代写Advanced Funds Management (M) Assignment

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代写Advanced Funds Management (M) Assignment
Advanced Funds Management (M) Assignment

The submission date for this assignment is the 7th of October, 2016 (by 11:59pm).

Report Format:

Each report needs to have a cover sheet with the details and signature (electronic is okay) of each member

of the group. The report is composed of four (4) sections, and each member of the group is required to be

associated with one section of the report and must be explicitly specified at the beginning of each section.

Submission Procedure:

Turnitin does not allow multiple files to be uploaded. You will need to use the following procedure to

submit all the files for your assignment. Submit ONLY the report through Turnitin using the "Advanced

Funds Management" link in ASSESSMENT on MyUni. Please note that only One report needs to be

submitted by one person in the group. The same person will submit the appendix files (such as EXCEL

SPREADSHEETS and WEB PAGES, etc.) using "Assignment Appendix Files" link in ASSESSMENT

on MyUni.

Late Submission:

Late submission will be penalised 1 mark (out of 20 marks or 5%) per day. The report should be around

4000 words (excluding tables, graphs, charts, references and appendix).

Marks:

Each section caries the same marks, 25. However, the marks to each student will be awarded using the

following formula:

Mark for student I = 80% x Section (student completed) + 20% of average mark for the 4 sections

(assignment).

Report Format

The report will have 4 sections. Each section will start with the details of the student responsible for that

section. Further details for each section is provided below:

Section 1: Strategic Asset Allocation (SAA) using MV Framework (around 1000 words)

This section requires the creation of a strategic asset allocation that is expected to achieve the investment

objective specified. This section should provide the following:

1. Specify the Investment Objectives in terms of Required Return and Risk.

2. Discuss the assets used in the construction and brief characteristics of each. It is important to discuss

the role each is expected to play in the portfolio in terms of achieving the investment objectives. The

index used for each asset class/sub-asset class must be specified.

3. The inputs to a SOLVER must be provided: (i) brief description of the historical data (such as

frequency, start and end date of the data series, etc.), (ii) return calculation, and (iii) asset expected

return, volatility and variance-covariance matrix.

4. The constraints, including required return, must be explained as to why they were used in light of the

assumptions of the MV framework.

5. The resulting asset allocation must be discussed qualitatively in terms of its ability to achieve the

investment objectives. It is important to understand that this asset allocation is created using ONLY

historical index data. Results from Section 3 and 4 for the sub-allocation to active and passive

components for Domestic Equities and FIS should also be provided in this section.

Section 2: Stress Test of the two SAA. (around 1000 words)

This section will analysis the two asset allocations (portfolios); the first from the IPS (based on the allocation

specified for the group) and the second asset allocation is the one created in Section 1. This section should

provide the following:

1. Provide evidence to see if each portfolio is able to achieve the investment objectives over the historical

period.

2. Evaluate the performance of both portfolios during periods of “stress”, a period usually associated

with market downturn. The evaluation will also identify the reason for one portfolio to perform worse

or better than the other portfolio.

3. A benchmark portfolio (growth:defense) that is specified for each investment objective can also be

used to provide comparative analysis (similar to JAKE’s case in Chapter 2).

4. Evaluate historical best and worst performance (similar to Chapter 7, page 228-229) over specific

periods and its effect on the portfolio to achieve investment objectives.

5. Based on the evidence in the above 4 steps evaluate the ability of each portfolio to achieve specified

investment objectives in the future.

Section 3: Active Equity Component (around 1000 words)

This section will discuss the creation of an active Domestic Equity component that is designed to beat the

benchmark over the next 6 months. This section should provide:

1. The Investment/Strategy Philosophy: the investment philosophy details why your active

component should work (that is outperform the benchmark) and when it should not work. This

requires to first identify and understand the benchmark. The benchmark should be the same as the one

used in Section 1 for Domestic Equities. The active investment strategy must be detailed (please refer

to Chapter 6 for details) with reference to the benchmark. The philosophy of the strategy should be

justified both qualitatively (providing theoretical arguments to why and when the strategy should work)

and/or quantitatively (using historical data to show that this strategy has worked in the past.

2. Signal Creation: As mentioned in Chapter 6, a clear signal needs to be established for the investment

strategy to “start” investing as well as to “stop” the investment. This section must explain why the

signal was chosen and how it has worked in the past.

3. Proportion of the Domestic Equity component: The decision regarding the proportion of active vs

passive needs to be justified (qualitatively and/or quantitatively). The allocation to active and passive

components may be based on (i) a signal (from step 2 above), (ii) a fixed proportion based on the basis

of certainty of forecast/analysis, (iii) a quantitative technique based on sector neutrality (Chapter 8 on

pages 256-263), or (iv) a quantitative technique such as Treynor-Black Model.