Investing Of Mutual Funds : Invesco Small Cap Value B

After levering the equity beta, the asset beta of the firms are calculated. As mentioned we think that the three discount brokerages (highlighted in green) should be used as comparables for Ameritrade. The average asset beta of the three firms is 1.386. As a comparison the investment services firms have average asset beta of 0.603 and the one internet company (Mecklermedia) for which enough historical data is

I. Rate of Return on Total Assets: Measures the company’s profitability relative to total assets. A percentage increment for Company G, from 12.30% to 13.68% (2011-12) keeps them above industry benchmarks (8.60% and 12.30%). Rate of Return on Total Assets represents strength for Company G.

As of November 17, 2017, we had a negative return of 7.46%, whereas the benchmark index generated a return of 3.48%, meaning that we underperformed the benchmark by 10.94%. The decrease in market value of common stock holdings accounted for approximately 3.46% of the total loss, and losses from futures contracts accounted for approximately 4%. The standard deviation of our portfolio was 3.41%. Our portfolio had a shape ratio of -2.35%, and the information ratio was computed to be -9.6%.

* Stock Beta: Exhibit 5 shows a detailed measurement of the company’s stock returns in relation to the rest of the market through 5-year historical price and index data. The analysis includes monthly returns of both the NYSE and the S&P 500 index in order to capture a comprehensive view of the market return. In each comparison, the monthly returns of the Target stock and market are plotted on Y-axis and X-axis respectively to get the regression line’s slope or beta. The analysis arrives at an average beta of 0.988 which indicates a similar movement of Target stock’s returns in comparison to the whole market over time.

4. If the slope of the line measuring a stock's historic returns against the market's historic

(1) What is a beta coefficient, and how are betas used in risk analysis? (2) Do the expected returns appear to be related to each alternative’s market risk? (3) Is it possible to choose among the alternatives on the basis of the information developed thus far? Use the data given at the beginning of the problem to construct a graph that shows how the T-bill’s, High Tech’s, and Collections’ beta coefficients are calculated. Discuss what beta measures and explain how it is used in risk analysis.

The regression that we performed in excel for both stocks yielded a beta of .73576 for Reynolds, and a beta of 1.4198 for Hasbro. In question 2 we learned that although Reynolds stock was riskier independently, adding it to the portfolio made it more diversified compared to adding Hasbro, due to the fact that it was less correlated to the market portfolio. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Therefore, since the beta of Reynolds is lower than Hasbro, our beta calculations align with the fact that Reynolds stock makes the overall portfolio less risky. This finding is also intuitive when considering the nature of the companies; Reynolds is a Tobacco company meaning that is should be less sensitive to changes in market conditions than a toy company like Hasbro.

2. Compares the returns of the asset to the market over a period of time (Beta)

A common practice to determine the firm’s beta is to draw from historical data from published sources or compare numbers to competitors. In this case, Heinz can compare to Kraft, Campbell Soup and Del Monte and use professional judgement in determining the stock’s sensitivity to the market. A stock’s beta can be determined using a formula as well.

13. According to these three scatterplots, three-year data and three-month data both show the beta of holding Under Armour shares should be around 1.22~1.23. However,

by x%, the portfolio changes by x*beta%  market value of the market representation product used for short selling

Since we did not have any data to establish appropriate weights, we used the arithmetic mean to derive a beta for Ameritrade.

For estimation of betas, the above equation was run for the period from Jan, 2003 to Dec, 2006. Based on the estimated betas we have divided the sample of 63 stocks into 10 portfolios each comprising of 6 stocks except portfolio no.1, 5 and 10 having seven stocks each. The first portfolio 1 has the 7 lowest beta stocks and the last portfolio 10 has the 7 highest beta stocks. The rationale for forming portfolios is to reduce measurement error in the betas.

Invesco Ltd. is the global leader among independent investment management firms. It has no other business interests which help it keep the entire focus on its prime business line.

Some studies do examine the portfolio management along with the market volatility, impact however; the scope is often limited to a Bangalore. This study takes a look at the awareness of Mutual fund industries its growth in India. If one considers the transactions by domestic mutual funds (MFs) in the equity market an indicator of domestic investor participation in the stock market, domestic investors have been active participants in recent times. But the common perception that domestic investors lack market-moving influence is not entirely based on fact.