Prepare an IPS statement for Justin Trudeau. Help required on part 3 &4 below:

I. The case (1 page max) 3

II. Investment policy statement (2 pages max) 4

III. Strategic asset allocation (2 pages max) 6

Asset classes and ETF proxies

This should be a brief discussion

• why the considered asset classes are appropriate for your client and
• brief specification of the ETF that represents the asset class

Appropriate optimization approach

Specify and discuss the optimization problem, e.g. maximize return at a given lever of risk.

Mean-variance optimization results

Use 50 monthly closing returns the reason is to check the performance on the portfolio for the period. Represent the results in table format.

IV. Performance measurement and attribution (4 pages max) 7

Portfolio returns

Prepare the monthly returns for the period for the asset classes that constitute your portfolio.

Benchmark selection

Select and justify the selection of an appropriate benchmark. Prepare the returns on the benchmark portfolio for the same period. (You might want to run the style analysis first and use it as a guide for the selection of the benchmark asset classes and their weights.)

Performance measurement

Calculate the appropriate performance measures. Select the ones you deem necessary and sufficient to justify the performance appraisal.

Evaluate and explain the proportion of systematic vs. idiosyncratic risk in your portfolio, compared to the benchmark.

Performance attribution

Apply analysis to separate the timing, selection and interaction component of the returns. Discuss briefly their meaning for your portfolio.

V. Risk analysis (1 pages max) 8