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.
    代写Advanced Funds Management (M) Assignment
    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 FIS 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) or (ii) a fixed proportion based on the
    basis of certainty of forecast/analysis.代写Advanced Funds Management (M) Assignment