FIN30016 Management of Investment Portfolios
Semester 1, 2020
NOTE: This assignment is due on SUNDAY 31 May 2020
1. This assignment is to be completed individually.
2. If you think it is helpful you may consider attach your spreadsheet as supplement. However,
only the report in word document will be marked.
3. Provide word count at the end of each part.
4. This assignment is marked out of 40%. It will late be adjusted and contributes 20% of the total
assessment for this unit.
5. The due date for this assignment is SUNDAY 31 May 2020 by 11.59pm. Students should make
themselves aware of the Extensions and Late Submissions Policy, which can be found in the
FIN30016 Unit Outline. Please get in touch with the unit convenor by 27 May 2020 if you require
6. Assignment submissions must include an Assignment Coversheet which is available on the
Blackboard website. Any submissions without the coversheet will be marked as zero (0).
7. Students should ensure that they keep an electronic copy of their assignment.
8. All students are reminded of the Assessment and Appeals Policy as outlined in the FIN30016
FIN30016 Assignment 2 S1 2020 2 | P a g e
The Australian Security Exchange (ASX) boasts one of the biggest Exchange Traded Funds (ETF)
in the region.
• Go to ASX website and select 1 fund from each of the following category: A-REITS,
Infrastructure Funds, 1 fund from International/Strategy ETF. Make sure these funds have been
in the market for at least 4 years. In addition, use the following criteria in your selection:
a. A-REITS: Use the first alphabet in your first name to select the A-REITS with the same
alphabet. i.e. if you name is Magdalene, then you could select either MPS, MGR or MIX.
If your name is Harry and there is no fund starting with “H” on the list, then go to the next
alphabet in the sequence. i.e. you could choose either IEF, IOF or ILF.
b. Infrastructure Fund: Any fund of your own choice.
c. International/Strategy ETF: Select one fund from either: International ETFs, International
Sector ETFS, Cash & Currency ETFs, Fixed Income ETFs or Commodity ETF & ETCs.
d. Cash: Keep it in the interest-bearing account. Choose the appropriate interest rate from one
of the Australian banks.
• Form a portfolio and apply the following allocation
20% 40% 30% 10%
Question (i) (15%, 500 words)
1. Identify the two largest infrastructure assets owned by the infrastructure fund selected from
part (b) over the last 2 financial years. This information is usually available from the annual
reports or DatAnalysis. If the fund only owns one physical asset, such as Sydney Airport, list the
two divisions that contribute the most revenue.
2. (i) Justify your decision to your selection of fund for part (c) International ETF. Why have you
decided to select this particular fund over the others?
(ii) Identify three potential factors that might influence the performance of the fund over the
next 12 months.
• There are thousand and one events happening in the market every day and financial markets
are closely integrated. The factors you have selected must have a direct impact on the fund of
your choice. Otherwise one could relate the typhoon in Brisbane is set off by the flap of
Butterfly’s wings in Brazil.
Question (ii) (10%, 400 words)
Download their monthly closing prices for the last 49 months (from DatAnalysis or Yahoo!
Calculate the performance (return) of your portfolio and compare it against the return of the
benchmark ASX S&P200 index, that is:
1. Calculate excess return of your portfolio.
2. Calculate the absolute tracking error of your portfolio over the period.
3. Discuss your observation from part 1 and 2.
FIN30016 Assignment 2 S1 2020 3 | P a g e
Question (iii) (15%, 400 words)
1. Investigate over the last 4 years, how much your investment portfolio is influenced by the
return of the equity market in USA, using S&P500 as the market benchmark. (You can
also use the volatility as your proxy).
2. Using Excel Solver, for your investment portfolio, what is the best allocation across 3
funds if you wish to lower your overall return to total risk by 1%?
• You can select whichever method of tracking error covered in Chapter 20 of the textbook.
• When you are trying to answer, if your portfolio is influenced by the XYZ factor, you could use
either correlation or regression analysis.
• Your answer to Question (iii) part 1 should not be just “yes”, “no” or “I think”. Provide some
justifications in terms of “how strong/weak” the relationship is. That is your conclusion has to
be justified by a quantitative measure. Making conclusions based on two lines on a graph does
not meet the quantitative measure requirement. Actual investment is not just about some gut