CALF 3 2026
Explain five passive equity portfolio management strategies and discuss how you will select an ETF as part of your strategy. Illustrate and conclude your answer with an application. Test your strategies and recommendations via Capital.com or any other platform. You can also use Capital IQ to calculate the historical performance and calculate the long-term performance. Students are free to choose any technique including buy and hold or tracking an index. For the ETF section, students can test whether arbitrage exists by using Intraday Net Asset Value (iNAV).
Students are expected to demonstrate the importance of ESG data whilst implementing preferably 5 passive equity portfolio management strategies.
Analyze the importance of a taxonomy establishing a list of environmentally sustainable economic activities and its role in aiding sustainable investment.
Discuss the role ESG data plays in equity portfolio management.
Check ESG Rating Agencies such as Sustainalytics that provides ESG ratings and research to help investors understand and manage ESG risks and opportunities. MSCI evaluates companies on ESG factors and assigns ratings that help investors make informed decisions. Other evidence will be compliance to green bonds or ISO 14001.
Hint:
Passive portfolio strategies: Buy and hold & indexing
Three basic techniques: Full replication, Sampling & Quadratic optimization or programming
Must show tracking error
Explain the Top-Down Investment Process used for example the volatility caused by US president such as Trump.
Strategic Asset Allocation (example weights)
|
Investor Profile |
Equity |
Bonds |
Alternatives |
Cash |
|
Conservative |
30% |
55% |
10% |
5% |
|
Balanced |
50% |
35% |
10% |
5% |
|
Aggressive |
75% |
15% |
10% |
Limits to Arbitrage
Price Discovery and Informational Efficiency of ETFs
ETF as a Cause of Liquidity Crisis for its Underlying Constituents
Creation and Redemption through Fund Flows and Price Manipulation
Volatility and Volatility Spillover
Sector rotation strategies (Low PE for undervalued stock, growth stocks or others)
Style (value, growth, income, momentum, index (passive), quantitative, ESG, contrarian, sector, theme or others)
The structure of the report must follow the following guidelines.
Requirements: 1200 words max
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