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UTS Investment Analysis Assignment

There are 3 short questions in question 3, which will use the ‘Out-of-Sample Data’ will be used for Question 3 and the Question 2’s answer, that will show you in the files.

Since the tracker portfolio is a passive strategy, your boss moves you on to other projects. However, over 12 months have now passed and your boss asks you to look into the performance of the tracker portfolio. The portfolio was constructed on November 3, 2017 using the portfolio weights found in 2(b) and with an investment amount of $1,000,000. You should assume that this was done without any transaction costs at the prices quoted on that date in the ‘Out-of-Sample’ tab and that any fraction of a share can be purchased. You should also assume that the portfolio was held, without any further transactions, until November 9, 2018 (i.e., the portfolio was not re-balanced). To assess the performance of the tracking portfolio you need to perform the following tasks:

3. (a) Calculate and report a time-series plot of the tracker portfolio value from Nov 3, 2017, to Nov 9, 2018, along with the performance of the ASX200 index, clearly indicating which series is which. You should also normalise the values of both time series so that their values are 100 on Nov 3, 2017.

(b) Report the simple annualised return of the tracker portfolio and the ASX200 index over the investment period.

(c) Using the weekly simple returns for the tracker portfolio and the index, report the beta, R2 , and RMSE for the tracker portfolio over the investment period. Comment on how close these values are to the values found for the tracker portfolio ‘in sample’ from Questions 2.


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