Portfolio Management 3208AFE

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Additional Notes on the 2020 Case Study Project

  1. As outlined previously, your equity fund management group is seeking to convince a potential corporate client that your group should manage the company’s US$20m to be invested in companies in the S&P 500. The name of the client company is Caldera Investments. (You should also choose a firm name for your fund management group).
  2. For the minimum variance analysis and for 4 (b) of the Case Study, the client requires that there is no short-selling and that no more than 20% of the portfolio is invested in any one stock.
  3. As shown in the Course Profile, the Due Date for the Case Study is in Week 10 (5pm, on Friday 25th September).
  4. Re-read the Case Study document carefully. In particular it states:

A written report and a presentation are required. The Portfolio Report must comprehensively describe your portfolio management project and should be of the highest professional standard. The appendices should contain essential information, calculations and data only. The appendices should be at the end of the report so that they can be accessed easily by the examiner.  

The point of the Appendix is that this is the place in the report where you can provide the evidence to support your decision about each of the 20 companies.

  • The assignment should be submitted electronically via the Assessment folder of the Learning@Griffith course website.  
  • A suggested Report structure is as follows: A short Executive Summary of the Report (1/2 to ¾ of a page); followed by an Introduction that introduces your firm/team and describes your firm’s investment philosophy/style and the client’s brief; an Initial Screen section that describes the constraints used to select 20 stocks from the S&P 500, and that also lists these 20 stocks (also refer to where the actual stock screen can be found in the Appendix); the Company Analysis section in which you explain your reasoning about each of the 20 companies (why the company was rejected, or why the company was selected as one of 8 from the 20 to be included in your portfolio  [Important: see Point 9 below]; a Portfolio Weights section which includes a description of your minimum variance output and which also includes your preferred portfolio weights (which can override the minimum variance weights as discussed in 4(b) of the Case Study Outline); the Appendix.
  • Your reasoning in the Company Analysis section (the second stage of the stock selection process where your team selects 8 stocks from the 20 selected in the first stage) is most important as this will demonstrate your understanding of what is important for your chosen investment style. [To do fundamental analysis well, you will need to understand the 20 businesses and the challenges that face them, and their growth prospects.] You should include a small discussion about your decision on each of the 20 stocks (why rejected/accepted). No more than one paragraph per stock. Your comments should be able to be checked by inspection of the data, (so include references in each paragraph to the pages in the Appendix that contains this supporting information/data), and must make sense from the perspective of your own description of your investment style.
  • The Case Study document stated: This process must involve fundamental analysis and investment style considerations, and it may involve other techniques if this is part of your investment style. Some students are unsure about exactly what this statement means. It means that while fundamental analysis is essential, other techniques can be used to the extent that your group wishes that they form part of the investment style that your group has adopted. Any group choosing a style of their own creation should check with the convenor that their adopted style is viable. (It is only necessary to have a style checked if the group is adopting an unconventional style.)
  • Rather than the final portfolio being composed entirely of the 8 selected stocks, there is the option available for a group to also include one or more ETFs (up to 50% of the portfolio) IF they can justify why the inclusion of such ETFs is consistent with their chosen investment style. Any group considering such inclusion should check with the convenor before pursuing this option.
  1. As discussed, you are allowed to get company financial data from third-party websites such as Bloomberg, Morningstar, YahooFinance, etc. However, as Point 7 above makes clear, it is your reasoning and justification that matters not third-party analyses.
  2. The Case Study Report is worth 40% of the final mark for this course, and it also provides each student with the basic information that will be drawn upon by each student for the Digital Communication Task (worth 20% of the final mark). Individual students will undertake the production of a video for the digital communication of key features of their Case Study. The Due Date for the submission of the video is 5pm, Friday October 9th. Further details about this video will be posted separately. At this stage it is important for students to make sure that they complete the Case Study Report in sufficient time to allow time to produce the video.

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