-Oct-97 | 4.76% | 4.6523% | 0.08947% |
| 4 | 10-Oct-97 | 4.71% | 4.6045% | 0.08855% |
| 5 | 17-Oct-97 | 4.80% | 4.6905% | 0.09020% |
| 6 | 24-Oct-97 | 4.83% | 4.7191% | 0.09075% |
| 7 | 31-Oct-97 | 4.84% | 4.7287% | 0.09094% |
| 8 | 7-Nov-97 | 4.88% | 4.7668% | 0.09167% |
| 9 | 14-Nov-97 | 4.96% | 4.8432% | 0.09314% |
| 10 | 21-Nov-97 | 4.97% | 4.8527% | 0.09332% |
| 11 | 28-Nov-97 | 5.05% | 4.9290% | 0.09479% |
| 12 | 5-Dec-97 | 5.08% | 4.9575% | 0.09534% |
| 13 | 12-Dec-97 | 5.04% | 4.9194% | 0.09460% |
| 14 | 19-Dec-97 | 5.02% | 4.9004% | 0.09424% |
| 15 | 26-Dec-97 | 5.07% | 4.9480% | 0.09515% |
| 16 | 2-Jan-98 | 5.04% | 4.9194% | 0.09460% |
| 17 | 9-Jan-98 | 4.94% | 4.8241% | 0.09277% |
| 18 | 16-Jan-98 | 4.99% | 4.8718% | 0.09369% |
| 19 | 23-Jan-98 | 5.00% | 4.8813% | 0.09387% |
| 20 | 30-Jan-98 | 5.03% | 4.9099% | 0.09442% |
| 21 | 6-Feb-98 | 4.99% | 4.8718% | 0.09369% |
| 22 | 13-Feb-98 | 4.96% | 4.8432% | 0.09314% |
| 23 | 20-Feb-98 | 4.98% | 4.8622% | 0.09350% |
| 24 | 27-Feb-98 | 5.00% | 4.8813% | 0.09387% |
| 25 | 6-Mar-98 | 4.97% | 4.8527% | 0.09332% |
| 26 | 13-Mar-98 | 4.94% | 4.8241% | 0.09277% |
| Average Weekly Returns (Proxied Risk Free Rate) : 0.09251% | ||||
Back to Finance (Portfolio Management) 301 Assignment
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Last Updated on 1/08/98
By David Chow Tai Wei
Email: [email protected]