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Assessment
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Written Coursework - Report
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Academic Year
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2023/24
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Module Title
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Investment and Portfolio Management
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Module Code
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ASB-2522
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Level
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5 (20 credit in total)
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Weighting
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25%
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Word Limit
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1000 words (+/− 10%)
(This limit excludes the contents page, tables/graphics, and references.)
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Bangor Business School 2024
ASB-2522: Investment and Portfolio Management (20 credits)
This assignment is worth 25% of your total assessment for this 20-credit module.
This assignment can be completed individually or in a group of two. Larger groups are not permitted.
TASK
Assume that you have been hired as portfolio manager to devise a security portfolio that could potentially outperform. the Standard and Poor's 500 (S&P 500). You believe that investing in exchange-traded funds (ETFs) is an efficient way to build an optimal portfolio, without having to select individual stocks or bonds. To begin, you build a portfolio that consists of six tradable ETFs: the iShares UK Dividend ETF (IUKD.L), the Vanguard FTSE All-World High Dividend Yield ETF (VHYL.L), the SchwabU.S. Dividend Equity ETF (SCHD), the Direxion NASDAQ- 100 Equal Weighted Index Shares (QQQE), the Vanguard Small Cap Growth Index Fund (VBK) and the Vanguard Small Cap Value Index Fund (VBR). You are required to backtest your strategy using real data over the last five years, from 1st January 2019 to 31st December 2023.
You also should decide whether or not to include iShares Core U.S. Aggregate Bond ETF (AGG) and iShares Global Corp Bond UCITS ETF (CRPS.L) in your portfolio due to increased view that major central banks will start to cut interest rates in 2024. You have been told by your department that short selling is not allowed in your investment strategy.
This assignment requires you to:
. Download daily financial data from Yahoo Finance.
. Decide on the weighting of each security in the portfolio.
. Provide a detailed rationale for the strategy supported with relevant evidence from academic and practitioner research.
. Evaluate the performance of your portfolio and compare it against the market benchmark.
. Complete the backtesting on Excel (this electronic file will be part of the submission).
. Complete the Report and submit it on Blackboard/Turnitin.
In terms of quantitative techniques, you should utilise your studies in Topic 2 to Topic 4. For example, within these topics, you studied arithmetic and logarithmic returns, portfolio returns, standard deviation of returns and covariance of returns. You will be applying these techniques on past data (i.e., not using expected returns). You should subsequently proceed to use performance measurement techniques discussed in Topic 11.
REPORT STRUCTURE:
Your report must comprise:
(i) a very brief introduction;
(ii) the rationale for the strategy;
(iii) an analysis of the results of the backtesting;
(iv) a focused conclusion; and
(v) Reference list
ASSESSMENT CRITERIA:
Your report will be assessed on the following criteria:
(a) Rationale of the portfolio strategy (e.g., justification and clear explanation of the investment strategy);
(b) Backtesting (e.g., addressing the tasks with relevant knowledge and insight; ability to collect real-world data and to implement analysis in Excel; quality of the interpretation of results);
(c) Sources and evidence (e.g., proper citation and referencing); and
(d) Written communication (e.g., organisation and presentation; ability to convey the analysis in a concise and well-presented report).
WRITING YOUR ASSIGMENT:
o This assignment can be completed individually or in a group of two. Larger groups are not permitted.
o If you work in a group of two: ONE student must submit a copy of each file (Word and Excel). The other group member must submit only a simple cover page document, stating both Student ID numbers.
o You must ensure careful citation of all journal articles and electronic sources of information and include a list of references. Please ensure that the references are cited and listed in the
Harvard referencing style.
See:https://www.bangor.ac.uk/library/help/documents/harvardreferencingguide.pdf
o You must use a minimum of five academic sources in your assignment.
o You must state the Word Count on the cover page of your work. The word limit of the written assignment is 1000 words +/− 10%.
o Please use either font Arial or Times New Roman with 11- or 12-point size, double (2.0) spacing.
o The work must have a cover page (your own design).
o Your Student ID number should appear as a header or a footer on each page.
o All pages should be numbered.