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Investment and Portfolio Management

Required data collected from Bloomberg

You are the manager of a UK-based hedge fund and must build a small portfolio. You need to construct a balanced portfolio of equities and bonds. Your portfolio must include equities from six different companies and six different bonds (government or corporate debt securities). You are borrowing £12,000,000 for four weeks at the rate LIBOR + 2.25% (annual quote). Your objective as portfolio manager is to produce a fund that should deliver an annualised return of 16%. No short-selling nor use of other funds is allowed. The holding period is four weeks. The specific start and end date of the investment period is to be decided by the hedge fund manager.

Trading is allowed during the holding period. Assume short term taxes & transaction costs are both zero.


Part 1

A) By undertaking fundamental analysis of company shares select at least three equity sectors that you expect to perform well in the coming four weeks. Within each of the three sectors, on the basis of your analysis (qualitative such as company news, or quantitative such as current and expected corporate earnings, P/E ratios, EPS, dividends and sales forecasts, etc.) select two companies that you expect to perform well. By undertaking fundamental analyses on government and corporate bonds

(qualitative such as expectations of economic performance, issuance of government debt or changes in credit ratings, or quantitative such as yield ) select six debt securities that you expect to perform well in the coming month.

B) By using your own judgement and appropriate financial concepts determine the best asset allocation (% of capital allocated to each asset within the portfolio).

C) Select a benchmark index against which to compare your results at the end of the investment period.

(50 MARKS)

Part 2

Monitor the performance of the portfolio on a weekly basis. In terms of fundamental factors (

e.g., news ) explain reasons for the changes ( i.e., differences in returns ) you are observing.

(10 MARKS) Part 3

Critically evaluate the performance of your portfolios against the performance of the selected benchmark by using one of the following: the Sharpe ratio, the Treynor ratio or Jensen’s Alpha.

(15 MARKS) Part 4

Conclude and explain the divergences you observe between your portfolio and the benchmark in terms of passive or active management theories and concepts.


(10 MARKS)

Kĩ năng: Kế toán, Phân tích kinh doanh, Excel, Tài chính, Nghiên cứu tài chính

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