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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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Portfolio Management
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Module Code
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ASB-3715
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Level
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6 (10 credit in total)
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Weighting
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50%
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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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Deadline
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The deadline for submission is May 2, 2024 (midnight, Beijing time). The document and Excel file must be submitted electronically via separate links within the ASB-3715 Blackboard module.
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Module Organizer
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Dr Ihsan Ullah ([email protected].uk)
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Bangor Business School 2024
ASB-3715: Portfolio Management (10 credits)
This assignment is worth 50% of your total assessment for this 10-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 the most appropriate start to build an optimal portfolio is to use these six tradable indexes: the MSCI Sweden Index, the MSCI Italy Index, the MSCI Japan Index, the FTSE 100 Index, the CAC40, and the Hang Seng Index. 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 Fidelity US Sustainability Index Fund (FITLX) and Vanguard FTSE Social Index Fund (VFTAX) in your portfolio due to increased sustainability demand in the market. 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).
In terms of quantitative techniques, you should utilise your studies in the pre-requisite module ASB2217/3217 (‘Investment’). For example, within that module, 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 ASB3715.
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 back testing; and
(iv) a focused conclusion.
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 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.
SUGGESTED TIMEFRAME.:
A suggested timeframe. for your work is:
o Read widely in the first week to develop ideas about a range of possible investment strategies. This should give you an idea about the strategy that you will use in this assignment to form. your portfolio.
o During the next two weeks, finalize your strategy, choose the stocks/funds, and complete all the data collection.
o During the remaining time (approximately the last three weeks), implement the back testing in Excel and analyse the results. Prepare the Excel file and report for submission on or before the deadline.
ACADEMIC MISCONDUCT:
You are reminded not to copy material from any sources without properly referencing it, as this constitutes plagiarism. Cases of plagiarism will be referred to the Business School Academic Integrity Officer and will be subject to a deduction of marks, which can result in an overall mark of 0%.
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