The Grand Plan of My Portfolio

This new series of blog is going to record the my journey of taking part of HKSFA-HKEX Portfolio Management Competition 2017.  Through this competition, I would like to practice what I have learned, and perfect my future investment activities.

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

1. “One-belt One-Road” related stocks, such as 1766 CRRC. 
2. China Consumer related stocks, such as 2333 Great-Wall motor.
3. China Financial related stocks, such as 3988 Bank of China. 
4. Technology Stocks, such as 0700 Tencent, 2018, 0522

Non-core holdings

1. Gold-related stocks, such as 1818 Zhaojin Mining.
2. EFTs such as 3048 DB Brazil.
3. 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.

Investment Period: 6 Months

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 and Technology 

• Portfolio Management : Polaris robo-advisor (Return-first allocation & Re-Balancer)
• Algo Technology : AI Deep Learning (TensorFlow)

KickOff Allocation:

• 7.5% : 2006 錦江酒店, 2007碧桂園, 2018 瑞聲科技, 3333 中國恒大, 0316 東方海外國際
• 5.0% : 1478 丘鈦科技,  1929 周大福, 3311中國建築, 1288 農業銀行, 86 Rusal