Undergraduate Student Investment Management … Student Investment Management Fund Final...

Undergraduate Student Investment Management Fund

Final Presentation

Friday April 25th, 2014

1

Undergraduate SIM Fund

Student Investment Management Fund

Fund MembersFund Managers Fund Analysts

Dakota Boyd(Senior)

Clayton Jenners(Senior)

Adrian Reiter(Senior)

Andrew Farber(Senior)

Dylan King(Senior)

Tro Panosian(Junior)

Jasmine Anglen(Junior)

Logan Hurst(Senior)

Paul Farington(Senior)

Sean Gormley(Senior)

Alex Green(Junior)

Alasandro Fenston(Senior)

Vikas Bhagavatula(Senior)

Justin Eastman(Junior)

Marcus Schafer(Senior)

Kyle Heck(Senior)

Undergraduate SIM Fund

Student Investment Management Fund

1. Introduction

2. Performance

3. Holdings & Attribution

4. Concluding Thoughts

3

Undergraduate SIM Fund

Student Investment Management Fund

Presentation Overview

Introduction

4

Undergraduate SIM Fund

Student Investment Management Fund

• Learn

• Maintain fiduciary standards for assets under management

o Risk/return profile

o Manage trade-offs

Diversification and idiosyncratic risk

Understanding implementation

5

Undergraduate SIM Fund

Student Investment Management Fund

Success Metrics

• Look back period of three years

o “Opportunistic” vs. “routine” traders

o Four week holding period

o Investing in top 10 companies with the most net buyers

• Developed more automated implementation

• Constructed a more informative signal

6

Undergraduate SIM Fund

Student Investment Management Fund

Insider Strategy (80%)

Insider Strategy (80%) – Classifying Insiders

Su M T W Th F Sa Su M T W Th F Sa Su M T W Th F Sa

X = Routine Trader

2013 20142012

April

7

X

X XX

X

X

X = Opportunistic Trader

Undergraduate SIM Fund

Student Investment Management Fund

8

Week 5

WMB

GBL

TROW

ARCC

CKH

SREV

VTR

LUK

FBP

ENS

Week 4

GMCR

HMSY

LEG

SPG

WEC

KMT

PPS

MOG-A

NCT

OKE

Insider Strategy (80%) – Constituent Portfolios

Week 1

VRX

ABM

ACN

COV

ED

DVA

PCYC

ERIE

T

BRC

Week 3

BCOR

MDLZ

Y

SSS

AYR

FICO

EOG

SANM

ANDE

GPN

Week 2

AYR

SNV

RDN

MOG-A

FAST

NLY

RLI

HTS

CDE

PXD

Undergraduate SIM Fund

Student Investment Management Fund

May ‘14 Buy July ‘14 Sell

Hold

Apr. ‘14 Buy June ‘14 Sell

Hold

Momentum Strategy (20%)• International diversification

• Past winners outperform past losers

• Two rolling constituent portfolios

o Two month holding period

• Repeat signals trigger repeat buys

• Purchase top decile

o Dynamic universe

o Expanded universe in December ‘13 from 14 to be in range of 22 or 23

9

Undergraduate SIM Fund

Student Investment Management Fund

Apr. ‘13 Mar. ‘14

Calculate returns Reversal

Apr. ‘14

Performance

10

Undergraduate SIM Fund

Student Investment Management Fund

11

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Returns Benchmark Returns

Insider 5.59% 4.51% (Russell 3000) N/A

Int’l MOM 3.49% 2.85% (MSCI ex US) 3.06% (BKADR)

Aggregate 5.37% 4.51% (Russell 3000) 4.24% (Custom)

Portfolio Performance

As of April 17, 2014

(4.0)

(2.0)

0.0

2.0

4.0

6.0

8.0

10.0

12.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Return

Insider Russell 3000

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Performance Difference

12

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Insider vs. Russell 3000

As of April 17, 2014

Since Inception

Insider Russell 3000

Return

Total Return 5.59 4.51

Mean Return (Annualized) 21.46 17.07

Mean Excess Return (Annualized) 3.75 na

Risk

Std. Dev. (Annualized) 13.35 11.96

(10.0)

(5.0)

0.0

5.0

10.0

15.0

20.0

25.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Returns

Int'l MOM iShares MSCI ACWX Index Fund (ACWX US)

(10.0)

(5.0)

0.0

5.0

10.0

15.0

20.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Performance Difference

13

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Momentum vs. ACWX

As of April 17, 2014

Since Inception

Int'l MOM MSCI ex US

Return

Total Return 3.49 2.85

Mean Return (Annualized) 18.54 10.69

Mean Excess Return (Annualized) 7.10 na

Risk

Std. Dev. (Annualized) 28.22 10.27

(10.0)

(5.0)

0.0

5.0

10.0

15.0

20.0

25.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Returns

Int'l MOM BNYMellonADR (BKADR)

(5.0)

0.0

5.0

10.0

15.0

20.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Performance Difference

14

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Momentum vs. BKADR

As of April 17, 2014

Since Inception

Int'l MOM BKADR

Return

Total Return 3.49 3.06

Mean Return (Annualized) 18.54 11.97

Mean Excess Return (Annualized) 5.87 na

Risk

Std. Dev. (Annualized) 28.22 13.24

(4.0)

(2.0)

0.0

2.0

4.0

6.0

8.0

10.0

12.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Returns

SIMF Total Portfolio Russell 3000

(2.00)

(1.00)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Performance Difference

15

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Total vs. Russell 3000

As of April 17, 2014

Since Inception

SIMF Total Russell 3000

Return

Total Return 5.37 4.51

Mean Return (Annualized) 18.41 17.07

Risk

Std. Dev. (Annualized) 18.75 11.96

(4.0)

(2.0)

0.0

2.0

4.0

6.0

8.0

10.0

12.0

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Returns

SIMF Total Portfolio SIMF Custom Benchmark w/ ACWX

(2.00)

(1.00)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014

%

Performance Difference

16

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Total vs. Custom (ACWX)

As of April 17, 2014

Since Inception

SIMF TotalCustom

Benchmark

Return

Total Return 5.37 4.24

Mean Return (Annualized) 18.41 16.02

Risk

Std. Dev. (Annualized) 18.75 11.77

Holdings and Attribution

17

Undergraduate SIM Fund

Student Investment Management Fund

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Undergraduate SIM Fund

Student Investment Management Fund

Insider Market Cap Holdings and Attribution

Insider Portfolio

Large Cap Mid Cap Small Cap

IWV: Russell 3000

Attribution Analysis

Market Cap Security Selection

Large Cap -0.12% 2.38%

Mid Cap -0.06% -0.52%

Small Cap -0.55% -0.06%

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Undergraduate SIM Fund

Student Investment Management Fund

Insider Sector Holdings and Attribution

Insider Portfolio

Cons. Disc. Cons. Stap. Energy Financials Health Care

Industrials Info Tech. Materials Telecom Utilities

IWV: Russell 3000Attribution Analysis

Sector Security Selection

Cons. Disc. 0.09% -1.15%

Cons. Stap. -0.15% 1.00%

Energy -0.24% 1.37%

Financials 0.22% 0.15%

Health Care 0.53% -0.46%

Industrials 0.12% -0.52%

Info Tech. 0.23% 0.45%

Materials -0.02% -0.20%

Telecom -0.04% -0.03%

Utilities -0.27% -0.01%

20

Undergraduate SIM Fund

Student Investment Management Fund

ADR Momentum Market Cap Holdings and Attribution

ADR Momentum Portfolio

Large Cap Mid Cap Small Cap

ACWX: MSCI ex US

Attribution Analysis

Market Cap Security Selection

Large Cap -0.05% 1.83%

Mid Cap -0.04% 1.85%

Small Cap -2.57% 0.63%

21

Undergraduate SIM Fund

Student Investment Management Fund

ADR Momentum Sector Holdings and Attribution

ADR Momentum Portfolio

Cons. Disc. Cons. Stap. Energy FinancialsHealth Care Industrials Info. Tech. MaterialsTelecom Utilities

ACWX: MSCI ex USAttribution Analysis

Sector Security Selection

Cons. Disc. 0.01% 1.84%

Cons. Stap. 0.11% 0.00%

Energy -0.15% 1.47%

Financials 0.05% -0.78%

Health Care -0.19% -0.52%

Industrials -0.07% 0.08%

Info. Tech. 1.20% 0.05%

Materials 0.12% 0.00%

Telecom -0.19% -1.31%

Utilities -0.11% 0.00%

Undergraduate SIM Fund

Student Investment Management Fund

ADR Momentum Region Holdings and AttributionADR Momentum Top Ten Country

Holdings

China Argentina

Japan Ireland

France Taiwan

Finland Hong Kong

United Kingdom Italy

ACWX: MSCI ex US Top Ten Country Holdings

Japan United Kingdom

France Switzerland

Germany Canada

Australia South Korea

Netherlands Hong Kong

Attribution Analysis

Country

Security

Selection

China -0.51 1.88

Argentina 1.00 0.00

Japan -0.15 -0.49

Ireland 0.24 -0.41

France 0.04 0.04

Taiwan 0.20 0.72

Finland -0.27 -0.16

Hong Kong -0.16 1.08

United

Kingdom 0.17 -0.45

Italy 0.21 0.20

22

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Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Market Cap Holdings and Attribution

Attribution Analysis

Market Cap Security Selection

Large Cap -0.11% 2.27%

Mid Cap -0.06% -0.05%

Small Cap -0.95% 0.08%

Total Portfolio

Large Cap Mid Cap Small Cap

80% IWV & 20% ACWX

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Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Sector Holdings and Allocation

Total Portfolio

Cons. Disc. Cons. Stap. Energy Financials Health Care

Industrials Info Tech. Materials Telecom Utilities

80% IWV & 20% ACWXAttribution Analysis

Sector Security Selection

Cons. Disc. 0.07% -0.55%

Cons. Stap. -0.10% 0.80%

Energy -0.22% 1.39%

Financials 0.19% -0.04%

Health Care 0.39% -0.47%

Industrials 0.08% -0.40%

Info Tech. 0.42% 0.37%

Materials 0.01% -0.16%

Telecom -0.07% -0.29%

Utilities -0.24% -0.01%

Concluding Thoughts

25

Undergraduate SIM Fund

Student Investment Management Fund

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Undergraduate SIM Fund

Student Investment Management Fund

Insider Strategy – Signal Strength

27

Undergraduate SIM Fund

Student Investment Management Fund

Case Study•Viropharma acquired by Shire

•Announced on November 8th

•Viropharma was purchased in the Insider Strategy• January 15th at $49.97 per share

•Viropharma acquired January 23rd

•$50.00 cash tender

•Shire was purchased in the Momentum Strategy•February 6th at $153.33 per share

•Shire was sold March 31st

•$147.72 per share

• Learn

• Maintain fiduciary standards for assets under management

o Risk/return profile

o Manage trade-offs

Diversification and idiosyncratic risk

Understanding implementation

28

Undergraduate SIM Fund

Student Investment Management Fund

Success Metrics

Questions?

29

Undergraduate SIM Fund

Student Investment Management Fund

Appendix

30

Undergraduate SIM Fund

Student Investment Management Fund

31

Undergraduate SIM Fund

Student Investment Management Fund

Insider Strategy – Signal Strength

32

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Insider L-S vs. Russell 3000

As of April 17, 2014

(10.0)

(5.0)

0.0

5.0

10.0

15.0

11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014

%

Returns

Int'l MOM LS Equal Weight ADR

(5.0)

(3.0)

(1.0)

1.0

3.0

5.0

7.0

9.0

11.0

13.0

15.0

4/17/20143/11/20141/31/201412/25/201311/18/2013

%

Performance Difference

33

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Momentum L-S vs. Equal ADR

As of April 17, 2014

(3.0)

(2.0)

(1.0)

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014

%

Returns

SIMF Total Portfolio L-S Russell 3000

(5.00)

(3.00)

(1.00)

1.00

3.00

5.00

7.00

4/17/20143/11/20141/31/201412/25/201311/18/2013

%

Performance Difference

34

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Total L-S vs. Russell 3000

As of April 17, 2014

(4.0)

(2.0)

0.0

2.0

4.0

6.0

8.0

11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014

%

Returns

SIMF Total Portfolio L-S Custom Benchmark w/ Eq. Wt. ADR

(5.00)

(3.00)

(1.00)

1.00

3.00

5.00

7.00

4/17/20143/11/20141/31/201412/25/201311/18/2013

%

Performance Difference

35

Undergraduate SIM Fund

Student Investment Management Fund

Portfolio Performance – Total L-S vs. Custom (Eq. Wt. ADR)

As of April 17, 2014