Table 1

PROGRAMME BACHELOR OF COMMERCE IN FINANCIAL MANAGEMENT MODULE INVESTMENT AND PORTFOLIO MANAGEMENT TOTAL MARKS 60 Question 1 (60 marks) 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 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 3.06% in South Africa. Using dividend yield as (returns). Calculate the Sharpe ratio for Advtech. (20 marks)

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 marks)

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 marks)

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 marks)

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 marks)

1.6 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 groups 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 endDecember rose a healthy 14% to R763m, boosted by a strong performance by the groups 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.

PROJECT 1: INVESTMENT AND PORTFOLIO MANAGEMENT Table 1 Dividend FTSE SE Ye Covers MC Code Date 201400/60 Adrich 20140920 Add 100 2014/09/31 Advoch 20140430 Adech 2006 2014/05/30 Adtech .000 201408/30 Ah 2014073 Adech 1000 201400/2 Advoch 201408/30 Adech 201410/30 Adviech 200 2014/112 Advoch 00 2014/12,5 Ah 3223430880 90 3226 430 880090 2.9642083000 2.854420380196 2.97 430 380096 32054203800 31 430 880 90 314430 38000 3195420 38000 2298430 8300 2.998430 880090 87,95 1336595676 7,00 1320287 R7.00 318 28,601612195177 28,98237895800 28,5 1954770 87,70 13200902967 R8,00 23 371249521 18.77 3480678341 R130220073 29,00 3700100 38,70 2361656713 Free Portfolio MCNP Wie Hot Factor IN 100000 R2407130 2,07 100000 R2810549717 0,00 B 1.00000 R281484602 LOER $ 1.00000 R31631755 0.07% B 1.00000 R331480159 2,071 1.00000 R3166707700 R2851902 B 1.00000 R2906099578 0,00% 8 160000 R30629963 QOEK 1.00000 R300559453 1.00000 0,00 100000 R32122579 0,07% sssssssssss + QUESTION 1 The Astech Group is a ISE listed company in South Africa Advtech operates within the education and recruitment industries in South Africa and the rest of Alice 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of 15E 100 its weight in the index is een intable 1 above 11 Consider an investor with a portfolio consisting only of detech shares. The Treasury balrate in 2014 was 3.06% in South Africa. Urduidend yields Calculate the Sharpe ratio for Adrech 1201 1.2 Calculate the capital gains for an investor who bought Advtech Shores on 2 January 2014 and held the shares until 31 December 2014 15) 13 Consider an inventor with a portfolio consisting only of detech share. Calculate the Treyner ratio pre that the beta of Adrechos 1900 14 Consider an investor with a portfolio costing only of detech shares Given that the 1200 market indes winx Calculate the Jensen alphapven that detech butano (10 15 Calculate the expected return of a portfolio consisting of 40% treasury bills and box Astech shares. Geen that the Treasury bit rate is 3.06%. 35 PROGRAMME HANDBOOK: JULY 2020 INTAKE MANCOSA: BCOM FINANCIAL MANAGEMENT YEARS 27 Revenue grew 11% in the year to end December 2018, but the private education group Advtech warns that trading conditions in Sremain tough. The group's student base grew 11% in the year to end-December, but the company noted this was primarily due to its cansion strategy. Tough trading conditions to promoted a drop somewhat lacklustre, and enrolment growth had been subdued for both Ady Tech and its rival Curro over the were past 18 months, said Mergence Investment Managers equity analyst Nolwandle Mthombeni. Advlech said on Monday that operating profit in the years to end December rase a healthy 34% to Krem, boosted by a strong performance by the group's tertiary operations. Operating profile from its university Segment grew 26 to 295 and group revenue 11 to 4.4on to end December. Operating profit from its school division Inched up 1% year on year. The company decreased its dividend 12% to 3e compared with the corresponding period in 2017, noting that it was seeking to preserve cash due to its expansion strategy 2001 Forecast Treasury State Probability Adtech Boom 0.3 0.18 03 0.14 0.05 Becson Normal In light of this background calculate the expected return in 2023 of a portfolio conting of 40 sted in traury bills and in Advtech shares 1200 PROJECT 1: INVESTMENT AND PORTFOLIO MANAGEMENT Table 1 Dividend FTSE SE Ye Covers MC Code Date 201400/60 Adrich 20140920 Add 100 2014/09/31 Advoch 20140430 Adech 2006 2014/05/30 Adtech .000 201408/30 Ah 2014073 Adech 1000 201400/2 Advoch 201408/30 Adech 201410/30 Adviech 200 2014/112 Advoch 00 2014/12,5 Ah 3223430880 90 3226 430 880090 2.9642083000 2.854420380196 2.97 430 380096 32054203800 31 430 880 90 314430 38000 3195420 38000 2298430 8300 2.998430 880090 87,95 1336595676 7,00 1320287 R7.00 318 28,601612195177 28,98237895800 28,5 1954770 87,70 13200902967 R8,00 23 371249521 18.77 3480678341 R130220073 29,00 3700100 38,70 2361656713 Free Portfolio MCNP Wie Hot Factor IN 100000 R2407130 2,07 100000 R2810549717 0,00 B 1.00000 R281484602 LOER $ 1.00000 R31631755 0.07% B 1.00000 R331480159 2,071 1.00000 R3166707700 R2851902 B 1.00000 R2906099578 0,00% 8 160000 R30629963 QOEK 1.00000 R300559453 1.00000 0,00 100000 R32122579 0,07% sssssssssss + QUESTION 1 The Astech Group is a ISE listed company in South Africa Advtech operates within the education and recruitment industries in South Africa and the rest of Alice 100 is an index on the Johannesburg Stock Exchange, Advtech is a constituent of 15E 100 its weight in the index is een intable 1 above 11 Consider an investor with a portfolio consisting only of detech shares. The Treasury balrate in 2014 was 3.06% in South Africa. Urduidend yields Calculate the Sharpe ratio for Adrech 1201 1.2 Calculate the capital gains for an investor who bought Advtech Shores on 2 January 2014 and held the shares until 31 December 2014 15) 13 Consider an inventor with a portfolio consisting only of detech share. Calculate the Treyner ratio pre that the beta of Adrechos 1900 14 Consider an investor with a portfolio costing only of detech shares Given that the 1200 market indes winx Calculate the Jensen alphapven that detech butano (10 15 Calculate the expected return of a portfolio consisting of 40% treasury bills and box Astech shares. Geen that the Treasury bit rate is 3.06%. 35 PROGRAMME HANDBOOK: JULY 2020 INTAKE MANCOSA: BCOM FINANCIAL MANAGEMENT YEARS 27 Revenue grew 11% in the year to end December 2018, but the private education group Advtech warns that trading conditions in Sremain tough. The group's student base grew 11% in the year to end-December, but the company noted this was primarily due to its cansion strategy. Tough trading conditions to promoted a drop somewhat lacklustre, and enrolment growth had been subdued for both Ady Tech and its rival Curro over the were past 18 months, said Mergence Investment Managers equity analyst Nolwandle Mthombeni. Advlech said on Monday that operating profit in the years to end December rase a healthy 34% to Krem, boosted by a strong performance by the group's tertiary operations. Operating profile from its university Segment grew 26 to 295 and group revenue 11 to 4.4on to end December. Operating profit from its school division Inched up 1% year on year. The company decreased its dividend 12% to 3e compared with the corresponding period in 2017, noting that it was seeking to preserve cash due to its expansion strategy 2001 Forecast Treasury State Probability Adtech Boom 0.3 0.18 03 0.14 0.05 Becson Normal In light of this background calculate the expected return in 2023 of a portfolio conting of 40 sted in traury bills and in Advtech shares 1200