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FIN5PMT: Portfolio Management- Project Report Assignment
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Internal Code: MAS1655
Bonus Points (as of close on 7 Oct 2016)
1. The highest portfolio value among all groups: 2 points
2. The second or third highest portfolio value: 1 point
3. Higher portfolio value than the benchmark: 2 points
Benchmark: SPDR S&P 500 ETF Trust (SPY)
Important Note: The groups eligible for bonus points need to give a 5-minute presentation on their performance report on 17 Oct 2016. The groups who decide not to present will receive ZERO bonus points.
1. Total performance mark = Min(Base Points + Bonus Points, 12)
For example, Group X achieves a final portfolio value of $140,000, which positions it the second in the class, while the investment of $100,000 in the benchmark results in a final value of $100,300. If the group also presents their performance report in the class, the total performance mark = Min(10 + 1 + 2, 12) = 12.
Part Two (Performance Report)
1. Trader’s Log – Each group needs to keep a log documenting their trading activities. More specifically, the log should include a brief analysis of weekly trading activities of your portfolio (what transactions did you make, what was the reasoning behind each transaction, what happened during the week that affected your portfolio value, etc.). In addition, the value of each portfolio at the end of each trading day should be recorded along with the value of the DJIA, the S&P 500, and the NASDAQ Composite. It should be prepared and submitted in an Excel file.
2. Summary Analysis – Each group needs to prepare a summary report on their portfolio simulation experience. This should include both qualitative and quantitative analysis. You also need to discuss your trading strategies and their results. Highlight your best and worst transactions and discuss each in depth. (Note that this may or may not be your
biggest gain and biggest loss.) Also, you should compare your results with each of the three indices using various performance indicators discussed in the class (e.g., Sharpe Measure, Treynor Measure, and Jensen’s Alpha). It should be prepared in a Word file with about 1500 words.
3. The deadline of submitting Trader’s Log and Summary Analysis is Monday, 17 Oct 2016 and they are worth 18% of the final assessment.
Project Report Assignment:
Task: Part One (Portfolio Management) Each group is required to manage a $100,000 portfolio (described below) through Virtual Stock Exchange Games of Market Watch. Trading begins on Monday, 15 August 2016 (U.S. time) and ends on Friday, 7 Oct 2016 (an 8-week trading period). The assessment of this part of the assignment is based on the performance of the portfolio under management, which contributes 12% of the final assessment. A. Trading Account: The portfolio needs to be an active “trading” account. The goal of portfolio management is to accumulate more wealth. Each group has to conduct at least 30 transactions but no more than 200 transactions over the 8-week trading period. Failure to meet these trading requirements will result in a 3-point penalty on the project. B. Base Point Allocation
Bonus Points (as of close on 7 Oct 2016)
1. The highest portfolio value among all groups: 2 points
2. The second or third highest portfolio value: 1 point
3. Higher portfolio value than the benchmark: 2 points
Benchmark: SPDR S&P 500 ETF Trust (SPY)
Important Note: The groups eligible for bonus points need to give a 5-minute presentation on their performance report on 17 Oct 2016. The groups who decide not to present will receive ZERO bonus points.
1. Total performance mark = Min(Base Points + Bonus Points, 12)
For example, Group X achieves a final portfolio value of $140,000, which positions it the second in the class, while the investment of $100,000 in the benchmark results in a final value of $100,300. If the group also presents their performance report in the class, the total performance mark = Min(10 + 1 + 2, 12) = 12.
Part Two (Performance Report)
1. Trader’s Log – Each group needs to keep a log documenting their trading activities. More specifically, the log should include a brief analysis of weekly trading activities of your portfolio (what transactions did you make, what was the reasoning behind each transaction, what happened during the week that affected your portfolio value, etc.). In addition, the value of each portfolio at the end of each trading day should be recorded along with the value of the DJIA, the S&P 500, and the NASDAQ Composite. It should be prepared and submitted in an Excel file.
2. Summary Analysis – Each group needs to prepare a summary report on their portfolio simulation experience. This should include both qualitative and quantitative analysis. You also need to discuss your trading strategies and their results. Highlight your best and worst transactions and discuss each in depth. (Note that this may or may not be your
biggest gain and biggest loss.) Also, you should compare your results with each of the three indices using various performance indicators discussed in the class (e.g., Sharpe Measure, Treynor Measure, and Jensen’s Alpha). It should be prepared in a Word file with about 1500 words.
3. The deadline of submitting Trader’s Log and Summary Analysis is Monday, 17 Oct 2016 and they are worth 18% of the final assessment.