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Reassessment Question
Title:
ESG Investing Analysis of the FTSE 100 Listed Firms.
Two files for submission: an investment report document (Word Length: 3,500 words) & an Excel data file

Objective:
To understand the key concepts, approaches, evidence and models of modern financial theory and practice.

Investment Analysis Description:
A young risk-averse investor in Norfolk is considering the strategic decision of investing in a portfolio of five FTSE 100 firms over the next five years. She has invested in the U.S. and emerging market common stocks before and this investment of ￡50,000 would be one of her many sub-portfolios. In particular, she would like to invest in ESG (environmental, social and governance) leaders.
Considering the above investor’s background, you are employed by a leading financial institution and have been asked to advise this client. You will prepare an investment report in Microsoft Word for her and record your data analysis work in an Excel file.
?The report, includes all of the following four sections, should not exceed 3,500 words in total apart from references and appendices.
?All the relevant tables and figures should be contained and discussed in the main body of the report, not in some appendix.
?Each section provides requirement on the tables and figures you should at least include. Feel free to provide any additional table and figure that would be useful for your investment report.

Section 1.While you can select any five firms from the FTSE 100 index components[ You can find the eligible FTSE 100 firms from this link: http://www.londonstockexchange.com/exchange/prices-and-markets/stocks/indices/constituents-indices.html?index=UKX ] you are required to adopt the following best-in-class selection criteria to choose five ESG leaders from your choice of industries based on your client’s demand by collecting the relevant ESG data from Refinitiv Eikon:
1)The company’s Refinitiv ESG score ranking should be the top 25% among the companies in the same industry
2)The company’s Refinitiv ESG score should have a grade of “A” (A-, A, or A+)
Compile the ESG information along with company names into a single table to show the five FSTE 100 listed firms you’ve chosen as ESG leaders.
Briefly explain “whether ESG information can add value to investment performance” to your client by using theories and empirical evidence (i.e., data analysis findings) from at least 3 references. For example, you may want to draw evidence from this academic paper: Verheyden et al. (2016)[ Verheyden, T., Eccles, R. G., & Feiner, A. (2016). ESG for all? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47-55. A pdf copy is available via https://arabesque.com/research/ESG_for_All.pdf ].
Table: A single table includes necessary ESG information such as ESG Score, ESG Score Grade, ESG Period Last Update Date, and ESG score ranking in the same industry.
Marks: 30% of the overall coursework mark; Word limit: 1,200 words

Section 2.Collect your sample data from databases such as Yahoo Finance, FAME, and Refinitiv Eikon/Datastream for the chosen five firms from Section 1:
?Download adjusted monthly closing stock prices for each one of your five firms over the recent period of five years: your 61 monthly price observations[ Note that the price of month t’s last day is equivalent to the price of month t+1’s first day. For example, if the database like Yahoo Finance gives you a price on 01/06/2017 you can treat this as the price on 31/05/2017.] should be from the end of May 2017 to the end of May 2022 so that you can then obtain 60 discrete monthly return observations in total for each stock from the end of June 2017 to the end of May 2022. It is easier to collect this data from FAME (or Yahoo Finance).
?Also, download adjusted monthly closing price levels of the Vanguard FTSE 100 UCITS ETF (VUKE.L) for the FTSE 100 Index as a proxy for the UK market portfolio over the same 5-year period[ You can find its historical prices via Yahoo Finance: https://finance.yahoo.com/quote/VUKE.L/ ]. Alternatively, you can choose other proxy for the FTSE 100 Index and you should briefly explain your data source.
?To determine the risk-free rate of return, assume a constant 3-month UK Treasury Bills monthly rate of 0.02% for the whole sample period.
?For market value (i.e., market capitalisation or market cap), you need download the market cap at the end of May 2017 for each of the five firms since your portfolios to be built in Section 2 start investing from the June 1st 2017. It is easier to collect this data from FAME.

Using the collected data, you construct the following four 5-stock portfolios with short sales allowed:
1)equal-weighted portfolio (EWP);
2)market-value-weighted portfolio (VWP);
3)global minimum-variance portfolio (GMVP); and
4)optimal risky portfolio (ORP).
According to your choice of five stocks and the given risk-free rate of return, build and draw the three items below in a single graph (type: scatter with smooth lines) of expected returns against standard deviations:
a)the optimal capital allocation line;
b)the minimum-variance frontier; and
c)the efficient frontier.
Further, mark the positions of the five stocks and four portfolios in that graph.
Finally, briefly discuss the features and characteristics of the four portfolios with the table and figure results obtained from the above steps.
Table: Four portfolios’ weights, returns, standard deviations, and Sharpe ratios.
Figure: A single graph includes the optimal capital allocation line, the minimum-variance frontier, the efficient frontier, the five stocks and four portfolios.
Marks: 30% of the overall coursework mark; Word limit: 900 words

Section 3.Determine the proportion of the overall optimal complete portfolio (ORC) in the UK financial market that should be held in the optimal risky portfolio (ORP) of the five stocks along with the proportion that should be held in the risk-free asset (F).
?Assume that your client has the same risk aversion index as yours and that you should determine this by using the Charles Schwab Investor Profile Questionnaire[ You can find the questionnaire from https://www.schwab.com/resource/investment-questionnaire or download it via the Coursework Information Section on Blackboard. ]. Transform the questionnaire Risk Tolerance Score “X” (0 to 40) into risk aversion index “A” (2 to 4) by using the following transformation: A = 4 – X/20. For example, a risk tolerance score of 30 becomes a risk aversion index of 2.5 (= 4 – 30/20).
Then draw a graph (type: scatter with smooth lines) to illustrate the relevant indifference curve, capital allocation line, risk-free asset (F), optimal risky portfolio (ORP), and optimal complete portfolio (ORC).
Finally, briefly describe the features and characteristics of the overall optimal complete portfolio (ORC) with the table and figure results obtained from the above steps.
Table: Portfolio ORC’s weights, returns, and standard deviations.
Figure: A single graph includes indifference curve, capital allocation line, risk-free asset (F), optimal risky portfolio (ORP), and optimal complete portfolio (ORC).
Marks: 15% of the overall coursework mark; Word limit: 500 words

Section 4.Evaluate in absolute and relative terms the investment performance of each one of the four portfolios that created in Section 2 (EWP, VWP, GMVP and ORP) with the FTSE 100 benchmark over the five-year sample period:
?Calculate and compare the performance of the four portfolios based on the following statistics. Briefly explain the meaning of each performance measure in the discussion.
?Note that all these performance statistics should be annualised as appropriate.
1) Time-weighted return 2) Standard deviation 3) Beta 4) Jensen’s alpha
5) Treynor measure 6) Sharpe ratio 7) M2 measure 8) Information ratio

According to the role of the portfolio in your client’s overall investment context, which portfolio would be the best for her to invest in? Which portfolio do you consider the worst choice to your client? Justify and explain your recommendations.
Finally, compare the best and worst portfolios to your client graphically by using wealth indices to illustrate those two portfolios.
Table: Performance statistics for the four portfolios with the FTSE 100 benchmark.
Figure: Wealth indices (i.e. cumulative wealth starting with an investment of ￡1) for the best and worst portfolios to your client.
Marks: 25% of the overall coursework mark; Word limit: 900 words

Important Coursework Requirements:
You need to submit 1) an investment report document (Word Length: 3,500 words) & 2) an Excel data file. The investment report counts for 100% of your grade. However, failure to submit the Excel data file will cost your marks and may mean that you fail the coursework.
Part 1: Coursework Investment Report
?You should submit the investment report electronically by naming your report file with your student number.
?Report must be word processed in Microsoft Word (or equivalent software). Font must be Times New Roman with a size of 12 points; character scale must be 100% and spacing and position should be normal (the default options); use normal margins (2.5cm on top, bottom, left and right); line spacing must be 1.5 lines with an extra line between paragraphs and headings; alignment must be justified; edit your graphs to distinguish the relevant items.
?All sections, tables and figures must be clearly titled and sequentially numbered. All tables and figures should self-explanatory and should include necessary axis definitions and legends. Apply appropriate formatting for the tables and figures. Numbers in the text, tables and figures should have a reasonable number of decimal points in order to allow an accurate representation and comparisons (usually between 2 and 4 decimal points). For more details on successful presentation see: https://portal.uea.ac.uk/student-support-service/learning-enhancement/study-resources/academic-writing-study-skills/writing
?Provide a contents list and an abstract in the beginning of the report (we do not require you to write an executive summary). Add page numbers on all pages. Include a reference list.
?In each section of the report, you should also include important details about the relevant data and theoretical equations. Try to be brief and clear in your explanations. Do not include Excel functions in your report.
?In line with normal practice in investment banking and consulting industries, you can assume that the report you will prepare may be used for both background reading and presentation purposes. You may include an appendix if you like but this is optional. Do not include the share price series in your report as we can check them in the Excel file.
?Include at least 6 references to articles in credible academic journals or professional magazines/newspapers. Do not include articles that you do not cite within your report or that you have not at least partly read. Do not use material that exists exclusively on the internet (e.g., websites, blogs, etc) or module lecture notes/slides as sources in your references.
?Any questions related to the coursework should be submitted to the “Q&A Forum” on the Blackboard Site of the module. The link to this forum is within the list on the left. To ask a question, click on “Create Thread” and post your question. You should also click on “Subscribe” to receive an email when a new question is posted. You should visit the forum regularly.

Part 2: Coursework Excel File
?You should submit the relevant Excel file electronically by naming the Excel file with your student number.
?The calculations and data analysis should be performed using Microsoft Excel in a single workbook with multiple worksheets.
?The Excel file should contain the data used along with the relevant analysis, results, and section titles.
?Failure to submit this file will cost your marks and may mean that you fail the coursework.

Word Length: 3,500 words

Penalties for exceeding the word limit

Less than 10% over word limit No Penalty
10% or more over the word limit Deduction of 10 marks off original mark
Failure to provide an electronic copy when requested Mark capped to the pass mark
Intentional misrepresentation of the word count on the coversheet Mark capped to the pass mark
NOTE:
1. When the original mark is within 10 marks of the pass mark, the penalty will be capped at the pass mark
2. Original marks below the pass mark will not be penalised
Source: https://portal.uea.ac.uk/documents/6207125/7465906/Section+3+Submission+of+Work+for+Assessment+-+Taught+Programmes.pdf

PG Coursework Assessment Criteria

In preparing your coursework, you should be aware that you will be assessed by reference to the extent to which your answers meet the following criteria:
?Identification and application of knowledge to the question asked
?Capacity to find data from online resources
?Ability to apply theories related to the question asked
?Demonstration of ability to structure and present work in a clear and coherent way
?Evidence of reading and research
?Clear and accurate expression

Students are advised to be aware of the revised “Senate Scale Classifications 2012/13 – Coursework.” These scales which provide general guidance on the standards required for the award of marks for coursework. These are available at:
https://portal.uea.ac.uk/documents/6207125/8551351/senate-marking-scale-masters-level-coursework.pdf/283e8e7c-3929-450b-933f-44b31a3c4904

The marking grid based on the above Senate Scale Criteria will be the following:

Senate Scale Criteria Proportion of Marks %
Learning outcomes & scholarship 35%
Argument & understanding, and Criticality & analysis 40%
Use of sources and evidence, Written communication,
Presentation, and Academic referencing 25%
Total 100%

?This coursework counts for 100% of the assessment in this module.
?Please preserve anonymity by using your university number, not your name.

Good luck!

Submission Details

The deadline for submission for all reassessment coursework is 15:00 on Thursday 25 August 2022.

The assignment will be submitted electronically via Blackboard; there will not be an option to submit a hard copy. Even late assignments, or those that have extensions, should be submitted electronically rather than in paper format. Work uploaded after 15:00 on the specified deadline day will incur a late penalty unless there is an approved extension. Students are advised not to leave it to the last few minutes before 15:00 to upload work, just in case they encounter any upload problems.

1.Students should add in the Word Count for their piece of work, including the footnotes and endnotes, references (in the main text), tables and illustrations and if applicable the abstract, title page and contents page. Any appendicised material and the bibliography or reference list should not be included in the word count.

2.Students should also apply their Specific Learning Difficulty (SpLD) e-sticker, if appropriate

Where your module is being marked via Blackboard, please go to the module Blackboard site and submit your work via Reassessment, in the left hand column. General instructions regarding Blackboard submissions can be found here

University Policy on Plagiarism and Collusion

It is important that all students familiarise themselves with the rules and regulations regarding plagiarism and collusion. Understanding these rules will help you to avoid plagiarism and to maintain the quality of your academic work.

The current rules and regulations can be found here
Information and support on how to avoid plagiarism can be found here

You may be requested to provide a digital copy of your coursework (after an initial examination of the hard copy by the coursework assessors) for use with plagiarism detection software. Instances where plagiarism is suspected will be investigated. Students who are found to have plagiarised will be penalised.

In proven cases offenders will be punished and the punishment may extend to degree failure, temporary suspension or expulsion from further study if the case comes before a Discipline Committee of the University.

Coursework Deadlines

All reassessment coursework must be submitted by 15:00 on Thursday 25 August 2022. Failure to submit on time without an approved extension will result in a penalty for late submission.

Please note that the deadline represents the last time that a piece of work can be submitted, and not a target. You are advised to plan ahead, and submit work well in advance of the deadline. This will help to ensure that any last minute delays do not result in late submission.

Extensions to Coursework Deadlines

In exceptional circumstances, you may be entitled to request an extension to a deadline for the submission of work required for assessment. Requests for coursework extensions should be applied for online via eVision together with appropriate supporting evidence.

Extension requests can be submitted on the following grounds:
?Medical (subject to a doctor’s note)
?Serious personal issues (subject to supporting evidence)

Extension requests cannot be considered for the following:
?Poor time management
?Transport or parking delays
?IT problems (unless evidence can be provided from an IT technician)
?Medical or personal circumstances that are not accompanied by supporting evidence

You should plan your work so that minor delays do not prevent submission on time. In all cases, you should ensure that you make regular backup copies of all coursework in progress.

Where extenuating circumstances prevented you from applying for an extension in advance of the deadline, work submitted after the deadline should be accompanied by an online extension application. Allowance will be given for acceptable extenuating circumstances and in such cases penalties for late submission will not be applied.

Extension requests will be considered by the Coordinator in those instances where acceptable extenuating circumstances exist and the request is submitted before the deadline. The designated member of academic staff in the School will consider all other requests.