| University | University of Essex (UOE) |
| Subject | BE313 Portfolio Analysis |
BE313 PORTFOLIO ANALYSIS Assignment, VOE, Singapore: Explain the concept of total risk of a security and the two risk components: systematic risk and unsystematic risk
Download stock prices for a company in any industry and for the market benchmark index in any country. Select monthly data (closing or adjusted prices) for 5 years or 60 periods. You can use any database to obtain the prices e.g., datastream, Yahoo Finance (click the Investing tab followed by the Historical Prices tab), etc.
Calculate the percentage change in stock price and the percentage change in the market index. Generate the regression (dependent variable –Y is the stock, independent variable- X is market change), and make sure to check the intercept to zero. All you need is the coefficient of X; this is the beta coefficient.
After calculating the beta, answer the following questions:
1. Explain the concept of total risk of a security and the two risk components:
systematic risk and unsystematic risk. Describe what happens to the total risk of a portfolio as the number of securities increases.
2. Suppose a company stock has a beta of 1.25. If the market falls by 25%, what might happen to the value of the stock?
3. Suppose a company stock has a beta of 0.82. What does that mean?
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