代写BEX3131 S1 2025- ASSIGNMENT代写C/C++语言

BEX3131 S1 2025- ASSIGNMENT

Due date: Tuesday, 23 December 2025, 11:55 PM

Weighting: 60%

This version: modified 08 December 2025

This is an individual assignment.

Note: The final submission should be in Word or PDF format. You also need to submit the Excel with formulas for Questions 1 and 2. If you cannot submit Excel, please state the steps and formulas you used to work out Questions  1 and 2 clearly in the Word or PDF document you submit. If any two submissions from different students are identical, both will receive zero points. Use of ChatGPT or other AI composition software is not permitted.

The extra documents provided to work on this assignment:

1.   Excel file with multiple indices for Question 3

2.   Documents from Australian Retirement Trust (ART)

Question 1 (28 points)

You will build a strategic asset allocation consistent with your risk profile. Each of you will be assigned a risk profile.

Find your assigned level of risk tolerance from the following table: your risk tolerance is assigned based on your first name (given name).

Risk Tolerance Level	Student whose first name begins with the following letters.
Very low	A, B, C, D, E
Low	F, G, H, I, J
Moderate	K, L, M, N, O
High	P, Q, R, S, T, U
Very high	V, W, X, Y, Z

You are required to use this risk profile and assets from the Capital Market Assumptions (CMAs) given in Appendix 1 to create your strategic asset allocation (SAA).

You have been assigned an investor profile that describes your risk tolerance. You must answer the following questions based on the risk tolerance level assigned to you. Risk tolerance is defined in terms of the maximum acceptable loss (maximum drawdown) of your portfolio you are comfortable with, as shown in Table 1.

Table 1: Risk tolerance

Risk Tolerance	Maximum acceptable loss
Very low	15%
Low	20%
Moderate	25%
High	35%
Very high	40%

A fund manager has provided you with five different defensive/growth asset combinations related to five different levels of risk: Conservative, Moderate, Balanced, Growth and High Growth. The portfolios are constructed from the inputs from CMAs (asset class long-term return and risk assumptions) in Appendix 1.

Table 2: SAA for different investor profiles

	SAA				Portfolio Volatility
	Global Equity	Global Bond Hedged*	Alternative Investments	Cash
Portfolio 1 – Conservative	14%	43%	8%	35%	3.65%
Portfolio 2 – Moderate	29%	38%	15%	18%	5.61%
Portfolio 3 – Balanced	41%	36%	17%	6%	7.22%
Portfolio 4 – Growth	65%	12%	20%	3%	10.34%
Portfolio 5 – High growth	78%	2%	18%	2%	12.08%

*Hedged means hedged in Australian dollars.

a)   Based on your allocated risk tolerance from Table 1, choose the fund manager’s portfolio that fits your assigned risk profile. To calculate the maximum drawdown of a portfolio, use this rule of thumb: Maximum drawdown = 3xVolatility. The portfolio volatility is provided in Table 2. Please indicate your risk tolerance when answering this question. Explain why you selected this portfolio (i.e. how the chosen portfolio is consistent with your risk profile and others are not). (2 points)

b)  However, you want to use Carver’s method to create your own SAA, using these

CMAs in Appendix 1. Prepare a table like Table 3 with asset classes on the columns and the cash weight of each asset class in rows to show your final constructed portfolio. Please explain your choice of the risk weights.

Follow these rules while creating your portfolio.

i)         Keep the cash allocation as it is in the portfolio suggested by your fund manager.

ii)        Keep the total allocation to Equity, Alternatives and Fixed Income as they are in the portfolio suggested by your fund manager. For example, if you selected the  conservative portfolio, your allocation to Equity, Alternatives, and Fixed Income should be kept at 14%, 8% and 43%, respectively.

iii)       Use Carver’s method to allocate within Equity, Alternatives and Fixed Income.

For example, if you selected the Conservative portfolio in part (a) then 14% of your portfolio should be allocated between AU Equity, DM ex-AU equity and EM equity using Carver’s method. And will do the same for Alternatives and Fixed Income assets.

iv)       There are several ways to break down your portfolio within Equity and Fixed

income using Carver’s top-down approach. For example, you can allocate within equity using a one-step breakdown or a two-step breakdown.

v)        If you are using the 'one-step breakdown', you need to allocate your equity

portfolio between AU Equity, DM ex-AU Equity and EM Equity in one step. You allocate among the five asset classes (AU Govt Bonds, AU Corp Bonds and AU  Inflation Linked Bonds, Global ex-AU Govt Bonds and Global ex-AU Corp Bonds) within Fixed Income in one step. Similarly, for alternative investments, you allocate across private equity, property, and infrastructure in a single step.

If you are using the ‘two-step breakdown', you need first to allocate the Equity part of your portfolio between DM Equity and EM Equity. Then, in the next step, allocate the DM Equity between AU Equity and DM ex-AU Equity. Similarly, for Fixed Income, in the first step, you first allocate between AU Fixed Income and Global ex-AU Fixed Income. Then, in the second step, allocate within AU-Fixed Income (AU Govt Bonds, AU Corp Bonds and AU Inflation Linked Bonds) and within Global ex-AU Fixed Income (Global ex-AU Govt Bonds and Global ex- AU Corp Bonds). For alternative investments, since there is no more than one breakdown, you can use the ‘one-step breakdown’ results here.

Please show the SAA using either the one-step breakdown or the two-step breakdown. Explain why you prefer the method you used. (1 point)

You need to  show  the  details  of the  steps,  formulas  and  how  you  work  out  the allocations of your SAA. You need to submit Excel files. Please ensure that numbers are linked with each other by formula, not just entering the final calculation outputs in Excel. If you cannot submit Excel, please state the steps and formulas you used to work out the weights clearly in the Word or PDF document you submit.  (10 points)

Table 3: SAA

c)  What is the expected return of the SAA portfolio you create? (2 points)

d)  Carver’s top-down approach used only the volatility information in constructing the SAA. However, expected returns are also important for building a portfolio.

1)  From the CMAs in Appendix 1, estimate the risk-adjusted return (Sharpe Ratio) of each asset class in your SAA. If you base on the risk-adjusted return of the  asset classes, which are the four best asset classes would you choose to allocate to?   (2 points)

2)  You also want to find the allocation based on the naive “1/N” method, considering all asset classes. Please calculate the SAA portfolio’s expected return under this method. ( 2points). Which one would you prefer, the manager’s SAA, Carver’s portfolio(s) and the simple 1/N portfolio (1 point)?

e)  Which specific asset classes in your portfolio are most likely to do well when inflationary pressures ease, and why? (2 points)

f)   Which asset classes would benefit if interest rates were expected to rise sharply over the next 12 months? Explain your reasoning. (2 points)

g)  Behavioural research suggests that investors might have loss-aversion bias. How might this behaviour impact the effectiveness of your long-term SAA, especially under a bear market condition? What strategies could you implement to counteract this bias? (2 points)

h)  Imagine you inherited an investment property that you can lease out. How would that affect your risk profile?  How would you  incorporate this change into your asset allocation? (2 points)

Question 2 (10 points)

Suppose you had AUD100,000 in 2023 that you decided to invest in Australian equity and bonds in the proportions detailed in the table below. The returns on equity and bonds in 2023, 2024, and 2025 are given below.

Allocation           Portfolio 1       Portfolio 2      Portfolio 3      Portfolio 4        Portfolio 5

ASX300	40%	50%	60%	70%	80%
Australian Bonds	60%	50%	40%	30%	20%

Returns table:

         Returns          ASX300             Australian Bonds

2023	20%	5%
2024	15%	6%

          2025                 -40%                         7%

a)   Estimate the value of all the portfolios at the end of 2025. (2 points)

b)  What would be the value of portfolios at the end of 2025 if you had rebalanced these portfolios at the beginning of 2024 and 2025? (3 points)

c)   If you had not rebalanced the portfolios, how would it have impacted their returns in

2024 and 2025? (3 points)

d)   Explain why the impact of rebalancing is different in 2025 than it was in 2024. (2 points)

Question 3 (10 points)

You are provided a set of values for several indices, from 31 March 2015 to the latest available quarter/month (attached). The Indices are

•    SPX Index: S&P 500 Price Return Index

•    SPXT Index: S&P 500 Total Return Index

•   BM7P Index: Bloomberg Magnificent 7 Price Return Index

•   BM7T Index: Bloomberg Magnificent 7 Total Return Index

•    SPTRSVX: S&P 500 Value Total Return Index

•    SPTRSGX: S&P 500 Growth Total Return Index

a.   What is the Bloomberg Magnificent Seven Index? Please calculate the annualised

returns ofthe BM7P and BM7T Indices since their inception. Please comment on the difference between the two returns. (4 points)

b.   Calculate the annualised returns of SPX, SPXT, SPTRSVX and SPTRSGX indices over the data period. (2 points)

c.   Compare the difference between the returns of BM7T and BM7P and that between SPX and SPXT. What could explain the difference you observe? (2 points)

d.   Compare the return ofSPTRSVX, SPTRSGX and SPXT. What could explain the difference you observe? (2 points)

Question 4 (12 points)

Students will assume the role ofa financial advisor and recommend investment options to a client assigned to them. You have a PhD in finance, specialising in investments, and are familiar with all the complexities of advanced investment strategies. Through twenty years of practical experience working with clients, however, you have concluded that simple heuristics work best most of the time. One such heuristic you rely on is based on a client's maximum acceptable loss and the expected maximum drawdown from growth assets. You use these figures to estimate the maximum percentage of the portfolio that should be allocated to growth assets. Your client has a balance of $50,000. The expected maximum drawdown of the growth assets is assumed to be 50%.

The maximum acceptable loss of your client is based on the following table:

Students whose last name begins with the following letters	Age	Maximum acceptable loss ($)
A, B, C, D, E, F	40	10,000
G, H, I, J	55	15,000
K, L	60	18,000
M, N, O, P, Q, R	40	20,000
S, T, U, V, W	30	22,000
X, Y, Z	20	23,000

Read the ART’s Member Guide,ART’s Super Savings Investment Guide and Investment Performance (also attached) to answer the following questions.

a)  Based on your client’s maximum acceptable loss and the balance of the account,

please work out the maximum allocation to growth assets for your client. (2 points)

b)  Based on the age and the maximum possible investment in growth assets, which ART options can your client consider? (3 points)

c) Which option would you best recommend from ART? Why? (3 points)

d)  Please work out the level of investment in growth assets at each age bracket of ART’s Lifecycle Option. (2 points) Is the lifecycle option good for your client given their age and risk profile? (2 points)