代写FINM 3008、代做Java/c++设计程序

日期：2024-09-24 11:46

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ANU Research School of Finance, Actuarial Studies and Statistics

FINM 3008/6016 Portfolio Construction

Assignment

General Instructions and Information

1. The assignment involves producing a report that offers portfolio construction advice

for a client based on specified circumstances and objectives. The assignment is to be

undertaken in groups of 4 to 6 students. All students must sign up for an assignment

group at Wattle by week 5. If you have to do the assignment as an individual task, you

need the lecturer’s approval to do so.

2. Assignment Summary

Due Date Monday October 14th, 2024

Weighting (%) 30% of course grade

Objectives ? Build and submit quantitative/qualitative analysis models that are

appropriate for the client’s circumstances ? The models should be built based on client’s objectives and

constraints and be able to produce a matrix of portfolio measures

for further analysis ? Conduct analysis of asset allocation problem based on client’s

objectives and constraints ? Research potential aspects that the client is concerned about ? Write-up the portfolio construction advice and your analysis in a

report format

Marking Marking criteria are attached at the end.

Required Submissions

File 1: Final report in either Word or PDF format

File 2: Quantitative/qualitative analysis model(s) in Excel format Page 2

Submission Requirements

1. Online submission at Wattle. No hard copy or email submission is

accepted. Only one submission from each group is required.

2. Upload your files in Excel, Word or PDF format. Please note that

Wattle will not accept certain types of PDF files (such as protected

PDF). If you plan to submit your report as a PDF file, it is

therefore strongly recommended that you attempt to do so well

in advance of the submission deadline, to ensure the format is

acceptable. When you submit Excel file, if possible, submit a

Windows based Excel file instead of a Mac version.

3. You must click “submit” to finalize the submission. No changes can

be made after submission. The submission link can only be reopened

by the lecturer manually if you’d like to make changes

to your submitted files.

4. The usual assignment cover is not required for online submissions.

5. To correctly record your assignment marks, make sure you have

correctly signed up for an assignment group at Wattle.

6. All files submitted to be named as follows:

FINM(course code) Group (Letter) - (description)

Example 1: FINM3008 Group A - Model.xlsx

FINM3008 Group A - Report.docx

The maximum size of each file is 50MB.

Penalties and Extensions:

Late submissions of assignments are not accepted. Students will receive a mark of zero for the

assignment if it is submitted after the due date without the lecturer’s approval.

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Guidelines

1. The assignment should be written as a ‘business report’ by a consultant for their client.

It should be easily readable with most important messages upfront. The articles written

by industry practitioners and journalists provided in this course can be good guides to

writing in the portfolio construction context, for instance, their writing style, word

choice, “story-telling” and the way of using jargons that are easily understood by

readers with common-sense knowledge of the economy and financial market, etc.

2. The word limit for report is 3,000 words, which refers to the text contained in the body

and appendix (if there’s important analysis to support your recommendation in the

appendix). It excludes: title or contents page, tables, and any notes to tables that

describe the analysis or assumptions, figures, references. This word limit is “soft” in

nature. You won’t get penalty if getting over the limit with a small margin (i.e., within

10%). The message is that the word limit imposed should be sufficient for the

assignment. “Trimming” and “cutting” are part of the exercise that you have to do to

deliver your insights to your client within a page limit in business writing. In practice,

your clients are busy. It is always the best if you can deliver your main messages

within a short period of time. If your report exceeds the limit by more than 10%, you

might lose marks in the presentation and formating category.

3. Ideally the report should be ‘standalone’ for your client to understand the analysis and

the reasoning behind your recommendation. You should aim for the examiner not to

need to look at the Excel file to understand your report. Note: this doesn’t mean that

your examiner do not look at your Excel file. If the examiner needs to dig into the

models to understand your analysis, it would mean that the analysis is either poorly set

out, inadequately explained, or looks like it may be wrong.

4. Marks for ‘effectiveness of communication’ will reflect not only the appearance of the

report, but also the general ease by which the report can be read and the analysis and

messages can be understood. Try to use generous font sizes, ample paragraph

spacing and borders. Make sure that tables and charts are formatted and labelled well.

Make sure your sentences are coherent and arguments are sound. If the examiner is

left wondering about your main messages or what you have done, you will lose marks.

5. All sources should be acknowledged with proper referencing. Consistent Harvard

referencing style is required. The standard for proper referencing is that a third person

can replicate your analysis, if needed. You should not use any artificial intelligence

tools (e.g., ChatGPT) to write the report.

6. In the second task of this assignment, each member of the group is expected to take

the lead in providing an expected return forecast for at least one asset class. Make

sure you clearly indicate which member is responsible for an asset class. For example,

you can have a table to summarize this. If an asset’s expected return is forecasted by

all team members, then label it as Team.

Asset class Expected return Forecast provided by

Australian equities x% above cash rate John Doe (Uni. ID)

World equities y% above cash rate Jane Doe (Uni. ID)

Australian cash z% Team … … …Page 4

THE ASSIGNMENT

Happicity Pension Plan Investment Board (HPPIB) is a defined contribution superannuation

fund for Happicity public sector employees with an AUM of $3 billion. HPPIB investment team is

headed by the CIO (Chief Investment Officer), Sarah Connor, who is in charge of the day-to-day

operations of the fund. Every five years, Sarah submits a Strategic Investment Plan (SIP) to the

board of trustees of HPPIB for approval. The most important purpose of the plan is to decide the

asset allocation of HPPIB for the next five years. This year, Sarah needs to prepare a new SIP

for the next five-year period. She has asked you, a team of asset allocation experts, to prepare

a report to help her draft the plan.

HPPIB has reached a mature stage with each year’s contributions to the plan approximately the

same as its outflows. The investors of HPPIB are Happicity public sector employees, who have

relatively stable income. For performance evaluation purposes, the board of HPPIB has elected

a benchmark portfolio, which is the average portfolio of similar pension funds. The board

assumes that the benchmark portfolio invests in each asset class passively, except for asset

classes without any passive investment option.

HPPIB currently invests in Australian Equities, World Equities, Fixed Income, Real Estate and

Cash. Its investments in Australian Equities and World Equities are actively managed by

external investment teams, while its investments in other asset classes are passively managed.

Details about the current asset allocation have been provided to you. Sarah also provides you

the schedule of asset management fees that HPPIB would pay for each type of investment.

Through the initial meeting with the CIO, you come to understand that in the report, you need to

address the following issues:

1. Provide an independent assessment of HPPIB’s investment performance over the period of

June 2019 to June 2024. During the meeting, Sarah informed you that all external active

investment teams delivered similar performance as passive indexes before deducting any

fees during the past five years. Sarah also asks you to evaluate the performance of the fund

over longer horizons, such as over the past 10, 15, or 20 years, to determine whether the

fund’s performance is improving over time. The asset allocation over the past 20 years has

remained the same. In this exercise, assume that the fund’s portfolio is rebalanced monthly

and rebalancing does not incur transaction costs.

2. Determine a new strategic asset allocation for the next five-year period with a more efficient

risk-return trade-off so that the fund is better positioned to achieve its mission and

performance objectives. Sarah would like you to provide an overview of the characteristics

of each recommended asset class and explain how they might contribute to the portfolio

return and risk considering the specified objectives and constraints. She also asks you to

provide a detailed forecast of the expected return of each asset class in the next five years

and document the reasons behind your forecast. In constructing the portfolio, practical

issues should be adequately addressed, for example, the availability of some investments,

liquidity considerations, and asset management fees.

3. The next Australian federal election is expected to be held in 2025, and it is expected to be a

tight race between the Labor Party and the Liberal/National Coalition. Sarah would like to

know how the outcome of this election will impact the performance of her portfolio. She asks

you to conduct an analysis of the potential effects of the election result. You do not need to Page 5

predict which party will be elected (since such predictions are often unreliable), but you

should analyze how each party, if elected, will affect the risk and returns of different asset

classes. You can base your analysis on the historical performance of various asset classes

under different political leadership or on the proposed policies of each party.

When Sarah submits the SIP to the board for approval, HPPIB board members, consisting of

business executives of large companies and top-level public officers, always ask tough

questions to challenge the proposal. Therefore, Sarah asks that you support your

recommendations with numerical analysis detailing what outcomes they might expect from the

new portfolio and supplement numerical analysis with qualitative discussions or robustness

checks to add confidence to your recommendations. She also requires that you provide

additional explanations for any significant change in asset allocation relative to the current

allocation or the benchmark.

Sarah has specified the objectives and constraints of the fund as follows and asks you to

demonstrate that your recommendations meet these objectives and constraints as much as

possible:

(a) Five-year outcome: she wants the fund to generate the highest Sharpe ratio possible in five

years. She considers the fund’s investment horizon as long-term and that focusing on the

end-result would most benefit its members.

(b) Absolute return target: she requires that the portfolio generates an annualized return at

least 3% above the expected inflation. The most recent inflation number is 3.5% year-onyear.

The RBA has a long-term inflation target band between 2 to 3%. You need to make

your own assumptions about the inflation rate over the next five years.

(c) Not losing money: she wants to limit the chance of the portfolio declining in value over 5

years (i.e., generating negative compound returns) to no more than 20%.

(d) Relative performance: she asks that the annualized tracking error of the fund versus the

benchmark to be no greater than 2%.

(e) Portfolio constraints: she asks that the allocation to equities, including all types of public

equities, should be within 15% range of the benchmark allocation. In order to maintain

flexibility, she asks that no more than 20% of the portfolio be invested in illiquid assets, and

that at least 2% of the portfolio remains invested in cash. No borrowing or short sales are

permitted.

Sarah has provided information to assist you in the Excel file: “Assignment Data S2 2024”. This

file includes: the current portfolio weights of the fund; portfolio weights of the benchmark;

historical levels of indexes for different asset classes of potential interest; and indicative

management fees for the fund. If you choose to include additional asset classes that are not

covered by the data file, you should find the most reliable data to support your recommendation.

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Following is the HPPIB Fact Sheet

Happicity Pension Plan Investment Board Fact Sheet

Mission Help members accumulate wealth during their work life

Performance

Objective

To achieve returns at least 3% above inflation (CPI) per annum over long

term (after investment-related expenses).

Investment

Strategy

To invest in a diversified portfolio of mainly growth assets, such as Australian

shares, international shares, properties, and some fixed income, alternative

assets, and cash.

Investment

Horizon

Long term, more than 10 years

Current Asset

Allocation

Asset Class

Performance

Benchmarks

Australian Shares: ASX All Ordinaries;

International Shares: MSCI World Index; MSCI EM

Fixed Income and Cash: Bloomberg Ausbond Composite; ASX Bank Bill

Property: S&P Global REIT; Australia Residential Property Prices

Commodities: S&P GSCI

Hedge fund and private equities: Proprietary

Historical

Performance

The performance of each asset class tracks their passive benchmark closely

over long term before fees (Therefore, the returns of the benchmarks can be

used as proxies to calculate the fund returns before fees).

Australian

shares, 40%

International

shares, 20%

Fixed income &

cash, 30%

Property, 10%

ASSET ALLOCATION AS OF LATEST MONTH ENDPage 7

Guidance

Workshops

? Assignment workshops will be held through the semester until week 10.

? Please email me your questions regarding the assignment. I will collect the questions

and answer them at workshops. In this way, I can avoid answering the same question

redundantly.

? Please note you are expected to have reviewed all lecture, tutorial, and workshop

materials and listened to all recordings before you come to consultations.

Some Helpful Hints

? Tutorials provide the foundation to conduct quantitative portfolio analysis in Excel. It’s

essential that you understand the concepts behind the numerical analysis of the first four

tutorials to start working on your assignment. Some specific issues discussed/analyzed

in tutorials are:

o Tutorial #2 – bootstrapping of future returns for a given portfolio - data-based is

performed, but parametric is shown (latter is mean-variance, iid); estimation of

various risk measures

o Tutorial #3 – M-V optimisation; solver; imposing expected returns on historical

data by adjusting the geometric mean (more relevant for generating target

returns over multiple periods)

o Tutorial #4 – choosing what data to use - measurement interval and time period

o Tutorial #5 – estimating the impact of asset allocation shifts on portfolio

measures; imposing expected returns on historical data by adjusting the

arithmetic mean using implied views (CAPM); parametric portfolio analysis

(mean-variance, single period)

o Tutorial #6 – estimating the impact of tilting strategy on portfolio measures;

calculation of 1-year and 3-year (rolling) returns using shorter interval data

? This assignment requires a fairly good understanding of the topics we discuss over the

semester and synthesizing the learnt theories and applications in solving a real world

problem. The assessment focuses on how well you customize the portfolio to serve

specific objectives and constraints of investors, which demonstrates the depth of your

understanding of the concepts covered in the course. The assignment is not assessed

based on how close your recommendation is to a “correct” set of asset allocation or how

well your recommended portfolio can hit the performance “target”. The detailed

requirements are set out in the Marking Guidelines at the end of the file.

? Fund objectives may be taken as targets, not hard constraints. Working towards the

intent of the stated objectives matters more than precisely meeting any stated rules.

That is, do not panic if you cannot hit the objectives exactly under your assumptions –

just do the best that you can for your client. Page 8

? You should consider using multiple methods to construct optimal portfolios, because

every method has its limitation and adopt multiple methods can improve the robustness

of your result. Methods that we have discussed include, but not limited to, imposing

weighting constraints, imposing tracking error constraint, Black and Litterman approach,

in-sample and out-of-sample analysis, fundamental risk approach, two stage approach.

You may choose any methods that are appropriate for the client’s circumstances. In any

event, you are required to perform some data-based work to demonstrate the extent to

which the recommended asset allocation meets client objectives. This analysis will follow

on from the tutorial exercises.

? One of the themes of this course relates to the problems that can arise when analyzing

data. You are expected to show appreciation for these issues in the way you perform

your analysis and present your recommendations. This means trying to highlight the

shortcomings of any analysis, and address them where possible. Non-data based

approaches may assist in this respect.

? You may recommend adding any additional asset classes – whatever you believe would

work best for your clients. If you use additional data other than the data provided, you

need to make sure you retrieve the data from a reliable and verifiable source and

relevant information is provided in an appropriate manner.

? You should always try to do your own research and look for the data you require for your

analysis. Yahoo Finance is a good data source to look for historical returns of various

indexes. You may find all Australian statistics at https://www.abs.gov.au/ or financial

market data at https://www.rba.gov.au/. Australian Prudential Regulation Authority

(APRA) is the government body to regulate superannuation industry. Other good

sources of country or international data can be found at Federal Reserve of the US

(https://fred.stlouisfed.org/), OECD, IMF and World Bank, mostly free access. Make sure

you reference your data source properly such that it can be independently verified.

? The report should read as an integrated piece, not a collection of disparate individual

work. Hence, it will help to have one person in charge of the project management and all

members should meet regularly, and conduct an overall review of the report at the end –

allowing ample time to sort out any issues.

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Assignment Marking Sheet

Group Number:

Marking Criteria

50-59 pass, 60-69 credit, 70-79 distinction, 80 and above HD

Grade

Weight Mark

1. Assessment of fund performance: - Effectively assess, summarize, and explain fund performance - Identify areas of strength and areas that need improvement - Comment on the long-term performance of the fund

10%

2. Asset allocation recommendations: - Display a good understanding of each asset class - Clearly state how expected returns are forecasted - Consider the client’s objectives and constraints - Apply various methods learned from the course - Highlight the limitations of the methods used and find appropriate

solutions - Convincingly demonstrate that the report’s recommendation is the

best option for the client

40%

3. An analysis of the impact of election result - Identify asset classes that will be most affect by the election result - Assess the potential impact of each part on the asset class’s risk

and return - Recommend potential ways to mitigate the downside of an election

result, if any

20% Page 10

4. Effectiveness of communication: - Summarize the main recommendations and findings in the executive

summary - Report is logically structured and easy to read with clear sub-titles - Good overall presentation, adequate font sizes, page numbers, effective

use of tables and charts, correct spelling, and grammar,

etc. - Complete reference list with sources acknowledged in the text - Satisfy submission requirements

30%

Total Mark

Marker’s comments: