MAF 707 : Investments & Portfolio Management - Management Assignment

Internal Code -  MAS3458

Management Assignment

Question - Assume that you have been appointed recently as a Research Analyst at JF Asset Managment Ltd and the management has requested you to prepare a report by answering questions in Part I and Part II. 1.1 Part I - Company level and market level analysis (50 marks) Using the 10 stocks above (see Appendix II for descriptive details from Bloomberg for these stocks), you are required to write a summary for each company along with the market index (Appendix I) in this part of the exercise. In your summary you will also cover issues such as correlation between assets including their relationship with the mar- ket index, summary statistics on returns (using the data provided in Excel spreadsheet)in addition to the information reported on the description provided in Appendices I & II. You are advised to source additional information from databases such as DatAnalyt-ics Premim from the library web page to structure your summary. The purpose of this summary is to inform the management as part of aiding decision making with respect to portfolio management activities of JF Asset Management Ltd covering detailed informa-tion relating to the above companies as well as the overall market for portfolio decisions.[1500 words = 50 marks ] 1.2 Part II - Portfolio analysis (50 marks) Part II of the Assessment requires you to conduct estimation and evaluation of various portfolios using continuously compounded return various trading strategies. a)Using these 10 stocks, you are required to form an equally weighted portfolio and com-ment on the performance using traditional performance measure such as Sharpe and Treynor ratios. Equally weighted portfolio requires equal distribution of the available fund (AUD 500 million) on 13 April 2012 and generate risk-return measures using this naive strategy. (250 words = 10 marks) b)Assuming no short-sale is permitted, you are required to construct an efficient frontier using the continuously compounded return data from 13 April 2012 to 13 April 2017 for different target return. You are required to use target returns of 1%, 2%, 3%, 4%, 5%, 6%, 7%, 8%, 9%, 10%, 11%, 12%, 13%, 14%, 15%, 16%, 17%, 18%, 20% and 25% using the 10 stocks identified above. Please note that there may not be convergence at certain target returns and you are required to report evidence of convergence or convergence failure at these target returns in an appendix. If there is no convergence achieved at a given target return clearly identify the target returns that fail to achieve convergence in a table for those respective target returns. Provide details (weights, and annualized return and standard deviations) of the efficient portfolios forming the frontier for those target returns that achieve convergence and you are advised to present these estimation output in an appendix (please maintain neatness and readability of the estimation output with respect to individual target returns). Having completed these estimation procedures, you are required to comment on the performance of these portfolios using different perfor-mance measures ( such as return, risk, portfolio beta, Sharpe ratio and Treynor ratio).[750 words - 25 marks] c)Generate the global minimum variance portfolio that sits at the point of the efficient frontier and comment on the performance of this portfolio. (250 words = 15 marks)