Invited proposal will create CMAs (returns only) using (i) historical average (from section 2 above), (ii) James Stein estimates, and (iii) Reverse Optimisation. Teams will ONLY use returns data from Q2, 1994 to Q1, 2020 for the estimates. Teams will then decide (with a one sentence justification) upon the most reasonable return CMA for each asset/sub-asset.
Create 3 Strategic Asset Allocations (SAAs): 25% of the assignment mark: The SEF’s BoD would like to evaluate three different SAA, using three different portfolio construction techniques. Each asset allocations will be constructed using (i) quarterly real returns, (ii) data from Q2 1994 to Q1 2010 [do not use data up to Q2 2021], and CMA return estimate (based on section 3 above). Investment team will decide and justify an appropriate level of tracking error (against the Benchmark). Allocations to each asset must be whole numbers (for example a 9.5% allocation to US should be changed to either 9% or 10%), and allocation to each asset class – Bonds, Equities Real Estate and Goldmust be in multiples of 5% (for example a 24% allocation to equities must be changed to 25%). These allocations adjustments may be programmed OR can be adjusted manually.
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