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Topic: Coursework for Investment and trading

Q1.Appraise and explain the different elements that comprise a high-quality investment policy.   Illustrate your answer by providing concrete examples.                                                                                                                  [50 marks]  
  
Q2.Data on investment returns, investment weights, and investment performance for a 12 stock investment fund and benchmark are contained in the tables below.
Investment return dataInvestment weights
Benchmark returnsFund returnsConstituentBenchmarkFund
28/02/20191.53%1.30%company 18.0%9.5%
31/03/20190.35%0.40%company 29.0%9.0%
30/04/20190.63%0.50%company 39.0%9.5%
31/05/20191.25%1.00%company 48.0%9.5%
30/06/20190.98%1.10%company 58.0%9.5%
31/07/2019-0.25%-0.10%company 68.5%0.0%
31/08/2019-1.37%-1.10%company 76.0%9.5%
30/09/2019-1.64%-1.30%company 89.5%9.0%
31/10/2019-0.80%-0.60%company 99.0%9.5%
30/11/20190.90%1.20%company 109.0%6.0%
31/12/20192.40%2.10%company 117.5%9.5%
31/01/20201.90%1.50%company 128.5%9.5%
29/02/2020-1.80%-1.40%Cash0.0%0.0%
Total100.0%100.0%
 Benchmark and Fund Statistics
 BenchmarkFund
Compound 13 month return4.04%4.62%
Monthly standard deviation1.38%1.16%
Beta1.00.83
Risk free rate1.00%
Number of Standard deviationsProportion of values of a normal distribution that will fall within the standard deviations
1.00.68
1.2820.80
1.6450.90
1.9600.95
2.3260.98
2.5760.99
2.8070.995

Based on the information contained in the tables above, calculate the following performance measures to 2 decimal places for both the fund and the benchmark unless otherwise stated.  Show all workings.

  1. Annualisedtracking error and annualised Information Ratio of the fund only.

[12 marks]

  • Active Share of the fund only.

[8 marks]

  • Annualised return.

[2 marks]

  • Annualised risk.

[2 marks]

  • Annualised Sharpe ratio.

[4 marks]

  • Annualised Treynor ratio.

[4 marks]

  • Downside deviation.                                                                                        

[8 marks]

  • Sortino ratio.

[2 marks]

  1. Value at Risk (99%).

[8 marks]

[50 marks total]

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