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E1925 - Emerging Markets

Team Project:
Portfolio Analysis and Recommendation
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Portfolio Analysis Project Introduction

The Redline Global Fund is a vehicle to study many of the portfolio theories
and concepts covered in class readings and discussions. The fund is
composed of eight sub-funds, initially seeded with $10 million each ($80
million in total). Each starting sub-fund of $10 million should be equally
weighted among its designated assets. Historic weekly price data has been
supplied for a multiyear period on all Redline assets and nine global
reference assets to be used for comparison purposes.

In addition to weekly homework assignments and discussions, during this

course you will work through an investment analysis project with a
designated team. The objective is to expose you to some of the analyses and
communications that a financial investment team would use in the process of
analyzing portfolios.

The class has been broken down into eight teams responsible for an
analytical report detailing how each sub-fund has performed over the given
period, along with a 7-8 minute presentation on your sub-fund (see syllabus
for dates). Please submit six reports as described below.

Portfolio Project Deliverable 1 of 6:

Description of Sub-fund Assets (1 single-spaced page)
Due by Sunday, September 20th at 11:59 p.m. ET

Submit a report describing each asset and any interesting features, including,
if applicable, a description of the country/company market capitalization,
credit ratings, price-to-earnings (P/E) ratios, and liquidity indicators (if
possible, check daily trading volumes; note, not all data applicable for all
assets).
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Portfolio Project Deliverable 2 of 6:

Returns and Volatility (charts and graphs; several pages)
Due by Sunday, October 4th at 11:59 p.m. ET

Submit a report featuring the following items:

● Graph weekly price trends per asset in price Net Asset Value (NAV), scaled
to 100 for your sub-fund’s individual assets and your sub-fund index. Use
weekly price changes in percent form.
● Calculate annualized volatility for each asset as well as for the sub-fund
index.
● Calculate annualized return and volatility of your individual sub-fund assets
and sub-fund index.
● Calculate return and volatility for the Redline Global Fund (total of all eight
sub-funds) and the nine reference assets. Comment on assets that
underperformed or outperformed.
● In one paragraph, how has your sub-fund performed against the total
Redline Global Fund and the other nine major reference assets?

Portfolio Project Deliverable 3 of 6:

Global/Regional/Country/Company News (1 single-spaced page)
Due by Sunday, October 25th at 11:59 p.m. ET

Submit a report featuring the following items:

● Discuss macro, regional, country, or company-specific happenings that may
have affected the performance of your sub-fund assets.
● Do not forget to include general market trends (e.g., interest rates, U.S.
markets); regional happenings (e.g., elections, devaluations, ratings changes);
or company- and asset-specific developments (e.g., earnings, market rally,
etc.).

Portfolio Project Deliverable 4 of 6:

Correlation (2 pages, 1 for matrix, 1 for commentary) You may submit these
in either portrait or landscape mode
Due by Sunday, November 8th at 11:59 p.m. ET

Submit a report featuring the following items:

● Build a correlation matrix for assets in you sub-fund index and discuss.
● Please find correlations for your assets with the nine referenced asset
classes. Please comment on any strong positive or negative correlations.
● Take price data from all eight sub-fund indexes. Build a correlation matrix
for the eight sub-fund indexes, the Redline Global Fund, and the nine
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referenced asset classes. Please comment on any strong positive or negative

relationships.

Portfolio Project Deliverable 5 of 6:

Benchmarking (1 single-spaced page)
Due by Sunday, November 22nd at 11:59 p.m. ET

Submit a report featuring the following items:

● Calculate and comment on your sub-fund’s tracking error and out- or
underperformance compared to the Redline Global Fund.
● Calculate your sub-fund’s information ratio relative to the Redline Global
Fund.
● Calculate and comment on the modified Sharpe ratio of your sub-fund
versus the Redline Global Fund (that is, annualized returns/annualized
volatility).
• Compared to the Redline Global Fund, has your portfolio performed
better or worse on a risk-adjusted basis?

Portfolio Project Deliverable 6 of 6:

Individual Asset Recommendation (Maximum of 2 single-spaced pages)
Due by Saturday, December 12th at 11:59 p.m. ET

Select one asset in your sub-fund that your team will recommend to buy, sell,
or hold, similar to a professional Wall Street recommendatiomn. The
recommendation should include the following sections and should not
exceed 2 pages:
● Introduction to the asset, including background on the country and/or
company (data/charts/graphs can be presented in an appendix).
● Valuation based on comparable assets, including potential volatility and
risks—please use the Module 8 Week Portfolio price. Do you believe the
asset is cheap (“buy”), expensive (“sell”) or fairly price (“hold)? Why?
● Identification of a recent (in the past 12 months) event that had a positive
or a negative impact on the asset’s price movement. The event can be
country or firm specific, or a macroeconomic event.
● Feel free to use any market commentary or additional resources to support
your recommendation.