1 Assessment objectives This assignment requires you to write a report (3000 words with 500 words allocated for the executive summary and conclusion) covering Part I and Part II outlined below. The purpose of Part I of this assignment is to build your general understanding of index funds and exchange-traded funds (ETFs) in terms of their development over the last two decades. In addition, it aims to deepen your understanding of some of the popular exchange traded funds identified specifically in Part II. The specific discussion of the nine funds requires you to reflect on their fund structure, objectives, sectoral diversification, performance and risk analytics. This requires you to conduct your own research about these individual funds in addition to using the information provided in the appendix section. We have appended selected Bloomberg screens from the ETF functionality and Portfolio & Risk Analytic function capturing structure and performance related issues associated with these funds at a given point in time – including the underlying assets that form part of the specific fund. Carefully examine these screens from Bloomberg and interpret the information provided on these screens. The aim of this section is to develop industry based authentic learning outcomes by directly incorporating industry practices. Part II of this assignment requires you to engage your theoretical knowledge learned in this unit to implement portfolio management principles using Markowitz optimisation techniques. For this purpose, we have provided the price data (denominated in US$). 1 2 Specific details 2.1 Part I Discuss your understanding of the evolution of index funds and exchange traded funds as disruptor to the asset management industry in general. Further, discuss the nine ETFs identified in this assignment (see Part II for details) specifically in terms of fund structure, objectives, sectoral diversification, performance, holdings, asset allocation and risk analytics. To do this you are required to conduct your own research about the nine funds in addition to the appended Bloomberg screens from the ETF functionality provided in Appendix I. (Word count: 1200 words = 15 marks) 2.2 Part II Assume that you have been appointed as a graduate analyst by an investment company and your manager has assigned US$ 100 Million to be invested across the following exchange traded funds: 1. AUST AU Equity (BetaShares Managed Risk Australian Share Fund ) 2. CBDAX GR Equity (ComStage ETF DAX) 3. LYXDAX GR Equity (Lyxor Dax UCITS ) 4. SH US Equity (ProShares Short S&P 500 ) 5. SPXL US Equity (Direxion Daily S&P Bull 3X Shares ) 6. SSO US Equity (ProShare Ultra S&P500 ETF) 7. XDAX GR Equity (Xtrackers DAX UCITIS ETF ) 8. XIC CN Equity(iShare Core S&P/TSX Capped Composite Index ETF) 9. SPY US Equity (SPDR S&P 500 ETF Trust) Using the data provided in the spreadsheet (File name: ETFdata.xlsx) for these nine funds, you are required to generate continuously compounded returns for each fund on a daily basis and form an equally weighted portfolio as a naive trading strategy requiring equal distribution of the available fund (US$ 100 million) across these nine funds.