Hi, Please assist with this assignment 2 for INV4801

a) UNISA case study (25) UNISA recently revised the investment policy statement (IPS) for its retirement plan portfolio. The return objective for equities is to earn 2.95 percent above the return on a broad market index, relative to the benchmark. The tracking error should not exceed 1.5 percent. Matombo Mabwe identies an enhanced index manager that she expects would satisfy the IPS objectives for both return and risk. Mabwe believes it is possible to improve the portfolio's risk- adjusted return by also adding active equity managers He recommends a core-satellite portfolio strategy for the equity portion of the plan's portfolio as shown below. Mabwe determines that the active returns of the selected managers are not correlated. Recommended Core-satellite Portfolio Expected Expected Equity Managers Allocation Active Active Fees Risk' Return Enhanced index 500% 1.2% 1.3% 0.2% Actlve A 30.0% 2.0% 4.0% 0.4% Active B 20.0% 3.6% 5.5% 0.8% Core-satellite portfolio 100.0% 1.92% 2.95% 0.38% 'Retums are he! of trading expenses and grass of fees. 1 (i) Calculate the information ratio of the core-satellite portfolio. Show your calculations. (.1; (ii) Determine whether Mahwe's reoommended core-satellite portfolio is appropriate for UNISA. Justify your response with two reasons specic to UNISA. (4) Alternative investments are also pan of UNISA retirement plan portfolio. Mabwe has a strategy of rolling fonrvard a long position in platinum futures traded on JSE, Mabwe's expectations are as follows: Electricity supply disruptions in South Africa, the world's dominant platinum producer, will cause platinum supply to fall and spot prices to rise. interest rates will fall. and the convenience yield on platinum will decrease. Mabwe observes that his expectations are not yet reflected in platinum futures prices. Mabwe reviewed the recent performance of the platinum futures and has found that for the last 12 months, the platinum futures had a roll return of negative 6.4% and a spot return of 10.2%. The collateral return on the platinum futures over the past 12 months was 7.1%. (iii) Determine, given that Maowe's market expectations are correct, whether an increase, a decrease, or no change In each or the rollowlng return components should be expected: Justify each response with one reason (9) a) spot return (price return) b) collateral return (collateral yield) c) roll return (roll yield) (Iv) Calculate the total return on the platinum futures. (3) |NV4801I101 (v) Discuss the potential benets to UNISA retirement plan of adding commodities as an asset class. (6) b) Reuel capital case study 2 Joseph Mhofu is a xed income portfolio manager for Reuel Capital. Mhofu is reviewing the portfolios of several pension clients that have been assigned to him to manage. Two of these portfolios are Woodlands Groove and LETS pension plan has the following characteristics: Woodlands Woodlands Groove L E T5 L E T5 Groove Spread Sector Allocation Allocation Duration Duration Singapore treasury 14.6% 10.1% 7.54 0.00 Singapore agencies 23.7% 14.5% 9.02 7.20 Singapore Corporates 13.8% 20.9% 4.52 580 Singapore mortgages 11.4% 33.7% 1.33 4.65 Singapore ABS 18.0% 8.20% 2.00 3.67 Non-Singapore governments 18.5% 12.6% 3.22 2.50 Bond index benchmark for LETS pension plan portfolio has an e'ective duration of 4.16. (i) Calculate the duration of LETS pension plan portfolio and asses the interest rate risk of the portfolio versus the benchmark. (4) (ii) Calculate the spread duration of Woodlands Groove bond portfolio and evaluate the credit risk of the portfolio versus the Singapore mortgages. (4) Abigail Mpofu is a pension consultant at Reuel Capital and is asked to evaluate the following portfolios: - Portfolio A is highly diversied, with 100 stocks. - Portfolio B is highly diversied with over 400 stocks, none of which represent more than 1% of the total portfolio. - Portfolio C is a diversied portfolio of 70 stocks, with the top 10 names representing 30% of the total portfolio The following investment results were recorded during 2021: Return Beta Variance 2 Portfolio A 42% 1 .2 2.25 Portfolio B 25% 1 .B 1 .21 Portfolio C 16% 2.2 2.25 SSE Index' 24% 1.0 0.50 'SSE Index represents the market portfolio. \\i/F\\3 Risk-free rate: 7% (iii) Compute the Sharpe, Treynor, and Jensen measures for each portfolio. (12) (iv) Identify which portfolio had the best risk-adjusted performance in 2021. Justi your selection with two supporting arguments