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Investment Policy Statement : Francisco Family
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| 1.36 MB | Adobe PDF |
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Esta Declaração de Política de Investimentos descreve o plano financeiro estratégico desenvolvido para a família Francisco, com o objetivo de aumentar um investimento inicial de €615,000 ao longo de um horizonte de 10 anos. O principal objetivo financeiro consiste em acumular um montante líquido de €1,420,000. Quando ajustado a uma taxa de inflação anual esperada de 2.3% e a uma taxa de imposto sobre mais valias de 28%, o valor bruto ascende a €2,236,614, o que implica uma taxa mínima de retorno anual de 13.78%. Este montante destina-se a financiar a educação universitária dos filhos, à construção de duas casas geminadas, a garantir uma reforma tranquila e à compra do carro de sonho do casal. O portfólio segue uma filosofia de crescimento de qualidade e é composto exclusivamente por Fundos de Investimento Cotados (ETFs), excluindo alavancagem, vendas a descoberto e sem restrições imediatas de liquidez. A alocação estratégica de ativos baseia-se numa estrutura central de 50/30/20, atribuindo 50% a ações, 30% a obrigações e 20% a investimentos alternativos, com restrições adicionais aplicadas entre classes de ativos e ativos individuais. A seleção de ETFs foi realizada através de um processo rigoroso de triagem e otimizada com base na Teoria de Média-Variância, com o objetivo de maximizar o índice de Sharpe. O portfólio final apresenta um retorno anual esperado de 15.04%, uma volatilidade anual de 10.51% e um índice de Sharpe de 1.18. O risco foi avaliado através de múltiplos modelos de Valor em Risco (VaR), nomeadamente os modelos Histórico, Paramétrico e de Monte Carlo, juntamente com as respetivas extensões de Valor em Risco Condicional (CVaR). Por fim, foram identificados e analisados sete riscos estruturais chave, que sustentaram a construção de uma matriz de risco, avaliando a sua probabilidade e impacto potencial no portfólio selecionado.
This Investment Policy Statement outlines the strategic financial plan developed for the Francisco family, aiming to grow an initial investment of €615,000 over a 10-year horizon. The primary financial objective is to accumulate a liquid amount of €1,420,000. When adjusted for an expected annual inflation rate of 2.3% and a 28% capital gains tax, the gross target value rises to €2,236,614, which implies a minimum required annual return of 13.78%. This amount is intended to fund their children’s university education, build two semi-detached homes, secure a comfortable retirement, and finance a purchase of their dream car. The portfolio follows a Quality Growth philosophy and is composed exclusively with Exchange Traded Funds, excluding leverage and short-selling and with no immediate liquidity constraints. The strategic asset allocation is based on a central 50/30/20 framework, assigning 50% to equities, 30% to fixed income, and 20% to alternative investments, with additional constraints applied across asset classes and individual securities. Security selection was carried out through a rigorous screening and optimized using Mean-Variance Theory to maximize the Sharpe Ratio. The final portfolio delivers an expected annual return of 15.04%, an annual volatility of 10.51%, and a Sharpe Ratio of 1.18. Risk was evaluated through multiple Value at Risk models, namely Historical, Parametric and Monte Carlo along with their respective Conditional Value at Risk. Finally, seven key structural risks were identified and assessed, supporting the construction of a risk matrix that evaluates their likelihood and potential impact on the selected portfolio.
This Investment Policy Statement outlines the strategic financial plan developed for the Francisco family, aiming to grow an initial investment of €615,000 over a 10-year horizon. The primary financial objective is to accumulate a liquid amount of €1,420,000. When adjusted for an expected annual inflation rate of 2.3% and a 28% capital gains tax, the gross target value rises to €2,236,614, which implies a minimum required annual return of 13.78%. This amount is intended to fund their children’s university education, build two semi-detached homes, secure a comfortable retirement, and finance a purchase of their dream car. The portfolio follows a Quality Growth philosophy and is composed exclusively with Exchange Traded Funds, excluding leverage and short-selling and with no immediate liquidity constraints. The strategic asset allocation is based on a central 50/30/20 framework, assigning 50% to equities, 30% to fixed income, and 20% to alternative investments, with additional constraints applied across asset classes and individual securities. Security selection was carried out through a rigorous screening and optimized using Mean-Variance Theory to maximize the Sharpe Ratio. The final portfolio delivers an expected annual return of 15.04%, an annual volatility of 10.51%, and a Sharpe Ratio of 1.18. Risk was evaluated through multiple Value at Risk models, namely Historical, Parametric and Monte Carlo along with their respective Conditional Value at Risk. Finally, seven key structural risks were identified and assessed, supporting the construction of a risk matrix that evaluates their likelihood and potential impact on the selected portfolio.
Descrição
Trabalho Final de Mestrado, Finance, ISEG, 2025.
Palavras-chave
Asset Management Portfolio Theory IPS Individual Investors Gestão de Ativos Teoria de Carteiras IPS Investidores Individuais