Quarterly data for each asset class is contained in the Data spreadsheet of the Excel file Project Data. Details of the current asset allocation of the fund including the current asset class assumptions are contained in the Old Asset Allocation spreadsheet of the Excel file Project Data. The spreadsheet shows how the current asset allocation was formed and is an example of how to use Solver. However, the current asset allocation of the fund is problematic and not consistent with the funds investment objectives and constraints. You should aim to improve the asset class assumptions, asset class selection and asset allocation of the fund while exploring alternative investment opportunities.

DATA here:

	Cash (%)	Bond Index	Equity Index	Direct Property Index	Listed Property Index	Hedge Funds Index	Commodity Index		Data Sources: Thompson Reuters Datastream
Q4 1995	5.08	191.187	593.26	760.31	1744.5	1980.31	2358.78		Cash: US TREASURY BILL RATE -3 MONTH
Q1 1996	5.15	197.756	656.37	845.87	1887.12	2103.45	2649.02		Bond Index: US BENCHMARK 10 YEAR DS GOVT. TOTAL RETURN INDEX
Q2 1996	5.16	184.576	645.44	836.37	1908.42	2176.34	3148.91		Equity Index: S&P 500 COMPOSITE -TOTAL RETURN INDEX
Q3 1996	5.04	192.323	662.1	863.01	1998.22	2176.77	3131.09		Direct Property: US NCREIF PROPERTY INDEX
Q4 1996	5.15	198.102	730.82	957.91	2175.76	2273.28	3289.91		Listed Property: FTSE/NAREIT ALL EQUITY REITS USD-TOTAL RETURN INDEX
Q1 1997	5.34	199.494	789.56	1039.91	2539.38	2425.45	3341.45		Hedge Fund Index: HFRI FUND OF FUNDS COMPOSITE
Q2 1997	5.17	198.534	824.78	1091.49	2459.21	2455.02	3418.42		Commodity Index: S&P GSCI Commodity Total Return
Q3 1997	5.11	205.823	933.54	1240.74	2736.55	2681.09	3411.34		Sample Period: Quarter 4 1995 to Q2 2018
Q4 1997	5.35	216.069	927.51	1238.2	2888.03	2707.25	3554.71
Q1 1998	5.16	222.935	1010.74	1354.75	3004.15	2695.59	2943
Q2 1998	5.1	223.925	1108.14	1490.48	2908.1	2882.95	2703.16
Q3 1998	4.36	231.745	1089.45	1470.88	2681.98	2834.47	2306.79
Q4 1998	4.47	242.843	1130.2	1532.29	2518.87	2505.76	2226.68
Q1 1999	4.5	245.289	1216.14	1654.24	2435.44	2618.93	1921.42
Q2 1999	4.78	236.803	1345	1835.06	2637.78	2754.48	2262.64
Q3 1999	4.86	228.632	1297.8	1776.68	2466.41	2877.35	2506.06
Q4 1999	5.22	233.936	1365.28	1875.07	2363.52	2913.6	2659.89
Q1 2000	5.88	225.743	1411.7	1944.57	2407.28	3316.34	3022.05
Q2 2000	5.87	229.776	1412.14	1950.5	2661.54	3379.29	3292.27
Q3 2000	6.21	243.488	1472.87	2040.55	2900.79	3412.16	3603.63
Q4 2000	5.89	246.194	1400.14	1945.24	2763.99	3405.29	4068.7
Q1 2001	4.29	261.997	1314.76	1831.96	2970.85	3464.72	4151.438
Q2 2001	3.62	262.118	1255.54	1754.72	3067.48	3447.57	3868.75
Q3 2001	2.37	266.796	1183.43	1659.76	3366.11	3461.57	3590.94
Q4 2001	1.73	284.621	1120.31	1576.61	3222.67	3444.75	3059.61
Q1 2002	1.79	274.818	1096.22	1547.94	3425.4	3510	2791.91
Q2 2002	1.67	271.667	1073.01	1520.39	3696.96	3550.95	3260.22
Q3 2002	1.6	295.238	908.64	1292.94	3533.04	3488	3226.84
Q4 2002	1.19	308.47	894.74	1278.94	3440.4	3476.94	3287.8
Q1 2003	1.09	309.273	829.69	1191.46	3422.5	3559.61	4267.75
Q2 2003	0.84	318.667	933.41	1346.68	3898.29	3614.02	3859.72
Q3 2003	0.93	308.025	977.59	1416.3	4211.78	3722.23	4212.648
Q4 2003	0.91	307.127	1053.21	1533.02	4621.92	3855.71	4235.887
Q1 2004	0.93	320.45	1139.81	1666.16	5159.91	4002.11	4493.52
Q2 2004	1.3	306.623	1098.7	1612.31	4550.35	4028.54	5347.078
Q3 2004	1.68	323.385	1065.22	1569.96	5203.6	3980.02	5489.309
Q4 2004	2.18	327.377	1164.08	1724.08	5905.45	4046.15	5743.477
Q1 2005	2.73	336.979	1191.99	1773.28	6108.6	4209.78	5400.719
Q2 2005	3.06	332.392	1178.84	1760.87	6406.99	4183.48	5907.699
Q3 2005	3.47	332.095	1231.38	1847.76	6779.67	4324.3	6733.156
Q4 2005	3.99	328.529	1220.65	1841	6858.68	4364.01	6602.09
Q1 2006	4.52	333.447	1263.77	1915.1	7583.7	4655.51	6415.5
Q2 2006	4.87	322.109	1325.14	2016.59	8028.05	4835.23	6980.547
Q3 2006	4.77	330.417	1265.95	1936.3	8310.72	4704.66	7199.961
Q4 2006	4.89	341.792	1378.33	2118.32	9082.6	4819.65	5963.91
Q1 2007	4.9	340.949	1438.06	2220.72	10795.29	5060.55	5594.926
Q2 2007	4.68	347.437	1512.58	2346.3	10061.13	5240.69	5723.328
Q3 2007	3.72	347.521	1453.09	2264.5	8925.55	5405.05	5994.086
Q4 2007	3.29	367.101	1453.7	2276.26	8651.67	5567.04	7412.961
Q1 2008	1.36	387.887	1331.29	2095.21	7811.23	5348.36	7596.469
Q2 2008	1.87	387.473	1388.28	2196.54	8697.23	5327.93	9615.148
Q3 2008	0.9	385.763	1296.32	2061.77	8482.37	5231.76	8575.328
Q4 2008	0.11	395.396	930.99	1490.31	5277.29	4515.68	5041.992
Q1 2009	0.21	427.161	869.89	1403.19	4430.03	4361.81	3608.409
Q2 2009	0.19	421.917	929.23	1509.14	4777.42	4392.59	3956.891
Q3 2009	0.14	405.657	1010.48	1650.73	5757.26	4625.84	4362.672
Q4 2009	0.06	421.641	1093.08	1795.56	5984.48	4753.44	4518.996
Q1 2010	0.16	419.622	1070.52	1767.18	6004.11	4809.86	4189.77
Q2 2010	0.18	430.79	1110.88	1842.32	7203.58	4939.95	4211.234
Q3 2010	0.16	456.537	1127.79	1880.06	7740.57	4805.86	4337.578
Q4 2010	0.12	469.287	1213.4	2033.85	8159.52	4997.8	4737.824
Q1 2011	0.09	436.585	1320.88	2224.64	8814.87	5110.43	5040.035
Q2 2011	0.03	458.718	1346.29	2277.3	9266.88	5211.03	5298.164
Q3 2011	0.02	501.645	1172.53	1993.76	8188.38	5107.34	4652.289
Q4 2011	0.02	516.321	1229.1	2102.72	8581.93	4885.66	4987.352
Q1 2012	0.07	517.699	1351.95	2325.56	9742.29	4897.14	5130.848
Q2 2012	0.09	530.364	1354.58	2342.31	10234.74	4960.26	4869.543
Q3 2012	0.1	543.09	1402.8	2440.23	10421.72	4896.05	5023.426
Q4 2012	0.05	551.055	1379.85	2413.92	10342.23	4962.68	4826.152
Q1 2013	0.07	536.222	1517.93	2670.85	11322.17	5148.84	5116.172
Q2 2013	0.04	549.102	1626.67	2878.3	12519.68	5251.81	4760.477
Q3 2013	0.02	516.559	1691.42	3008.79	11453.1	5264.17	4836.328
Q4 2013	0.07	512.425	1770.61	3166.11	11235.33	5365.14	4671.02
Q1 2014	0.05	519.767	1797.02	3229.64	11574.87	5471.47	4849.766
Q2 2014	0.04	528.036	1878.48	3394.05	12701.09	5489.25	4977.266
Q3 2014	0.02	540.95	1931.59	3507.21	12997.91	5589.22	4800.84
Q4 2014	0.04	549.332	2031.92	3708.46	13762.06	5589.59	4156.324
Q1 2015	0.03	569.51	2046.74	3754.36	14827.95	5685.45	3181.166
Q2 2015	0.01	563.888	2116.1	3901.01	14283.73	5834.28	3278.621
Q3 2015	-0.01	565.498	2077.57	3849.96	14140.22	5843.03	2674.265
Q4 2015	0.16	559.291	2078.58	3873.37	14005.03	5669.87	2504.545
Q1 2016	0.21	592.966	1852.21	3470.5	13171.14	5512.48	1888.292
Q2 2016	0.26	596.232	2058.69	3878.14	16012.17	5514.85	2211.317
Q3 2016	0.28	608.177	2181.74	4132.96	17039.12	5599.8	2183.406
Q4 2016	0.5	582.906	2163.26	4121.03	15102.24	5627.27	2197.235
Q1 2017	0.75	571.375	2307.87	4419.4	16111.38	5749.65	2398.728
Q2 2017	1.01	572.438	2396.92	4611.21	16150.64	5857.17	2161.223
Q3 2017	1.04	584.747	2474.02	4784.94	16722.99	5934.52	2258.003
Q4 2017	1.37	582.88	2584.62	5023.01	17483.36	6079.5	2484.844
Q1 2018	1.7	562.182	2619.55	5116.99	15634.08	6277.5	2474.593
Q2 2018	1.89	556.72	2697.79	5292.9	16590.99	6163.44	2803.959

1. Investment objectives and constraints (5%)

Marks will be awarded based on how well investment objectives and constraints are embedded in analysis, discussion, arguments and viewpoints.

2. Justifiable asset class assumptions (7%)

Marks will be awarded ba sed on whether the report provide s all the required assumptions for each asset class and how well assumptions are justified by analysis of historical data and other relevant factors and /or other supporting evidence.

3. Justifiable asset class selection (7%)

Marks will be awarded based on : first, whether the report provides a justif iable asset class selection; second, how well the asset class selection is justified by analysis of historical data and other relevant factors and /or other supporting evidence ; thir d, how well the report discuss and describe the due diligence required for the selected alternative investment asset classes.

4. Justifiable asset allocation (7%)

Marks will be awarded based on whether the report provides a justifiable asset allocation and how well the asset allocation is justified by analysis of historical data and other relevant factors and /or other supporting evidence.

5. Communication and writing (4%)

The current asset allocation for the endowment fund of the Fantasy University is as follows: Asset Classes Weight The endowment fund is a perpetual fund that provides scholarships, research grants and other research support to the university. The current asset allocation is problematic. You are the newly employed portfolio manager of this fund. Recently, the university has decided to review the asset allocation of the endowment fund to see if alternative investment opportunities can be explored and non-traditional assets can be included into the portfolio Investment Objectives and Constraints of the Fund: Cash Equity 90% 69% 22% 1. Return target * As high as possible while all the other investment objectives and constraints are met. Return should not be lower than 8% per annum 2. Risk target Standard deviation of the returns should not be higher than 12% per annum * The fund should not have large exposure to extreme losses 3. Liquidity target At least 70% of the funds should be invested in liquid assets . The fund should hold at least 5% ofcash 4. Other constraints: . At least 50% of the funds should be invested in traditional assets, ie. bonds. equity and cash Short-selling is not permitted but the fund can invest in investment vehicles that short sell, for example, hedge funds * The potential alternative investment asset classes that the fund can invest are listed below: The current asset allocation for the endowment fund of the Fantasy University is as follows: Asset Classes Weight The endowment fund is a perpetual fund that provides scholarships, research grants and other research support to the university. The current asset allocation is problematic. You are the newly employed portfolio manager of this fund. Recently, the university has decided to review the asset allocation of the endowment fund to see if alternative investment opportunities can be explored and non-traditional assets can be included into the portfolio Investment Objectives and Constraints of the Fund: Cash Equity 90% 69% 22% 1. Return target * As high as possible while all the other investment objectives and constraints are met. Return should not be lower than 8% per annum 2. Risk target Standard deviation of the returns should not be higher than 12% per annum * The fund should not have large exposure to extreme losses 3. Liquidity target At least 70% of the funds should be invested in liquid assets . The fund should hold at least 5% ofcash 4. Other constraints: . At least 50% of the funds should be invested in traditional assets, ie. bonds. equity and cash Short-selling is not permitted but the fund can invest in investment vehicles that short sell, for example, hedge funds * The potential alternative investment asset classes that the fund can invest are listed below