Unit Code: FN0367 Unit Title: INVESTMENT MANAGEMENT, RATIONAL & IRRATIONAL MARKETS Distributed on: 07/10/11 Hand in Date: To be advised Instructions on Assessment: The module is assessed by 100%...

Unit Code:	FN0367
Unit Title:	INVESTMENT MANAGEMENT, RATIONAL & IRRATIONAL MARKETS
Distributed on:	07/10/11	Hand in Date:	To be advised

Instructions on Assessment:
The module is assessed by 100% assignment. During semester 1 (week 3 to 12: total 10 weeks) you are required to construct an investment portfolio and manage it. Your objective is to outperform the relevant performance benchmark. Your benchmark is a portfolio consisting of 70% equities and 30% cash. For the equity portfolio as a whole, compare it to the FTSE 100 Equity Index (UK campus students) or Hong Kong Hang Seng Index (HK campus students). You are encouraged to use Bloomberg Financial Database for portfolio construction and analysis.

Trading rules include these: No use of futures or options or short sales and No gearing.



Week 3

Start with £1,000,000 (UK campus students) or HK$1,000,000 (HK campus students) and invest in any of the assets including, individual equities, sector indices, equity market indices, ETFs (“exchange traded funds”) or any tradable currency.
During the portfolio management period (Week 3 to 12), you are required to rebalance your portfolio to realise your investment objective. You must value your portfolio and take into account the following transaction costs:
Individual equity switch 1%
Equity index and ETFs switch 1%
Cash (currency) ½%

Week 12

At the end of Week 12, stop portfolio management and carry out final valuation.
In your final investment report, you are required to address the following:

1. Discuss your investment philosophy and your market view. Make clear what assumptions you made to forecast the market. Based on your market view, explain how your asset allocation decisions match with your investor profiling.

(15 marks)

1. Discuss your rebalancing strategies. In this section, you should highlight why you hold or sell each asset and whether the rebalancing changed the nature of your portfolio. Your rebalancing strategies should be supported by relevant traditional investment theories, pricing models and strong academic literature.
   (20 marks)
   

1. Evaluate your final portfolio performance. Discuss the absolute and relative performance measures. In looking at relative performance, compare the portfolio return to the return from cash and to that of the given benchmark portfolio. You should explain the performance difference between your portfolio and the given benchmark using attribution analysis to reveal your overall asset allocation and equity selection capabilities.
   (20 marks)
   


2. Evaluate your risk taking decisions on equity portfolio. How did you quantify the risk for your equity portfolio? Compare the risk-adjusted portfolio return to that of FTSE 100 Equity Index or Hong Kong Hang Seng Index. Discuss how different risk attitudes affect investors’ risk-return trade-off decisions, and why individual investor’s risk attitude may change in different market situations? Your discussion should be supported by relevant behavioural investment theories and academic literature.
   (20 marks)
   


3. Evaluate your investment strategies. Identify the relevant behavioural concepts illustrated in your investment strategies. Highlight what lessons you learned about markets and portfolio strategy over the period.

(15

marks)

1. In order to help you to discuss your portfolio, changes made and also reflect upon your decisions, a discussion board is available within the eLP (Blackboard). You will be required to submit a
   reflective statement
   on the portfolio management as part of the assignment.
   (10 marks)
   

In addition, you must supply the details of all portfolio selections and changes made as an Appendix.
The assignment should be word-processed and within an overall word limit of
3,000
words (excluding appendices and bibliography). The word count should be stated in the assignment cover page.


Important note about ARNA regulations


The regulations specify that students must complete every assessment component contributing to the modules on their programme. This applies to all forms of assessment as defined in the module descriptor. Please note that:

• if any assessment component is not completed, students will be failed in the module even if the module pass mark has been achieved;


• if the requirements for referral specified in section 5 of ARNA¹
  are met, a resit opportunity will be given;


• if unable to complete an assessment component because of extenuating circumstances, students should follow the procedure described in the Student Guide to Extenuating Circumstances¹.

This change was approved by Academic Board on 12 October 2009 in consultation with the Students’ Union. Students should consult their Programme Leader or Guidance Tutor if they have any queries. Independent advice and support is also available from the Students’ Union Advice & Representation Centre ([email protected]) or from a student adviser in Student Services.

1. ARNA and the Student Guide to Extenuating Circumstances Affecting Assessed Work are available from http://www.northumbria.ac.uk/sd/central/ar/lts/assess/assproc/assdocstud/

Word limits and penalties for assignments


If the assignment is within +10% of the stated word limit no penalty will apply. However, if the word limit exceeds the +10% limit, 10% of the mark provisionally awarded to the assignment will be deducted. For example: if the assignment is worth 70% but is above the word limit by more than 10%, a penalty of 7% will be imposed, giving a final mark of 63%.


Time limits and penalties for presentations


The time allocated for the presentation must be adhered to. At the end of this time, the presentation will be stopped and will be marked based on what has been delivered within the time limit.

Submission of Assessment:
All assignments must be submitted via the Undergraduate Programme Office. Each assignment must be accompanied by an Assessed Work Form which must be completed in full. The assignment will not be accepted by the Undergraduate Programme Office unless the form is completed correctly.
Marked assignments will be returned to students. It is advisable to retain a copy of your assignment for you own records. Your mark will be returned on the Assessed Work Form via the Undergraduate Programme Office.
Referencing your work

The Harvard method of referring to publications and of arranging references uses the author's name and the date of the publication. References are listed at the end of the text in alphabetical order by author's name. The general format of a journal reference is shown below:
Smith, J. (1999) ‘How to succeed!’,
Journal of Entrepreneurs,
1 (2),pp.34-56
Author/s name and initials are listed first, followed by year of publication in brackets. Then there is the title of article and the journal where article appears, which is in italics. Finally, state the volume and issue Number (in brackets) along with the pages where article can be located.
For further information, including advice on how to cite information from the web, access the Library website:
www.northumbria.ac.uk/helpguides
which addresses frequently asked questions in relation to the Harvard referencing system.

Plagiarism and Cheating

Your attention is drawn to the University’s stated position on plagiarism. THE WORK OF OTHERS, WHICH IS INCLUDED IN THE ASSIGNMENT MUST BE ATTRIBUTED TO ITS SOURCE (a full bibliography and a list of references must be submitted).

Please note that this is intended to be an individual piece of work. Action will be taken where a student is suspected of having cheated or engaged in any dishonest practice. Students are referred to the University regulations on plagiarism and other forms of academic irregularity. Students must not copy or collude with one another or present any information that they themselves have not generated.

(Some basic instruction if required here)


Mapping to Programme Goals and Objectives:


This assessment will contribute directly to the following Undergraduate programme goals and objectives.



1. Knowledgeable about the theory and practice of international business and management

Objectives:
Students will be able to:

x	1.	Demonstrate current knowledge and understanding of the major functional areas of business.
x	2.	Demonstrate current knowledge of specialist functional and professional areas of business where such specialisation is informed by relevant QAA benchmarks, professional accreditation requirements and applicable international educational standards.
x	3.	Demonstrate, through the application of knowledge to business contexts and scenarios, their abilities of analysis and synthesis.

2. Skilful in the use of personal, professional and managerial techniques and processes

Objectives:
Students will be able to:

x	1.	Demonstrate the acquisition and application of a range of personal transferable skills in numeracy, literacy, communication and time management.
x	2.	Exhibit an understanding of the needs of customers, clients and other important contacts through the demonstration of the awareness of key professional and managerial issues, problem solving and critical thinking.
x	3.	Apply managerial and leadership techniques, including negotiation, project management, team building and decision making to business problems appropriate to their level of study.

3. Employable as graduates

Objectives:
Students will be able to:

x	1.	Demonstrate a range of key skills for securing graduate employment, including self presentation e.g. in CVs, interviews and assessment centres.
2.	Demonstrate an active awareness of the graduate labour market in order to secure, retain and develop a graduate career.
3.	Provide evidence of direct engagement with a range of graduate employers and professional bodies..

4. Aware of ethical issues impacting on business and professional practice

Objectives:
Students will be able to:

x	1.	Demonstrate an understanding of UK and international organisations’ approaches to Corporate Social Responsibility and their implications for organisations and individuals.
x	2.	Demonstrate an understanding of the ethical codes of professional bodies and the legal and regulatory contexts in which these operate.
3.	Demonstrate an understanding of different perspectives towards organisational ethics including shareholder, stakeholder and critical approaches.

Assessment Criteria (NBS) The first column indicates the general assessment criteria used within NBS the second column indicates the specific criteria used when marking your assessment.

Mark	General Criteria	Module Assessment Criteria
First (80 - 100)	Exceptional scholarship for subject. Outstanding ability to apply, in the right measure, the skills necessary to achieve highly sophisticated and fluent challenges to received wisdom.	The paper submitted displays exceptional depth of understanding of the issues in question and would be of significant value to the an investment manager
First (70 - 79)	Knowledge and understanding is comprehensive both as to breadth and depth. A mature ability to critically appreciate concepts and their inter-relationship is demonstrated. Clear evidence of independent thought. Presentation of work is fluent, focused and accurate.	Displays significant critical evaluation of investment management techniques and critical appreciation of issues related to the development of relevant strategies. Demonstrates a clear understanding of practical issues relevant to current investment practice within the current investment climate
Upper Second (60 - 69)	Knowledge base is up-to-date and relevant, but also may be broad or deep. Higher order critical appreciation skills are displayed. A significant ability to apply theory, concepts, ideas and their inter-relationship is illustrated	Displays a sound grasp of the issues in question, critical evaluation to some extent and an appreciation of some of the practical issues and constraints
Lower Second (50 - 59)	Sound comprehension of topic. Reasoning and argument are generally relevant but not necessarily extensive. Awareness of concepts and critical appreciation are apparent, but the ability to conceptualise, and/or to apply theory is slightly limited.	Demonstrates understanding of the main issues to be addressed. Fails to fully relate the issues to the underlying theory. Demonstrates a lack of wider reading
Third (40 - 49)	Knowledge is adequate but limited and/or superficial. In the most part, description/assertion rather than argument or logical reasoning is used. Insufficient focus is evident in work presented.	Displays limited appreciation of relative merits of investment theories, strategies and techniques
(30 - 39)	Minimal awareness of subject area. Communication of knowledge frequently inarticulate and/or irrelevant.	See general criteria
(0 - 29)	Poor grasp of topic concepts or of awareness of what concepts are. Failure to apply relevant skills. Work is inarticulate and/or incomprehensible.	See general criteria

Note:
For those assessments or partial assessments based on calculation, multiple choice etc. Marks will be gained on an accumulative basis. In these cases, marks allocated to each section will be made clear.
Students must retain an electronic copy of this assignment and it must be made available within 24 hours of them requesting it be submitted.