1709 Words7 Pages

FINC 6009
Portfolio Theory & Its Application
Group Assignment
Dr Hamish Malloch
Cross Streams
Zhe Yan 430462009
Table of Contents
Executive Summary
Justification of Data
Section One: Portfolio Constructions
Section Two: Empirical Results and Discussion
Section Three: Fama-French Model
Section Four: Regression Analysis
Section Five: Re-consideration of Smart Beta Strategy and Conclusion
Executive Summary
Recent years have seen the rapid development of indexing investment. As an increasing number of investors have been aware of the superior returns of the alternative strategies, many new smart betas are created. This paper uses the 30 stocks from Dow Jones Industrial Average Index to build seven portfolios. One of the portfolios is based on traditional market capitalization which is regarded as the benchmark, the other six portfolios are all based on alternative strategies.
The objective of this paper is to compare the performance of cap-weighted portfolio with non-cap-weighted portfolio and an in-depth analysis will be presented in the light of identifying the source of the performance of each portfolio using the Fama-French model.
Justification of Data
Sources of Data
All the portfolios are constructed by 30 stocks which are from the Dow Jones Industrial Average Index. These are all large and world famous companies listed in the United Stated. The adjusted closing price is used in this paper as it takes dividends and stock

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