代写Applied Portfolio Management、代写Matlab程序、代做Matlab

日期：2018-07-24 09:50

Assignment 2 (Individual) 1 1 This is an individual assignment for

25579 Applied Portfolio Management.

Marco Navone

March, 2018

After the success of your robo-advice venture you decide to explore

alternative sources of profitability for your company. You realize that

Australian investors are often forced to chose between expensive actively

managed equity funds and index portfolios that, while cheap, do

not offer any active return. You decide that in this gap there is space

for a factor-based smart beta portfolio. . .

Your task in this assignment, is to produce a blueprint for a

factor-based smart beta US equity investment product for the Australian

market.

Your final document will have four components, each one with its

own score and deadline.

1. A brief non-technical explanation of the philosophy behind momentum

investing.

2. The backtesting process for a series of possible investment factors

and your final selection of a small number of factors.

3. The construction of your multi-factor model and of your smart

beta product.

4. A fact sheet of your product.

The deadlines listed below are relative to the electronic delivery

of the assignment in UTS-Online. A paper copy should also be

delivered at the beginning of the lesson on the same day.

Electronic delivery of the assignment should contain a zip file

named A2_StudentID_partZ.zip where Z is the part of the assignment

(1, 2, 3 or 4). This file should contain a .pdf file with your work

and all the Matlab files used2. 2 I will only read the pdf file but I may

want to look at your Matlab code if I

find any strange number.

In writing this assignment you should keep in mind that it

is designed to replicate the production process of a market-ready

investment product. So both in your style and your presentation you

should try to use a professional tone.

assignment 2 (individual) 2

Part 1 - Momentum Investing

Deadline: May 21, 2018 2.00pm

Score: 5 points [2 points for presentation and 3 for content]

This will be a one page document with a not too technical

explanation of momentum investing. The intended audience is a

prospective client with a moderate understanding of finance but has

never heard of momentum. The document should answer the following

questions:

• What is momentum? [1 point]

• Why should it work? [1 point]

• How well did it work in the past? [1 point]

As you can see from the description there is no computational

work involved. Here the idea is to test your ability to effectively communicate

to your clients the ideas behind your investment strategy.

You are welcome to look online for alternative explanations of

momentum beside what has been analyzed in class. Kenneth French

website3 has data on past momentum returns. 3 http://goo.gl/Jerghh

With only one page, space is at premium4. This should force you 4 Please do not use font size below 10

to think about the most effective way to communicate information. and margins below 1cm.

Presentation accounts for 40% of the marks for this part of the assignment.

. .

Part 2 - Univariate Backtesting

Deadline: May 28, 2018 2.00pm

Score: 8 points [2 points for presentation and 6 for content]

This will be a two pages document with a precise but not too

technical explanation of your backtesting process to validate individual

screening factors. The document should contain:

• A description of the backtesting process (time period, rebalancing,

portfolio size, etc.). [3 points]

• A description of how "good signals" are chosen. [2 points]

• The results of the experiment and the short list of the "winners". [1

point]

In building your backtesting you should remember to leave out

of your process some of the data that you will need to perform an

out-of-sample validation at the end of the next assignment.

assignment 2 (individual) 3

Part 3 - Portfolio Strategy (Long-Short or Smart Beta)

Deadline: June 11, 2018 2.00pm

Score: 12 points [2 points for presentation and 10 for content]

This will be a three pages document with a precise but not too

technical explanation of your portfolio model. The document should

contain:

• Your methodology for mixing the "winning" factors from the previous

assignment. [2 points]

• Your methodology building the smart beta or Long-Short portfolio.

[4 points]

• An analysis of the performance of this product (compared to the

market) both in-sample and out-of-sample. [2 points]

• An Executive Summary for your prospective investor [2 points]

containing:

1. A brief description of the investment ideas behind your factor

model.

2. A non-technical explanation of the portfolio construction process.

3. The past performance of the portfolio (in comparison with the

benchmark).

Your smart-beta (or Long-Short) methodology should contain

some element of optimization5. 5 For example you should try different

rebalancing periods or you should try

to change some other parameter and

see how this affects the return and the

tracking error of the portfolio

The comparison with the market should address both risk and

return and should discuss the role of turnover and transaction costs.

You should aim for a tracking error around 5%

The executive summary will be a one page document with an

summary of your portfolio characteristics and performance for a

prospective client. The goal of this document is to show the client

how good your portfolio is. This part of the assignment has no new

methodological content so the mark will be based on how effective

and convincing your presentation is. The goal is to present the client

all the information needed to assess the quality of your product

without any excessive or confusing information6. 6 You cannot lie to the client but you can

be a bit selective on which information

to present