MAN00143M -无代写
时间:2025-05-24


School for Business and Society


Module Code: MAN00143M

Module Title: Stock Investment and Trading

Module Leader: Keith Anderson / Theodoros Diasakos

Open/Closed Assessment: Open

Maximum Word Count: 2,000

Release Date: WC 3/3/2025

Submission Deadline: 1100AM Thursday 29th May 2025

Weighting: 70%


Important information

A penalty of five marks will be deducted for late submissions that are made within the
first hour after the deadline. Submissions that are more than one hour late but within the
first 24 hours of the deadline will incur a penalty of ten marks. After the first 24 hours
have passed, ten marks will be deducted for every 24 hours (or part thereof) that the
submission is late for a total of 5 days. After 5 days it is treated as a non-submission
and given a mark of zero. The consequences of non-submission are serious and can
include de-registration from the University.

If you are unable to complete your open assessment by the submission date indicated
above because of Exceptional Circumstances you can apply for an extension. If
unforeseeable and exceptional circumstances do occur, you must seek support and
provide evidence as soon as possible at the time of the occurrence. Applications must
be made before the deadline to be considered.

Full details of the Exceptional Circumstances Policy and claim form can be found here:
https://www.york.ac.uk/students/studying/progress/exceptional-circumstances

If you submit your open assessment on time but feel that your performance has been
affected by Exceptional Circumstances you may submit an Exceptional Circumstances
Affecting Assessment claim form by 7 days from the published assessment submission
deadline. If you do not submit by the deadline indicated without good reason your claim
will not be considered.

Please take proper precautions to safeguard your work and remember to make
backup copies of your data. The University provides all its students with storage
space on the University server and you should save and back up any work in
progress on this server on a regular basis. Computer failure and theft of your
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equipment or storage media are not considered exceptional circumstances and
extensions cannot be granted for work lost for these reasons.

The University has guidance on the use of AI in assessments available here. This
details appropriate and inappropriate use of digital tools. Inappropriate use will
be considered academic misconduct, and penalised accordingly

Word count requirements

The word count for this assignment is 2000 words.

You must state on the front of your assignment the number of words used and this will
be checked.

The main text for this assignment must be word-processed in Arial, font 12, double
spacing, minimum 2cm margins all around.

You must observe the word count specified in this assignment brief. The School has a
policy of accepting variations to the recommended word count of plus or minus 5%.

What does this mean for you?

Markers will mark your work up to the word count maximum plus 5% and then will stop
marking; therefore all words which are in excess of the word count plus 5% will not be
marked.

Where your word count is more than 5% below that specified, it is likely that this will
result in a lack of analytical depth or relevant content, which will be reflected in the mark
assigned.


What is in the word count?

The word count includes:

- the main text, including in-text reference citations and quotations.

The word count does not include:

- Appendices. These may be used to include supporting data, which may be too
detailed or complex to include as a Table. They are not a device to incorporate
material, which would otherwise cause you to exceed the word limit.

- Title page
- Contents page
- Abstract/executive summary
- Tables, figures, legends
- Reference lists
- Acknowledgements


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Assignment:

Section A

SC1-3 AG1-5

Answer the following question.

This question refers to the seven stocks you have been allocated. You will need to
consider the monthly return on each stock over the last ten years, as well as the
monthly return on the FTSE 100 index (our proxy for the market portfolio) over the last
ten years. You may take the risk-free rate to be the current yield of the 0.125% Treasury
Gilt 2026 [Ticker: GB00BYZW3G56] (once you have appropriately converted it into
monthly return).
You should use Refinitiv and Excel to produce your answer.

a) Plot the mean-variance frontier for these seven stocks. [10 marks]
b) Plot the capital allocation line (CAL) and identify the optimal risky portfolio
according to your calculations. [10 marks]
For parts c) and d), as well as your calculations you should describe how each measure
defines the risk that an investor faces and how it adjusts portfolio performance for the
level of that risk.

c) Calculate the Sharpe ratio of the optimal risky portfolio. [5 marks]
d) Calculate the Treynor and Jensen measures of the optimal risky portfolio and the
FTSE 100. [5 marks]
e) Calculate the information ratio of the optimal risky portfolio –using the FTSE100
index as the benchmark. [5 marks]
f) Calculate the Sortino ratio of the optimal risky portfolio – using the risk-free rate
as the minimum acceptable return. [5 marks]

40 Marks

Section B

Answer THREE of the following questions. For those questions comprising parts, all
parts carry equal weight unless stated otherwise.

SC1 AG1-3

1. Alastair James and his partner Sonja Mueller are finance professionals and live in a
large rented apartment in Canary Wharf, London. You visit them as their financial
advisor because they are planning to buy their first apartment. Three statements that Mr
James made to you in your recent interview stuck in your mind:

a) “I have researched London property prices extensively on the Internet and over a
five-year timescale I believe this is a great time to buy.”

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b) “I only bought the thirty-year gilts in my portfolio six months ago and they are down
almost 10%, so I am waiting until I can get my money back.”

c) “After eight years working there, I know UBS are an excellent employer. The shares
they give us as part of our bonuses are very unlikely to perform poorly in the long term
so I am keeping all of them in my SIPP.”

Several behavioural finance terms occur to you as you remember his words, including
familiarity, the reference point, overconfidence, representativeness and the illusion of
knowledge. Explain each of these terms with reference to what he told you.
20 marks

SC1 SC3 SC4 AG1-4
2. Define each of the following terms in Technical Analysis. For a), b) and c) provide i) a
generic chart illustrating the general idea and ii) a recent stock price chart of a real
share, marking on it where you see the formation appearing. What price movement
does each imply?

a) Resistance and support lines

b) Double top

c) Buy signal due to a moving average breakout

d) Heavy short interest
20 marks


SC1 SC3 SC4 AG1-4
3. The five measures of risk-adjusted portfolio performance are
a) The Sharpe ratio
b) The Treynor ratio
c) Jensen’s alpha
d) The information ratio
e) The Sortino ratio

For each, describe how it defines the risk that an investor faces, and how it adjusts
portfolio performance for the level of that risk.
20 marks


SC1 SC3 SC4 AG1-4
4. You are an analyst for a wealth management firm who currently manages the optimal
risky portfolio from Section A. A prospective client currently holds 60% of her invested
wealth on an equally weighted portfolio comprising AstraZeneca (Ticker: AZN), Unilever
(Ticker: ULVR), HSBC Holdings (Ticker: HSBA), and BP (Ticker: BP.) with the remaining
40% on the risk-free account (the 0.125% Treasury Gilt 2026 [Ticker: GB00BYZW3G56]
from Section A).
a) Calculate the slope of the client’s CAL and that of the CML from Section A -
using, that is, the FTSE 100 as the market portfolio. Draw both lines, as well as
the CAL from Section A, on an expected return–standard deviation diagram. Your
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analysis should use the same historical data horizon as in section A (i.e., monthly
returns over the last ten years).
[5 marks]
b) Characterise in one or two short paragraphs the advantages/disadvantages of
replacing the four-stock risky portfolio in the client’s existing position with (i) the
FTSE 100, and (ii) your own fund (the optimal risky portfolio from Section A).
State clearly the assumptions on which your assessments are based.
[5 marks]
c) The client also seeks exposure to the US technology and defence sectors.
Choose two US stocks, one from the technology sector and another for the
defence sector, to add to the client’s existing risky portfolio. You may assume that
the new risky portfolio remains equally weighted across the six stocks while the
client’s invested wealth remains split 60-40 across the new risky portfolio and the
risk-free account. Compare this alternative position with the client’s current one
in terms of (i) the respective financial risk-return profiles (using once again the
monthly returns over the last ten years as your data horizon), and (ii) ethical,
environmental, and corporate governance issues.
[10 marks]

20 Marks

SC1 SC3 SC4 AG1-5
5. For this question, you need to consider the daily returns on the FTSE 100 index over the last
six months. You may use Excel or Refinitiv to produce your answer.
a. Calculate the 14-day relative strength index of the FTSE 100. Graph the RSI against
a 30-70 band and the daily closing price of the index.
b. Identify every instance in which the relative strength index gives a buy signal when
using a 30-70 band.
c. Identify every instance in which the relative strength index gives a sell signal when
using a 30-70 band.
d. How well does the relative strength rule perform in identifying buy or sell
opportunities? You should produce a performance summary table.

20 Marks


SC1 SC3 SC4 SC6 AG1-4
6. Consider your optimal risky portfolio from Section A. Analyse this portfolio from the
perspective of ethical and green investing. In particular, you should identify the potential
risks each stock may carry in terms of ESG considerations and suggest alternative
strategies to mitigate these risks (for instance, under/overweight or replace a given
stock, or add stock/stocks so as to create another portfolio that is comparable in terms
of the financial risk-return profile yet superior in terms of its ESG profile).

20 Marks
- End of Assessment -
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