ACFI825 Security Analysis and Investment Assessment 2026 | University of Liverpool

ACFI825 Security Analysis and Investment Assessment 

1. Identify Your Assigned ID

Locate your Unique Student ID in the 1.Student number and id tab. You will use this number to find your specific stock allocation. If your name is not in the tab, inform me immediately.

2. Define Your Stock Universe

Go to the 2.Stock Allocation tab. Your "Stock Universe" consists of 30 specific stocks assigned to you. To identify them:

• Find the column corresponding to your Student ID (e.g., if your ID is 12, look for column id_12).
• Sort that column in ascending order (Smallest to Largest).

Your assigned universe is the first 30 rows (stocks) appearing at the top after the sort. Everyone will have different stock universe to work on.

3. Data Collection Requirements

Once you have identified your 30 stocks, download the following historical data:

• Monthly stock return data between January 2000 and December 2017: Ensure these are Adjusted Prices (accounting for stock splits, dividends, and other corporate events).
• Risk-Free Rate: Use the one-month U.S. Treasury Bill rate. Note: this is annual rate, in your monthly return calculation, you need to divide it by 12 to have a monthly risk free rate.
• Market Benchmark: Use an appropriate stock index as your stock market return proxy.
• Insert your return data into Excel tab 3.Data. I have provided a couple of companies’ names to show you the format, you need to replace them with your own companies.

4. Security choice

Choose any 5 assets (exactly 5) from these 30 companies. Once you have made your asset choice you should only work with those 5 securities for the rest of the project. You can use any reasons to pick these 5 assets, you need to justify your stock picking strategy in your report. Complete tab 4.Stock Selection.

Part A: Portfolio Theory (70 marks)

For part A, you should not write more than 3 pages.

Your investment period is from 01/01/2014 (same as 31/12/2013) to 31/12/2017 (4 years, 48 months).

Use your 5 assets and calculate (i.) the weights in the optimum portfolio (i.e. market portfolio) and (ii.) the weights in the minimum variance portfolio using only information up to the end of 31 December 2013 (before your investment period starts). Plot the efficient frontier and the capital market line, using data only up to the end of December 2013. Complete excel tab 5.Part A(Before Oct 2013) and put graph in excel tab 5.Graph Combined. I have included one example which we have covered in seminar 3 in tab 5.

Suppose you have £ 1,000 to invest in the stock market on the 1st of January 2014 (same as 31st of December 2013). (Note: Assume you can invest by buying ‘fractional shares’.) You hold your investments for 4 years until the end of your investment period at the end of December 2017.

• On the 1st of January 2014 you buy shares (franctional shares are possible) so that your investment represents the market portfolio. What would be your terminal wealth if you allocate your funds according to the optimum weights (as calculated at the end of December 2013)? Complete tab 6.Part A TV(Before Dec 2013)
• On the 1st of January 2014 you buy shares (franctional shares are possible) so that your investment represents the minimum variance portfolio. What would be your terminal wealth if you allocate your funds according to the weights in the minimum variance portfolio (as calculated at the end of December 2013)? Complete tab 6.Part A TV(Before Dec 2013)
• On the 1st of January 2014 you buy shares (franctional shares are possible) so that your investment represents an equally weighted portfolio. What would be your terminal wealth if you invest in an equally weighted portfolio at the end of December 2013 (and you hold it for the 4 years, no rebalancing)? Complete tab 6.Part A TV(Before Dec 2013)
• What would be your terminal wealth if you invested your money in the market price index, the stock market index on the 1st of January 2014? Complete tab 6.Part A TV(Before Dec 2013)
• What would your terminal wealth be if you invested your £ 1,000 in the risk-free asset over this 4-year period and you roll your investment forward? Complete tab 6.Part A TV(Before Dec 2013)

Within Sample Optimum and Minimum Variance Portfolio:

Recalculate the optimum and minimum variance weights using data only for your investment period from the 1st of January 2014 to 31st December 2017. Complete excel tab 7.Part A Investment Period. Plot the efficient frontier with the capital market line. Compare the weights in the optimum portfolio and minimum variance portfolio which you have obtained using data only of the investment period with your results obtained when you only use information up to the end of December 2013. put graph in excel tab 5.Graph Combined.

What is your terminal wealth, if you invested in 1st of January 2014 based on the optimum weights and minimum variance weights which you have calculated in 31st December 2017 when you used only information of the investment period (i.e. with perfect hindsight)? Complete excel tab 8.Part A TV(Investment Period).

TASK on Word documents:

• Provide brief justification about why you selected your 5 stocks.
• Include the two efficient frontiers with the Capital Market Line diagrams in your word report.
• Comment on all your empirical results.
• Complete tab 9.Calculation Template using results obtained previously

Part B: Group presentation and essay questions (30 marks)

TASK: State your group presentation date, topic, and time. Write a 500-word summary about your presentation implications to real world investors. [15 marks]

Task: Write a briefing report where you explain to a potential investor or board member the stock-picking procedure which you have used in part A. Also carefully explain whether you should or whether you should not invest your money based on the optimum weight as suggested by using the optimization. You should not write more than 500 words [15 marks]