explain the performance difference between your portfolio and the given benchmark using risk adjusted and other techniques such as tracking error and attribution analysis

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

1. Report the major points of your discussions with the client. This should include construction of the portfolios and you should provide the detail of the allocation with justification demonstrating how the  asset allocation match the investor profiling. The allocation in the active portfolio should consider the market forecast. Your discussion should be supported by relevant theories and academic literature. (15 marks)

2. Management of the stocks and bond portfolio (active portfolio only): Details of changes made including reflection on strategy selected and reasons for portfolio restructuring. You should undertake a minimum of three rebalancing. Your rebalancing strategies should be supported by relevant investment theories and assets pricing models. (30 marks)

3. A final evaluation of overall performance (for both the active and passive portfolio) as at the end of Teaching Week 12 carried out using suitable quantitative measures including both the absolute and relative performance evaluations. You should explain the performance difference between your portfolio and the given benchmark(s) using risk adjusted and other techniques, such as tracking error and attribution analysis. (40 marks)

4. In line with the Value at Risk method of risk measurement, explain the risk exposure faced by your client’s portfolio. Client has also requested information about hedging risk using derivative instruments. As such, this section of your report should include relevant literature for VaR, risk exposure, and an illustrative example of hedging using Derivatives. (15 marks)

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