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Beta Case Study

905 words - 4 pages

25721
Investment Management

BMC Case Study

Student Name: Junwei Wang
Student ID: 11516655

Class Time: 6 p.m. – 9 p.m. Tuesday
Lecturer: Wing Bui

Table of content
Q 1. 1
Q 2. 1
Q 3. 2
Q 4. 2
Q 5. 3

Beta Management Company
I. Case Background
Beta Management Company was founded in 1988 by Ms. Wolfe. Beta Management Company is a small investment management company based in a Boston suburb. Beta Management Company was successful in 1989 ...view middle of the document...

Unlike before, Beta increase the equity exposure from 50% to 80%. Beta used to have 1% to 50% debt and 50% to 99% equity. Now, the portfolio will become as 20% debt and 80% equity. And also based on the performance of the two stocks, they are both unsteady stocks which mean that the risk of the Beta’s portfolio will be increased. However, we can also found that the return will be much higher.
C. Ms. Wolfe is a contrarian investor. Base on the performance of the two stocks, these two stocks were unsteady and the losses rate is much higher than the return rate.

III.
a. California R.E.I.T. was a real estate investment trust. Their stock had been badly damaged by the “World series” earthquake of 1989. Base on the Figure 1, it is easily found that the performance of the stock is volatile. Although the trend is similar with the index trend, California R.E.I.T. was still in a bad position.
b. Brown Group Inc. was one of the largest manufacturers and retailers of branded footwear, and had been undergoing a major restructuring program since 1989. The stock performed steady and positive. However, there was a significant drop in late 1989 and late 1990.
IV.
a. The average return of California R.E.I.T. is -2.27% and the average return of Brown Group Inc. is -0.67%. The standard deviation of California R.E.I.T. is 0.092307 and the standard deviation of Brown Group Inc. is 0.081668. The standard deviation of S&P index is 0.46036. Compare with SP500, California R.E.I.T.is more risker.
b. In portfolio SPC, the...

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