Publicação
Investment policy statement : Allianz Global Investor GMBH
| Resumo: | This Investment Policy Statement is developed and endorsed by Voya Investment Management in the best interest of Allianz Global Investors GmbH, the client. Its aim is to enhance communication between the parties, clarifying fundamental aspects of the investment policy and management of the Allianz Income and Growth Share Class A fund. The primary objective of the fund is to maximize return while tolerating a medium level of risk, allowing VaR equivalent volatility (VEV) to range from 12% to 20%. The fund predominantly invests in the US and Canadian markets, focusing on three asset classes: equities, high-yield bonds, and convertible bonds. The fund is actively managed and adheres to UCITS rules and Luxembourg tax law. It permits the use of derivatives but does not allow short selling. The investment philosophy varies according to the asset class. Equities are managed following a Growth Investing Strategy, while high-yield bonds and convertible bonds are selected based on a Value Bond Investing approach. Both strategies are grounded in fundamental analysis techniques. Additionally, the fund invests indirectly in gold through ETFs and in the money market through T-bills. The equities and bonds sub-portfolios are optimized using Mean-Variance Optimization and Duration Matching combined with Income Maximization, respectively. Strategic asset allocation is achieved through Mean-Variance Optimization, maximizing return within the allowed risk interval. The final portfolio, optimal but sub-efficient, has an expected return of 15,42% with an average annualized VEV of 14,90%. Cornish-Fisher VaR and Monte Carlo Simulation are employed for risk analysis. Additionally, a risk matrix addressing macroeconomic risks has been developed. |
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| Autores principais: | Casimiro, Mariana Alexandra do Rosário |
| Assunto: | Institutional Investor Multi-Asset Portfolio IPS Growth Investing MVT Duration Matching Investidor Institucional Carteira Multi-Ativos IPS Investimento de Crescimento MVT Duration Matching |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This Investment Policy Statement is developed and endorsed by Voya Investment Management in the best interest of Allianz Global Investors GmbH, the client. Its aim is to enhance communication between the parties, clarifying fundamental aspects of the investment policy and management of the Allianz Income and Growth Share Class A fund. The primary objective of the fund is to maximize return while tolerating a medium level of risk, allowing VaR equivalent volatility (VEV) to range from 12% to 20%. The fund predominantly invests in the US and Canadian markets, focusing on three asset classes: equities, high-yield bonds, and convertible bonds. The fund is actively managed and adheres to UCITS rules and Luxembourg tax law. It permits the use of derivatives but does not allow short selling. The investment philosophy varies according to the asset class. Equities are managed following a Growth Investing Strategy, while high-yield bonds and convertible bonds are selected based on a Value Bond Investing approach. Both strategies are grounded in fundamental analysis techniques. Additionally, the fund invests indirectly in gold through ETFs and in the money market through T-bills. The equities and bonds sub-portfolios are optimized using Mean-Variance Optimization and Duration Matching combined with Income Maximization, respectively. Strategic asset allocation is achieved through Mean-Variance Optimization, maximizing return within the allowed risk interval. The final portfolio, optimal but sub-efficient, has an expected return of 15,42% with an average annualized VEV of 14,90%. Cornish-Fisher VaR and Monte Carlo Simulation are employed for risk analysis. Additionally, a risk matrix addressing macroeconomic risks has been developed. |
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