Epsilon Asset Management ( hereafter EAM) is a global asset manager which has a scale of operation that spans the global with offices in over 32 locations. Assume that you have recently joined EAM as an in-house analyst being in charge of the Exchange Traded Investment division. The board of management has tasked you with the responsibility of producing efficient portfolios by utilising 15 Exchange Traded Funds identified on page 2 of this document.The EAM has 140 customers consisting of institutional investors and high net-worth individuals.You are advised to note that the minimum required amount for a client to receive the service of EAM is USD 10 million. What it means is that you need to produce set of optimal portfolios, carrying the asset-mix for the minimum amount that is required for investing via the EAM. This assignment requires a report ( executive summary and conclusion) covering Part I and Part II outlined below. The purpose of Part I of this assignment is to build your specific insights into the performance and operation of the 15 ETFs identified on pages 2 and 3.Your discussion is expected to include how these ETFs have performed in the lead up to the COVID-19 pandemic event. This would also naturally include the evolving situation currently and its wider impacts on markets. As such the sample period selected for analysis covers a duration of around seven years and eight months ( i.e 1 January 2013 to 14 August 2020). 1 reflective business report covering Part I and Part II outlined below is required. The purpose of Part I of this assignment is to build your general understanding of how the 15 ETFs identified below have performed in the lead up to the COVID-19 pandemic event. This includes the evolving situation and its wider impacts on markets. As such, the sample period covers a duration of around seven years and eight months ( i.e 1 January 2013 to 14 August 2020). This requires you to digest the Thompson Reuters reports on each of the 15 ETFs that we have appended to this document and write reflectively on the nature of the fund, the technical analysis over the last 3 years covering the performance of the ETF, the asset allocation feature and the performance analysis (calendar and cumulative analysis).

Part II of this assignment requires you to engage your theoretical knowledge learned in this unit to implement portfolio management principles using Markowitz optimization techniques. For this purpose, we have provided the price data (denominated in USD$). Assume that you have been given US$ 250 Million to be invested across the following ETFs: 1.iShares Core MSCI Emerging Markets ETF 2.Vanguard Total Bond Market Index Fund;ETF 3.VanEck Vectors Semiconductor ETF 4.iShares MSCI Hong Kong ET F 5.iShares MSCI Germany ETF 6.Vanguard Short-Term Bond Index Fund;ETF 7.Ishares Msci South Korea ETF i8.Shares MSCI Japan ETF 9.Energy Select Sector SPDR Fund 10.iShares Russell 2000 ETF 2 11.SPDR S&P 500 ETF Trust 12.SPDR Bloomberg Barclays High Yield Bond ETF 13.SPDR Bbg Barclays International Treasury Bond ETF 14.SPDR S&P Dividend ETF 15.SPDR Gold Shares Using the data provided in the spreadsheet (File name: ETFdata 2020.xlsx) for these 15 funds, you are required to generate continuously compounded returns for each fund on a daily basis and form an equally weighted portfolio as a naive trading strategy requiring equal distribution of the available fund (AUS$ 250 million) across these 15 funds. a) Comment on the performance using measures such as return, risk, Sharpe ratio and Treynor ratio associated with the equally weighted portfolio and evaluate the performance. In your summary you will also cover issues such as correlation between funds including their relationship with the market indices, summary statistics of individual funds using the historical data. (300 words = 3 marks) b) Assuming short-sales are not permitted, you are required to construct an efficient frontier using the continuously compounded return data from 1 January 2013 to 14 August 2020 (data has been provided in the folder) for different target returns such as 2%, 3%, 4%, 5%, 6%, 7%, 8%, 9%, 10%, 11%, 12%, 13%, 14%, 15%, 16%, 17%, 18%, 20% and 25%. Provide details (weights, and annualized returns and standard deviations) of the efficient portfolios forming the frontier for the above target returns that achieve convergence and you are advised to present these estimation output in an appendix (please maintain neatness and readability of the estimation output with respect to individual target returns).