• 20年专注海外留学生essay代写

  • 50000+留学生essay代写首选品牌

  • 正规教育机构教你怎么写essay范文

当前位置: essay代写网 > ESSAY >

时间:2021-10-06 00:03 来源: Essay代写

摘要:一般情况下,投资组合表现非常出色,与基准相比。这主要是因为积极的投资组合管理方式。......

1. Introduction 介绍

这篇论文的目的是构建和评估一个投资组合,根据我们的客户的要求。用于股票选择的数据是5年每周返回到26一月2015从彭博社和评估处理的时间为26至一月和17,四月2015。本文从投资组合结构入手,运用相关的方法。然后,它描述了调整和评估的投资组合的性能。最后,论述了财务理论与投资组合结果的关系。The aim of this essay is to construct and evaluate a portfolio based on our client’s requirement. The data used for stock selection is 5-year weekly return to 26 January 2015 from Bloomberg and evaluation processed for period between 26 January and 17 April 2015. This essay starts with portfolio construction by using relevant methodologies. And then, it describes adjustments and evaluates the portfolio performance. Finally, it discusses the relationship between financial theories and portfolio results.                     

2. Portfolio Construction 投资组合管理与资产配置

2.1. Objective description  客观描述

构建的投资组合是基于100万美元的负责人。客户的主要目标是实现低风险厌恶情绪的高回报。施加在投资的限制包括只对股权投资限制,流动性的要求,很长一段时间的视野。因此,投资组合是由全球成长股形成和部分基金将在无风险资产进行投资。此外,在全球范围选择股票可以最大限度地减少客户端绑定的分散风险。为了具有可比性,投资组合的目标将是超越这是由相同的权重标准普尔全球1200指数和美国3个月期国库券构成的基准。

The constructed portfolio is based on a principal of USD 100 million. The main objective of the client is to attain a high return with low risk aversion. Constraints imposed on the investment include limitation on equity investment only, requirement of liquidity and a long time horizon. Therefore, portfolio is formed by global growth stocks and part of the fund will be invested in the risk free asset. Additionally, selecting stocks globally can minimize the diversifiable risk bound by the client. To be comparable, the portfolio will aim to outperform the benchmark which is constituted by equal weight of S&P Global 1200 index and the US 3-month Treasury Bills. 

2.2. Equities selection 
The methodology applied to select equities is top-down approach. Precisely, this approach requires an investigation in the global and industrial condition before choosing stocks from markets. Countries with high GDP growth normally offer more growing stocks. Therefore, two emerging markets, China and India, with relatively high GDP growth have been added into portfolio apart from the major markets included in the S&P 1200 index. At sector level, the chosen sectors generally prospect a better sales and profit growth than the others. The final stage is to point stocks from countries and sectors that have been identified. Only those stocks attained higher P/E ratio and EPS growth than its competitors will be finally accepted. 

2.3. Asset allocation 
The fund has been distributed at two levels, country and equity. At country level, the methodology applied is the black-Litterman model (Table 1). According to the capitalisation of the nine markets, market weights and the implied market returns can be computed. Additionally, to incorporate the growth rate of each country, the forecasted market return has been calculated by multiplying the current market return for the GDP growth multiplier. Then analysis opinions were added to those markets with significant difference between forecasted return and implied return. Lastly, the actively managed portfolio weights were calculated by solver. At stock level, the fund is allocated to each stock based on the Markowitz efficiency theory. The weight is determined by maximizing the Sharpe ratio. Finally, to satisfy with the investor’s requirement on liquidation, the 3-month US T-Bill was incorporated. Depending on Campbell and Viceira (2001), the percentage of liquid asset can be determined by maximising the utility upon a known risk aversion level. Due to the outstanding Sharpe ratio of the portfolio, the client with a relatively low risk aversion will invest over 100% in the portfolio and short sell the riskless asset. But to fit the liquidity requirement, it has been decided to invest 10% into the T-bill.         

3. Performance adjustment  性能调整

The performance of the portfolio has been assessed for the period from 26 January to 12 February 2015. As the result showed, the portfolio successfully outperformed the benchmark. Specifically, the return of portfolio has more than doubled than benchmark and both Sharpe ratio and Treynor ratio of portfolio are higher (Table 2). However, several poorly performed stocks came into light during the assessment. For instance, the health care company in America called Celgene incurred a sharp drop during the evaluating period. Based on Bloomberg, the current market return in Asia decreased slightly during that time which would adjust down the investor’s opinion. In contrast, the Amerisourcebergen in USA presented a strong upward trend. The Aeon in Japan also indicated a growth potential due to its recent expansion plan to satisfy the increasing global demand (Aeon, 2015). Consequently, the weights of those stocks were adjusted manually. Specifically, Celgene was reduced by 1%; Galaxy Entertainment was reduced by 5%; Aeonn and Amerisourcebergen were increased by 1% and 5% respectively.            

4. Performance evaluation and attribution绩效评价与归因 

4. 1 Performance evaluation 
After adjusting the weights of stocks, the new portfolio has achieved an average daily return of 0.2118% compared to 0.1920% of the unadjusted portfolio and 0.0392% of the benchmark, during our evaluation period from 26th January to 17th April 2015. Portfolio daily returns have outperformed the benchmark most of the time (see Figure1).  Taking into account the currency surprise risk as we diversify our investment in 9 countries, we have received a total periodic return of 0.470%, among which 0.487% is from price change of stocks (Table 3.1-4.2). The foreign exchange factor in fact deteriorated our performance by -0.018%, which indicates if investors not constrained by investing in derivatives, we can further enhance the performance by hedging.  Additionally, regarding total risk, our adjusted portfolio has generated a Sharpe ratio of 0.297 compared to 0.255 of former portfolio and 0.046 of benchmark. If only considering systematic risk, the 0.0044 Treynor ratio of our new portfolio still outperform in comparison to 0.0040 (old portfolio) and 0.0003 (benchmark). Under Jensen’s alpha evaluation, active portfolio management of the new portfolio has increased the abnormal return from 0.0015 to 0.0017 and the benchmark alpha approximates zero. The M square of 0.0018 demonstrates that we have improved the additional return on top of the market premium by 0.03%. In addition, the excess return to the benchmark over the portfolio’s diversifiable risk (i.e. the Information Ratio) has grown by 9.68% from 0.4225 to 0.5193. Lastly,diving the sum of all positive excess returns to benchmark by the absolute value of those negative ones, the omega rise from 1.758 to 1.963. Our portfolio has been improved and outperformed the benchmark in terms of all evaluation methods (detailed data see Table 5.1-5.2). 

4.2 Performance attribution 
The superior performance of our adjusted portfolio demonstrated above results from our active portfolio management, of which we break down to ‘Asset Allocation’, ‘stock Selection’, ‘Interaction’ effects utilising Brinson and Fachler’s (1985) techniques. With consideration to currency exposure, we now further incorporate the ‘Currency Management’ factor as proposed by Ankrim and Hensel (1994).  Asset allocation procedure add value by under-weighting cash and over-weighting equities, and both of the old and adjusted portfolio has contributed a return of 0.01569% (8% of performance as asset weighing unchanged) .  As we have applied heavier weights on superior stocks in better performing industries after adjustment, stock selection procedure has generated a return of 0.09092% compared to 0.08102% of the former portfolio. The value added accounts for the largest portion, 46%, of overall performance.  37% of average daily return (0.07273%) has been generated from the interaction effect from the above two procedures. For currency management, we have employed the return from foreign exchange (-0.018%) since it is almost impossible to capture all currency movements in the market and unfair to compare such broad data with our portfolio. In
total, the adjusted active management has improved the value added from 0.143% to 0.161% (all data included in Table6.1-6.2).                    

5. Relation between results and financial theories 结果和金融理论的关系

According to the performance attribution, our portfolio have outperformed the benchmark resulting from superior asset allocation and stock selection and currency management. We will discuss these procedures with corresponding financial theories. 

5.1 Theories on stocks selection 
Our portfolio is based on the active management style, which relies on the premise that mispricing exist at any point in time. That is to say, the market is assumed to be weak-form or semi-strong form efficiency (Ball,1995). Therefore, our portfolio is constructed on the basis of looking for these mispriced securities. Most of active return comes from stock selection. Initially, we have employed Black-litterman model to determine the weighting for each country in portfolio construction. By incorporating our opinions (significant difference between forecasted return and implied return in each market) into the market-based optimal model, heavier weighting will put on the high growth market (Black and Litterman,1991). As a consequence, more active return will be acquired because of realization of analyst’s opinions. In the subsequent stock selection, we use Markowitz efficient frontier to maximize the sharp ratio of our portfolio, which tries to maximize expected return within certain degree of portfolio risk(Edwin and Martin,2011). In this way, it also contributes to the better performance of portfolio.       

本文标签: 投资组合管理资产配置Portfolio Ma

[essay课业辅导]投资组合管理和资产配置essay怎么写?https://www.0592w.com/ESSAY/15865.html

essay辅导替代essay代写-正规代写机构教你怎么写essays范文-Essay写作格式网官方推荐

99.99%的用户同时也查看了:

[宁波诺丁汉大学帮改ess...... 2021-10-05

本文是essay写作指导,主要内容是解释什么是Persuasive Essay,以及如何制定一篇Persuasive Essa Outline。......

标签:Persuasive E essay写作指导 留学作 

[essay要写自己的名字吗]...... 2021-10-04

本文是留学生Marketing Essay范文,主要内容是以Bharati Airtel作为研究对象,对其营销管理进行研究分析。......

标签:Marketing Es 代写essay 营销管理 

[1000字essay模板]发挥essay写...... 2021-10-04

本文是留学生essay写作指导,主要是针对essay写作中关于作业观点的说服力的问题,总结出的准则供参考。......

标签:essay写作 留学生作业 说服力 

[kcl艺术管理essay]在写作...... 2021-10-04

通常我们都会会忽视标点符号的正确使用,以下是我们网站常年累积下来对标点符号使用的讲解。......

标签:写作Essay 标点符号 英文essay 

[美国高中申请essay范文]...... 2021-10-04

本文是留学生essay范文,主要内容是围绕公会的产生历史,以及公会在企业中所起到的作用等问题进行讨论。......

标签:代写essay 公会 雇主 

[ap艺术史考试essay]申请知...... 2021-10-04

在美国留学申请中,Essay是美国留学文书中的重要一项。出国留学网为各位打算申请美国名校MBA的同学整理了美国十大......

标签:申请MBA Essay 美国MBA Essay MBA Es 

[国外留学生essay撰写]英国...... 2021-10-04

管理会计师是为了满足管理人员和企业中其他人员的信息需求而设置的,这个职位的职责是帮助管理人员做出最佳决......

标签:管理会计师 会计师 

[obesity essay]MBA Essay:文化和...... 2021-10-04

本文是留学生MBA Essay范文,主要内容是围绕文化对企业的影响,以及研究丰田的企业文化以及文化管理。......

标签:MBA Essay 文化 丰田 

[如何写好英文essay]美国留...... 2021-10-04

要如何写出足够好的美国申请essay呢?出国留学网来教大家怎么写吧。......

标签:美国MBA Essay MBA Essay 留学MBA Es 

[随笔essay怎么写]十九和二...... 2021-10-03

本文是留学生mba essay范文,主要内容是讲述全球化的具体概念,已经对十九和二十世纪的全球化进行对比,并且分析......

标签:全球化 mba essay范文 

[英国essay应该怎么写]美国...... 2021-10-03

本文是美国留学生essay代写范文,主要内容是强调中小企业在当今世界经济做所起到的重要作用,并且讲述影响小企业......

标签:美国essay代写 小企业 成功与失败 

[essay文中引用网络内容]澳...... 2021-10-03

本文是澳洲essay代写范文,主要内容是研究金融自由化对经济增长的影响,总结出每一个金融部门的自由化会对经济增......

标签:澳洲essay代写 新兴市场 金融自由化 

[essay-grading]英国essay范文:...... 2021-10-03

本文是英国essay范文,主要内容是研究英国第五大行业-酒店业的发展状况,并且提出改行业如何面对当今的世界经济......

标签:酒店业 英国essay范文 代写essay 

[申请美国硕士怎样写ess...... 2021-10-03

本文是英国留学生essay范文,主要是介绍可持续发展的概念和理论,并且以玛莎百货作为对象,讲述其可持续发展战略......

标签:英国essay 代写essay 可持续发展 

[如何提高essay写作水平]美...... 2021-10-03

美国本科课程essay:图片是ford的广告,然后是介绍了一下这辆车进行研究。......

标签:美国本科essay 汽车 Denotative a 

[京都大学aao要交essay]MBA...... 2021-10-03

本文是留学生MBA essay范文,主要内容是讲述目前全球商业环境下,中小企业所扮演的角色的重要性,以及所起到的作......

标签:MBA essay 代写essay 中小企业 

[essay 加拿大 医学]英国e...... 2021-10-01

英国essay格式范文参考——英国essay 结构1.0 Introduction Introduction to the report, indicate what you will be talking about and in what o......

标签:英国essay 写作格式 

[如何让essay更加学术性]详...... 2021-10-01

美国大学网申系统的使用技巧有哪些?从形式上看,美国大学网上申请其实就是一种在网上通过填写表格来申请的方法......

标签:美国大学 网申系统 Essay题目案例 

[莫纳什教育学essay会挂吗...... 2021-10-01

无疑,essay写作这项劳动对于大多数留学生来说都是一个挑战!这要求学识、融通等更高层次的水平,下面列举一篇国......

标签:国外essay写作 

[cfa三级试题essay]College E...... 2021-10-01

本文是留学生essay写作指导,主要内容是针对College Essay是什么,包括College Essay怎么写进行详细讲解,供参考。......

标签:College Essa Essay怎么写 留学作业 

[essay留学生代写]MBA essay范...... 2021-10-01

本文是留学生MBA essay范文,主要内容是讲述冰岛经济崩溃的主要原因和影响,是一篇完整的MBA作业,供参考。......

标签:MBA essay 经济崩溃 essay范文 

[华盛顿大学sat essay]英国...... 2021-10-01

本文是英国留学生essay范文,主要内容是研究全球各国的自由经济指数,以及国家繁荣与自由经济之间的关系。......

标签:英国essay代写 Economic fre 经济自 

[如何写essay作业]代写ess...... 2021-10-01

本文是留学生essay代写范文,主要讲述国际商务税收的历史背景包括历史改革等相关内容,以及国际税收竞争所产生的......

标签:代写essay 国际税收 竞争 

[1000字essay写多久]Literary...... 2021-10-01

本文是留学生essay写作指导,本次主要是针对Literary Analysis也就是文学分析的essay写作技巧和方法进行具体指导,供参......

标签:文学分析 e 

[澳洲大学essay代写举报]申...... 2021-10-01

本文是英国留学essay写作指导,主要内容是针对申请英国留学的essay写作方法和技巧进行总结详解,供参考。......

标签:英国留学 英国Essay代写 

[为什么要读mba essay]申请美...... 2021-09-30

申请美国西北大学市场营销专业IMC Essay特征解析与招生面试常见知识解析 西北大学Essay实例分析 市场营销专业IMC如今......

标签:申请 美国 西北 大学 市场营销 专业 Essay 特征  

Get in Touch

微信在线咨询

微信在线咨询

添加微信:
支持语音、图文实时沟通

Email实时沟通

Email实时沟通

您也可以通过Email联系我们
邮箱:

自助提交订单

自助提交订单

登陆ESSAY写作官网
在线自助提交订单

essay代写网专注【海外留学生essay代写20年】essay辅导代写正规品牌【留学生代写essay靠谱机构】提供英文essay代写、英国代写essay、美国代写Assignment、澳洲report代写、加拿大代写paper、essay范文格式讲解、Assignment代写、代写report、paper代写、essay代写一般多少钱、essay代写招聘、essay代写靠谱吗、英国研究生essay代写、留学生代写平台等辅导代写服务