Investment Portfolio Policy Statement
Competition : HKSFA-HKEX Portfolio Management CompetitionReturn Target : The portfolio targets to have holding period return 15% or more and higher Sharpe ratio that of Hang Seng Indexes (HSI)
The portfolio invests 100% of Hong Kong stocks traded in Hong Kong Exchanges with its core holding in China related H stocks.
Core-Holdings
- “One-belt One-Road” related stocks, such as 1766 CRRC.
- China Consumer related stocks, such as 2333 Great-Wall motor.
- China Financial related stocks, such as 3988 Bank of China.
- Technology Stocks, such as 0700 Tencent, 2018, 0522
Non-core holdings
- Gold-related stocks, such as 1818 Zhaojin Mining.
- EFTs such as 3048 DB Brazil.
- Future/option for hedging.
The tactical asset allocation plays an important role in this portfolio. It leans on the dynamic expected return of the pre-defined asset pool. As the market moves, so will be the expected return of individual asset. As a result, number of trades will be likely high particularly in a fast moving market.
Risk Preference and Management Policy:
Risk Preference : Sharpe Ratio Maximisation (Risk neutral)
The risk management measures include:
- To invest in 15-25 stocks with no less than 8 industries/categories.
- To control the risk of individual holdings, stop-loss price will be set.
- Individual asset weighting less than 2 X average weighting of the portfolio.
- Non-core asset classes, such as gold-related stock and ETFs, will be included so as to manage the volatility of the portfolio.
- On-demand rule based rebalancing based on expected return.
- Investment level could be reduced down to 85% if needed.
Assets Allocation :
- Strategy Allocation : 60% will be evenly allocated to targeted sectors
- Tactical Allocation : 40% will be allocated based on dynamic return-first algorithm.
Management Tools & Technology
- Portfolio Management : Polaris robo-advisor (Return-first allocation & Re-Balancer)
- Algo Technology : AI Deep Learning (TensorFlow)
