Close value

Date CBA CSL BHP WES WOW TLS WPL GMG Target Cash Rate (pa)

31-Jul-10 52.334 33.14 36.349 22.17 25.538 3.22 40.484 3.075 4.50%

31-Aug-10 50.084 32.96 33.567 22.791 27.489 2.75 40.747 3.175 4.50%

30-Sep-10 50.95 33.05 35.252 23.454 28.558 2.62 42.703 3.225 4.50%

31-Oct-10 48.69 32.83 37.98 23.632 28.073 2.67 42.333 3.15 4.50%

30-Nov-10 48.072 34.91 38.722 22.434 26.538 2.81 40.825 3.2 4.75%

31-Dec-10 50.552 36.29 40.997 22.819 26.707 2.79 41.418 3.25 4.75%

31-Jan-11 52.234 37.21 40.091 24.267 26.439 2.8 40.523 3.325 4.75%

28-Feb-11 52.882 35.6 41.776 23.625 26.617 2.785 41.438 3.5 4.75%

31-Mar-11 52.175 35.73 42.183 22.662 26.617 2.82 45.545 3.425 4.75%

30-Apr-11 53.479 34.35 41.522 23.746 26.251 2.91 45.545 3.55 4.75%

31-May-11 50.402 33.9 40.19 23.675 27.142 3.02 45.379 3.675 4.75%

30-Jun-11 52.075 33.06 39.683 22.712 27.479 2.89 39.9 3.525 4.75%

31-Jul-11 49.058 30.69 37.527 20.908 26.677 2.99 37.321 3.4 4.75%

31-Aug-11 48.013 28.12 36.004 21.928 24.974 3.03 34.236 3.25 4.75%

30-Sep-11 45.354 29.68 31.728 22.527 24.617 3.1 31.609 2.875 4.75%

31-Oct-11 49.058 28.86 34.247 23.147 23.577 3.1 35.579 3.125 4.75%

30-Nov-11 47.196 31.19 31.638 21.743 24.379 3.16 31.92 2.975 4.50%

31-Dec-11 49.008 32 31.185 21.037 24.855 3.33 29.799 2.85 4.25%

31-Jan-12 50.442 31.13 33.957 21.607 24.548 3.33 33.292 3.2 4.25%

29-Feb-12 49.217 32.78 32.707 20.751 25.063 3.3 36.241 3.45 4.25%

31-Mar-12 49.885 35.89 31.357 21.407 25.726 3.29 33.876 3.45 4.25%

30-Apr-12 51.747 36.66 32.208 21.593 25.687 3.54 33.983 3.6 4.25%

31-May-12 49.188 37.65 28.965 20.823 26.182 3.55 31.307 3.38 3.75%

30-Jun-12 52.872 39.42 28.494 21.322 26.538 3.69 30.188 3.67 3.50%

31-Jul-12 57.283 42.7 28.929 23.24 28.291 4 32.845 3.76 3.50%

31-Aug-12 54.505 44.43 28.802 24.616 29.331 3.85 33.38 3.99 3.50%

30-Sep-12 55.53 46 29.934 24.431 28.479 3.92 32.251 3.96 3.50%

31-Oct-12 57.502 47.5 31.031 24.795 29.123 4.14 33.477 4.43 3.25%

30-Nov-12 59.433 51.7 31.157 25.351 29.28 4.31 32.893 4.62 3.25%

31-Dec-12 61.913 53.9 33.613 26.278 29.33 4.37 32.971 4.33 3.00%

31-Jan-13 64.173 54.94 33.957 26.813 31.24 4.6 34.519 4.5 3.00%

28-Feb-13 66.981 60 33.585 29.259 34.93 4.59 36.494 4.65 3.00%

31-Mar-13 67.718 59.23 29.681 28.667 33.79 4.51 34.859 4.78 3.00%

30-Apr-13 73.134 62.96 29.626 30.927 36.41 4.98 37.143 5.21 3.00%

31-May-13 66.573 59.6 31.601 27.982 33 4.74 35.591 5.14 2.75%

30-Jun-13 68.883 61.58 28.421 28.239 32.81 4.77 34.621 4.88 2.75%

31-Jul-13 73.891 66.07 31.384 28.924 33.32 4.99 37.173 4.72 2.50%

31-Aug-13 72.527 67.99 32.39 28.995 35.67 4.9 37.756 4.63 2.50%

30-Sep-13 70.904 64 32.38 29.33 35 4.97 37.885 4.88 2.50%

31-Oct-13 75.753 69.5 34.12 30.642 34.9 5.18 38.389 5.06 2.50%

30-Nov-13 77.485 68.73 33.875 30.576 33.69 5.06 36.985 4.84 2.50%

31-Dec-13 77.465 68.96 34.419 31.374 33.85 5.25 38.468 4.73 2.50%

31-Jan-14 73.911 70.26 33.132 29.92 34.07 5.14 36.965 4.67 2.50%

28-Feb-14 74.339 72.2 34.772 30.597 36.07 5.05 37.529 4.8 2.50%

31-Mar-14 77.107 69.56 33.042 29.343 35.72 5.08 38.587 4.73 2.50%

30-Apr-14 78.561 68.43 34.202 30.426 37.32 5.22 40.347 4.98 2.50%

31-May-14 81.239 70.59 33.531 30.889 37.53 5.34 41.702 5.09 2.50%

30-Jun-14 80.532 66.55 32.525 29.806 35.22 5.21 40.614 5.05 2.50%

31-Jul-14 83.39 67.8 35.044 31.359 36.95 5.49 42.048 5.33 2.50%

31-Aug-14 80.97 73.87 33.223 30.922 36.16 5.56 42.226 5.58 2.50%

30-Sep-14 74.966 74.17 30.686 30.101 34.24 5.3 40.149 5.17 2.50%

31-Oct-14 80.134 80.19 30.768 31.514 36 5.63 39.685 5.54 2.50%

30-Nov-14 80.373 82.57 28.014 29.586 31.12 5.69 35.353 5.45 2.50%

31-Dec-14 85.282 86.68 26.609 29.801 30.68 5.97 37.588 5.69 2.50%

31-Jan-15 88.946 87.95 26.51 31.136 31.78 6.5 33.899 6.13 2.50%

28-Feb-15 91.525 92.24 30.487 31.322 30.71 6.37 34.79 6.24 2.25%

31-Mar-15 92.998 92.12 28.113 31.401 29.49 6.31 34.137 6.35 2.25%

30-Apr-15 88.488 90.98 28.965 31.222 29.48 6.23 34.661 6.25 2.25%

31-May-15 84.724 93.5 29.59 31.186 28 6.22 36.223 6.55 2.00%

30-Jun-15 84.764 86.47 27.05 27.879 26.96 6.14 33.85 6.27 2.00%

31-Jul-15 87.183 98.96 26.45 30.322 28.6 6.49 35.254 6.54 2.00%

31-Aug-15 75.08 91.87 25.18 29.043 26.4 5.77 31.902 6.1 2.00%

30-Sep-15 72.72 89.2 22.22 28.015 24.84 5.61 28.609 5.85 2.00%

31-Oct-15 76.73 93.79 23.02 28.151 24.11 5.4 29.281 6.07 2.00%

30-Nov-15 79.43 100.11 18.09 27.208 23.67 5.36 29.776 6.12 2.00%

31-Dec-15 85.53 105.31 17.86 29.722 24.5 5.61 28.401 6.27 2.00%

31-Jan-16 78.67 104 15.35 30.122 24.28 5.63 27.64 6.08 2.00%

29-Feb-16 70.14 102.72 15.57 27.922 22.9 5.25 25.069 6.49 2.00%

31-Mar-16 74.92 101.44 16.86 29.608 22.1 5.33 25.672 6.67 2.00%

30-Apr-16 73.89 105.18 20.68 30.551 22.11 5.36 28.025 6.89 2.00%

31-May-16 77.43 115.76 19.08 29.022 22.12 5.59 27.096 7.11 1.75%

30-Jun-16 74.37 112.18 18.65 28.643 20.89 5.56 26.542 7.11 1.75%

31-Jul-16 77.35 118 19.52 30.665 23.41 5.77 26.236 7.54 1.75%

31-Aug-16 71.81 108.1 20.43 30.315 23.71 5.26 28.312 7.59 1.50%

30-Sep-16 72.4 107 22.38 31.501 23.27 5.18 28.302 7.28 1.50%

31-Oct-16 73.39 100.51 23.07 29.293 23.65 4.98 28.055 6.79 1.50%

30-Nov-16 78.65 98 24.41 29.843 22.89 5.05 29.291 6.68 1.50%

31-Dec-16 82.41 100.41 25.06 30.101 24.1 5.1 30.814 7.13 1.50%

31-Jan-17 81.66 112.3 26.64 28.758 24.6 5 31.21 6.92 1.50%

28-Feb-17 82.32 117.86 25 30.515 25.76 4.82 30.992 7.55 1.50%

31-Mar-17 85.91 125.33 24.04 32.193 26.5 4.66 31.724 7.74 1.50%

30-Apr-17 87.4 132.55 23.72 30.715 26.88 4.22 31.823 8.11 1.50%

31-May-17 79.65 129.29 23.9 30.501 26.05 4.4 31.793 8.5 1.50%

30-Jun-17 82.81 138.03 23.28 28.658 25.54 4.3 29.538 7.87 1.50%

31-Jul-17 83.73 126 25.85 29.093 26.7 4.1 28.846 7.96 1.50%

31-Aug-17 75.8 128.52 27.38 30.443 26 3.67 28.51 8.29 1.50%

30-Sep-17 75.25 133.96 25.78 29.522 25.21 3.49 28.777 8.24 1.50%

31-Oct-17 77.63 138.93 26.54 29.858 25.88 3.54 30.389 8.36 1.50%

30-Nov-17 79.43 143.34 27.3 31.372 26.91 3.43 30.656 8.69 1.50%

31-Dec-17 80.34 141.3 29.57 31.729 27.3 3.63 32.713 8.42 1.50%

31-Jan-18 78.87 146.42 30.2 31.293 26.95 3.67 32.752 8.09 1.50%

28-Feb-18 76.39 163.17 30.5 29.522 27.61 3.35 29.18 8.21 1.50%

31-Mar-18 72.31 155.46 28.21 29.686 26.29 3.14 29.24 8.43 1.50%

30-Apr-18 71.82 170.36 30.95 31.265 27.86 3.18 32.22 9.07 1.50%

31-May-18 69.3 185.85 32.79 32.544 28.46 2.8 32.41 9.34 1.50%

30-Jun-18 72.87 192.62 33.91 35.258 30.52 2.62 35.46 9.62 1.50%

31-Jul-18 74.79 196.61 34.86 35.329 30.09 2.84 36.14 9.63 1.50%

31-Aug-18 71.24 227.31 33.21 36.751 28.3 3.1 36.87 10.7 1.50%

30-Sep-18 71.41 201.11 34.63 35.608 28.08 3.19 38.58 10.36 1.50%

31-Oct-18 69.23 188 32.21 33.301 28.43 3.08 34.85 10.38 1.50%

30-Nov-18 71.23 177.4 30.69 31.59 28.92 2.93 31.06 10.25 1.50%

31-Dec-18 72.39 185.16 34.23 32.22 29.42 2.85 31.32 10.63 1.50%

31-Jan-19 69.91 194.72 34.83 32.21 29.37 3.11 34.32 11.66 1.50%

28-Feb-19 73.95 193.76 37.23 33.18 28.67 3.13 36.25 12.8 1.50%

31-Mar-19 70.64 194.94 38.49 34.65 30.4 3.32 34.62 13.35 1.50%

30-Apr-19 74.52 198.57 37.4 36.01 31.85 3.38 35.39 13.16 1.50%

31-May-19 78.51 205.49 37.76 37.05 31.37 3.65 35.42 13.4 1.50%

30-Jun-19 82.78 215 41.16 36.16 33.23 3.85 36.36 15.03 1.25%

31-Jul-19 82.3 229.62 40.76 39.19 35.62 3.97 34.7 14.81 1.00%

31-Aug-19 79.05 240.87 36.29 39.1 37.77 3.72 32.13 14.52 1.00%

30-Sep-19 80.83 233.69 36.72 39.8 37.28 3.51 32.38 14.18 1.00%

31-Oct-19 78.66 256.03 35.95 39.76 37.32 3.49 32.2 14.39 0.75%

30-Nov-19 80.82 283.48 38.23 42.37 39.76 3.86 34.51 14.82 0.75%

31-Dec-19 79.9 275.76 38.92 41.4 36.16 3.54 34.38 13.37 0.75%

31-Jan-20 85.26 312.05 39.4 45.21 41.84 3.84 34.73 14.89 0.75%

29-Feb-20 81.78 309.44 33.6 40.65 38.8 3.43 27.92 14.98 0.75%

31-Mar-20 61.82 296.68 28.98 34.27 35.1 3.07 18.21 12.1 0.50%

30-Apr-20 62.69 309.44 32.35 37.69 35.75 3.05 22.45 13.15 0.25%

31-May-20 63.75 276.22 34.64 40.37 35.34 3.24 22.67 15.37 0.25%

30-Jun-20 69.42 287 35.82 44.83 37.28 3.13 21.65 14.85 0.25%

31-Jul-20 71.2 270.1 36.75 46.55 38.68 3.35 20.01 16.93 0.25%

From the data above for eight companies

The investors in Rooster Wealthy Investors Trust have a risk aversion factor of A = 4. Rooster Wealthy Investors Trust asks you to analyse a portfolio that consists of two risky assets and a risk-free asset. In the analysis you are required to (a) Explain what a risk aversion factor of A = 4 implies about the investors who buy units in Rooster Wealthy Investors Trust. (b) The return and risk profile of investors in Rooster Wealthy Investors Trust can be described by the quadratic utility function covered in Lecture 2. Rank the eight companies from the one most preferred by the investors to the least preferred. Show and explain why the companies are ranked in this order.

t ((),) = () / (*)

Construct a portfolio containing the two (2) companies that have the strongest relationship and a risk-free security. Use your estimations in Question 1 to calculate the percentage of funds that would be invested in each of the two companies and the riskfree asset. Assume the return on the risk-free security is the average cash rate. calculate using trial and error (in a systematic way) in EXCEL and by using EXCEL's Solver. i. List the percentage of wealth invested in each of the two companies and the risk-free asset and the return and risk of the two (2) companies; the risk-free interest rate security; the optimal risky asset portfolio and the optimal total portfolio

ii. In a simple labelled table list the return, risk and utility of ten of the risky asset portfolios that lie near the optimal risky asset portfolio. Explain, that why these ten (10) portfolios are not the optimum risky asset portfolio

iii. In a fully labelled mean-standard deviation diagram show the positions of the optimal total portfolio, the optimum risky asset portfolio, the risk-free interest rate security, the efficient frontier and capital allocation line. The diagram can be hand drawn.

(d) Provide a recommendation, to Investors Trust on whether it would be better to invest in the optimum total portfolio; an ASX200 managed fund; or a risk-free interest rate security.