2 papers

FIN5A9 Principles of Investment Management – 2020/2021

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FIN5A9 Principles of Investment

Management Academic Year 2020/21

Instructions for Investment Portfolio 1 and 2

Due in weeks 12 & 24

Dr Jacob H Schmidt PhD MSc

Senior Lecturer, Finance, Faculty of Business and Management

Regent’s University London

Faculty Centre for Applied Finance and Banking, Regent’s University London

FIN5A9 Principles of Investment Management – 2020/2021

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Instructions for Investment Portfolio due Week 12

Detailed description of assessment

Assessment 2: group work

25% TMM Construction of a traditional long-only

equity or bond portfolio (1 to max 4 per

group)

Group Work:

• Objectives of portfolio: build a traditional long only portfolio

• Write a report, present in class (formative a.) and submit by week 12

• Short presentation in class / seminars in week 12

• Individuals or groups of maximum four (the larger the team the more detailed the report has to be)

• Paper explaining process, selection and investment objectives.

• Report of 5-20 pages with portfolio calculations

Marking Rubric for Paper: Marks allocated to criteria:

a) Investment mandate: asset classes (equities, bonds, property)

10%

b) Investment objectives: S-T, M-T, L-T; value, growth; defensive, moderate, aggressive.

20%

c) Implementation / strategy: you can use individual securities or funds / ETFs

20%

d) Portfolio: asset allocation (strategic and tactical), display risk factors (alpha, beta, duration, FX et al) as applicable. Correlation to markets.

20%

e) You might also want to backtest the portfolio.

10%

f) Recommended: use of Bloomberg or Reuters software / terminals.

10%

g) Grammar

5%

h) Proper use of the referencing 5%

FIN5A9 Principles of Investment Management – 2020/2021

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Instructions for Investment Portfolio due Week 24 – TERM 2

Assessment 4: group work

25% TMM Construction of a hedged equity, bond,

FX or derivatives portfolio (Long / short,

market neutral, arbitrage or trading

portfolio) (1 to max 4 per group)

• Objectives of portfolio: build a hedged portfolio – building on the portfolio of Term 1 or creating a new portfolio

• Focus is on improving the Sharpe Ratio

• Write a report, present in class (formative a.) and submit by week 24 (12 in term 2)

• Short presentation in class (seminars) between weeks 3- 10

• Individuals or groups of maximum four (the larger the team the more detailed the report has to be)

• Paper explaining process, selection and investment objectives.

• Report of 5-20 pages with portfolio calculations

Marking Rubric for Paper: Marks allocated to criteria:

a) Investment mandate: asset classes (equities, bonds, commodities, FX, real estate, ETF, HF, Funds of Funds etc); strategies / styles (long-short, trading, emerging market, other)

10%

b) Investment objectives: S-T, M-T, L-T; value, growth; defensive, moderate, aggressive.

20%

c) Implementation / strategy: you can use individual securities or funds / ETFs

20%

d) Portfolio: asset allocation (strategic and tactical), display risk factors (alpha, beta, duration, FX et al) as applicable. Correlation to markets.

20%

e) You might also want to backtest the portfolio.

10%

f) Recommended: use of Bloomberg or Reuters software / terminals.

10%

g) Grammar

5%

h) Proper use of the referencing 5%