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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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 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 <8 digit="" studentid="">report.pdf e.g., xxxxxxxx.pdf Your Excel spreadsheet in Microsoft excel format name as <8 digit="" studentid="">.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
afin8018casedetails2020s2-oberhwl2.pdf assignmenttemplate-3-wfnhl5cv-h1qmowd3.xlsx
Answered Same DayOct 16, 2021AFIN8018Macquaire University

Answer To: Microsoft Word - Case Assessment Task AFIN8018 Session 2 2020 Case Assessment Task (30% of unit...

Shakeel answered on Oct 18 2021
157 Votes
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...
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