The Nova Students Portfolio is an active portfolio of stocks and bonds sponsored by Banco Invest and managed by a group of students from the Nova Master's in Finance under the supervision of the instructor. The portfolio invests in stocks, bonds, ETFs and futures in Europe and in the US. INVESTMENT POLICY Sponsor: Banco Invest Initial Capital: USD 430,000 Investment Horizon: 12 months Currency: USD ($) Instruments: Stocks and bonds, in the US (through cash equities, ETFs and futures). Benchmark: 40% S&P500 Index + 60% ICE USTrsry 3-7YTR Index. Asset Allocation: Fixed weights (allows for 10% deviations from equities benchmark) or Risk Parity. Leverage: Possible / may be necessary depending on the asset allocation methodology chosen. Short positions: Possible, particularly for pair trading Risk profile: Medium / Low Target volatility: < 7% per annum VaRLimit: Daily VaR < 1.5% @ 99% confidence, 1 side, 1 year observation period Reporting: Monthly (to Sponsor)
