ECOM097 Portfolio Construction Theory


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Coursework Assignment Guidelines

(to be read in conjunction with the Coursework Assignment)




To broaden students’ knowledge of portfolio construction, monitoring and evaluation, including performance and risk attribution using a “real world” case study.




The assignment will be completed in groups of 5-6 students.


Presentation Assessment Day:


Each group will need to prepare a PowerPoint presentation and present on one of the in-class sessions (to be assigned at random by lecturers).


Assessment criteria:


50% group assessment:          40% written report, 10% overall quality of the presentation

50% individual assessment:   20% investment idea in the written report, 30% quality of the individual contribution on the Presentation Assessment Day


That means 60/40 split in the weight of the written report and the presentation.


Written Report:                       max 4,500 words for the group as a whole (to be submitted by the end of April)


Presentation:                           max (!) 15 minutes + 5 minutes Q&A sessions chaired by the lecturers and attended by industry specialists invited as guests.


Each student will be required to present a portion of the presentation but it does not need to be split equally, you will be assessed on the quality of your presentation (quality of both slides + delivery) not the length of your section. It is important that you “own” the slides that you will talk to as their quality will be judged as part of your individual assessment. Group interaction, organisation, time management and the ability to convey information in an engaging manner will also be taken into account and will form part of the overall group assessment on the day.


Stage 1: You will be expected to create your own portfolio (different from the initial strategic allocation and incorporating individual trade ideas from each member of the team) in response to the client’s objectives and constraints and/or recent market developments. This stage needs to be completed by mid February with the new asset allocation submitted via QM Plus.


Stage 2: You will need to monitor your portfolio through February and March so that it remains within prescribed volatility bands and does not violate risk constraints by each month end (in February and March). If it breaches these constraints at the end of February or March, the adjustment needs to be made before the final written report is submitted in April. You will not be penalised for the breach itself if the risk constraints were satisfied at launch but you will have to propose a remedial action to bring it back within agreed risk parameters.


Stage 3: Final presentation is given in March and the written report, including the final performance attribution analysis of the dynamic asset allocation decisions relative to the initial SAA and the individual trade rationales, is submitted in April




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