Investment Markets and Principles

Using recent data (Sept 2019 – Sept 2020) provided on Bahrain stocks (you can
retrieve the data either from Bloomberg or Bahrain Bourse or from other sources under my
guidance), perform the following tasks before compiling your report (equivalent to 1000
 Describe your investor’s profile
 Discuss your investment strategy as per your investor’s objectives
 Construct a portfolio of three assets according to Modern Portfolio Theory (for sure
you need to calculate the correlation coefficients between stocks) – You can simply
use Excel-Data Analysis
 You should come up with calculations of the average returns of each of the assets
over a period of 1 year
 You should obtain the betas of each of the assets (use
 You should come up with calculations of the average market returns (using Bahrain
market index BSE) over a period equal your investor’s objectives
Guidance: For your report and presentation, adhere to the following:

  1. Show your investor’s profile, your strategy, and how you constructed your portfolio
    by calculating the portfolio return, portfolio beta, and portfolio standard deviation
    [25 marks]
  2. Evaluate all portfolio’s measures of performance: Sharpe Measure, Treynor
    Measure, Jensen’s Measure [25 marks]
  3. Analyze your portfolio comparing it with the market portfolio [20 marks]
  4. Present your work to the class [30 marks] (equivalent to 500 words)

Sample Solution