Assessment Task 3
Financial Analysis Case Study & Presentation
(Individual)
25705 Financial Modelling and Analysis
Spring session 2024
General information and instructions
• This assessment task accounts for 40% of your final grade.
• You must complete this assignment on an individual basis.
• Deadline: Thursday 14th November 2024, 11.59pm AEST (Sydney time)
• You need to submit via Canvas:
o The Excel workbook (.xlsx format only) with the calculations performed to answer Questions 1 through 6. The upload should be made in Question 8.
o A 3-minute video should be uploaded in Question 7 with your discussion about the three regression models and your conclusion on which model is the best to explain daily volatility.
• All assignment-related queries must be posted on the Canvas discussion board. E-mail queries related to the assignment will not be entertained.
From prior experience, technical difficulties often can be traced back to students trying to upload their work a few minutes prior to the deadline. Tip: do not wait until 11.55pm on the due date to submit your work via Canvas. Late submissions will receive zero credit unless a special consideration with valid reasons and documentation is filed.
Grading
• Questions 1 through 6 will be graded automatically in Canvas
• The video component and the workings in Question 7 will be marked based on the accuracy of the arguments.
• The Excel work for all questions will be marked based on the efficiency and clarity with which solutions are produced.
• Late submissions will receive zero credit unless a special consideration with valid reasons and documentation is filed.
Data
• In the Assignment page on Canvas, you will find the workbook ETFs and Replica Portfolios.xlsx with the following 4 worksheets:
o Assets: Lists the 722 assets included in the ETFs by Name, Ticker, Industry and sector
o Asset Returns:
Daily returns for the 722 assets for the period 1 Sep 23 - 30 Aug 24
o Weights: lists the assets included in each ETF and their weights in each of the four quarters, starting on 1 Sep 23, 1 Dec 23, 1 Mar 24, and 1 Jun 24.
o ETFs and SP500:
Daily closing prices for the 6 ETFs and the S&P500 for the period 30 Aug 23 - 30 Aug 24