Assessment Brief – Level Five Undergraduate

Module Code: AF5002

Module Title: Derivatives and Risk

Module Delivery: Academic Year 2019/20 Semester 2

Distributed on: 27th January 2020 Hand in TBA

Date:

Submission This assignment must be submitted to the correct Submission Point

that is located on the AF5002 Module site under ‘Assessment’ using
Turnitin. Please ensure that you submit to the correct submission point
on Turnitin.

Weighting 60% of overall module grade

Instructions on Assignment:

Assignment

The assignment is an individual written piece of work (as opposed to a piece of written group
work) and you are required to answer all three elements of the question.

The investment management department of your company has asked you to construct a
speculative trading strategy using options. You have been asked to invest £100,000 in
options trading strategy for a single FTSE 100 or FTSE 250 non-bank, non-insurance
company’s shares for the 35 working day period between Monday 9th March 2020 and 28th
April 2020 (inclusive).
a) For the company whose shares are to be the underlying for your options, set up an
options-based trading strategy given your view of:

• the company
• current market sentiment regarding the segment in which it operates
• likely market movements over the period.

You must support your analysis using real market data (suitably evidenced) as well as
suitable academic literature covering analysis methods such as, for instance, economic,
fundamental, technical etc.
You must include ‘screen shot’ evidence of the source of your options pricing in an
appropriately referenced appendix.

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Assessment Brief – Level Five Undergraduate

b) What is the annualised return that you are targeting based on your approach? Assess
the risk that your strategy will not produce the returns you have anticipated. You must
also assess the risks that the use of an options derivative instrument has introduced to
the investment management department.
(500 Words: 10 Marks)

c) Report on the actual profit and loss of your strategy over the period and analyse its
actual performance relative to its forecast performance and analyse why your strategy
achieved the results observed.
(500 Words: 15 Marks)

The assignment should be word processed within the limit of 2,000 words (excluding
appendices, tables, charts and graphs). The word count must be stated in the assignment.
References to relevant academic theory and research findings should be provided and
referenced appropriately.

To complete the assignment, you are required to refer to books and academic journal articles
and authentic sources such as Bloomberg. Do not use wikipedia, investopedia, investorword,
tutor4u and other non-academic sources.

Important note about ARNA regulations

The regulations specify that students must complete every assessment component
contributing to the modules on their programme. This applies to all forms of assessment as
defined in the module descriptor. Please note that:

 if any assessment component is not completed, students will be failed in the module
even if the module pass mark has been achieved;
 if the requirements for referral specified in section 3 of ARNA 1 are met, a re-sit
opportunity will be given;
 if unable to complete an assessment component because of extenuating circumstances,
students should follow the procedure described in the Student Guide to Extenuating
Circumstances1.
This change has applied since September 2013 and was approved by Academic Board in
consultation with the Students’ Union. Students should consult their Programme Leader or
Guidance Tutor if they have any queries. Independent advice and support is also available
from the Students’ Union Advice & Representation Centre (su.advice@northumbria.ac.uk) or
from a student adviser in Student Services.
1
ARNA and the Student Guide to Extenuating Circumstances Affecting Assessed Work are
available from http://www.northumbria.ac.uk/sd/central/ar/lts/assess/assproc/assdocstud/

Word limits and penalties for assignments

If the assignment is within +10% of the stated word limit no penalty will apply.

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Assessment Brief – Level Five Undergraduate

The word count is to be declared on the front page of your assignment and the assignment
cover sheet. The word count does not include:

 Titles and  Reference List  Appendices  Tables, Figures

Contents Page and Illustrations

 Glossary  Bibliography  Quotes from

Interviews and
Focus Groups

Please note, in text citations [e.g. (Smith, 2011)] and direct secondary quotations [e.g.
“dib-dab nonsense analysis” (Smith, 2011 p.123)] are INCLUDED in the word count.

If this word count is falsified, students are reminded that under ARNA page 30
Section 3.4 this will be regarded as academic misconduct.

If the word limit of the full assignment exceeds the +10% limit, 10% of the mark provisionally
awarded to the assignment will be deducted. For example: if the assignment is worth 70 marks
but is above the word limit by more than 10%, a penalty of 7 marks will be imposed, giving a
final mark of 63.

Students are advised that they may be asked to submit an electronic version of their
assignment.

Time limits and penalties for presentations

The time allocated for the presentation must be adhered to. At the end of this time, the
presentation will be stopped and will be marked based on what has been delivered within the
time limit.

Submission of Assessment:

All assignments must be submitted via the Undergraduate Programme Office. Each
assignment must be accompanied by an Assessed Work Form which must be completed in
full. The assignment will not be accepted by the Undergraduate Programme Office unless the
form is completed correctly.

Marked assignments will be returned to students. It is advisable to retain a copy of your

assignment for you own records. Your mark will be returned on the Assessed Work Form via
the Undergraduate Programme Office.

Referencing your work

The APA method of referencing uses the author's name and the date of the publication. In-text
citations give brief details of the work you are referring to in your text. References are listed at
the end of the text in alphabetical order by the author's name. The general format of an
electronic journal reference in the APA style is shown below:

Coutu, D. (2009). Why Teams Don't Work. Harvard Business Review, 87(5), 98-105.
Retrieved 29th April 2012 from EBSCO http://searchebscohost.com

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Assessment Brief – Level Five Undergraduate

Author/s name and initials are listed first, followed by year of publication in brackets. Then
there is the title of article and the journal where the article appears, which is in italics. Then
state the volume and issue number (in brackets) along with the pages where article can be
located. Finally add the date the article was retrieved and then the name of the database,
followed by the web address. Wherever possible use the homepage URL rather than the full
and extended web address.

For further information on why it is important to reference accurately go to the Referencing

and Plagiarism topic in Skills Plus available from the Library website:

www.northumbria.ac.uk/skillsplus

You will find other useful help guides on Skills Plus to help you with the skills involved in writing
your assessments and preparing for exams.

For further information on the APA style of referencing see the Concise Rules of the APA
Style and the APA website http://www.apastyle.org/

Plagiarism and Cheating

Your attention is drawn to the University’s stated position on plagiarism. THE WORK OF
OTHERS, WHICH IS INCLUDED IN THE ASSIGNMENT MUST BE ATTRIBUTED TO ITS
SOURCE (a full bibliography and/or a list of references must be submitted as prescribed in the
assessment brief).

Please note that this is intended to be an individual piece of work. Action will be taken where
a student is suspected of having cheated or engaged in any dishonest practice. Students are
referred to the University regulations on plagiarism and other forms of academic irregularity.
Students must not copy or collude with one another or present any information that they
themselves have not generated.

For further information on Plagiarism, see the Referencing and Plagiarism topic
on Skills Plus. www.northumbria.ac.uk/skillsplus

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Assessment Brief – Level Five Undergraduate

Mapping to Programme Goals and Objectives:

This assessment will contribute directly to the following Undergraduate programme goals and
objectives.

1. Knowledgeable about the theory and practice of international business and

management Objectives:
Students will be able to:

1.
Acquire knowledge of functional areas of business and management.
2.
X Acquire knowledge of specialist areas of business.
3.
X Apply their knowledge to business and management contexts.

X 4. Conduct contemporary research into business and management.

2. Skillful in the use of professional and managerial techniques and

processes Objectives:
Students will be able to:

1.
X Provide evidence of self-reflection as a means of informing personal development planning.
2.
Demonstrate effective interpersonal communication skills and the ability to work in a team.
3.
X Demonstrate critical thinking skills

X 4. Demonstrate problem solving skills

3. Aware of ethical issues impacting on business and professional

practice Objectives:
Students will be able to:

1. Identify an ethical dilemma in a business situation

2. Suggest ethical solutions to this dilemma

4. Employable as graduates
Objectives:
Students will be able to:

X 1.In the context of securing graduate employment demonstrate the skills of self-presentation.

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Assessment Brief – Level Five Undergraduate

Assessment Criteria (NBS)

General Assessment Criteria

Trait 0 - 29 30 - 39 40 - 49 50 - 59 60 - 69 70 - 79 80 - 100
Knowledge and Majority of work is Performance Legitimate Knowledge A maturing Impressive Excellent
Understanding neither relevant shows elements content but base is ability to relate knowledge and knowledge and
nor accurate. of legitimate relies heavily on generally sound theory and understanding. appreciation for
content. the descriptive. and some evidence, Clearly subject.
Analysis may be critical concepts and demonstrates Fastidious eye
unsophisticated. appreciation ideas is critical for detail.
shown. displayed. appreciation.
Critical Theory and
appreciation is evidence are
evident. invariably
related.
Structure and Often inarticulate Content is more Work may Content is Argument or Assured ability
Analysis usually
Alignment and can be often than not contain some clear but can always relevant, logical to challenge
incomprehensible. inappropriate. use of concepts, lack some generally well reasoning is received
but is poorly set clarity of focus. focused and always relevant wisdom and to
out and needs organised. and well sustain
an appropriate sustained. argument or
focus. logical
reasoning under
these terms.

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Assessment Brief – Level Five Undergraduate

Module Specific Assessment Criteria

Part a)

Trait 0–9 10- 19 20 - 29 30 - 39 40 - 49 50 - 59 60 - 69 70 - 79 80 – 89 90 - 100

Overall No real Demonstrates A poor A fair attempt A reasonable A good A very good
An excellent A first-class The work
attempt made. extremely attempt that that shows attempt that attempt that attempt you
attempt that attempt that submitted
poor shows little limitations in shows you
shows you have engaged shows you shows you would be of a
understanding understanding understanding have engaged have engaged with the task have engaged have engaged standard
of the volatility of the volatility of the volatility with the task with the task and with the task with the task valuable to an
of the of the of the and and demonstrated and and investment
company company company demonstrated demonstrated a good
demonstrated demonstrated manager. You
whose share whose share whose share sufficient the necessary understanding very good excellent have engaged
price is the price is the price is the understanding understanding of the
levels of levels of with the
underlying; of underlying; of underlying; of the company of the company understanding understanding theory and
derivatives derivatives derivatives whose share company whose share
of the of the literature in
theory; of theory; of theory; of price is the whose share price is the company company line with the
appropriate appropriate appropriate underlying; of price is the underlying; ofwhose share whose share assessment
trading trading trading derivative underlying; of derivative price is the price is the brief and the
strategies and strategies and strategies and theory; and an derivative theory; and anunderlying; of underlying; of result is an
their their their appropriate theory; and an appropriate derivative derivative exceptionally
outcomes outcomes outcomes options appropriate options theory; and an theory; and an well argued
based on the based on the based on the strategy; to beoptions strategy; but appropriate appropriate piece of work.
analysis analysis analysis able to pass. strategy; but you may not options options Your trading
undertaken. undertaken. undertaken. your have been
strategy. Your strategy. Your strategy is
Some of the presentation is consistently trading trading thoughtfully
Materials Materials materials descriptive analytical in
strategy is of a strategy is of a constructed,
presented may presented may Materials presented may rather than your high standard high standard presented and
have have presented may be superficial analytical. presentation. in its in its appropriately
significant omissions. be limited. or inaccurate presentation presentation evaluated.
omissions. or may contain Some of the Some of the and content. and content.
substantive materials materials Your financial Your financial
errors. presented may presented may products have products have
contain errors. contain minor been clearly been clearly
errors. designed and designed and
the potential the potential
outcomes outcomes
analysed. analysed.

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Assessment Brief – Level Five Undergraduate

Part 1b)

Trait 0-9 10 - 19 20 – 29 30 - 39 40 - 49 50 - 59 60 - 69 70 - 79 80 - 89 90 - 100

Overall Refer to the Demonstrates A poor A fair attempt A reasonable A good A very good An excellent A first class
The work
general extremely attempt that but one that attempt that attempt that attempt you attempt that attempt that
submitted
criteria poor shows little shows major shows you
shows you have engaged shows you shows you
would be of a
understanding understanding gaps in have engaged have engaged with the task have engaged have engaged
standard
of annualised of annualised knowledge or with the task with the task and with the task with the task
valuable to an
returns; the returns; the understanding and and demonstrated and and investment
risks that the risks that the of annualised demonstrated demonstrated a good demonstrated demonstrated
manager. You
derivative (as a derivative (as a returns; the sufficient the necessary understanding very good excellent
have engaged
financial financial risks that the understanding understanding of annualised levels of levels with of the
instrument) instrument) derivative (as a of annualised of annualised returns; the understanding understanding
theory and
represents represents financial returns; the
returns; the risks that the of annualised of annualised
literature in
and the and the instrument) risks that the risks that the derivative (as a returns; the returns; the
line with the
reasons that reasons that represents derivative (as a
derivative (as a financial risks that the risks that the
assessment
such risks such risks and the financial financial instrument) derivative (as a derivative (as a
brief and the
need to be need to be reasons that instrument) instrument) represents financial financial
result is an
articulated articulated such risks represents represents and the instrument) instrument)
exceptionally
and managed. and managed. need to be and the
and the reasons that represents represents
well argued
articulated reasons that
reasons that such risks and the and the
review of the
Materials Materials and managed. such risks
such risks need to be reasons that reasons that
risk/return
presented may presented may need to be need to be articulated such risks such suchrisks a
have have Materials articulated articulated and managed. need to be need to be
derivative
significant significant presented may and managed and managed. However, you articulated articulated
strategy may
omissions. omissions. be limited. However, your may not have and managed. and managed.
represent. It is
Some of the presentation is been thoughtfully
materials descriptive consistently Your analysis Your analysis constructed,
presented may rather than analytical in
of risk/return of risk/return presented and
be superficial analytical. your is of a high is of a high appropriately
or inaccurate presentation. standard in its standard in its evaluated.
or may contain Some of the presentation presentation
substantive materials Some of the and content. and content.
errors. presented may materials
contain errors. presented may
contain minor
errors.

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Assessment Brief – Level Five Undergraduate

Part c)

Trait 0-9 10-19 20-29 30 - 39 40 - 49 50 - 59 60 - 69 70 - 79 80 - 89 90 - 100

Overall Refer to the Demonstrates A poor A fair attempt A reasonable A good A very good An excellent A first
The classwork
general extremely attempt that but one that attempt that attempt that attempt you attempt that attempt that
submitted
criteria poor shows little shows major shows you
shows you have engaged shows you shows you
would be of a
knowledge knowledge gaps in have engaged have engaged with the task have engaged have engaged
standard
and/or and/or knowledge with the task with the task and with the task with the task
valuable to an
understanding understanding and/or and and demonstrated and and investment
of why a share of why a share understanding demonstrated demonstrated a good demonstrated demonstrated
manager. You
performed as performed as of why a share sufficient the necessary knowledge very good excellent
have engaged
it did over the it did over the performed as knowledge knowledge and/or levels of levelswith of the
period and period and it did over the and/or and/or understanding knowledge knowledge
theory and
whether other whether other period and understanding understanding of why a share and/or and/orliterature in
sector, market sector, market whether other of why a share of why a share performed as understanding understanding
line with the
or capital flow or capital flow sector, market performed as performed as it did over the of why a share of why a share
assessment
issues were issues were or capital flow it did over theit did over the period and performed as performed as
brief and the
influencing influencing issues were period and
period and whether other it did over the it did over the
result is an
factors. factors. influencing whether other whether other sector, market period and period and
exceptionally
factors. sector, market sector, market or capital flow whether other whether other
well argued
Materials Materials or capital flowor capital flow issues were sector, market sector, market
review of why
resented may presented may Materials issues were
issues were influencing or capital flow or capital flow
a share
have have presented may influencing influencing factors. issues were issues were
performed as
significant significant be limited. factors. factors. However, you influencing influencing
it did over the
omissions. omissions. However, your may not have factors. factors.
period and
Some of the presentation is been whether other
materials descriptive consistently Your analysis is Your analysis is sector, market
presented may rather than analytical in
of how the of how the or capital flow
be superficial analytical. your underlying has underlying has issues were
or inaccurate presentation. performed, performed, influencing
or may contain Some of the why, and the why, and the factors.
substantive materials Some of the impact on your impact on your It is
errors. presented may materials derivative derivative thoughtfully
contain errors. presented may strategy is of a strategy is of a constructed,
contain minor high standard. high standard. presented and
errors. appropriately
evaluated.
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Assessment Brief – Level Five Undergraduate

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