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MANCOSA COM PANCIAL MANAGEMENT YEAR 39 PROIECT QUESTIONS - SEMESTER 1 PROIECT INVESTMENT AND PORTFOLIO MANAGEMENT Table 1 Poto NeMC DE NOM 00 040 Adtech

MANCOSA COM PANCIAL MANAGEMENT YEAR 39 PROIECT QUESTIONS - SEMESTER 1 PROIECT INVESTMENT AND PORTFOLIO MANAGEMENT Table 1 Poto NeMC DE NOM 00 040 Adtech 201402 detach 2014 2014 Adtech 20540/30 Add 100 201406/30 2014/07/31 100 2014/08/29 Adtech 100 2014/09/30 Advted 1300 2014/15 Advtech 1100 2014/11/28 Advtech 2014/12/21 Avtach 32 DOROSO 3 000 2.565 42010050 200090 29 08800 33120 280 090 8420830090 1420880 000 21555 120 880090 289420880 090 2,99% 420380 090 7.95 13345996715 175139765 R7.50 R 3195683684 R. 3032195177 28.55 R3756876806 RES R3598 524770 17,70 R3200 902 957 R. R3371 249521 R8.27 R3480678 344 125 R3472250 743 19.00 R3787920810 R870 R3661656783 1.00000 100000 1.00000 160000 1.00000 1.00000 89% 1.00000 1.00000 1,00000 88% 1,00000 38% 1.00000 38% 1.00000 EGGS R2564077110 2818 549787 R2314846042 R3 195331 755 R3314851589 R3166 701 797 R2851994602 R2 966 699 578 R3052 996 93 R3055 589453 R3333 370 313 R3222257969 0,07% 0.00% 0.06% 0.07% 0.07% 0,06% 0,06% 0,06% 0,06% 0,06% 0,07% 0.07% QUESTION 1 (60) The Advtech Group is a ISE listed company in South Africa. Adtech operates within the education and recruitment industries in South Africa and the rest of Africa SE 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of JSE100 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 3.068 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) 13 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 corsisting only of Advtech shares Given that the 3100 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) PROGRAMME HANDBOOK: JULY 2020 INTAKE 36 MANCOSA COM PANCIAL MANAGEMENT YEAR 39 PROIECT QUESTIONS - SEMESTER 1 PROIECT INVESTMENT AND PORTFOLIO MANAGEMENT Table 1 Poto NeMC DE NOM 00 040 Adtech 201402 detach 2014 2014 Adtech 20540/30 Add 100 201406/30 2014/07/31 100 2014/08/29 Adtech 100 2014/09/30 Advted 1300 2014/15 Advtech 1100 2014/11/28 Advtech 2014/12/21 Avtach 32 DOROSO 3 000 2.565 42010050 200090 29 08800 33120 280 090 8420830090 1420880 000 21555 120 880090 289420880 090 2,99% 420380 090 7.95 13345996715 175139765 R7.50 R 3195683684 R. 3032195177 28.55 R3756876806 RES R3598 524770 17,70 R3200 902 957 R. R3371 249521 R8.27 R3480678 344 125 R3472250 743 19.00 R3787920810 R870 R3661656783 1.00000 100000 1.00000 160000 1.00000 1.00000 89% 1.00000 1.00000 1,00000 88% 1,00000 38% 1.00000 38% 1.00000 EGGS R2564077110 2818 549787 R2314846042 R3 195331 755 R3314851589 R3166 701 797 R2851994602 R2 966 699 578 R3052 996 93 R3055 589453 R3333 370 313 R3222257969 0,07% 0.00% 0.06% 0.07% 0.07% 0,06% 0,06% 0,06% 0,06% 0,06% 0,07% 0.07% QUESTION 1 (60) The Advtech Group is a ISE listed company in South Africa. Adtech operates within the education and recruitment industries in South Africa and the rest of Africa SE 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of JSE100 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 3.068 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) 13 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 corsisting only of Advtech shares Given that the 3100 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) PROGRAMME HANDBOOK: JULY 2020 INTAKE 36