Portfolio Setup Step 1 Study possible portfolio strategies and write a 1 page proposal The proposal should clearly identify the following Target investors what is the expected risk level (low medium high), as defined by the portfolio return standard deviation Investment objective define a benchmark portfolio (recommended an ETF or an index) You may use SECF function to find a suitable index or fund Make sure also define which market(s) you would enter Portfolio strategies Rough allocation in each of the asset classes (stock, bond, options, cash) Please note that investment in other funds is generally not allowed The only exception would be funds in lieu of cash holdings, for temporary allocation position adjustments Also, options are usually used to hedge or adjusting risk temporarily, and thus should not carry weight Cash balance must not exceed 3 of your portfolio value Fundamental idea and criteria set forth to select securities included in the portfolio Use EQS function to generate stock searching criteria Number of different securities in the portfolio (can be dynamic) Portfolio expected performance use three different time period to test your strategy (equally weighted and value weighted) Use Summarize annualized returns, standard deviation, and beta Beta should be calculated using daily returns and S P 500 index as the market portfolio Use EQBT (Equity Backtesting function) to show the performance of your strategy Period 1 7 1 2019 12 31 2019 (6 months weekly rebalancing buy and hold) Period 2 7 1 2008 06 30 2009 (12 months weekly rebalancing buy and hold) Period 3 Any 1 year period chosen by you (12 months weekly rebalancing buy and hold) Note Your strategy should show superior returns (raw returns or risk adjusted returns, such as alpha or Sharpe ratio) than your benchmark during all three periods

The Answer is in the image, click to view ...

Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Sep 20, 2024

Portfolio Setup Step 1: Study possible portfolio strategies and write a 1-page proposal. The proposal should clearly identify the following: Target investors: what is the

Portfolio Setup

Step 1: Study possible portfolio strategies and write a 1-page proposal. The proposal should clearly identify the following:

Target investors: what is the expected risk level (low/medium/high), as defined by the portfolio return standard deviation.
Investment objective: define a benchmark portfolio (recommended an ETF or an index). You may use SECF function to find a suitable index or fund. Make sure also define which market(s) you would enter.
Portfolio strategies:
1. Rough allocation in each of the asset classes (stock, bond, options, cash).
  
  Please note that investment in other funds is generally not allowed. The only exception would be funds in lieu of cash holdings, for temporary allocation/position adjustments. Also, options are usually used to hedge or adjusting risk temporarily, and thus should not carry weight. Cash balance must not exceed 3% of your portfolio value.
2. Fundamental idea and criteria set forth to select securities included in the portfolio. Use EQS function to generate stock searching criteria.
3. Number of different securities in the portfolio (can be dynamic).
Portfolio expected performance: use three different time period to test your strategy (equally-weighted and value-weighted). Use Summarize annualized returns, standard deviation, and beta. Beta should be calculated using daily returns and S&P 500 index as the market portfolio. Use EQBT (Equity Backtesting function) to show the performance of your strategy.
1. Period 1: 7/1/2019 12/31/2019. (6 months weekly rebalancing & buy and hold)
2. Period 2: 7/1/2008 06/30/2009. (12 months weekly rebalancing & buy and hold)
3. Period 3: Any 1-year period chosen by you. (12 months weekly rebalancing & buy and hold)

Note: Your strategy should show superior returns (raw returns or risk-adjusted returns, such as alpha or Sharpe ratio) than your benchmark during all three periods.