Introduction
This assignment aims to employ a dynamic CPPI strategy and discuss its effectiveness in managing an Index Portfolio. After defining strategic criteria, we construct an optimal portfolio based on the Mean-Variance theory. We then manage it for the defined one-year period and apply classical (e.g. Sharpe Ratio, Treynor Ratio) as well as CPPI-specific (e.g. Omega Ratio, T2, M2) performance measures to create a consolidated portfolio view. Finally, using data form the Wharton Database we employ a multifactor analysis and discuss the performance of the managed Index Portfolio and its risk characteristics.
2. Investment Policy and Strategic Criteria
The investment objective is to achieve a combination of capital growth and income through index investment. The portfolio will be initially optimised using data focusing on the period 31/12/2002-31/12/2012 and it will be managed based on the quantitative principles of a dynamic Constant Proportion Portfolio Insurance (CPPI) strategy for the fiscal year 2013. We consider that a Medium Risk portfolio is suitable to achieve capital growth and income and for this reason we have chosen a risk aversion parameter of 6 and a CPPI floor of 90.000 to mitigate the potential for capital loss. The personal constraints include: the Budget constraint, the Short-Sale constraint and the investment horizon. We will be investing £100,000.00 into eight UK FTSE stock industry indexes and the Risk-Free asset. Typically, the defined investment horizon based on the purposes of this project will be 12 months. However, the flexibility, effectiveness and protection from downward risk of the selected strategy can allow us to set an 18-24 months investment period.
3. Statistical Analysis
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...al portfolio based on risk preferences, personal constraints and investment objectives following the Mean-Variance Theory. We have applied a CPPI strategy to allocate assets dynamically over-time and highlighted its superiority compared to the Market and Benchmark Portfolios. We have used both classical (e.g. Sharpe Ratio) and advanced performance measures (e.g. T2, Omega Ratio). We have identified that much of the portfolio’s performance can be attributed to the Selection Effect. The significant MoM indicates the presence of Momentum Effect in the portfolio’s returns. We have highlighted the contribution of Omega Ratio in modern portfolio management because of its ability to capture Higher Moments. Overall, we conclude that insurance strategies, such as CPPI, can be quite useful when investors seek insurance against rapid falls in the market and crash in equities.
... 3) performance rights; 4) public display rights; and, 5) the right to prepare derivative works. It is important that Arundel understand how this may impact long term profitability of their investment, and any criteria required as part of the transaction should be incorporated into the proposal contract.
Clorox Company (Clorox) is a company with publicly-traded shares and it has operations in four different sectors; Household, Cleaning, International and Lifestyle. Clorox’s main products include Healthlink, Clorox Healthcare, Green Works and Pine-Sol products among others. In this research paper, a strategic assessment and organizational analysis of Clorox Company is carried out. The organizational analysis covers financial position, industry and competitors, organization situation and strategic recommendations from a managerial perspective.
The Accounting Principles II portfolio project helped me become familiar with accounting practices used to complete routine financial tasks. This course helped me learn how to complete routine business transactions, discover and explain financial issues in companies and create and manage ledgers for employers. The Accounting Principles II portfolio project taught me how to manage companies’ journals, income statements, cash flow statements and closing statements in ledgers. The Bryant Stratton Online college program outcomes helped me learn about merchandising laws, rules and approaches used in corporations. These outcomes helped me learn and distinguish practices used to create, track and manage product inventories when I am completing tasks
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Mutual funds were long considered one of the best available easy-to-invest instruments that minimized risk and maximized returns. In the 80’s and 90’s, the US financial markets made trillions of dollars with the mutual fund structure. The funds, especially the most actively managed ones, were expected to outperform the market index in the long run. However, with expense ratios ranging as high as 1.5% to 2.5%, the funds underperformed the index by the amount of their expense ratio.
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Choosing two profitable stocks amongst a myriad of potential alternatives is a daunting task to say the least. In order to narrow my choices from thousands to two, I examined several aspects of companies I was interested in. Among these were, company overview, alpha and beta ratings, price ratios, price charts, and company headlines. After evaluating this information, I chose Intuit INC (INTU) listed on the NASDAQ and Johnson and Johnson (JNJ) listed on the NYSE.
Ross, S.A., Westerfield, R.W., Jaffe, J. and Jordan, B.D., 2008. Modern Financial Management: International Student Edition. 8th Edition. New York: McGraw-Hill Companies.
This assignment is concerned with your understanding of the key issues relative to portfolio analysis and investment. In completing this assignment you are to limit your scope to the US stock markets only. Use the Cybrary, the Internet, and course resources to write a 2-page essay which you will use with new clients of your financial planning business which addresses the following issues and/or practices:
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