ASB3215: Portfolio Management - A Detailed Explanation of the Rationale for the Strategy - Management Assignment Help

Assignment Task:

ASB3215: Portfolio Management

This assignment requires you to devise an equity market investment strategy and to use real past data for ‘backtesting’ this strategy. The strategy can be in any equity market and can involve an international portfolio. The strategy must be based on fundamental analysis, not technical analysis. The backtesting must be implemented in Excel and the electronic file will be part of the submission. In terms of structuring the written assignment, you should envisage a scenario of writing a report for a senior portfolio manager. The written document has a word limit of 1,000 words (+/- 10%).

It must comprise

(i) a very brief introduction;

(ii) a detailed explanation of the rationale for the strategy;

(iii) an analysis of the results of the backtesting;

(iv) a focused conclusion.

You are free to choose the investment strategy, but some possible topical approaches to framing the portfolio formation might involve environmental, social and governance (ESG) factors, financial technology, artificial intelligence and big data or international politics and trade. In terms of quantitative techniques, you should utilize your studies in the pre-requisite module ASB2217/3217 (‘Investment’). For example, within that module, you studied arithmetic and logarithmic returns, portfolio returns, a standard deviation of returns and covariance of returns. You will be applying the techniques on past data i.e. not using expected returns. You will need to decide on the data frequency (i.e. daily, weekly or monthly returns), which will influence your calculations of risk (i.e. standard deviation or another measure such as CAPM beta). You will need to decide on the number of assets in the portfolio and to identify an appropriate benchmark of past performance. In ASB3215, we will discuss benchmarks and some methods of performance measurement. Of course, there is a vast amount of online resources on this aspect.

You will collect the required data from freely available online sources using the time period 2010-2019. This must be documented in your written assignment and your Excel file will be part of the submission hence the data preparation and calculations are part of the assessment. This assignment provides an opportunity to engage with real-world issues in portfolio management and to apply concepts from this module and possibly from other modules that you have completed. It enables you to improve your skills in data collection, data analysis and Excel.

The assignment will be assessed on the following criteria:

• Ability to devise a plausible equity investment strategy;
• Ability to collect real-world data and to implement analysis in Excel;
• Quality of the interpretation of your research;

Ability to convey your analysis in a concise and well-presented report, including tables and graphs. Use 12-point font and 1.5 line spacing. Ensure full acknowledgement of your sources of information and data. Your reference list should include at least five academic journal articles. If desired, an appendix can be used to present the most technical details. The word count (excluding the reference list and appendix) must be stated on the cover page.

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