代做Advanced Funds Management代做留学生SQL语言程序

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Advanced Funds Management

Group Assignment

General Instructions

a) This assignment has a maximum group size of 3 students. Students will form. groups in MyUni for the course and submit the assignment through the group. Students who wish to complete the assignment individually must contact the course coordinator (syed.ali@adelaide.edu.au) to seek approval.

b) The due date for the assignment is the 20 of October (11:59pm). Each additional working day (does not include Saturday, Sunday, or public holidays) incurs a 1.5-mark (out of 30) penalty which will be deducted from the total mark for the assignment. Early assignment submissions by the 16 of October will receive 3 bonus marks. Late assignments must be submitted by the 27th October (11:59pm) after which no assignments will be accepted.

c) Teams will be expected to access information and data from Refinitiv and Morningstar and create tables and graphs for this report. Students are not allowed to copy and paste tables, graphs, and diagrams from these sources. A penalty of 1 mark (out of 30) per item copied and pasted from these sources will be deducted from the assignment. Please ask for clarifications if unsure about this aspect.

d) This assignment is worth 105 marks and is weighted 30% of the total course assessment. A maximum word count for each section is provided. Teams are required to provide a word count for each section to show that the word limit has not been exceeded.

e) Students should familiarize themselves with the communication skills guide (attached in the Assignment Module). Plagiarism in assignment from any source will be investigated by the Academic Integrity Committee. Students are not allowed to use any translation software, generative AI tools, or translation tools. All references must be read and understood.

f) The assignment report should be submitted through AFM Group Assignment (number). This way the whole group can see the comments received. Any extension will also be given for the group and not individual student. To submit your assignment, please follow the instructions here:

https://community.canvaslms.com/t5/Student-Guide/How-do-I-submit-an-assignment-on-behalf-of- a-group/ta-p/294#U294

AFM Assignment Brief

Sanders Consulting

Sanders Consulting services the fund management industry. They specialise in conducting research for US and Australian Equity and Bonds funds under Berk’s theory of fund performance and capital flows. In addition, Sanders offers fund management cost reduction program, primarily through reduced number of holdings in a fund and reduced churn (number of transactions per annum).

Dandenong Investments

Dandenong Investments’ manages 10,000 retail investors provide financial advice as well as recommends managed funds for their clients. DI have recently considered managing two popular in-house funds – US Investment grade corporate bonds and Australian Large Cap equities and have asked SC to provide their services. Specifically, DI wishes to identify funds with high turnover, high costs, low ranking (below average) BUT with skilled fund managers. DI also requires SC to use the identified funds to “enhance” them such that these funds are not only improve on a net (after costs) basis but also are able to generate abnormal returns (on agross basis (without considering costs) against their respective benchmarks.

AFM in-training Fund Management Team

Sanders Consulting has requested your AFM team to provide the services requested by Dandenong Investments. Your team will have a specialist in US FIS assets and US yield curve forecasts; a specialist on forecast of the Australian economy and Australian Large cap equities; and a specialist equity and FIS fund analyst. Your team will write a report to address the requirements for Dandenong Investments.

Executive Summary (2.5% - 250 words max)

Team will provide an executive summary of the scope of this report and the analyses conducted. Teams also mention limitations of this project.

Section 1 (5 +10 + 5% = 30% - 1500 words max)

Your team will identify a US FIS Investment grade Corporate Bond fund and an Australian Large Cap equity, that has (i) and active management style. (LSEG), (ii) ranked below average (below 50 percentile) for the last 5 years (Morningstar), (iii) has above-average net management costs over the last 5 years (LSEG and MorningStar (US and Australia)), (iv) above average turnover (LSEG), and must have at least 50 firms in Equity fund and 100 bonds in the FIS fund.

Task 1 (5%) Your team will demonstrate that the chosen active funds (one US Investment grade Corporate bond fund and one Australian Equity Large Cap fund) have the desired characteristics in a table below:

	Rank	Management costs	Turnover
Fund
Average

Task 2 (5 + 5% = 15%) Your team will conduct a top-down analysis of the two funds against their benchmarks over the last 5 years (using monthly data). 3-month T-Bill rate must be used in this analysis. The following measures will be provided and discussed in the table below:

Fund name	Asset Type	Average Return	Volatility	Sharpe Ratio	Alpha	Tracking Error	Information ratio	Significance of Alpha	Discussion
	US FIS Investment Grade Corporate
	BM for US FIS Investment Grade corporate				-	-	-	-
	Australian Large Cap Equity
	BM for Australian Large Cap Equity					-	-	-

The discussion must focus on how each fund has performed on a historic basis against their respective benchmarks, and whether the fund manager has displayed skills in managing these funds.

Task 3 (10 + 5% = 15%) Your teams will conduct a bottom-up analysis of both funds over two periods. Teams will require to gather returns and other details (sectors for equities and credit ratings/maturity or duration for FIS) over three dates over the last 5 years. All analyses will require a comparison against each fund’s respective benchmarks.

Equity Funds: Equity fund bottom-up analysis must group firms into 11 sectors, and must be conducted over two periods (months, quarters, half years or years) using the latest data available for this analysis.

FIS Fund: FIS fund bottom-up analysis must start by grouping FIS assets into credit and maturity (or duration) groups. Bottom-up analysis will be conducted over two periods (months, quarters, half years or years)

A discussion of fund manager’s skills will summarise the results of the two Bottom-up analyses.

Section 2 (35% - 1500 words)

This section will be conducted by an Equity Analyst tasked with improving the fund’sperformance by (i) reduced turnover, (ii) reduced number of firms in the fund to between 22 and 33, (iii) improved Information ratio, and (iv) improved rankings.

Task 1 (10%)

Your team will provide market forecast (in terms of % change from current market returns) months, and forecasts for each sector (in terms of % change from current sector returns) using the Black Litterman framework, as well as your own private deviations from BL forecast over the next 6. A discussion on how each sector will perform. in the table below:

Sector	6 month returns	BL Forecasted 6 month returns	Team Forecasted 6 month returns	Discussion
Financials
Materials

…
…
Technology
Market

Task 2 (15%)

Your team will identify two firms from each sector that is most mis-priced. Mis-pricing will be identified using two methodologies: first, using estimates from LSEG’s equity data; and second using the analyst’s proprietary methodology. You will present the information in the table below and also provide a short description of the direction of forecast and difference in opinion between LSEG analysts and your own forecasts.

Firm

Sector

Current allocation

and position within

sector

LSEG

estimates

Team

estimates

Discussion

Task 3 (10%)

Your team will allocate the mispriced firms and a BM ETF to create an enhanced Australian Equity large Cap fund. The newly created fund will have an improved Information ratio (using mispricing for alpha calculations and the historical tracking error) with lower management costs. The new fund will only consist of the identified mispriced firms from Task 2 as well as the BM ETF to provide the exposure to the BM. Teams will allocate the firms and the BM ETF to ensure that (i) the sector allocation will deviate from the BM based on the forecasts in Task 1, and (ii) the firms and the ETF will be allocated through risk allocation.

A report on the structure of the newly formed equity fund, and its forecasted performance will be provided at the end of this section.

Section 3 (35% - 1500 words)

This section will be conducted by an FIS Analyst tasked with improving the fund’s performance by (i) reduced turnover, (ii) reduced number of bonds in the fund to 60, (iii) improved Information ratio, and (iv) improved rankings.

Task 1 (10%)

Your team will provide yield forecast (in terms of % change from current yield), including forecasts for each of the 10 maturity (in terms of % change from current sector returns). A discussion on the reason for the yield change for each maturity will be presented in the table below:

Sector	6-month change	Team Forecasted 6- month change	Discussion
1m
3m
…
1Y
…
30Y

Task 2 (15%)

Your team will identify three bonds for each credit/maturity or duration that is most mis-priced. You will present the information in the table below.

Bond

Current allocation

Maturity

Duration

Credit rating groups

Task 3 (10%)

Your team will allocate the 60 bonds and a BM ETF to create an enhanced US FIS Investment Grade fund. The newly created fund will have an improved Information ratio (using historical tracking error) with lower management costs. The new fund will only consist of the 60 bonds from Task 2 as well as the BM ETF to provide the exposure to the BM. Teams will allocate the bonds and the BM ETF to ensure that (i) the credit/maturity or duration allocation will deviate from the BM based on the forecasts in Task 1, and (ii) the bonds and the ETF will be allocated through an optimization process.

A report on the structure of the newly formed bond fund, and its forecasted performance will be provided at the end of this section.

Conclusion (2.5% marks – 250 words)

A conclusion will detail the work completed in the three sections and the value to SC’s client Dandenong Investments.