Author(s)

Zhao Hongyu ¹

Affiliation(s)

¹ The Business School, University of Exeter, Finance and Investment, Exeter, EX4 4PY, UK

Corresponding Author

Zhao Hongyu

ABSTRACT

This paper offers comprehensive investment guidance for an Endowment Fund by thoroughly analyzing six asset classes: equity ETFs, bond ETFs, real estate ETFs, bitcoin trusts, and insurance products. Utilizing the Exponentially Weighted Moving Average (EWMA) methodology, the study assesses volatility and optimizes portfolio composition. Furthermore, it explores cost-of-debt calculations and yield-to-maturity forecasting techniques, emphasizing the significance of portfolio diversification and risk-adjustment strategies. Ultimately, the Nelson-Siegel model is recommended as the preferred method for yield-to-maturity calculations, thereby enabling more informed and strategic investment decisions.

KEYWORDS

Asset Allocation; Risk Measurement; Decay Factor; EWMA method; Polynomial model; Nelson-Siegel model

CITE THIS PAPER

Zhao Hongyu, Endowment fund investment strategy construction and risk assessment: An empirical analysis based on the EWMA methodology. Accounting, Auditing and Finance (2024) Vol. 5: 118-124. DOI: http://dx.doi.org/10.23977/accaf.2024.050215.

REFERENCES

[1] Lee, W. (2022) Volatility Forecasting, exeter learning environment. Available at: https://vle.exeter.ac.uk/course/ view.php?id=8872§ion=8 (Accessed: January 16, 2023). 
[2] Markowitz, H.M. (2010) "Portfolio theory: As I still see it," Annual Review of Financial Economics, 2(1), pp. 1–23. Available at: https://doi.org/10.1146/annurev-financial-011110-134602. 
[3] Chen, Y. (2022) Stock Valuation and Portfolio Theory I, exeter learning environment. Available at: https://vle. exeter.ac.uk/course/view.php?id=8893 (Accessed: January 16, 2023). 
[4] Lee, W. (2022) Modelling the Yield Curve, exeter learning environment. Available at: https://vle.exeter.ac. uk/course/view.php?id=8872§ion=8 (Accessed: January 16, 2023). 
[5] Brian Barrett, W., Gosnell, T.F. and Heuson, A.J. (1995) ‘Yield curve shifts and the selection of immunization strategies’, The Journal of Fixed Income, 5(2), pp. 53–64. doi:10.3905/jfi.1995.408146. 
[6] Settlements, B. for (2005) 'Zero-coupon yield curves: Technical documentation', SSRN Electronic Journal [Preprint]. doi:10.2139/ssrn.1188514. 
[7] Hodges, S.D. and Parekh, N. (2006) 'Term structure slope risk', The Journal of Fixed Income, 16(3), pp. 54–59. doi:10.3905/jfi.2006.670094. 
[8] Annaert, J. et al. (2012) "Estimating the yield curve using the Nelson-Siegel model: A ridge regression approach," SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2054689. 
[9] D, F. (2021) What is a reasonable expected return on fund investments? What is a reasonable expected return for a fund investment? _dailyfunds.com. Available at: https://fund.eastmoney.com/a/202108252064228681.html (Accessed: January 16, 2023). 
[10] Jiang, N. (2013) Yields generally exceed 5% Are all high-yield insurance products reliable? China Economic Network. Available at: http://finance.ce.cn/rolling/201306/07/t20130607_17125189.shtml (Accessed: January 16, 2023).

Sponsors, Associates, and Links

---

• Information Systems and Economics
  
  
• Industrial Engineering and Innovation Management
  
  
• Tourism Management and Technology Economy
  
  
• Journal of Computational and Financial Econometrics
  
  
• Financial Engineering and Risk Management
  
  
• Accounting and Corporate Management
  
  
• Social Security and Administration Management
  
  
• Population, Resources & Environmental Economics
  
  
• Statistics & Quantitative Economics
  
  
• Agricultural & Forestry Economics and Management
  
  
• Social Medicine and Health Management
  
  
• Land Resource Management
  
  
• Information, Library and Archival Science
  
  
• Journal of Human Resource Development
  
  
• Manufacturing and Service Operations Management
  
  
• Operational Research and Cybernetics