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Investment policy statement : Teixeira family
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| 1.4 MB | Adobe PDF |
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Resumo(s)
O Investment Policy Statement (IPS) é uma ferramenta de comunicação chave entre o consultor e a família Oliveira, que delineia a estratégia de investimento, os objetivos e os deveres do consultor, incluindo atualizações de progresso, gestão de risco e conformidade com os padrões do CFA. A família demonstra uma tolerância ao risco moderada, com o objetivo principal de gerar rendimentos suficientes para melhorar o seu estilo de vida na reforma, dado que possuem outras poupanças para apoiar as suas necessidades financeiras. Impõem restrições específicas à estratégia de investimento, proibindo vendas a descoberto, alavancagem e investimentos em criptomoedas. Adicionalmente, determinam uma perda máxima admissível de 10% em qualquer ano. O objetivo do investimento é crescer o capital inicial de €300.000 para €500.000 ao longo de um período de 10 anos. Considerando uma taxa de inflação anual de 2% e uma taxa de imposto de mais-valias de 28%, o valor alvo final é €729.857,24. Para atingir este objetivo, é necessário um retorno anualizado mínimo de 9,30%. A filosofia de investimento é centrada numa Estratégia de Investimento em Índices, utilizando Exchange-Traded Funds (ETFs) para construir o portfólio, com um forte foco nos princípios do growth investing. A Alocação Estratégica de Ativos foi determinada utilizando a Teoria Moderna de Portfólios (MPT) de Markowitz em conjunto com o Excel Solver para maximizar o Sharpe ratio. Esta abordagem resultou num portfólio com um retorno anualizado médio de 10,30% e um desvio padrão anualizado médio de 8,53%. Para a análise de risco, foram aplicados vários métodos de Value-at-Risk (VaR) e foi construída uma matriz de risco abrangente para avaliar os riscos cíclicos de longo prazo.
The Investment Policy Statement (IPS) is a key communication tool between the advisor and the Oliveira family, outlining the investment strategy, objectives, and the advisor’s duties, including progress updates, risk management, and compliance with CFA standards. The family demonstrates a moderate risk tolerance, with the primary goal of generating sufficient returns to enhance their retirement lifestyle, as they have other savings to support their financial needs. They impose specific constraints on the investment strategy, disallowing short selling, leverage, and cryptocurrency investments. Additionally, they mandate a maximum allowable loss of 10% in any given year. The investment objective is to grow the initial capital of €300,000 to €500,000 over a 10-year period. When accounting for a 2% annual inflation rate and a 28% capital gains tax, the final target value is €729,857.24. Achieving this goal requires a minimum annualized return of 9.30%. The investment philosophy is centered on an Index Investing Strategy, utilizing Exchange-Traded Funds (ETFs) to build the portfolio, with a strong emphasis on growth investing principles. The Strategic Asset Allocation was determined using Markowitz’s Modern Portfolio Theory (MPT) in conjunction with Excel Solver to maximize the Sharpe ratio. This approach resulted in a portfolio with an average annualized return of 10.30% and an average annualized standard deviation of 8.53%. For the risk analysis, several Value-at-Risk (VaR) methods were employed, and a comprehensive risk matrix was constructed to assess long-term cyclical risks.
The Investment Policy Statement (IPS) is a key communication tool between the advisor and the Oliveira family, outlining the investment strategy, objectives, and the advisor’s duties, including progress updates, risk management, and compliance with CFA standards. The family demonstrates a moderate risk tolerance, with the primary goal of generating sufficient returns to enhance their retirement lifestyle, as they have other savings to support their financial needs. They impose specific constraints on the investment strategy, disallowing short selling, leverage, and cryptocurrency investments. Additionally, they mandate a maximum allowable loss of 10% in any given year. The investment objective is to grow the initial capital of €300,000 to €500,000 over a 10-year period. When accounting for a 2% annual inflation rate and a 28% capital gains tax, the final target value is €729,857.24. Achieving this goal requires a minimum annualized return of 9.30%. The investment philosophy is centered on an Index Investing Strategy, utilizing Exchange-Traded Funds (ETFs) to build the portfolio, with a strong emphasis on growth investing principles. The Strategic Asset Allocation was determined using Markowitz’s Modern Portfolio Theory (MPT) in conjunction with Excel Solver to maximize the Sharpe ratio. This approach resulted in a portfolio with an average annualized return of 10.30% and an average annualized standard deviation of 8.53%. For the risk analysis, several Value-at-Risk (VaR) methods were employed, and a comprehensive risk matrix was constructed to assess long-term cyclical risks.
Descrição
Trabalho Final de Mestrado, Science in Finance, ISEG, 2025.
Palavras-chave
Gestão de Ativos Teoria moderna de portfolios IPS Investidores Individuais ETF Risco Moderado Investimento em Índices Valor em Risco (VaR) Índice de Sharpe Filosofia de Investimento CFA Asset Management Modern Portfolio Theory IPS Individual Investors ETF Moderate Risk Index Investing Value-at-Risk Sharpe-Ratio Investment Philosophy CFA