BAFI1029: Give an overview of your philosophy to form the portfolio. You should identify yourself as a value or growth investor or a mixture of both: Derivatives and Risk Management Assignment, RMIT, Singapore, Singapore

Trading philosophy: 

Give an overview of your philosophy to form the portfolio. You should identify yourself as a value or growth investor or a mixture of both. Provide brief definitions for value/growth investing.

Portfolio construction: 

Present your initial portfolio, including information on why you have invested in the stocks in your initial portfolio (three stock selections for Portfolio).

• The overall market and macroeconomic condition
• Industry consideration and/or diversification, specific stock’s strengths/positive prospects

Risk identification:

In this part, you should discuss the risk profile of your portfolio. Use daily historical stock price between 1st October 2018 and 30th August 2023 to calculate the VaR of your Portfolio (VaR template can be found in Week 11’s material on Canvas). The discussion should include the following points:

• Calculation and discussion of the one-day 95%-Value at Risk of each stock in your portfolio using historical simulation approach. That means, if you have four stocks in total, you need VaR for each. (10 marks)
• Calculation and discussion of the 10-day 99%-Value at Risk of your portfolio using model- building approach. Show key steps of workings. (3 marks)
• Calculation and discussion of the 10-day 99%-Value at Risk of your portfolio using a historical simulation approach. (3 marks)
• Discuss the performance of VaR in (b) and (c), by comparing your calculated VaR results and the portfolios’ actual 10-day returns (Thursday, 31 August 2023 to Wednesday, 13 September 2023). (5 marks)
• Calculation and discussion of the 95%-Expected Shortfall (CVaR) of your portfolio using a historical simulation approach.