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Investment policy statement - Campbell Family
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Resumo(s)
Este IPS é personalizado para o Sr. e Sra. Campbell, um casal americano a viver em
Portugal com o filho de três anos. Thomas gere a sua própria clínica de fisioterapia,
enquanto Emma é oftalmologista num hospital privado de renome. O casal acumulou
190,000 dólares em poupanças e têm como objetivo investir esses fundos de modo a
garantir que o filho possa decidir livremente o seu percurso académico no futuro.
Para alcançar o objetivo de atingir 558.482,72 dólares em termos reais num período
de 15 anos, o plano de investimento deve gerar uma taxa de retorno real anual de
9,10%. A preferência de Thomas e Emma é investir em bolsas de valores dos EUA,
em dólares. Além disso, desejam limitar os investimentos a empresas de grande e
mega capitalização, e não são consideradas estratégias de alavancagem ou de venda
a descoberto. A SAA deve seguir uma abordagem conservadora, com uma maior
proporção de obrigações em relação a ações. Portanto, o consultor decide atribuir
76,43% da sua carteira a títulos do tesouro/produtos do mercado monetário dos EUA
e alocar os restantes 23,57% a ações dos EUA.
Considerando características como segurança no emprego, requisitos de liquidez e
situação fiscal, juntamente com a idade relativamente jovem da família e os níveis de
aversão ao risco, a filosofia de investimento deste IPS é a de investimento em valor.
O consultor aplica rigorosos critérios na fase de seleção de títulos e, em seguida,
baseia-se na Teoria Moderna do Portfolio (TMP) para determinar o retorno esperado
e a volatilidade da carteira ideal. A carteira é composta por 15 ações e o seu retorno
esperado é exatamente de 9,10%, com uma volatilidade de 1,36% e um índice de
Sharpe de 3,56.
Várias estratégias de mitigação de risco são implementadas ao longo do IPS,
nomeadamente a aplicação de Roy’s Safety-First criterion e do VaR histórico e VaR
Monte Carlo.
The Investment Policy Statement (IPS) is tailored for Mr. and Mrs. Campbell, an American couple living in Portugal with a three-year-old son. Thomas runs his own physiotherapy clinic while Emma practices ophthalmology at a renowned private hospital. They have accumulated USD 190,000 in savings and aim to invest these funds to ensure their son can freely choose an educational program at his discretion in the future. To accomplish their objective of achieving USD 558.482,72 in real terms within a 15- year timeframe, the investment plan must generate an annual real rate of return of 9.10%. Thomas and Emma’s preference is to invest exclusively in US Stock Exchanges using USD. Moreover, they want to limit their investments to large and mega-cap companies, and no leverage nor short-selling strategies are considered. The Strategic Asset Allocation (SAA) should follow a conservative approach with a larger proportion of bonds relative to equity, therefore the advisor decides to assign 76.43% of their portfolio to U.S. T-Notes/U.S. money market securities and allocate the remaining 23.57% to U.S. equities. Considering financial characteristics such as job security, liquidity requirements, and tax status, along with the family’s relatively youthful age and risk-aversion levels, the investment philosophy followed in this IPS is a value investing philosophy. The advisor implements strict screens for the security selection phase and then relies on Modern Portfolio Theory (MPT) to determine the expected return and volatility of the optimal portfolio. The portfolio is constituted of 15 stocks and its expected return is exactly 9.10% with a volatility of 1.36% and a Sharpe ratio of 3.56. Several risk mitigation strategies are implemented throughout the IPS, namely the application of Roy’s Safety-First criterion and the application of Historical VaR and Monte Carlo VaR.
The Investment Policy Statement (IPS) is tailored for Mr. and Mrs. Campbell, an American couple living in Portugal with a three-year-old son. Thomas runs his own physiotherapy clinic while Emma practices ophthalmology at a renowned private hospital. They have accumulated USD 190,000 in savings and aim to invest these funds to ensure their son can freely choose an educational program at his discretion in the future. To accomplish their objective of achieving USD 558.482,72 in real terms within a 15- year timeframe, the investment plan must generate an annual real rate of return of 9.10%. Thomas and Emma’s preference is to invest exclusively in US Stock Exchanges using USD. Moreover, they want to limit their investments to large and mega-cap companies, and no leverage nor short-selling strategies are considered. The Strategic Asset Allocation (SAA) should follow a conservative approach with a larger proportion of bonds relative to equity, therefore the advisor decides to assign 76.43% of their portfolio to U.S. T-Notes/U.S. money market securities and allocate the remaining 23.57% to U.S. equities. Considering financial characteristics such as job security, liquidity requirements, and tax status, along with the family’s relatively youthful age and risk-aversion levels, the investment philosophy followed in this IPS is a value investing philosophy. The advisor implements strict screens for the security selection phase and then relies on Modern Portfolio Theory (MPT) to determine the expected return and volatility of the optimal portfolio. The portfolio is constituted of 15 stocks and its expected return is exactly 9.10% with a volatility of 1.36% and a Sharpe ratio of 3.56. Several risk mitigation strategies are implemented throughout the IPS, namely the application of Roy’s Safety-First criterion and the application of Historical VaR and Monte Carlo VaR.
Descrição
Mestrado Bolonha em Finanças
Palavras-chave
Gestão de Ativos Teoria da Carteira IPS SAA Investimento em Valor Seleção de Títulos TMP Roy’s Safety-First criterion Índice de Sharpe VaR Asset Management Portfolio Theory Value Investing Security Selection MPT Roy’s Safety-First Criterion Sharpe Ratio
Contexto Educativo
Citação
Luís, Rodrigo José Fragoso (2023). "Investment policy statement - Campbell Family". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão