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Capital Market Analysis (BUSI4519)

Method and Criteria of Assessment

Written in-person exam (75%)

Group coursework (25%)

While past exam papers may provide good indication of the breadth and depth of the questions, please note that materials are updated every year and thus topics and questions may vary.

Full details of coursework

The completed coursework should be submitted by 3.00 pm on Thursday 14^th December 2023.

You must work in a group of THREE or FOUR. The mark of each coursework will be the same for all members of the group.

Length of submission should not exceed 2,000 words, excluding appendices, tables, formulae and references. You must include a word count on your title page. Failure to follow these instructions will lose marks.

You are required to answer both questions of the coursework:

1. Form a portfolio for the period of Oct 1^st 2022 to Sept 30^th 2023 using the information below. Select no more than 23 stocks for the rest 20% of the portfolio.

Explain your selection for the 20% of the portfolio. Using extant finance literature, compare the performance of this portfolio (80% as in table below and 20% of your choice) with that of the following:

- Russell 1000 Growth Index

- BGF US Growth Fund

https://www.blackrock.com/sg/en/products/228593/bgf-us-growth-fund-a2-usd

You should use monthly closing price to calculate monthly return using r_t = ln(P_t/P_t-1) and buy-and-hold return using ll(1+r1)(1+y2)...(1+r12)

(No more than 1,000 words)

(50% of total mark for the coursework)

2. For the following momentum strategy: i) four-week-ranking; ii) four-week holding momentum strategy; iii) sorting by deciles, time period Oct 3rd 2022 to Sept 30th 2023.

- Use the components of the FTSE 100, present a table of results on the performance of the strategy, including mean and standard deviation of the return of the top decile portfolios (winning portfolios), mean and standard deviation of the return of the bottom decile portfolios (losing portfolios), the mean of the excess return of the top decile portfolio over the bottom decile portfolio, the mean of the excess return over the market index (FTSE100), and the corresponding t-ratio for each trading strategy.

- Repeat the above step (same momentum trading strategy for the same time period and specification) using the Hang Seng Index.

- Briefly discuss the tables, for examples explain key statistics, compare between portfolios and compare with the markets. Clearly describe your calculation, including how returns are calculated, how portfolios are formed and what market index is used to compared. Further compare your results with evidence reported in extant research.

- Using extant finance literature, compare the performance of the two strategies in the two markets.

Hint: The first winning portfolio is based on the ranking period of 3^rd – 28^th Oct 2022, holding period of 31^st Oct – 25^th Nov 2022. The second winning portfolio is based on the ranking period of 10^th Oct – 4^th Nov 2022, holding period of 7^th Nov – 2^nd Dec 2022, etc. And the last winning portfolio is based on the ranking period of 7^th Aug – 1^st Sept 2023, holding period of 4^th –29^th Sept 2023.

(No more than 1,000 words)

(50% of total mark for the coursework)

The coursework must be well presented. All sources must be cited. The references should follow the Harvard referencing style.