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Investment policy statement : Rachel Jones
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 3.22 MB | Adobe PDF |
Orientador(es)
Resumo(s)
Esta Declaração de Política de Investimento (DPI) descreve a estratégia de investimento para Rachel Jones, uma investidora fictícia sediada nos EUA que pretende fazer crescer o seu capital inicial de $500,000 para um objetivo final de $1,125,000 ($1,364,735.39 ajustado para a inflação) ao longo de um horizonte temporal de 10 anos. Este objetivo requer um retorno anual mínimo de 10.56%, já tendo em conta a inflação. A carteira é construída com base numa filosofia de investimento passivo em valor e consiste inteiramente em Exchange Traded Products (ETPs). Rachel prefere ETPs de acumulação denominados em dólares americanos, com mais de 80% de exposição ao mercado dos EUA e 10% alocado a ativos alternativos. Ela evita ativos sem risco e estratégias complexas como a venda a descoberto. Utilizando a Teoria Média-Variância, a carteira final foi alcançada maximizando o Índice de Sharpe no Python e resulta num retorno anual esperado de 13.02% com uma volatilidade de 11.07%. Para a análise do risco, foram calculados VaR paramétrico, VaR histórico, VaR Monte Carlo e Valor Condicional em Risco (CVaR) para avaliar o risco da perda. A carteira será monitorizada regularmente para assegurar o alinhamento contínuo com os objetivos de investimento de Rachel. Revisões periódicas permitirão ajustes em resposta a desvios significativos do desempenho esperado, mantendo a consistência com os seus objeticos financeiros de longo prazo.
This Investment Policy Statement (IPS) outlines the investment strategy for Rachel Jones, a fictional U.S. based investor aiming to grow her initial capital of $500,000 to a final target of $1,125,000 ($1,364,735.39 adjusted for inflation) over a 10-year time horizon. This objective requires a minimum annualized return of 10.56%, accounting for inflation. The portfolio is built around a passive value investing philosophy and consists entirely of Exchange Traded Products (ETPs). Rachel prefers U.S. dollar-denominated accumulation ETPs, with over 80% exposure to the U.S. market and 10% allocated to alternative assets. She avoids risk-free assets and complex strategies like short selling. Using Mean-Variance Theory, the final portfolio was achieved by maximizing the Sharpe Ratio in Python and results in an expected annual return of 13.02% with a volatility of 11.07%. For risk analysis, parametric VaR, historical VaR, Monte Carlo VaR and Conditional Value at Risk (CVaR) were computed to assess downside risk. The portfolio will be monitored regularly to ensure continued alignment with Rachel’s investment objectives. Periodic reviews will allow for adjustments in response to significant deviations from expected performance, maintaining consistency with her long-term financial goals.
This Investment Policy Statement (IPS) outlines the investment strategy for Rachel Jones, a fictional U.S. based investor aiming to grow her initial capital of $500,000 to a final target of $1,125,000 ($1,364,735.39 adjusted for inflation) over a 10-year time horizon. This objective requires a minimum annualized return of 10.56%, accounting for inflation. The portfolio is built around a passive value investing philosophy and consists entirely of Exchange Traded Products (ETPs). Rachel prefers U.S. dollar-denominated accumulation ETPs, with over 80% exposure to the U.S. market and 10% allocated to alternative assets. She avoids risk-free assets and complex strategies like short selling. Using Mean-Variance Theory, the final portfolio was achieved by maximizing the Sharpe Ratio in Python and results in an expected annual return of 13.02% with a volatility of 11.07%. For risk analysis, parametric VaR, historical VaR, Monte Carlo VaR and Conditional Value at Risk (CVaR) were computed to assess downside risk. The portfolio will be monitored regularly to ensure continued alignment with Rachel’s investment objectives. Periodic reviews will allow for adjustments in response to significant deviations from expected performance, maintaining consistency with her long-term financial goals.
Descrição
Trabalho Final de Mestrado, Science In Finance, ISEG, 2025.
Palavras-chave
Asset Management IPS Mean Variance Theory Value Strategy Risk Management Gestão de Ativos DPI Teoria Média-Variância Estratégia de Valor Gestão de Risco