Microsoft Word - Assignment_EDHEC PM 2020.docx Portfolio Management (Prof. Marie Lambert ) - MSc. Finance 2020 Group assignment: groups of 3 students XXXXXXXXXXDue date: 10th May 2020 midnight Case...

Please refer to the assignment sheet attached. This is a Portfolio Management assignment.


Microsoft Word - Assignment_EDHEC PM 2020.docx Portfolio Management (Prof. Marie Lambert ) - MSc. Finance 2020 Group assignment: groups of 3 students Due date: 10th May 2020 midnight Case The administrators of one pension fund, based in London, have short-listed the asset management company you work for to manage the equity portion of their portfolio. Following the recommendations of the consultancy firm AM International Ltd, it has been decided that this specific mandate should be consistent with the latest insights from Modern Portfolio Theory, emphasizing the benefits of scientific diversification, broadly called smart beta. Your task: You are asked to provide them with one asset allocation proposition in scientific diversification (eg., risk parity, diversity index, maximum diversification, global min. variance, efficient index1). You are asked to provide the asset universe used as a benchmark and compare the performance and risks of your proposal to both cap-weighted and equally-weighted versions of your benchmark. Deadline and structure of the proposal The deadline for sending them your proposal is set to May 10th at midnight on their online system. Be careful as the administrators will NOT consider any late submission2 or proposals not sent through the system3.They would also like to know who has constructed the proposals and require the assistance of 3 managers4. To be able to compare the different proposals on an equal basis, the administrators have specified the following mandatory structure: - A cover page with the names of the managers in charge of the proposal; - One-page term sheet describing your strategy in a nutshell, using graphs and key financial indicators. Key information includes but are not limited to: benchmark information, top 10 allocations and differences with the benchmark, weighting scheme, diversification measure, sector exposure, information ratio, tracking error, risk measures, backtesting of performance; 1 Efficient indexing means maximizing the Sharpe ratio using the appropriate inputs. 2 This would therefore lead to a grade of 0/20. 3 Assignments should be submitted using the assignment link on Black Board. Submission by email will NOT be graded. 4 Individual assignments are not allowed. Groups of 3 students should be formed and the names clearly indicated on the work. dakota Highlight dakota Highlight dakota Highlight dakota Highlight dakota Highlight - Two-page explanation of the value proposition and of its value-added regarding the benchmark based on the statistics provided at page 1. The impact of a change in macro-economic conditions on your investment solution should be provided; - 2-page description of the computations, assumptions that have been made towards the proposal; - the excel file with data and computations. The administrators would like to have the possibility to check the excel files (for their information, in case something is not clear in your proposal). dakota Highlight dakota Highlight dakota Highlight