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Sunday, July 11, 2010
Sunday, July 11, 2010
FNCE307 : Portfolio Management
Stocktrak Stockpicks
Andy Wong Teck ChingChris Tan Kok YongEdgar Tan Yan RenJasmine Teo Yen SanKenneth Cheok Wen JunVincent Fu Jing Cai
Sunday, July 11, 2010
A g e n d a
Sunday, July 11, 2010
A g e n d a
S&P
Strategy
Methodology
Our Pick
Q&A
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S&
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14.98%
9.21%
11.41%
11.86%
10.19%
13.35%
21.82%
3.48%3.70%
FinancialsConsumer DiscretionaryConsumer StaplesEnergyIndustrialsHealthcareInformation TechnologyMaterialsUtilities
Value Weighted
9 Sectors
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Past 3 Years as approximation
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Past 3 Years as approximation
3-Year 1-Year
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Past 3 Years as approximation
Max P = E(d) - 0.5*Var(d)
Positive E(d) Minimum Var(d)
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Weights of sectors in S&P 500 index
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Weights of sectors in S&P 500 index
Correlation of sector to overall S&P index
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Weights of sectors in S&P 500 index
Correlation of sector to overall S&P index
Top 10 in terms of market capitalization
Ranking of highest R-squared value with index
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Top firm from each
sector
Multiple Regression
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Weights of individual companies
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Sector weights in
S&P 500
FinancialsConsumer DiscretionaryConsumer StaplesEnergyIndustrialsHealthcareInformation TechnologyMaterialsUtilities
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Sector weights in
S&P 50014.98%
9.21%
11.41%
11.86%
10.19%
13.35%
21.82%
3.48%3.70%
Composition of S&P 500
FinancialsConsumer DiscretionaryConsumer StaplesEnergyIndustrialsHealthcareInformation TechnologyMaterialsUtilities
Sunday, July 11, 2010
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Sector weights in
S&P 50014.98%
9.21%
11.41%
11.86%
10.19%
13.35%
21.82%
3.48%
3.70%
FinancialsConsumer DiscretionaryConsumer StaplesEnergyIndustrialsHealthcareInformation TechnologyMaterialsUtilities
Sunday, July 11, 2010
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Correlation to S&P 500
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Correlation to S&P 500
Rank Sector Correlation
1 Industrials 0.87
2 Consumer Discretionary 0.84
3 Infotech 0.84
4 Financial 0.8
5 Healthcare 0.78
6 Materials 0.76
7 Energy 0.56
8 Consumer Staples 0.53
9 Utilities 0.48
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Regression Analysis
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Regression Analysis
Rank Company Ticker R-squared
1 CVX 0.687468863
2 DIS 0.685413303
3 UTX 0.682463247
4 EMR 0.663128984
5 CSCO 0.653075675
6 XOM 0.651028743
7 HON 0.637325184
8 COP 0.633340087
9 T 0.609253089
10 AXP 0.608064111
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Regression Analysis
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StocksStocksStocksStocksStocksStocksStocks R-squared
AXP DIS CVX ? CSCO UTX ? 0.925449
? DIS CVX ? CSCO UTX ? 0.92488563
AXP DIS CVX ? CSCO UTX ? 0.92294434
? ? ? ? CSCO UTX ? 0.9197624
DIS CVX UTX CSCO ? ? ? 0.918333
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StocksStocksStocksStocksStocksStocksStocks R-squared
AXP DIS CVX ? CSCO UTX ? 0.925449
? DIS CVX ? CSCO UTX ? 0.92488563
AXP DIS CVX ? CSCO UTX ? 0.92294434
? ? ? ? CSCO UTX ? 0.9197624
DIS CVX UTX CSCO ? ? ? 0.918333
AXP DIS CVX CSCO UTX
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Regression Analysis
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Regression Analysis
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Regression Analysis
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Earning announcements
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American Express Company
Ticker Symbol : AXP
Sector : Financials
Industry : Credit Services
Market Cap : 40.63B
Profit Margin : 9.36%
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Walt Disney Co.
Ticker Symbol : DIS
Sector : Consumer Discretionary
Industry : Entertainment - Diversified
Market Cap : 52.82B
Profit Margin : 8.88%
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Chevron Corp.
Ticker Symbol : CVX
Sector : Energy
Industry : Major Integrated Oil & Gas
Market Cap : 141.89B
Profit Margin : 8.89%
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United Technologies Corp
Ticker Symbol : UTX
Sector : Industrials
Industry : Conglomerates
Market Cap : 58.35B
Profit Margin : 7.60%
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Cisco Systems, Inc
Ticker Symbol : CSCO
Sector : Information Technology
Industry : Network & Communication Devices
Market Cap : 133.39B
Profit Margin : 16.98%
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Q & A
Sunday, July 11, 2010