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ECO204
“FOUR MODELS OF A FINANCIAL PORTFOLIO WITH A RISK FREE ASSET AND A SYNTHETIC RISKY ASSET”
PROJECT 2 IS AN INDIVIDUAL PROJECT Score: 5% of the overall course grade. Released: Tuesday, February 14h (See ECO204-Week-18 / 204 Calendar) Deadline: 10 pm, Wednesday, March 15th (See ECO204-Week-21 / 204 Calendar) Note: Submissions 10 minutes after the deadline will be marked as “late” (see penalties below) Two “Deliverables” (equally weighted): (1) One macro-enabled Excel file titled Lastname-Firstname.xlsm Submit Excel file through Quercus-project-2-excel-assignment tab (2) A (max) 5 to 6-page business-report (“paper”) – inclusive of a one-page executive summary – and a “technical appendix” (‘virtually’ no page limit) in a pdf file titled Lastname-Firstname.pdf Submit “paper” through Quercus-project-2-paper-assignment tab and Submit “paper” through Crowdmark-project-2-paper link (to be emailed to students) Penalties: 100% project grade penalty for “late/incomplete/messed-up/incorrect/e-mailed” submissions: Example 1: Despite submitting the paper on time through Quercus and Crowdmark, you forgot to submit the Excel file through Quercus Example 2: You submitted the Excel file and paper through Quercus but forgot to submit the paper through Crowdmark. Example 3: You e-mailed the project to the course e-mail account because of “technical glitches” submitting the project “close to the deadline”. Academic Code of Conduct: It is your responsibility to read and abide by the Student Academic Code of Conduct. Please note that any attempt to “collaborate” with, or “receive/provide help” from/to other individuals/organizations, is a serious violation of the academic code of conduct.
“Situation” You are the CIO at a “family-fund”. This morning (“today” = Jan 31st 2023), the (risk-averse) Board of Directors (all graduates of Ivey & Queens) put you in-charge of Project 2(04):
2 University of Toronto, Department of Economics, ECO 204, 2022-2023, Solo Project 2 Project 2(04) harkens back to the time you took ECO204 and aced the “Shred Ivey-Queens Project” by constructing a financial portfolio in February 2023 by four different methods (more on this below). You’re going to prove your mettle – and once again shred those Queens & Ivey snobs – by constructing four different models of the Project 2(04) financial portfolio.
“Project 2(04) Guide and Excel-Template” [EXCELLENT RESOURCES FOR PROJECT 2, TEST 3, FINANCE] Please download the following files: A Step-by-Step Guide to Project 2(04) [Video Presentation] Project-2(04)-Excel-Template [enable “Macros”] o I have designed the Template so the user doesn’t have to use the McSim Excel-add-in.
“Portfolio Assets” [See the Guide and Template for details] Each student (“CIO”) must have the following “assets” in a one-month-holding-period portfolio for February 2023: A Risk Free Asset A Synthetic Risky Asset (SRA) formed by combining the following risky assets: o WTI Oil o Three equities from CRSP: of these, two will be in the “final portfolio” and one will be “dropped” and ‘replaced’ by “Oil” o One corporate bond from the Blackrock-IBHC-ETF. The Project-2(04)-Excel-Template assumes zero risk of default – feel free to “tweak” as you wish.
“Project 2(04): Objectives” Construct four models of your Project 2(04) portfolio:
The Step-by-Step Guide to Project 2(04) [presentation] and Project-2(04)-Excel-Template [enable “Macros”] explain- demonstrate how to construct these four portfolios.
“Deliverables & Submissions”: (1) One macro-enabled Excel file titled Lastname-Firstname.xlsm Don’t just copy and re-use the Project-2(04)-Excel-Template. Add “value” by plots, measures of historical performance, “Categorical Analysis” (example: What is the probability that an equity’s return increase given that the “market” returns decreased), etc. Students whose “portfolio” numbers in the paper are at variance with the numbers in the Excel file may be potentially charged with an academic offense. Submit Excel file through Quercus-project-2-excel-assignment tab (2) A (max) 5 to 6-page business-report (“paper”) – including a one-page executive summary – and a “technical appendix” (‘virtually’ no page limit) in a pdf file titled Lastname-Firstname.pdf. Address the business-report to the Board of Director This is your opportunity to “make or break” Project 2 (and Test 3). Cross-check and review the Lectures/Tutorials/Chapters in conjunction with the Project-2(04)-Excel-Template. “Add Value” by, for example, making a sensitivity table to show the impact of ⋛ on the portfolio and in particular whether it results in a leveraged portfolio; if you have a leveraged portfolio then describe the “mechanics” of investing; are you shorting/longing risky assets in the Synthetic Risky Asset; Did you check if “risky asset returns” have a normal distribution? The paper should use have minimal jargon and contain salient results/methods; relegate “technical/tertiary” items to the Technical Appendix. Submit “paper” through Quercus-project-2-paper-assignment tab and through Crowdmark- project-2-paper link (will be emailed to students). “Normally, students will be required to submit their course essays to the University’s plagiarism detection tool for a review of textual similarity and detection of possible plagiarism. In doing so, students will allow their essays to be included as source documents in the tool’s reference database, where they will be used solely for the purpose of detecting plagiarism. The terms that apply to the University’s use of this tool are described on the Centre for Teaching Support & Innovation web site https://uoft.me/pdt-faq” 3 University of Toronto, Department of Economics, ECO 204, 2022-2023, Solo Project 2
BUSINESS-REPORT GRADING RUBRIC Excellent Good Fair Problematic Score: 3 2 1 0 Economic Argument, Concepts & Evidence Clearly stated argument & concepts. Economic reasoning is sound and indicates thorough understanding of concepts discussed in class. Fairly clear and convincing argument. Adequate use of economic concepts. Demonstrates understanding of topics discussed in class. Argument is confusing or contradictory. Weak definition/application of economic concepts. Demonstrates some understanding of topics discussed in class. No clear argument. Confused or no use of economic concepts. Poor quality and little if any displayed evidence of understanding of topics discussed in class. Organization & Flow Each main point is written in a separate paragraph, in a logical order. Paper closes with a clear and convincing call to action. Each reason is written in paragraphs, but not necessarily separate. Closing gives a fairly clear and convincing call to action. Reasons are not written in distinct paragraphs. Closing gives a call to action, although not well supported. Reasons are not written in good paragraphs and have questionable order. No clear or convincing call to action at close. Writing: Clarity, Conciseness, Sentence Structure, Grammar, Active Voice, Interest to Reader Easy to read, even for a non-specialist. Writing enhances understanding and interest. Short, clear, correctly structured sentences with active voice throughout. Minimal (if any) errors. Mostly easy to read. Mostly short, clear, correctly structured sentences with active voice. A few minor errors. Sentence/word level problems get in the way of understanding, distracting reader in places. Some passive voice and/or jargon. Significant sentence/word level problems make it difficult for reader to understand argument. Considerable passive voice and/or jargon.