本次新西兰作业案例分享主要为金融代写相关的assignment
A部分（书面报告）
绩效评估是金融市场不可或缺的一部分。有效分配资源
取决于投资者将资金引导至确定为最佳经理人的能力。这
提出了以下问题：如何衡量投资组合的绩效？
为了解决上述问题，我们将分析一个样本的交易所交易基金（ETF）
澳大利亚。 ETF类似于共同基金；但是，它们使投资者可以更轻松地买卖
交易所上相应的投资组合（就像处理单个股票一样）。这些有
自从1993年成立以来，它的知名度就大大提高了。到2020年，大约7.7万亿美元
在美国投资了1,800多只ETF，就资产而言，这是世界上最大的市场
在管理之下。
尽管ETF最初是作为旨在跟踪特定指数的被动投资组合而创建的，但是
还存在具有其他投资目标的主动管理型ETF。例如，专注于
诸如价值，增长，股息收益率，流动性和波动性之类的属性。评估
因此，我们需要首先了解ETF的目标和基准
比较观察到的性能。
必需的：
1.将为您分配五个ETF的随机列表，以对此主要任务进行分析。
请仔细遵循Canvas上的指示，以了解如何生成此列表。描述
每个ETF的关键特征。清楚说明他们的投资目标。
2.选择一个或多个适当的基准来比较您的五只ETF的表现。在
您的报告中，应该证明您选择基准的理由。
3.计算并比较五只ETF和Russell 3000市场的月收益
从2018年1月至
2020年12月。
4.为无风险资产选择适当的代理。证明您的数据选择。
5.计算以下风险调整后的绩效指标：
一种。夏普比率
b。 Treynor测度
C。詹森的Alpha（使用Fama-French 3因子模型来计算预期收益）
d。信息比例
e。晨星风险调整后的评级（使用2作为风险规避系数）
A bùfèn (shūmiàn bàogào)
Part A (WRITTEN REPORT)
Performance evaluation is an integral part of financial markets. Efficient allocation of resources
depends on the ability of investors to direct their capital to those identified as the best managers. This
raises the following question: how can portfolio performance be measured?
To address the question above, we will analyse a sample of exchange-traded funds (ETFs) available in
Australia. ETFs are similar to mutual funds; however, they allow investors to more easily buy and sell
the corresponding portfolios on an exchange (just like they would with individual stocks). These have
grown considerably in popularity since their inception in 1993. By 2020, about $7.7 trillion was
invested in more than 1,800 ETFs in the US, which is the world’s largest market in terms of assets
under management.
Although ETFs were originally created as passive portfolios aimed at tracking specific indexes, there
also exists actively managed ETFs with other investment objectives. For instance, focusing on
attributes such as value, growth, dividend yield, liquidity, and volatility, to cite a few. To assess the
performance of ETFs, therefore, we need to first understand their goals and the benchmark against
which to compare the performance observed.
Required:
1. You will be assigned a random list of five ETFs to analyse for this Major Assignment.
Please follow the instructions on Canvas carefully on how to generate this list. Describe
the key characteristics of each ETF. Explain their investment objectives and goals clearly.
2. Select (an) appropriate benchmark(s) to compare the performance of your five ETFs. In
your report, you should justify your choice of the(se) benchmark(s).
3. Calculate and compare the monthly returns for the five ETFs and the Russell 3000 market
index, as a proxy of the market portfolio, over the period from January 2018 until
December 2020.
4. Select an appropriate proxy for a risk-free asset. Justify your data choices.
5. Calculate the following risk-adjusted performance metrics:
a. Sharpe ratio
b. Treynor measure
c. Jensen’s alpha (using the Fama-French 3-factor model to calculate the expected return)
d. Information ratio
e. Morningstar risk-adjusted rating (using 2 as the coefficient of risk aversion)