Universit

e dEvry-Val-dEssonne
Master Finance - Paris Saclay - M2 GRA
D
epartement d
economie

Juliana CAICEDO-LLANO
juliana.caicedollano@univ-evry.fr
2015-2016

Portfolio Simulation Project

Introduction
This projects objective is to make students understand the dynamics of financial markets
and investment decisions. The students can use different tools from Thomson Reuters Eikon or
Bloomberg applications or any other available tool to manage portfolios. This activity allows
students to apply the concepts learned in different masters courses to select bonds, stocks,
or other financial assets, or build an asset allocation portfolios as well as to evaluate the
performance of their portfolios and use risk management tools. Weekly objectives are fixed
during the period of simulation. At the final date each group will present portfolios results
and decisions to the class.

Markets
Each group works on a different portfolio among the following possibilities :
Group
1
2
3
4
5
6
7
8
9
10
11
12
13
14

Portfolio
Global asset allocation
Global equity allocation
Global sector allocation
French stocks Big Caps
French stocks Value
European stocks Value
European stocks Big Caps
US High Risk Stocks
Fixed Income Government
Fixed Income Corporate
International Stocks
Foreign Exchange
Global Commodities
US technology stocks

Methods
Students should use different methodologies studied in class (Portfolio management, Econometrics, Risk Management, Risk based investments, Asset allocation... ) as well as different
tools (Excel/VBA, R/Matlab, Reuters/Bloomberg...)

Rules of the Game

1. First Steps
(a) Students have to constitute a group (2 students per group) and choose a portfolio.
(b) Define the investment goals and a Benchmark for the portfolio.
(c) The initial amount allowed to each group is set at 100 000 000 EUR.
(d) Define the legal framework appling to the specific portfolio.
(e) Choose the initial set of assets as well as the amounts that would be invested on
each asset.
(f) Send the initial positions (RIC, Nb of contracts, amounts and percentages in an
Excel file)
2. Build a strategy
(a) Choose a methodology of portfolio management studied in class or elsewhere
(b) Choose a programming language (R/Matlab/VBA/Excel)
(c) Implement the portfolio strategy
3. Every week
(a) The portfolio has to be rebalanced weekly
(b) The valuation will be made with the closing prices of every Friday (The decisions
can be sent before this closing time and the latest on Monday 9 :00 hrs)
(c) The maximum number of assets in a portfolio is set to 30
(d) The maximum weight allowed to each asset is : 5% (15% for allocation portfolios)
(e) Minimum rebalancing : 15% of portfolio value
(f) Each portfolio maintains a cash position of 3%-5%
(g) Send the target positions (RIC, Nb of contracts, amounts and percentages in an
Excel file)
(h) Send a report explaining the investment decisions and a description of the important
events in the market having an impact on the portfolio (word or pdf file, 12 - 1 page)
4. Mid-term report
(a) Summarize initial positions
(b) Summarize weekly report
(c) Evaluate the performance of the portfolio from the initial date to the mid-term date.
5. Final report
The group evaluates the performance of the portfolio during the period of the simulation.
A global report of 2 pages including (at least) the following information :
(a) Description of the important events on the economic environment
(b) Total portfolio gain/loss in dollar and percentage terms
(c) A comparison to the benchmark portfolios actual and percentage gain/loss
(d) Other performance measures Description of the portfolio allocation
(e) Assessment of the investment goals
2

(f) A report on the difficulties found during the simulation

6. Additional suggested information :
Measure of historical risk and return for different assets in the portfolio
Betas for each security and for the whole portfolio
Description of a model used to make portfolio choices
Performance attribution analysis
Grading will be based on the consistency of the selections and reports and not on the
investment performance of the portfolios.

Example of porfolio projects from previous years

1. Fundamental analysis of comodities
2. Trend following Eurostoxx 50
3. CPPI on US growth stocks
4. Tracking error minimisation FTSE Eurofirst 80
5. ERC - US high risk stocks
6. Minimum variance - CAC40
7. Technical analysis - Emerging stocks
8. Top down approach on French Value Stocks