Portfolio Management Henry Chan2014/2/12Husky Traders

Investment Thesis

• Quantitative Portfolio Analysis• Increase diversification effect in addition to great

return opportunities• Quality large cap stocks for sustainable

correlation

SP 500• IT 18.9%• Consumer

Staples 9.57%• Energy 9.98%• Industrial

10.75%• Healthcare

13.57%• Financials

16.17%• Consumer

Discretional 12.36%

• Others

Our portfolio picture

Comparison with SP500• Exposure to market• Technology (SYNT, SMH)• Real-estate, Healthcare (HTA)• Consumer discretionary(DDAIF, SMH)• Energy (NOG)

• We lack Financials, Consumer Staples, Industrials

Segment Tests• XLB (Industrials, materials, chemicals, packaging)• XLY (Consumer Staples)• XLP (Consumer Discretionary)• XLF (Financials)

Historical Analysis• Jun 6th 2012 – Feb 10th 2014 daily returns. (420 data point for

each stock) • Correlation of Assets• Create portfolios by adding in assets to existing portfolio• Beta• Alpha• Sharpe Ratio

• Excess return/ Stdev

Daily return of adding $1500 into portfolio

Consumer Staples XLY• Food and beverage• Kraft foods (31.69B) KRFT• Mondelez (57.94B) MDLZ• Coke (168.82B) KO• Pepsico (123.55B) PEP• General Mills (30.35B) GIS• CVS (81.58B) • Philip Morris International (125.77B)PM

Daily return of adding $1500 into portfolio

Financials XLF• Banks • WFC • BAC• JPM• BBT BB&T• FITB Fifth Third Bancorp

Daily return of adding $1500 into portfolio

BAC

JPM FITB• Multinational

banking and financial services holding. Largest in US.

• Regional banking Corp headquartered in Cincinnati, Ohio.

Comparable Analysis

JPM

FITB

Equity P/E Comp

JPM• Low PE• High Operating margin• Largest bank in US, correlation should be more sustainable. • FITB focus heavily on commercial banking, consumer lending,

branch banking. The potential source of diversification is too concentrated

• High SR

Use Bloomberg!