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General Instructions
Advanced Funds Management Group Assignment
- 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 ([email protected]) to seek approval.
- b) The due date for the assignment is Sunday, the 16th October (11:59pm). Each additional working day (does not include Saturday, Sunday, or public holidays) incurs a 2-mark (out of 30) penalty which will be deducted from the total mark for the assignment. Late assignments must be submitted by the 30th Octoberth (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 30 marks and is also 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 as well as the Academic Integrity Policy (attached in the Assignment Module). Plagiarism in assignment from any source will be investigated by the Academic Integrity Committee and will be detected through the Turnitin report for similarity checks.
- f) Assignment marks will be awarded equally UNLESS teams wish for individual marks OR if students have issues with the amount of work done by each team member. This must be made when submitting the assignment signed by all team members. If there is disagreement amongst the team members regarding the amount of work done for this report, teams must contact the course coordinator by the 9th of October.
Assignment Brief
Precious Asset Management (PAM), an Australian investment house that manages two life-style funds: Defensive (70:30 Bonds to Equities), and a Growth Fund (30:70 Bonds to Equities). PAM LifeStyle fund consists of Australian Index ETFs, an Emerging market Active Equity fund, and home-grown active funds. PAM has in- house fund management capabilities and wants to use them in their LifeStyle offerings.
PAM believes that each LifeStyle funds must start with a base of Vanguard Australian equities and Bond ETFs – VAS and VAF. Each LifeStyle fund will then add two PAM active funds – one Australian equity fund and one US bond fund. Finally, one Emerging market active equity mutual fund will be added.
PAM wants to create two variations within each life-style fund as follows:
Life Style Fund
Defensive 1 Defensive 2 Growth 1 Growth 2
Investment Bias
70:30 70:30 30:70 30:70
Australian Equities
ASX 300 ETF (VAS) + PAM Small Cap Growth
ASX 300 ETF (VAS) + PAM Small Cap Value
ASX 300 ETF (VAS) + PAM Large Cap Growth
ASX 300 ETF (VAS) + PAM Large Cap Value
Australian Bonds
Aus Bond ETF (VAF)
Aus Bond ETF (VAF)
Aus Bond ETF (VAF)
Aus Bond ETF (VAF)
Emerging Mkt Active Equity mutual fund Eastern European Fund
Latin American Fund
African Fund Middle East Fund
US Active Bond funds
PAM US Short Term Inv Grade Corporate Bond Active
PAM US Short Term High Yield Active
PAM US Long Term Inv. Grade Corporate Bond Active
PAM US Long Term High Yield Bond Active
Last digit of Sum
1and9 2,5and7
0and4 3,6and8
Teams will choose the LifeStyle fund based on the last digit of the sum of the student ids added together, based on the table below:
LifeStyle Fund Defensive 1
Defensive 2
Growth 1 Growth 2
Member
1 2 3 Total
Investment Obj
Outperform the 70:30 (VAF:VAS) by 0.25% per
should have a higher Sharpe ratio than the benchmark
Outperform the 70:30 (VAF:VAS) by 0.25% per annum after costs. Fund should have a higher Information ratio against the benchmark with Tracking Error of less than 5% per annum
Outperform the 30:70 (VAF:VAS) by 0.5% per annum after costs. Fund should have a higher Sharpe ratio than the benchmark
Outperform the 30:70 (VAF:VAS) by 0.5% per annum after costs. Fund should have a higher Information ratio against the benchmark with Tracking Error between 5% and 10% per annum
Student Id
1700925 1624100 1528741 4,853,766
annum after costs. Fund
For example, if a team with three team members have the following details, the LifeStyle fund that they must create will be the PAM LifeStyle Growth 2 Fund.
Further details of each active fund is provided below:
1. (25% of the assignment mark) PAM Australian active equity Fund (all variations)
PAM Australian Equity fund will use the appropriate benchmark (ASX 100 for large cap and ASX Small Ordinaries for small cap). Teams will create an active fund with 20 equities selected from the index that fits the style bias (Value or Growth) specified. The fund ensures that only two equities from each industry sector is selected.
10 Industry Sectors are: Financials, Materials, Healthcare, Real Estate, Consumer Discretionary, Industrials, Energy (and Utilities), Consumer Staples, Communication Services and Info Tech. (Rifinitiv). The allocation methodology must be based on either Dollar allocation or Risk allocation. Teams should note that equal dollar or risk allocation between 2 or more equities is not permitted.
2. (25% of the assignment mark) PAM US active bond Fund (all variations)
PAM US Bond fund will use the appropriate benchmark (provide din the table below). Teams will create an active fund based on credit quality AND duration. Teams must ensures that all bond issues, with the appropriate effective duration, will be used in each active fund. A Short-term bond fund will have weighted average effective duration of less than 3 years and Long-term bond fund will have weighted average effective duration more than 5 years.
The allocation methodology must be based on either Dollar allocation or Risk allocation. Teams should note that equal dollar or risk allocation between 2 or more bond segments is not permitted.
US Active Bond funds
PAM US Short Term Inv Grade Corporate Bond Active PAM US Short Term High Yield Active
PAM US Long Term Inv. Grade Corporate Bond Active PAM US Long Term High Yield Bond Active
Benchmark
Bloomberg 1-3 yr Govt/Credit TR Bloomberg US Corporate High Yield TR Bloomberg Intermediate US Govt/Credit TR Bloomberg US Corporate High Yield TR
3. (25% of the assignment mark) Emerging Market active equity fund (all variations)
PAM LifeStyle fund will include ONE emerging market equity fund as specified above. Teams will select the fund that best “fits” best with the other investments (VAS, VAF, PAM Aus Active Equity Fund, and PAM US Active bond fund). To this end, teams will choose the fund based on primarily fund’s non-performance characteristics (Age, Fund size, Fund managers’ age, qualification and experience, and fund’s parent) as well as fund’s investment return and risk objective and fund’s sector allocation. Fund’s performance will play a secondary part but PAM notes that performance of a fund may be influenced by a variety of actions and market conditions that do not contribute towards fund manager’s skills. To this end, team will perform Top- down and Bottom-up analysis (sector based only) over the last 3 quarters. Benchmark used for both
analyses will be a broad-based regional index.
4. (25% of the assignment mark) LifeStyle Fund creation
PAM LifeStyle fund creation will combine the 5 investments – VAS, VAF, PAM Aus Active Equity Fund, PAM US Active Bond Fund, and 1 Emerging Market Active Mutual Fund to achieve the investment objective – Return and Risk. The allocation of each fund must be (i) quantitatively driven whereby teams can choose to use the risk and/or $ allocated methodologies) based on each fund’s performance measures and/or (ii) qualitatively driven whereby teams will allocate funds based on each fund’s characteristics. Teams that incorporate both aspects will not only create a quality LifeStyle product but also be rewarded with unspecified benefits by PAM’s management team. Teams should assume a fee that will take into account quality of fund selection and management skills and market averages. Teams cannot charge above 75%, or below 25% of peer funds’ fees.
AFM(M) Assignment (PDS) wordcount and marks Details
[Important: The report must not contain any methodology description of tests conducted, outputs from regression, screen captures, data. Any tables, diagrams and graphs copied and pasted from any source will result in 1 mark (out of a total 30 mark for the assignment) per item copied and pasted in this report]
Please fill only the blank fields in the table below. Teams must provide details of the team member who completed each section. If all team members worked on all sections equally, there is no need to provide section details.
| Last name | First name | Sections completed | Student ID |
| Total | |||
| PAM LifeStyle Fund (for example D1, D2, G1 or G2) |
[10% marks (Extra)/500 word Maximum] Name and Investment Objective of LifeStyle fund “PAM [Defensive 1 or 2, or Growth 1 or 2] Fund”. Each team will need to create a shortened/abbreviated introduction to this fund.
| Objectives | Measure | Explain how this is important for the investor(s) |
| Return | Alpha | |
| Risk | TE, Vol | |
| Cost |
| Asset | Allocation | Aus Inv Grade | US Inv Grade | US HY | Aus LC | Aus SC | EM |
| VAF | A% | A% | |||||
| PAM US Active Bond Fund | |||||||
| VAS | B% | c% | d% | ||||
| PAM Aus Active Equity Fund | |||||||
| EM Fund name here |
- [25% marks/1500 words] PAM Australian Equity Active Fund
Teams will provide allocation in PAM as well as in the Benchmark (ASX 100 or ASX Small Ords) for each firm selected. Teams must provide adequate justification for inclusion of each firm.
| Capitalisation | Style | Benchmark |
| Stock | Sector | % in BM | % in PAM | Justification for Inclusion (e.g. Pricing, Growth/Value, etc.) |
- [25% marks/1500 words maximum] PAM US Bond Active Fund
Teams will provide allocation in PAM as well as in the Benchmark (relevant Barclay’s Bloomberg index) for each group of bonds. Teams must provide adequate justification for allocation for each group of bonds. Bonds must be grouped by Credit Ratings AND Duration similar (but not the same) as in Morningstar Bond Style Box.
| Credit Rating | Duration | Benchmark |
| Credit Rating | Duration | % in BM | % in PAM | Justification for allocation (e.g. forecasted Yield curve changes, forecasted Credit rating changes) |
| AAA to AA+ | 1-3 years | A% | B% | |
| … | ||||
| … |
- [25% marks/1500 words maximum] Teams will select one Emerging Market Active Equity mutual fund.
| Fund name | Region | Benchmark | Capitalisation/Style |
Teams will provide Non-Performance and Performance based analysis (over the last 9 months – from January 3rd, 2022 to September 30th, 2022 using weekly OR daily data). Breakdown of marks and words are provided below:
- [5% marks/500 words maximum] Teams must provide the following fund’s Non-Performance details from Refinitiv or/and Morningstar:
| Measure | Value | Discussion |
| Number of firms | X% | …… |
| Fund Size | $y | |
| Fund Manager(s) and Fund Company | Xyz, abc | |
| Fund Manager(s) Qualifications and experience | MBA, w years | |
| Fund Manager(s) own investment | $j |
- [5% marks/500 words maximum] Teams will choose one Emerging Market Active Equity mutual fund selected and conduct a Top-Down Analysis over the last 9 months of weekly OR daily data.
| Measure | Fund | BM | Discussion |
| Average Return | A% | B% | …… |
| Volatility | C% | D% | |
| Alpha | Y% | ||
| Beta | Z | ||
| Tracking Error | P% | ||
| Sharpe Ratio | S | T | |
| Information Ratio | U |
- [15% marks/500 words maximum] Teams will conduct a Bottom-Up Analysis over the last 9 months of weekly OR daily data. Teams will present the Selection Effect and Allocation effect of the 10 industry sector against the BM.
| Industry | Selection Effect % | Allocation Effect % | Analysis of the FM’s sector attribution |
| Financials | |||
| … | |||
| .. | |||
| Total |
- [25% marks/1000 words maximum] Teams will create the PAM Life Style fund – marks and word count provided for each sub-section below:
- [5% marks/20 words for the name of the EM fund] Teams will provide the final allocation to each ETF and Mutual Funds in the table below:
| ETF/Fund name | Asset Class | % Allocation |
| VAF | Aus Bonds | |
| PAM US Active Bond Fund | US Bonds | |
| VAS | Aus Equities | |
| PAM Aus Active Equity Fund | Aus Equities | |
| EM Fund name here | Emerging Mkt Equities |
- [20% marks/800 words maximum for Justification] LifeStyle fund’s allocation methodology.
Teams will provide the allocation philosophy (not the detailed methodology) in tables (below). Teams will explain if the allocation methodology is bottom-up or top-down. Teams must ensure that the first table describes and justifies the allocation philosophy of allocation between equities and bonds. Similarly, teams will further provide allocation across the 5 funds in the second table. Justification of allocation philosophy must be provided.
| Asset Class | Optimization Parameters/Constraints and Justification for each parameter/constraint | Allocation |
| Bonds | xxxxxxx | X% |
| Equities | yyyyyyy | Y% |
Allocation of Bonds and Equities:
| Sub-Asset | Optimization Parameters/Constraints and Justification for each parameter/constraint | Allocation |
| Aus Bonds (VAF) | xxx | a% |
| PAM US Active Bond Fund | xxx | b% |
| VAS | xxx | c% |
| PAM Aus Active Equity Fund | xxx | d% |
| EM Active Equity Fund | xxx | e% |
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