19 Jul 2019 • 6 min read
Earlier this year, Nike became the official uniform and footwear supplier of Major League Baseball (MLB). This means that Nike now dominates three of the four major professional sports leagues within the U.S.: MLB, NBA, and NFL. When I learned that Nike had secured its third major deal, I was curious about its recent stock performance. Using portfolio analysis and optimization techniques, my goal was to create an efficient sports stocks portfolio. For those who are unfamiliar with portfolio analysis, a portfolio is essentially a group of assets. The assets, or stocks, that I included in my analysis were : Nike (NKE), Under Armour (UAA), Disney (DIS), Adidas (ADDYY), and Foot Locker (FL). Identifying the most efficient portfolio is an optimization problem, and there are two main objectives involved. The first is to select a portfolio that yields high returns, whereas the second is to assure that these returns are stable. For this reason, my goal is to determine which combination of sports assets will yield minimum risk and high expected return. The data is composed of monthly adjusted close prices, which are adjusted for dividends paid or stock splits. It ranges from May 2013 to May 2019.