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Investment policy statement for individual investors : Mr. & Mrs. Grey
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| 1.34 MB | Adobe PDF |
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Esta Declaração de Política de Investimento (DPI) é um documento formal que estabelece uma estrutura de investimento e serve como mecanismo de comunicação entre o cliente e o consultor, garantindo a clareza, o alinhamento e a responsabilidade em todas as decisões de investimento. Foi desenvolvido para um casal suíço, o Sr. e a Sra. Grey, com um perfil de risco moderadamente conservador, que procuram investir uma herança de 500.000 francos suíços num horizonte de 15 anos, visando um retorno anual real de 5,17%. O objetivo do investimento é aumentar o portefólio para 1.064.331 francos suíços para pagar integralmente a hipoteca e acumular capital para a educação dos filhos e para a reforma antecipada discricionária. A filosofia de investimento segue uma abordagem passiva, consciente dos fatores e alinhada com o comportamento, enfatizando a disciplina a longo prazo, a diversificação global e a simplicidade de implementação através de um universo cuidadosamente selecionado de ETFs de baixo custo e fisicamente replicados. O portefólio reflete inclinações estruturais e baseadas em fatores decorrentes da triagem de ETFs e da otimização orientada por restrições. O portfólio final é construído utilizando a Otimização de Média-Variância e corresponde ao Portfólio de Tangência, oferecendo o maior rácio de Sharpe na fronteira eficiente, com um retorno real anual projetado de 5,94% e uma volatilidade anualizada de 7,8%. O risco é avaliado através do Valor em Risco (VaR), simulação de Monte Carlo e uma matriz de avaliação de risco estruturada para avaliar a exposição negativa e garantir o alinhamento com o perfil de risco do cliente.
This Investment Policy Statement (IPS) is a formal document that establishes a structured investment framework and serves as a communication mechanism between the client and advisor, ensuring clarity, alignment, and accountability in all investment decisions. It is developed for a Swiss couple, Mr. and Mrs. Grey, with a moderately conservative risk profile, who seek to invest a CHF 500,000 inheritance over a 15-year horizon, targeting a real annual return of 5.17%. The investment objective is to grow the portfolio to CHF 1,064,331 in order to fully repay their mortgage and accumulate capital for their child’s education and discretionary early retirement. The investment philosophy follows a passive, factor-aware, and behaviourally aligned approach, emphasizing long-term discipline, global diversification, and implementation simplicity through a carefully screened universe of low-cost, physically replicated ETFs. The portfolio reflects structural and factor-based tilts emerging from ETF screening and constraint-driven optimization. The final portfolio is constructed using Mean-Variance Optimization and corresponds to the Tangency Portfolio, offering the highest Sharpe ratio on the efficient frontier, with a projected real annual return of 5.94% and annualized volatility of 7.8%. Risk is assessed using Value at Risk (VaR), Monte Carlo simulation, and a structured risk assessment matrix to evaluate downside exposure and ensure alignment with the client's risk profile.
This Investment Policy Statement (IPS) is a formal document that establishes a structured investment framework and serves as a communication mechanism between the client and advisor, ensuring clarity, alignment, and accountability in all investment decisions. It is developed for a Swiss couple, Mr. and Mrs. Grey, with a moderately conservative risk profile, who seek to invest a CHF 500,000 inheritance over a 15-year horizon, targeting a real annual return of 5.17%. The investment objective is to grow the portfolio to CHF 1,064,331 in order to fully repay their mortgage and accumulate capital for their child’s education and discretionary early retirement. The investment philosophy follows a passive, factor-aware, and behaviourally aligned approach, emphasizing long-term discipline, global diversification, and implementation simplicity through a carefully screened universe of low-cost, physically replicated ETFs. The portfolio reflects structural and factor-based tilts emerging from ETF screening and constraint-driven optimization. The final portfolio is constructed using Mean-Variance Optimization and corresponds to the Tangency Portfolio, offering the highest Sharpe ratio on the efficient frontier, with a projected real annual return of 5.94% and annualized volatility of 7.8%. Risk is assessed using Value at Risk (VaR), Monte Carlo simulation, and a structured risk assessment matrix to evaluate downside exposure and ensure alignment with the client's risk profile.
Descrição
Trabalho Final de Mestrado, Science In Finance, ISEG, 2025.
Palavras-chave
IPS Individual Investor Multi-Asset Portfolio Asset Management Portfolio Optimization Factor Tilts ETF Strategy Behavioural Finance Mean Variance Theory Risk Analysis IPS Investidor Individual Portfólio Multiativos Gestão de ativos Otimização de Portfólio Inclinações do fator Estratégia ETF Finanças Comportamentais; Teoria da Média Variância Análise de Risco