I was assigned to the Industrial Machinery & Equipment department.

By April 14 you should have selected your firms and begin to follow and record stock prices, dividends, stock buybacks, or other events that impact the cash flow from your assets. You will use an Excel workbook to do this. In Files is a template Workbook labeled Project Workbook. The design of the worksheets is up to you, but they should be detailed enough and documented enough so that when you turn it in to me, I can understand your calculations. You must explain (one sentence) why you chose to trade your positions during the time you are monitoring your portfolio. You must cite any sources where you get data or forecasts.

You are allocated $1,000,000 to form your portfolio. Although you will not get great diversification, I suggest you have no more than 10 companies in your portfolio. You will need to track the daily performance of your individual stocks, your portfolio, the 90-day T-bill yield, converted to daily rates, as well as the S&P500. You will need to calculate the daily holding period return for each of your stocks, your portfolio, and the S&P 500. All of the data you need is available on the web for no cost.

You will also use your workbook to calculate:

1. the portfolio Beta ( from Betas available on the web)
2. the Sharpe Ratio
3. the efficient frontier formed by the S&P500 and your portfolio
4. the alpha on your portfolio
5. the estimated Beta for your portfolio using regression analysis

All of these topics will be covered as the class progresses.

You must take into account the tax consequences of trades (capital gains) as well as distributions (dividends or buybacks). You must net these taxes from your return at the end of the project.

Individual Asset Data Portfolio Beta Holding Period Returns Regression Estimates Sharpe Ratio Efficient Frontier Alpha Individual Asset Data Portfolio Beta Holding Period Returns Regression Estimates Sharpe Ratio Efficient Frontier Alpha