Data has been sourced need to start from 2.2.
2.1.Price/Book and long-term growth estimate data for your three stocks and the S&P1500: correct items, organization, presentation. (5 points)
2.2.Use the Russell methodology we studied in class to calculate the value probabilities for each stock. Be sure to organize and label the required statistics, including all relevant distribution breakpoints, the value scores, the growth scores, and the composite value scores for all stocks in the universe. I should be able to follow each step of your calculation of the value probabilities. (10 points)
2.3.Build a Value Index and a Growth Index (Ticker and Weight as well as numerator and divisor) using the value probabilities calculated in step 2.2. Use 0.5 as a value probability if the value score is N/A. (5 points)
2.4.Based on the value probabilities of your three stocks and their weights in the portfolio, what is the style orientation of your portfolio from (1.2)? Hint: you need to compute the portfolio weighted average value probability to answer this question. (4 points)
2.5.Using the deannualized yield (FactSet ID US10YY-TU1) on the 10-year T-Note as the risk-free rate, calculate the Sharpe ratio of the three Russell benchmarks and compare it to your portfolio. How efficient was your portfolio relative to these benchmarks? (hint the T-Note data obtained from FactSet is the annual YTM, so it must be reduced to a monthly yield to be comparable to the monthly returns) (4 points)
2.6.Estimate the alpha and beta of your portfolio relative to each of the three benchmarks. Compare the R2 relative to the R3000V with the R2 relative to the R3000G. Is this result consistent with the style orientation of your portfolio? (8 points)
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