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    Attachment - 1 (42) .Docx670205d4de2063139

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    of 9

    RMIT Classification: Trusted

    BAFI1045 - Equity Portfolio Management Assessment

    Assessment Task 3: Equity Portfolio Management Report


    Marks/Weighting: 40 marks, accounting for 40% of the total grade for this course
    Assignment Due Date: Sunday of Week 14, 20th October 2024, 5 pm, Singapore time
    Word Limit: Maximum 3,500 words (excluding ToC, Appendix and References)
    Submission: The assignment will be submitted via Canvas, Turnitin
    Rubric/Marking criteria: A marking rubric is provided on Canvas.

    The assessment is submitted as an individual assignment

    You will be given funds to invest in the share market. You are required to construct two
    $1,000,000 equity investment portfolios:

    1. A passive portfolio replicating the return of The Straits Times Index (STI)
    2. An active portfolio to achieve your investment objective of outperforming the index

    You will then prepare a report in which you can explain your investment strategy for
    constructing a passive and an active portfolio and then evaluate the investment
    performance of each in terms of absolute and relative return, risk and attribution effects to
    explain the differences in performance of each portfolio. You will be given ten companies
    selected from the STI index that tracks the performance of the top 30 companies listed on
    the Singapore Stock Exchange to create an active portfolio.

    This assessment replicates the tasks that would be undertaken by portfolio managers in a
    real-world investment company. For the passive portfolio, your task will be to replicate, as
    closely as possible, the risk and return characteristics of the Straits Times Index (STI)
    benchmark index. For your active portfolio, your task will be to select stocks and sectors
    from ten stocks selected from companies in the STI Index, which will result in your portfolio
    achieving a higher return than the index.

    Your task is not necessarily to produce a positive return. If the markets fall in value, then
    your passive portfolio should fall in value by a similar degree. Your active portfolio should
    aim to outperform the return on the index: if the index falls, your portfolio should fall by a
    lesser amount; if the index rises, then your portfolio should rise by a higher amount.

    ` Equity Portfolio Management Assignment Page 1 of 9


    RMIT Classification: Trusted

    The final submission should fulfil the following minimum requirements

    For Passive portfolio


     calculate the number of shares required for your passive portfolio to replicate the
    composition of the STI index
    For Active portfolio
    Assess all ten companies and sectors from the stocks shared with you
     analyse the outlook for each company’s industry
     analyse the macroeconomic environment at the global and domestic level
     identify the firms and sectors that you consider will outperform relative to the
    index and build your active portfolio to reflect your predictions
     analyse and comment on three financial ratios of each company over the previous
    five years. Examples of ratios that can be used-
     Return on Equity
     PEG Ratio
     Net Profit Margin
     Earnings Growth
     Debt to Equity

    Evaluate your findings and select six companies for your active portfolio
     after assessing the ten companies, select six to be included in your active
    portfolio
     describe the reasons for your selections (around 5 bullet points for each stock)
     also, describe the reasons why you have not chosen the other four firms (around
    5 bullet points for each stock)
     assign portfolio weights for each of your companies and discuss why you have
    chosen the weights in comparison to the weight of each stock in the index
     calculate the number of shares required for each company to create a portfolio
    with the initial weights you have selected for your active portfolio
    è why are some companies overweight in your portfolio, and why are others
    underweight as compared to the index?
    è what do these active weights mean for your portfolio’s potential performance
    relative to the index?F

    ` Equity Portfolio Management Assignment Page 2 of 9


    RMIT Classification: Trusted

    Build your portfolios


     create these two portfolios in LSEG Workspace, ensuring that all dates and
    numbers of shares are correct

    Portfolio Creation Dates


    Passive and Active
     Start Date: Monday, September 23rd, 2024
    Portfolio Names in Workspace
     Passive: Student number Replication (Ex. s3254663 Replication)
     Active: Student number Active (Ex. s3254663 Active)
    Benchmark Portfolio
     Straits Times Index (STI)
    Portfolio Analysis period for both portfolios
     Start Date: Monday, September 23rd, 2024
     End Date: Friday, October 11th, 2024

    Observe your portfolios’ performances over the analysis period


     as the share prices change over the evaluation period, you will be able to watch
    how the returns on the index, your active portfolio and your passive portfolio react

    For each portfolio


     explain the reasoning for your stock selection and weighting relative to the index
     attach screenshots of your portfolios created in Workspace
     report your results for each portfolio
     provide comments on the total return/risk and active return/risk of your portfolios
     discuss the sectors and securities’ active weights in your portfolio
     analyse the active return of your portfolios with reference to the allocation and
    selection effects
     What was the overall performance of the active portfolio, your passive portfolio
    and the benchmark index?
     describe any major market events that contributed to the return performance of
    the benchmark or of your portfolios
     have you achieved (or not achieved) the goal for your passive/active portfolio

    Finally, which of the two portfolios will you recommend and why?
    ` Equity Portfolio Management Assignment Page 3 of 9
    RMIT Classification: Trusted

    Data for your report from Workspace

    Workspace calculates the portfolio statistics you will require for your report. The
    information you will need can be found as listed below.

    Information Workspace Location


    Total and Active Return Balanced Summary – Contribution
    Contribution to Return Equity Summary – Performance/Contribution
    Contribution to Portfolio Weight Equity Summary – Allocation
    Allocation and Selection Effects Brinson Single Currency
    Contribution to Total Risk Ex-ante Multi-factor Risk – Portfolio Summary
    Contribution to Active Risk Ex-ante Multi-factor Risk – Active Summary
    Performance Ratios (Sharpe, Treynor) Return Statistics

    You will need to select six stocks for your active portfolio from the following ten stocks that
    are constituents of the STI Index:

    Code Company Sector / Industry Group


    D05 DBS Banking & Investment Services, Banks
    U11 UOB Banking & Investment Services, Banks
    O39 OCBC Bank Banking & Investment Services, Banks

    M44U Mapletree Logistics Trust Real Estate, Commercial REITs

    BUOU Frasers Logistics & Commercial Trust Real Estate, Commercial REITs
    C38U CapitaLand Integrated Commercial
    Real Estate, Commercial REITs
    Trust
    C09 Real Estate, Real Estate Development &
    City Developments Ltd
    Operations
    D01 Food & Drug Retailing, Food Retail &
    DFI Retail Group
    Distribution
    BN4 Consumer Goods Conglomerates,
    Keppel Ltd
    Consumer Goods Conglomerates
    C07 Jardine Cycle & Carriage Ltd Consumer Discretionary / Retailing

    ` Equity Portfolio Management Assignment Page 4 of 9


    RMIT Classification: Trusted

    References and Citations


    Use proper citations and references, and include a list of references you use in your
    report. Failure to do so will result in a lower grade. RMIT provides a website that explains
    the use of the Harvard reference system.
    Please consult it here: https://www.lib.rmit.edu.au/easy-cite/

    Some useful resources for this assignment include


    Reilly, Frank K., Keith C. Brown and Sanford Leeds, Investment Analysis and Portfolio
    Management (11th Edition), Thomson South-Western, 2019.

    You should also conduct your own analysis using the companies’ websites, annual
    reports, LSEG Workspace, IBISWorld and any other sources you consider to be relevant
    to your report. The more resources you use for your research, the better your analysis will
    be.

    Assignment submission procedure


    All assignments must be submitted online through the course Canvas Turnitin for a
    plagiarism check and accompanied by an assignment cover sheet.

    An Important Note on Plagiarism

    What is Plagiarism?
    Plagiarism is the presentation of the work, ideas or creation of another person without
    appropriate referencing, as though it is one’s own. Plagiarism can occur in oral and written
    presentations and is never acceptable. The use of another person’s work or ideas must be
    acknowledged. Failure to do so may result in charges of academic misconduct, which
    carry a range of penalties, including cancellation of results and exclusion from the course.

    Students are advised to read and understand the University’s policy on plagiarism.

    ` Equity Portfolio Management Assignment Page 5 of 9


    RMIT Classification: Trusted

    Rubrics

    ` Equity Portfolio Management Assignment Page 6 of 9


    RMIT Classification: Trusted

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    RMIT Classification: Trusted

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    RMIT Classification: Trusted

    ` Equity Portfolio Management Assignment Page 9 of 9

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