CLASS / COURSE: Portfolio Management

QUESTION DESCRIPTION:

GSBS6143 – Applied Portfolio Management
Assignment

The file PortfolioManagementAssignment.xls placed on the Blackboard website provides daily share price data and dividend data from 31 December 2005 to 31 December 2010 for 20 of the largest, by market capitalization, companies listed on the ASX. Daily values of the All Ordinaries Accumulation Index are also provided in that file. The yield on Australian Government 10-year bonds is approximately 5 per cent per annum (which may be used as a proxy for the risk-free rate of interest) and the equity risk premium is 4 per cent per annum. Each student will be allocated a portfolio comprising seven of these companies. The word limit for the assignment is 3000 words. The due date for the assignment is 15 April 2011. The assignment will be marked out of 60.

Part A

For your portfolio of companies and using the file PortfolioManagement3_8.xls as a template, calculate the feasible set of investment opportunities, the efficient frontier of all efficient portfolios (with and without short selling), and the capital allocation line. For this analysis, expected returns are calculated using the Capital Asset Pricing Model and assume that short selling is not possible. Also document the security market line for your portfolio of companies and calculate the asset weightings for the minimum variance portfolio and optimal risky portfolio. Provide a detailed discussion of your results. (20 marks)

Part B

For each of your seven companies, examine the 200-day moving-average strategy, documenting when the shares would have been purchased and sold. Discuss the literature that offers support for strategies like the 200-day moving average strategy. (20 marks) 

Part C

Provide a detailed analysis of the arguments for and against fundamental indexing. (20 marks) 

 

 

SOLUTION DESCRIPTION: Completed Solution is attached. Click on Buy button and then download file to get full solution.

SUBJECTS / CATEGORIES:
1. Finance
2. Financial Management
3. Investment and Portfolio Management