Applied Portfolio Management

Summary

Part 1

Chose 6 stocks from the NASDAQ OMX 100 index.

Calculated risk-adjusted excess return for these stocks and compared to the excess return of the index.

Calculated total risk for the stocks and decomposed the stocks into systematic and firm-specific risk.

Estimated the standard deviation for the shares and computed the correlation between the shares and the index.

Part 2

Constructed a €100 million portfolio with both active and passive investing instruments.

Rebalanced the portfolio and compared the portfolio performance to the chosen benchmark.

Developed an investment policy statement and an investment process document.

Formulated a monthly portfolio report detailing the investment approach, the performance of assets and market summary.

Over the period the portfolio outperformed its benchmark (MSCI World Index) by 1.5%.

Documents