PLease find attachmentMicrosoft Word - Case Assessment Task AFIN8018 Session 2 2020 Case Assessment...

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PLease find attachmentMicrosoft Word - Case Assessment Task AFIN8018 Session 2 2020  Case Assessment Task (30% of unit marks)  1. Introduction  This is an individual activity and you must work on your own. See section 6 below on  originality.   2. Task 1  In worksheet “Task 1” of the Excel file provided, model a two-asset portfolio and  examine the risk and return characteristic of a two-asset portfolio – using the data  provided. In this worksheet, evaluate the portfolio’s return, risk and utility of the  following three scenarios, assume the risk-aversion coefficient to be 6:    i) When correlation coefficient between the two assets is -1.0   ii) When correlation coefficient between the two assets is 0.5   i) When correlation coefficient between the two assets is 1.0  Answer the questions in the case study quiz on iLearn using the result from the  above analysis. 3. Task 2  Use the information on worksheet “Task 2”, write a report addressing the following:  1. Using CAPM model to evaluate each stock. Rank their performance by alpha and  information ratio(IR). IR is defined by (Excess Return)/(Tracking Error in SD)  2. Repeat the above by using Fama-French 3-factor model.   Note: You can create extra worksheets for your analyses. You can obtain the risk free  rate, market risk premium, and the Fama-French 3 factors from French Library:  http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html 4. Task 3  Write a report on the findings you obtained in Task 2. Explain briefly the two models  you used. Discuss the differences between CAPM and Fama-French 3-factor models  and how it affects your analysis. Maximum length of the report is 2 pages, excluding  cover page, content page, appendix or references. AFIN8018 Session 2 2020  5. Submission  You are required to submit your spreadsheet and report on iLearn.   1. Report  The maximum length of your report is two pages – can be less. A third page or more,  the appendix or references, can contain only figures and tables that can be  referenced in the body of your report (i.e., pages 1 and 2) simply by Fig.1 or Table.1.  The marker may choose to ignore any content of the report that is non-conforming.  Space constraints may mean that not all topics can be fully covered in your response  and you may need to prioritise your findings.  2. Case Quiz  Answer the case quiz questions using your Excel Spreadsheet Analysis. Your answers  must be rounded to two decimal places. Please ensure that you link your  spreadsheet analysis to source figures. If you enter figures that are calculated  elsewhere in the spreadsheet rather than refer to the figure you will create rounding  errors. This means that your quiz response may not be exactly correct and will  therefore not be marked as the correct quiz answer.  Marking will occur after the quiz has closed - there is no feedback to your answer  whilst the quiz is open.  3. Excel Spreadsheet  Use the excel spreadsheet provided.  Your spreadsheet should be shown with formula i.e. do not hard code values prior to  submitting (e.g., leave figures as formula as appropriate). Your assignment will score  zero if the spreadsheet does not provide the supporting information used in the  Report and/or the quiz responses. 6. Submission details  The submission of your written report and excel spreadsheet is due by 11 Oct at  23:30 p.m. Australian EST. Completion of the case quiz is also due at this time.  There will be a deduction of 10% of the total available marks made from the total  awarded mark for each 24-hour period or part thereof that the submission is late  (for example, 25 hours late in submission –20% penalty).  This penalty does not apply for cases in which an application for disruption of studies  is made and approved.   Please make sure you allow time in case you have technical problems. Late  submission due to technical problems is not an acceptable excuse. If your submission  is successful you should receive a conformation certificate. It is a good idea to take a  AFIN8018 Session 2 2020  screenshot of this. Also just to make sure that the technology has worked you can  refresh the screen and you should be able to see and be able to open your  submission.  Resubmissions are permitted up to the due date. The latest submission will  overwrite the previous submission in that tab. Similarity scores are generated after  the due date.  Your case assignment task must be submitted using the Turnitin assignment drop  box in iLearn. In addition to completing the quiz, you will submit two files:  Your Report saved in PDF format name as report.pdf   e.g., xxxxxxxx.pdf  Your Excel spreadsheet in  Microsoft excel format  name as .xls or xlsx   e.g., xxxxxxxx.xls 7. Originality  All work must contain original work or if other information sources are used in the  preparation of the report these must be acknowledged appropriately.  The University defines plagiarism in its rules: "Plagiarism involves using the work of  another person and presenting it as one's own." Plagiarism is a serious breach of the  University's rules and carries significant penalties. You must read the University’s  practices and procedures on plagiarism. These can be found on the web at:  https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies- and-procedures/policies/academic-integrity  The policies and procedures explain what plagiarism is, how to avoid it, the  procedures that will be taken in cases of suspected plagiarism, and the penalties if  you are found guilty. Penalties may include a deduction of marks, failure in the unit,  and/or referral to the University Discipline Committee.  To avoid common plagiarism mistakes, you are encourage to have a look at this  presentation: https://www.students.mq.edu.au/public/download.jsp?id=201272

Shakeel · Accepted Answer

Task 1
	Examining Risk and Return Characteristics of a Two Asset Portfolio
	Profile of Individual Assets
	Asset	Expected Return	Standard Deviation
	1	15%	10%
	2	30%	15%
	Correlation coefficient of returns between the assets = 					0.5		As we put the different value of Correlation Coefficient, the whole table and chart will change									If Correlation coefficient changes to 1.0																If correlation coefficient changes to -1.0
	Risk aversion Coefficient = 					6
		Weights		Portfolio														Weights		Portfolio														Weights		Portfolio
	Portfolio #	Asset 1	Asset 2	Standard Deviation	Expected Return	Utility											Portfolio #	Asset 1	Asset 2	Standard Deviation	Expected Return	Utility											Portfolio #	Asset 1	Asset 2	Standard Deviation	Expected Return	Utility
	1	200%	-100%	18.03%	0.00%	-9.7500%											1	200%	-100%	5.00%	0.00%	-0.7500%											1	200%	-100%	35.00%	0.00%	-36.7500%
	2	190%	-90%	16.93%	1.50%	-7.1025%											2	190%	-90%	5.50%	1.50%	0.5925%											2	190%	-90%	32.50%	1.50%	-30.1875%
	3	180%	-80%	15.87%	3.00%	-4.5600%											3	180%	-80%	6.00%	3.00%	1.9200%											3	180%	-80%	30.00%	3.00%	-24.0000%
	4	170%	-70%	14.86%	4.50%	-2.1225%											4	170%	-70%	6.50%	4.50%	3.2325%											4	170%	-70%	27.50%	4.50%	-18.1875%
	5	160%	-60%	13.89%	6.00%	0.2100%											5	160%	-60%	7.00%	6.00%	4.5300%											5	160%	-60%	25.00%	6.00%	-12.7500%
	6	150%	-50%	12.99%	7.50%	2.4375%											6	150%	-50%	7.50%	7.50%	5.8125%											6	150%	-50%	22.50%	7.50%	-7.6875%
	7	140%	-40%	12.17%	9.00%	4.5600%											7	140%	-40%	8.00%	9.00%	7.0800%											7	140%	-40%	20.00%	9.00%	-3.0000%
	8	130%	-30%	11.43%	10.50%	6.5775%											8	130%	-30%	8.50%	10.50%	8.3325%											8	130%	-30%	17.50%	10.50%	1.3125%
	9	120%	-20%	10.82%	12.00%	8.4900%											9	120%	-20%	9.00%	12.00%	9.5700%											9	120%	-20%	15.00%	12.00%	5.2500%
	10	110%	-10%	10.33%	13.50%	10.2975%											10	110%	-10%	9.50%	13.50%	10.7925%											10	110%	-10%	12.50%	13.50%	8.8125%
	11	100%	0%	10.00%	15.00%	12.0000%											11	100%	0%	10.00%	15.00%	12.0000%											11	100%	0%	10.00%	15.00%	12.0000%
	12	90%	10%	9.84%	16.50%	13.5975%											12	90%	10%	10.50%	16.50%	13.1925%											12	90%	10%	7.50%	16.50%	14.8125%
	13	80%	20%	9.85%	18.00%	15.0900%											13	80%	20%	11.00%	18.00%	14.3700%											13	80%	20%	5.00%	18.00%	17.2500%
	14	70%	30%	10.04%	19.50%	16.4775%											14	70%	30%	11.50%	19.50%	15.5325%											14	70%	30%	2.50%	19.50%	19.3125%
	15	60%	40%	10.39%	21.00%	17.7600%											15	60%	40%	12.00%	21.00%	16.6800%											15	60%	40%	0.00%	21.00%	21.0000%
	16	50%	50%	10.90%	22.50%	18.9375%											16	50%	50%	12.50%	22.50%	17.8125%											16	50%	50%	2.50%	22.50%	22.3125%
	17	40%	60%	11.53%	24.00%	20.0100%											17	40%	60%	13.00%	24.00%	18.9300%											17	40%	60%	5.00%	24.00%	23.2500%
	18	30%	70%	12.28%	25.50%	20.9775%											18	30%	70%	13.50%	25.50%	20.0325%											18	30%	70%	7.50%	25.50%	23.8125%
	19	20%	80%	13.11%	27.00%	21.8400%											19	20%	80%	14.00%	27.00%	21.1200%											19	20%	80%	10.00%	27.00%	24.0000%
	20	10%	90%	14.03%	28.50%	22.5975%											20	10%	90%	14.50%	28.50%	22.1925%											20	10%	90%	12.50%	28.50%	23.8125%
	21	-0%	100%	15.00%	30.00%	23.2500%											21	-0%	100%	15.00%	30.00%	23.2500%											21	-0%	100%	15.00%	30.00%	23.2500%
	22	-10%	110%	16.02%	31.50%	23.7975%											22	-10%	110%	15.50%	31.50%	24.2925%											22	-10%	110%	17.50%	31.50%	22.3125%
	23	-20%	120%	17.09%	33.00%	24.2400%											23	-20%	120%	16.00%	33.00%	25.3200%											23	-20%	120%	20.00%	33.00%	21.0000%
	24	-30%	130%	18.19%	34.50%	24.5775%											24	-30%	130%	16.50%	34.50%	26.3325%											24	-30%	130%	22.50%	34.50%	19.3125%
	25	-40%	140%	19.31%	36.00%	24.8100%											25	-40%	140%	17.00%	36.00%	27.3300%											25	-40%	140%	25.00%	36.00%	17.2500%
	26	-50%	150%	20.46%	37.50%	24.9375%											26	-50%	150%	17.50%	37.50%	28.3125%											26	-50%	150%	27.50%	37.50%	14.8125%
	27	-60%	160%	21.63%	39.00%	24.9600%											27	-60%	160%	18.00%	39.00%	29.2800%											27	-60%	160%	30.00%	39.00%	12.0000%
	28	-70%	170%	22.82%	40.50%	24.8775%											28	-70%	170%	18.50%	40.50%	30.2325%											28	-70%	170%	32.50%	40.50%	8.8125%
	29	-80%	180%	24.02%	42.00%	24.6900%											29	-80%	180%	19.00%	42.00%	31.1700%											29	-80%	180%	35.00%	42.00%	5.2500%
	30	-90%	190%	25.23%	43.50%	24.3975%											30	-90%	190%	19.50%	43.50%	32.0925%											30	-90%	190%	37.50%	43.50%	1.3125%
	31	-100%	200%	26.46%	45.00%	24.0000%											31	-100%	200%	20.00%	45.00%	33.0000%											31	-100%	200%	40.00%	45.00%	-3.0000%
Return on the portfolio
Expected Return	0.18027756377319948	0.169336942218761	0.15874507866387544	0.14857657958103626	0.13892443989449801	0.12990381056766576	0.12165525060596435	0.1143459662602927	0.10816653826391964	0.1033198915988591	9.9999999999999922E-2	9.8361577864530009E-2	9.8488578017961056E-2	0.10037429949942368	0.10392304845413267	0.10897247358851687	0.115325625946708	0.1227802915780868	0.13114877048604004	0.14026760139105543	0.15000000000000008	0.16023420358962068	0.17088007490635068	0.18186533479473219	0.19313207915827973	0.20463381929681129	0.2163330765278394	0.22819947414488059	0.24020824298928634	0.2523390576189109	0.26457513110645919	0	1.5000000000000013E-2	3.0000000000000027E-2	4.500000000000004E-2	6.0000000000000053E-2	7.5000000000000067E-2	9.000000000000008E-2	0.10500000000000008	0.12000000000000011	0.13500000000000012	0.14999999999999988	0.16500000000000009	0.1800000000000001	0.19500000000000009	0.2100000000000001	0.22500000000000009	0.2400000000000001	0.25500000000000012	0.27000000000000007	0.28500000000000009	0.3000000000000001	0.31500000000000006	0.33000000000000007	0.34500000000000008	0.3600000000000001	0.37500000000000011	0.39000000000000007	0.40500000000000003	0.42000000000000004	0.43500000000000005	0.45000000000000007	Risk (Standard Deviation) %
Return %
Utility on the portfolio
Utility	0.18027756377319948	0.169336942218761	0.15874507866387544	0.14857657958103626	0.13892443989449801	0.12990381056766576	0.12165525060596435	0.1143459662602927	0.10816653826391964	0.1033198915988591	9.9999999999999922E-2	9.8361577864530009E-2	9.8488578017961056E-2	0.10037429949942368	0.10392304845413267	0.10897247358851687	0.115325625946708	0.1227802915780868	0.13114877048604004	0.14026760139105543	0.15000000000000008	0.16023420358962068	0.17088007490635068	0.18186533479473219	0.19313207915827973	0.20463381929681129	0.2163330765278394	0.22819947414488059	0.24020824298928634	0.2523390576189109	0.26457513110645919	-9.7500000000000031E-2	-7.1024999999999991E-2	-4.5599999999999974E-2	-2.1224999999999966E-2	2.100000000000081E-3	2.4375000000000091E-2	4.5600000000000113E-2	6.5775000000000083E-2	8.4900000000000128E-2	0.10297500000000014	0.11999999999999993	0.1359750000000001	0.15090000000000009	0.16477500000000006	0.17760000000000009	0.18937500000000007	0.20010000000000006	0.20977500000000007	0.21840000000000004	0.22597500000000004	0.23250000000000004	0.23797500000000005	0.2424	0.24577499999999999	0.24810000000000001	0.24937500000000007	0.

Microsoft Word - Case Assessment Task AFIN8018 Session 2 2020 Case Assessment Task (30% of unit marks) 1. Introduction This is an individual activity and you must work on your own. See section 6 below...

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