Research of Investment Portfolio

Share Names | Arithmetic Mean | Standard Deviation | Coefficient of Variation | Beta |

ANN | 0.00221 | 0.033702823 | 15.23119691 | 0.466527831 |

AMC | 0.00090 | 0.031714646 | 35.21048966 | 0.627873237 |

ARG | 0.00126 | 0.028911047 | 22.99609694 | 0.620543070 |

ALL | 0.00216 | 0.065115363 | 30.07655691 | 0.968495430 |

AMP | -0.00054 | 0.046702184 | -86.33177896 | 1.083521151 |

CTX | 0.00522 | 0.050390221 | 9.66029869 | 1.172915723 |

CAA | -0.00544 | 0.088405328 | -16.25334924 | 0.541796799 |

CSL | 0.00486 | 0.039507791 | 8.135066062 | 0.647593195 |

DJS | 0.00273 | 0.047077799 | 17.25665464 | 1.010327392 |

GNC | 0.00174 | 0.045291606 | 26.00614323 | 0.584380739 |

IAG | 0.00189 | 0.032226286 | 17.06336736 | 0.721487923 |

LEI | 0.00235 | 0.053964583 | 22.94788094 | 1.479034488 |

NAB | 0.00052 | 0.034307999 | 66.43010274 | 1.024208407 |

NCM | 0.01550 | 0.344904495 | 22.2546738 | 1.252662963 |

PMC | 0.00107 | 0.056855369 | 53.37898206 | 0.373720992 |

RHC | 0.00470 | 0.031953393 | 6.8036573 | 0.433226339 |

RIO | 0.00230 | 0.051705999 | 22.46053933 | 1.399117744 |

SGP | 0.00052 | 0.043823807 | 83.93760963 | 1.033787578 |

WPL | 0.00298 | 0.0430395 | 14.42244691 | 1.206144430 |

WOW | 0.00227 | 0.025991409 | 11.45766831 | 0.556502204 |

The table shows the arithmetic mean, standard deviation, coefficient of variation, and beta of the portfolio. Arithmetic mean (expected return) is the sum of the holding period rates of return divided by the number of period, while the standard deviation is the average amount of the distribution differ from the mean and also can be viewed as the risk of the investment (BUKU). The expected return and the standard deviation have a reciprocal relationship, which indicates that higher expected return is more likely to have higher standard deviation, and vice versa. In this case, Newcrest Mining (NCM) has the highest arithmetic mean (0.01550) with the highest standard deviation (0.344904495).

In order to...