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Prepare a report describing the historical performance of each of your chosen companies over the 5 years ending on 30 June, 2019, relative to all six companies as a portfolio. i. As a next step provide some statistics on the distribution of the returns for each of your six companies over the 5-year period. Table 5.4 in the text may be used as a guide on which statistics should be calculated. Ensure that you report annualised figures over the entire 5-year period (no need to report all statistics for individual years). The companies are: 1) Domino's Pizza Enterprises Ltd (DMP) 2) Reece Ltd (REH) 3) Myer Holdings Ltd (MYR) 4) Tower Ltd (TWR) 5) Metcash Ltd (MTS) 6) Bluescope Steel Ltd (BSL) The data can be find on http://www.asx.com.au/asx/markets/equityPrices.do.Market Index Big/Growth Big/Value Small/Growth Small/Value A. 1926-June 2016 Mean excess return (annualized) 08.30 7.98 11.67 8.79 15.56 Standard deviation (annualized) 18.64 18.50 24.62 26.21 28.36 Sharpe ratio 0.45 0.43 0.47 0.34 0.55 Lower partial SD (annualized) 19.49 18.57 22.78 25.92 Skew 25.98 0.20 -0.10 1.70 0.70 2. 19 Kurtosis 7.77 5.55 19.05 7.83 22.21 VaR (1%) actual (monthly) returns -13.95 -14.68 -19.53 -20.59 -20.47 VaR (1%) normal distribution -11.87 -11.80 -15.63 -16.92 -17.87 % of monthly returns more than 3 0.94% 0.75% 0.94% 0.75% SD below mean 0.57% Expected shortfall (monthly) -20.14 -20.33 -24.30 -25.02 -25.76 B. 1952-June 2016 Mean excess return (annualized) 7.52 7.18 9.92 7.05 13.34 Standard deviation (annualized) 14.89 15.54 15.95 22.33 18.42 Sharpe ratio 0.50 0.46 0.62 0.32 0.72 Lower partial SD (annualized) 16.51 15.67 16.01 23.79 19.36 Skew -0.52 -0.36 -0.29 -0.36 -0.35 Kurtosis 1.90 1.81 2.26 2.17 3.48 VaR (1%) actual (monthly) returns -10.80 -10.90 -11.94 -16.93 - 15.21 VaR (1%) normal distribution -9.37 -9.84 -9.89 -14.41 -11.26 % of monthly returns more than 3 0.66% 0.66% 0.80% 0.93% SD below mean 1.19% Expected shortfall (monthly) -18.85 -17.99 -21.30 -24.66 -28.33 Table 5.4 Statistics for monthly excess returns on the market index and four "style" portfolios data_library.html. Sources: Authors' calculations using data from Prof. Kenneth French's Web site: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/