rmit.instructure.com Week 11 - Valu... Watchlist - Mar... Northstar Risk:... HP Inc. (HPQ) i... How do...

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rmit.instructure.com Week 11 - Valu... Watchlist - Mar... Northstar Risk:... HP Inc. (HPQ) i... How do you cal... is the monte ca... Assessment Ta... Course Hero Course Hero Lecture 3 - Fut... On Tuesday, 21... HPQ 30.47 -0.1... + Page < 2 > of 4 ZOOM + Marking Guide Your report must include the following sections: 1. Trading philosophy: (5 marks) Give an overview of your trading philosophy. You should identify yourself as a value or growth investor or a mixture of both. 2. Portfolio construction: (10 marks) Present your initial portfolio, including information on why you have invested in the stocks in your initial portfolio. a. News and the overall market and macroeconomic condition (3 marks) b. The initial weightings of the portfolio and the rationale for that composition (7 marks) 3. Risk identification: (25 marks) In this part, you should discuss the risk profile of your portfolios. On Friday, 24 September 2021, use daily stock prices since 1st October 2017 to calculate the VaR. The discussion should include the following points: a. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio A using model- building approach. (7 marks) b. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio B using a historical simulation approach. (10 marks) c. Discuss the performance of VaR based on your calculation approaches in (a) and (b), VaR results and actual five-day returns (Monday, 27th September 2021-Friday, 1 October 2021). (8 marks) 4. Hedging using Futures: (25 marks) a. On Tuesday, 21 September 2021, how will you use the E-Mini S&P 500 Future contract to hedge your Portfolio B position against a possible market decline? Provide calculation as necessary.(16 marks) rmit.instructure.com Week 11 - Valu... Watchlist - Mar... Northstar Risk:... HP Inc. (HPQ) i... How do you cal... is the monte ca... Assessment Ta... Course Hero Course Hero Lecture 3 - Fut... On Tuesday, 21... HPQ 30.47 -0.1... + Page < 2 > of 4 ZOOM + Marking Guide Your report must include the following sections: 1. Trading philosophy: (5 marks) Give an overview of your trading philosophy. You should identify yourself as a value or growth investor or a mixture of both. 2. Portfolio construction: (10 marks) Present your initial portfolio, including information on why you have invested in the stocks in your initial portfolio. a. News and the overall market and macroeconomic condition (3 marks) b. The initial weightings of the portfolio and the rationale for that composition (7 marks) 3. Risk identification: (25 marks) In this part, you should discuss the risk profile of your portfolios. On Friday, 24 September 2021, use daily stock prices since 1st October 2017 to calculate the VaR. The discussion should include the following points: a. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio A using model- building approach. (7 marks) b. Calculation and discussion of the five-day 99%-Value at Risk of your portfolio B using a historical simulation approach. (10 marks) c. Discuss the performance of VaR based on your calculation approaches in (a) and (b), VaR results and actual five-day returns (Monday, 27th September 2021-Friday, 1 October 2021). (8 marks) 4. Hedging using Futures: (25 marks) a. On Tuesday, 21 September 2021, how will you use the E-Mini S&P 500 Future contract to hedge your Portfolio B position against a possible market decline? Provide calculation as necessary.(16 marks)