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程序代写案例-ACFI315

时间：2021-01-05

ACFI315 – Coursework Two

Details of the module assignment are available on VITAL and reproduced below. The deadline for

submission of the coursework is Thursday, January 21st 2021.

Q1: FX Futures trading simulation

You will be given a notional $250,000 which is to be used to trade on the FOREX futures market. The

objective of the assignment is for you to gain an understanding of what factors make the currency

markets move and also what is a significant movement in terms of profit and loss in currency

markets.

You are restricted to the GBPUSD foreign exchange market. The quote is such that the GBP is the

base currency and the USD is the purchased currency: a quote of 1.3386 means that 1 GBP buys

1.3386 USD. If this number rises then the GBP is appreciating in value, and if this number falls then

the GBP is depreciating in value.

You should only trade the March 2021 contracts. You must trade for a minimum period of 10

working days (defined as “marking to market” on 10 occasions, i.e. having 10 settlement prices). If

you wish to split this into two sub-periods due to Christmas vacation, that is fine.

The holiday calendar is at https://www.cmegroup.com/tools-information/holiday-calendar.html -

please plan ahead to ensure you will have 10 settlement prices as failure to do so is deemed a fail.

You can begin trading at any time.

The details of each trade must be entered on-line at: https://tinyurl.com/acfi315

You can see a list of all trades (not just your own) at https://tinyurl.com/acfi315resp

Live (actually 10 minute delayed) futures prices are also available on-line at

https://www.cmegroup.com/trading/fx/g10/british-pound.html (if this link changes the steps are:

www.cme.com – Markets – FX – (scroll down) – British Pound Futures).

You should trade on the GLOBEX prices. GLOBEX is an electronic platform and so the price is

constantly changing, although the most active trading period is during business hours Chicago time

(http://www.timeanddate.com/worldclock/city.html?n=64) which is 6 hours behind GMT. At around

11pm (GMT) the prices will disappear for around 15 minutes whilst a settlement (Sett) price is

recorded. This is the price used to undertake the “marking to market” each day.

The table below shows how the prices are quoted on the CME website. You trade at the LAST but

your marking to market take place at the Settlement Price. After 11pm (GMT time) that day’s

Settlement Price will appear as PRIOR SETTLE.

You should construct a spreadsheet to keep track of the dollar value of your portfolio daily

throughout the trading period. A completed copy of this spreadsheet should be submitted with your

written work. You should end up with a time series of dollar values of the portfolio over the trading

period. You must also show the following:

• The percentage rate of return over the trading period;

• The average daily percentage change in the value of your portfolio;

• The standard deviation of the daily percentage changes.

Other rules include:

• Round turn commission on futures is $25 per contract, i.e. you will incur a cost of $25 per

contract each time you trade (this covers opening and closing the position).

• Margin requirements on futures contracts are (for ease we will assume maintenance =

initial) $3,000 per contract.

• The face value of the GBPUSD future is GBP 62,500.

• If you find that you have insufficient dollars to meet margin payments, then you must close a

futures position.

• No borrowing is allowed.

• To minimise computation, cash may not be invested overnight in the money markets or

invested in any other securities that earn a rate of return.

• Before you submit your work, you MUST close out all of your futures positions. You will be

penalised for fabricating trades to minimise losses and/or amplify profits.

Marks will be awarded for the following:

• Accuracy of trades (e.g., have the trade details been entered correctly). Note that you will

lose one mark for each trade entered incorrectly and also for trades not closed – 10 marks.

• Quality of spreadsheet analysis (e.g., statistics, charts etc.) to support the choice of trade –

10 marks

• Analysis of value of portfolio (e.g., the spreadsheet) and riskiness of portfolio. Benchmarking

of your portfolio return against an appropriate benchmark – 10 marks.

• Reflection. Reflect on what you have learned and what you might have done differently - 10

marks.

• Overall NET profit on the following scale: Students in the top decile will receive 10 marks

then 9 marks for the next decile down to zero marks for the bottom decile.

[50 marks]

Q2: Option trading strategies

This question should be attempted in conjunction with the following website:

http://www.theoptionsguide.com/

Depending on your UOL student ID you have been allocated a company and an option quote taken

on November 26th 2020 has been obtained. The allocation is listed in the file “Ticker by student ID”

and the associated screen shot is in “Option Quotes.zip”. If the activities of the company are

incompatible with your beliefs, please contact the module leader to arrange an alternative.

Required:

Examine the trend of the share price (or volatility), up to November 26th, and select three

appropriate option trading strategies based on your expectation of the future direction of the share

price (or volatility).

For each of these:

I. Draw the profit profile of each strategy;

II. Describe the trader’s expectation of future market conditions;

III. Obtain the breakeven point(s);

IV. Maximum gain/Maximum loss;

V. Actual gain loss (note these options all expire on 18/12/2020 and you will therefore

need the closing stock price on this date);

Note: For ease assume a “deal” can be done mid-way between the bid and ask prices. If a bid and

ask is not available, then use the “Last” price. The chosen strategies must not include simple

long/short puts and calls, and all strategies must be consistent with your future view of the

market.

[40 marks]

Q3. Investment Appraisal

Graham and Harvey (2001)1 surveyed 392 Chief Financial Officers (CFO’s) and asked them a variety of

questions about capital budgeting decisions. They find that “Most respondents select net present value

and internal rate of return as their most frequently used capital budgeting techniques; 74.9% of CFOs

always or almost always […] use net present value […] and 75.7% always or almost always use internal

rate of return…”.

Required:

Using appropriate assumptions on a projects cash flows demonstrate “pitfalls” in the Internal Rate of

Return (IRR) decision and explain why CFO’s must use this with caution. For help on pitfalls please visit

https://liverpooluniversitypress.co.uk/pages/essentials-of-financial-management-efm

[10 marks]

1 John R Graham, Campbell R Harvey, The theory and practice of corporate finance: evidence from the field,

Journal of Financial Economics, Volume 60, Issues 2–3, 2001, Pages 187-243, ISSN 0304-405X,

https://doi.org/10.1016/S0304-405X(01)00044-7

Q1 - What you can do to help me.

Enter into the spirit of the coursework. The list of trades that your calculations are based on should tally

with the trades you entered. If you realised after the event that you made a mistake then own up to it,

accept a mark deduction and list it as an error. Note that it takes me far longer to mark work where

students have fabricated/changed trades so please be honest. On page one of your work under your

name and student ID I want this table:

Record of Trades

Date & Time Trade Contracts Price

Errors:

1.

2.

3.

4.

etc.

At some point in the work, you are going to have reveal your overall result which I would like presented

as follows:

Date Total % return

$250,000

Total Gross Profit in dollars after trading:

Total Net Profit in dollars after trading:

Percentage return (2 decimal places):

Standard deviation of returns (2 decimal places):

Information Ratio (2 decimal places):

The “Total” figure here refers to the total value of your portfolio when the positions are valued at the

end of each day in the marking to market process plus any cash that you have. You only have one

“Total” figure for each day.

Everything should tally. The “Profit/Loss” referred to above should be verifiable by me from the list of

trades you entered. The “Total Gross Profit” figure that you quote should then be the sum of all the

individual profits. The “Total Net Profit” should be the “Total Gross Profit” minus total commission paid.

Details of the module assignment are available on VITAL and reproduced below. The deadline for

submission of the coursework is Thursday, January 21st 2021.

Q1: FX Futures trading simulation

You will be given a notional $250,000 which is to be used to trade on the FOREX futures market. The

objective of the assignment is for you to gain an understanding of what factors make the currency

markets move and also what is a significant movement in terms of profit and loss in currency

markets.

You are restricted to the GBPUSD foreign exchange market. The quote is such that the GBP is the

base currency and the USD is the purchased currency: a quote of 1.3386 means that 1 GBP buys

1.3386 USD. If this number rises then the GBP is appreciating in value, and if this number falls then

the GBP is depreciating in value.

You should only trade the March 2021 contracts. You must trade for a minimum period of 10

working days (defined as “marking to market” on 10 occasions, i.e. having 10 settlement prices). If

you wish to split this into two sub-periods due to Christmas vacation, that is fine.

The holiday calendar is at https://www.cmegroup.com/tools-information/holiday-calendar.html -

please plan ahead to ensure you will have 10 settlement prices as failure to do so is deemed a fail.

You can begin trading at any time.

The details of each trade must be entered on-line at: https://tinyurl.com/acfi315

You can see a list of all trades (not just your own) at https://tinyurl.com/acfi315resp

Live (actually 10 minute delayed) futures prices are also available on-line at

https://www.cmegroup.com/trading/fx/g10/british-pound.html (if this link changes the steps are:

www.cme.com – Markets – FX – (scroll down) – British Pound Futures).

You should trade on the GLOBEX prices. GLOBEX is an electronic platform and so the price is

constantly changing, although the most active trading period is during business hours Chicago time

(http://www.timeanddate.com/worldclock/city.html?n=64) which is 6 hours behind GMT. At around

11pm (GMT) the prices will disappear for around 15 minutes whilst a settlement (Sett) price is

recorded. This is the price used to undertake the “marking to market” each day.

The table below shows how the prices are quoted on the CME website. You trade at the LAST but

your marking to market take place at the Settlement Price. After 11pm (GMT time) that day’s

Settlement Price will appear as PRIOR SETTLE.

You should construct a spreadsheet to keep track of the dollar value of your portfolio daily

throughout the trading period. A completed copy of this spreadsheet should be submitted with your

written work. You should end up with a time series of dollar values of the portfolio over the trading

period. You must also show the following:

• The percentage rate of return over the trading period;

• The average daily percentage change in the value of your portfolio;

• The standard deviation of the daily percentage changes.

Other rules include:

• Round turn commission on futures is $25 per contract, i.e. you will incur a cost of $25 per

contract each time you trade (this covers opening and closing the position).

• Margin requirements on futures contracts are (for ease we will assume maintenance =

initial) $3,000 per contract.

• The face value of the GBPUSD future is GBP 62,500.

• If you find that you have insufficient dollars to meet margin payments, then you must close a

futures position.

• No borrowing is allowed.

• To minimise computation, cash may not be invested overnight in the money markets or

invested in any other securities that earn a rate of return.

• Before you submit your work, you MUST close out all of your futures positions. You will be

penalised for fabricating trades to minimise losses and/or amplify profits.

Marks will be awarded for the following:

• Accuracy of trades (e.g., have the trade details been entered correctly). Note that you will

lose one mark for each trade entered incorrectly and also for trades not closed – 10 marks.

• Quality of spreadsheet analysis (e.g., statistics, charts etc.) to support the choice of trade –

10 marks

• Analysis of value of portfolio (e.g., the spreadsheet) and riskiness of portfolio. Benchmarking

of your portfolio return against an appropriate benchmark – 10 marks.

• Reflection. Reflect on what you have learned and what you might have done differently - 10

marks.

• Overall NET profit on the following scale: Students in the top decile will receive 10 marks

then 9 marks for the next decile down to zero marks for the bottom decile.

[50 marks]

Q2: Option trading strategies

This question should be attempted in conjunction with the following website:

http://www.theoptionsguide.com/

Depending on your UOL student ID you have been allocated a company and an option quote taken

on November 26th 2020 has been obtained. The allocation is listed in the file “Ticker by student ID”

and the associated screen shot is in “Option Quotes.zip”. If the activities of the company are

incompatible with your beliefs, please contact the module leader to arrange an alternative.

Required:

Examine the trend of the share price (or volatility), up to November 26th, and select three

appropriate option trading strategies based on your expectation of the future direction of the share

price (or volatility).

For each of these:

I. Draw the profit profile of each strategy;

II. Describe the trader’s expectation of future market conditions;

III. Obtain the breakeven point(s);

IV. Maximum gain/Maximum loss;

V. Actual gain loss (note these options all expire on 18/12/2020 and you will therefore

need the closing stock price on this date);

Note: For ease assume a “deal” can be done mid-way between the bid and ask prices. If a bid and

ask is not available, then use the “Last” price. The chosen strategies must not include simple

long/short puts and calls, and all strategies must be consistent with your future view of the

market.

[40 marks]

Q3. Investment Appraisal

Graham and Harvey (2001)1 surveyed 392 Chief Financial Officers (CFO’s) and asked them a variety of

questions about capital budgeting decisions. They find that “Most respondents select net present value

and internal rate of return as their most frequently used capital budgeting techniques; 74.9% of CFOs

always or almost always […] use net present value […] and 75.7% always or almost always use internal

rate of return…”.

Required:

Using appropriate assumptions on a projects cash flows demonstrate “pitfalls” in the Internal Rate of

Return (IRR) decision and explain why CFO’s must use this with caution. For help on pitfalls please visit

https://liverpooluniversitypress.co.uk/pages/essentials-of-financial-management-efm

[10 marks]

1 John R Graham, Campbell R Harvey, The theory and practice of corporate finance: evidence from the field,

Journal of Financial Economics, Volume 60, Issues 2–3, 2001, Pages 187-243, ISSN 0304-405X,

https://doi.org/10.1016/S0304-405X(01)00044-7

Q1 - What you can do to help me.

Enter into the spirit of the coursework. The list of trades that your calculations are based on should tally

with the trades you entered. If you realised after the event that you made a mistake then own up to it,

accept a mark deduction and list it as an error. Note that it takes me far longer to mark work where

students have fabricated/changed trades so please be honest. On page one of your work under your

name and student ID I want this table:

Record of Trades

Date & Time Trade Contracts Price

Errors:

1.

2.

3.

4.

etc.

At some point in the work, you are going to have reveal your overall result which I would like presented

as follows:

Date Total % return

$250,000

Total Gross Profit in dollars after trading:

Total Net Profit in dollars after trading:

Percentage return (2 decimal places):

Standard deviation of returns (2 decimal places):

Information Ratio (2 decimal places):

The “Total” figure here refers to the total value of your portfolio when the positions are valued at the

end of each day in the marking to market process plus any cash that you have. You only have one

“Total” figure for each day.

Everything should tally. The “Profit/Loss” referred to above should be verifiable by me from the list of

trades you entered. The “Total Gross Profit” figure that you quote should then be the sum of all the

individual profits. The “Total Net Profit” should be the “Total Gross Profit” minus total commission paid.