AcF 602/622 Advanced Investment Management
Lent term 2020/2021
Overview
Students enrolled to AcF 602/622 are compulsory to complete the following
coursework assessment as a part of fulfilment. The coursework contributes 20% toward
the overall mark for the module. The assignment includes 2 tasks.
Group Allocation
Each group should include no more than three group members. Group registration
should be completed via Moodle.
Assignment Deadline
12:00 (noon) on Monday 29 March 2021
Submission Requirement
All groups should submit Python codes and reports before the deadline. You only need
to submit the electronic version in Moodle.
Cover Sheet:
You should include your group details on the first page of your report. Following details
should be included: Full names and student IDs of group members
Style Requirement
Times New Roman, font size 12, 1.5-spaced. The main text must be consistently
formatted (i.e., avoid modifying the font, size and colour). Use page numbers.
Word limit
The word limit is 1000 for Task 1 and 1500 for Task 2 (excluding tables).
Coursework Assignment
Task 1 [60 marks]
Each group should obtain monthly returns for two US equity mutual funds from the
CRSP (including one large value and one small growth) from January 2010 to
December 2019. You may find fund categories from website such as ‘US News Money’.
erform the Fama-French five-factor regression for each of the return series and address
the questions (1)-(4) as below.
(1) Construct five factors by yourself and compare your replicated results with
constructed factors from French Data Library. Please include detailed
explanations and clearly output your results in coding that you submit. 1 [20 marks]
(2) Interpret your regression results [10 marks]
(3) Select 10-20 individual stocks from CRSP to construct your own portfolio by using
both equally-weighted and value-weighted methods and explain your strategy for
the portfolio. Then regress your return series on Fama-French five factors and
interpret the results. [20 Marks]
(4) What is the aim of active investing and do you think mutual fund managers can beat
the market or not? [10 marks]
Task 2 [40 marks]
Task 2 is related to the relation between ESG performance and future stock return.
Adopting ESG rating (i.e., Asset4 (Refinitiv) ESG rating) as the proxy for ESG
performance, please test relation between ESG performance and future 1-year, 3-year
and 5-year stock return. The sample includes common shares listed on NYSE, AMEX
and NASDAQ from 2002 to 2019.
(1) Explain your results and compare the results with respect to different future
timeframes. [20 marks]
(2) Discuss the debate on whether ESG performance is positively, negatively related or
unrelated to future stock performance and express your views based on your
empirical results [20 marks]
Good Luck!
1 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
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