Closing Price Gross MCAP 11 Table 1 Index Statistic Instrument Dividend FTSE SI Code Date Yield 1100 2014/01/31 Advtech 3,08% 420 880 090 1100 2014/02/28 Advtech 3,22% 420 880 090 J100 2014/03/31 Advtech 3,22% 420 880 090 1100 2014/04/30 Advtech 2,95% 420 880 090 1100 2014/05/30 Advtech 2,85% 420 880 090 1100 2014/06/30 Advtech 2,98% 420 880 090 J100 2014/07/31 Advtech 3,31% 420 880 090 J100 2014/08/29 Advtech 3,18% 420 880 090 J100 2014/09/30 Advtech 3,14% 420 880 090 1100 2014/10/31 Advtech 3,15% 420 880 090 J100 2014/11/28 Advtech 2,89% 420 880 090 J100 2014/12/31 Advtech 2,99% 420 880 090 R 7,95 R3 345 996 716 R7,61 R3 202 897 485 R7,60 R3 198 688 684 R 8,63 R3 632 195 177 R8,95 R3 766 876 806 R 8,55 R 3598 524 770 R7,70 R3 240 902 957 R8,01 R3 371 249 521 R8,27 R3 480 678 344 R 8,25 R3 472 260 743 R 9,00 R3787 920 810 R8,70 R3 661 656 783 Free Portfolio Net MCAP Weight Float Factor 88% 1,00000 R2 944 477 110 0,07% 88% 1,00000 R2 818 549 787 0,06% 88% 1,00000 R2 814 846 042 0,06% 88% 1,00000 R3 196 331 755 0,07% 88% 1,00000 R3 314 851 589 0,07% 88% 1,00000 R3 166 701 797 0,06% 88% 1,00000 R2 851 994 602 0,06% 88% 1,00000 R2 966 699 578 0,06% 88% 1,00000 R3062 996 943 0,06% 88% 1,00000 R3055 589 453 0,06% 88% 1,00000 R3 333 370 313 0,07% 88% 1,00000 R3 222 257 969 0,07% AUCTION ical QUESTION 1 (60) The Advtech Group is a JSE listed company in South Africa. Advtech operates within the education and recruitment industries in South Africa and the rest of Africa.JSE 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of JSE 100 its weight in the index is given in table 1 above. 1.1 Consider an investor with a portfolio consisting only of Advtech shares. The Treasury bill rate in 2014 was 3.06% in South Africa. Using dividend yield as (returns). Calculate the Sharpe ratio for Advtech. (20) 1.2 Calculate the capital gains for an investor who bought Advtech Shares on 2 January 2014 and held the shares until 31 December 2014 (5) 1.3 Consider an investor with a portfolio consisting only of Advtech shares. Calculate the Treynor ratio given that the beta of Advtech is 0.8 (10) 1.4 Consider an investor with a portfolio consisting only of Advtech shares Given that the J100 market index was 3%. Calculate the Jensen alpha given that Advtech beta is 0. (10) 1.5 Calculate the expected return of a portfolio consisting of 40% treasury bills and 60% Advtech shares. Given that the Treasury bill rate is 3.06%. (5) 36 Revenue grew 11% in the year to end-December 2018, but the private education group Advtech warns that trading conditions in SA remain tough. The group's student base grew 11% in the year to end-December, but the company noted this was primarily due to its expansion strategy. Tough trading conditions had prompted a drop- off of upfront fee payments from parents, who were also increasingly delaying payments. The results were somewhat lacklustre, and enrolment growth had been subdued for both AdvTech and its rival Curro over the past 18 months, said Mergence Investment Managers equity analyst Nolwandle Mthombeni. AdvTech said on Monday that operating profit in the year to end-December rose a healthy 14% to R763m, boosted by a strong performance by the group's tertiary operations. Operating profit from its university segment grew 23% to R395m and group revenue 11% to R4.4bn to end-December. Operating profit from its schools' division inched up 1% year on year. The company decreased its dividend 12% to 30c compared with the corresponding period in 2017, noting that it was seeking to preserve cash due to its expansion strategy. 2021 Forecast State Boom Normal Recession Probability 0,3 0,5 0,2 Advtech 0,18 0,14 0,09 Treasury bills 0,07 0,05 0,03 In light of this background calculate the expected return in 2021 of a portfolio consisting of 40% invested in treasury bills and 60% in Advtech shares. (10) Closing Price Gross MCAP 11 Table 1 Index Statistic Instrument Dividend FTSE SI Code Date Yield 1100 2014/01/31 Advtech 3,08% 420 880 090 1100 2014/02/28 Advtech 3,22% 420 880 090 J100 2014/03/31 Advtech 3,22% 420 880 090 1100 2014/04/30 Advtech 2,95% 420 880 090 1100 2014/05/30 Advtech 2,85% 420 880 090 1100 2014/06/30 Advtech 2,98% 420 880 090 J100 2014/07/31 Advtech 3,31% 420 880 090 J100 2014/08/29 Advtech 3,18% 420 880 090 J100 2014/09/30 Advtech 3,14% 420 880 090 1100 2014/10/31 Advtech 3,15% 420 880 090 J100 2014/11/28 Advtech 2,89% 420 880 090 J100 2014/12/31 Advtech 2,99% 420 880 090 R 7,95 R3 345 996 716 R7,61 R3 202 897 485 R7,60 R3 198 688 684 R 8,63 R3 632 195 177 R8,95 R3 766 876 806 R 8,55 R 3598 524 770 R7,70 R3 240 902 957 R8,01 R3 371 249 521 R8,27 R3 480 678 344 R 8,25 R3 472 260 743 R 9,00 R3787 920 810 R8,70 R3 661 656 783 Free Portfolio Net MCAP Weight Float Factor 88% 1,00000 R2 944 477 110 0,07% 88% 1,00000 R2 818 549 787 0,06% 88% 1,00000 R2 814 846 042 0,06% 88% 1,00000 R3 196 331 755 0,07% 88% 1,00000 R3 314 851 589 0,07% 88% 1,00000 R3 166 701 797 0,06% 88% 1,00000 R2 851 994 602 0,06% 88% 1,00000 R2 966 699 578 0,06% 88% 1,00000 R3062 996 943 0,06% 88% 1,00000 R3055 589 453 0,06% 88% 1,00000 R3 333 370 313 0,07% 88% 1,00000 R3 222 257 969 0,07% AUCTION ical QUESTION 1 (60) The Advtech Group is a JSE listed company in South Africa. Advtech operates within the education and recruitment industries in South Africa and the rest of Africa.JSE 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of JSE 100 its weight in the index is given in table 1 above. 1.1 Consider an investor with a portfolio consisting only of Advtech shares. The Treasury bill rate in 2014 was 3.06% in South Africa. Using dividend yield as (returns). Calculate the Sharpe ratio for Advtech. (20) 1.2 Calculate the capital gains for an investor who bought Advtech Shares on 2 January 2014 and held the shares until 31 December 2014 (5) 1.3 Consider an investor with a portfolio consisting only of Advtech shares. Calculate the Treynor ratio given that the beta of Advtech is 0.8 (10) 1.4 Consider an investor with a portfolio consisting only of Advtech shares Given that the J100 market index was 3%. Calculate the Jensen alpha given that Advtech beta is 0. (10) 1.5 Calculate the expected return of a portfolio consisting of 40% treasury bills and 60% Advtech shares. Given that the Treasury bill rate is 3.06%. (5) 36 Revenue grew 11% in the year to end-December 2018, but the private education group Advtech warns that trading conditions in SA remain tough. The group's student base grew 11% in the year to end-December, but the company noted this was primarily due to its expansion strategy. Tough trading conditions had prompted a drop- off of upfront fee payments from parents, who were also increasingly delaying payments. The results were somewhat lacklustre, and enrolment growth had been subdued for both AdvTech and its rival Curro over the past 18 months, said Mergence Investment Managers equity analyst Nolwandle Mthombeni. AdvTech said on Monday that operating profit in the year to end-December rose a healthy 14% to R763m, boosted by a strong performance by the group's tertiary operations. Operating profit from its university segment grew 23% to R395m and group revenue 11% to R4.4bn to end-December. Operating profit from its schools' division inched up 1% year on year. The company decreased its dividend 12% to 30c compared with the corresponding period in 2017, noting that it was seeking to preserve cash due to its expansion strategy. 2021 Forecast State Boom Normal Recession Probability 0,3 0,5 0,2 Advtech 0,18 0,14 0,09 Treasury bills 0,07 0,05 0,03 In light of this background calculate the expected return in 2021 of a portfolio consisting of 40% invested in treasury bills and 60% in Advtech shares