Embed Size (px)
Citation preview
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate Student Investment Management Fund
1
INTRODUCTION
Semi-Annual Presentation
Friday, April 20, 2012
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Fund Members
2
Fund Managers
Fund Analysts
Michael Cohn
Steven Kutos
Michael Ham
Aaron Baker
Rima Reddy
Jenna Hoppe
Kenneth Qian
Jonathan Lozano
Ajay Gnanasambanthan
INTRODUCTION
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Investment Goals
• Diversification
• Humility in incorporating views
• Reduce sensitivity to input data
– Resampling vs. static MVO
– Increasing Correlations
– Different methods to estimate volatility
3
ASSET ALLOCATION
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Asset Allocation Structure
4
US Equity Ex-US Equity Fixed Income Commodities REITs
High-Level MVO
ASSET ALLOCATION
B-L Low-Level MVO
Constructed Basket
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Ex-US Equity Commodities Fixed Income US Real Estate US Equity
5
MVO
.51 .05 .19 .05 .2 .51 .05 .19 .05 .2
.507 .032 .19 .05 .22
.51 .05 .19 .05 .2
.507 .032 .19 .05 .22
.49 .049 .19 .05 .22
Risk
Ret
urn
MVO MVO
ASSET ALLOCATION
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Selected Asset Classes
6
• Equity (Black-Litterman Model) — Ability to incorporate our own sector views — Lessen the historical returns bias
• Commodities ― Low correlation, diversification ― Basket of stocks with high commodity exposure
• Fixed Income ― Selected a intermediate Government/Credit ETF
• REITs ― Additional diversification, attractive investment
• International Equity
ASSET ALLOCATION
Undergraduate
SIM Fund
Student Investment Management Fund
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
US Equity 50%
Int. Equity 21%
Fixed Income 19%
Commodities 5%
REIT 5%
Broad Allocation
7
38%
29%
9%
9%
9%
3%
1% 1% 1%
International Allocation
EU
EM
Canada
Japan
Australia
Israel
NZ
HK
Singapore
ASSET ALLOCATION
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Reasons for Rebalancing
• Accumulated cash dividends of $8,000
• Fixed Income weight below optimal
– Down to 17.4% from 20%
• Updated view on consumer discretionary
8
REBALANCING
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Consumer Discretionary
• Consumer confidence increasing
• Unemployment declining
• Positive environment for cyclical sectors
• No longer saw a reason to underweight removed view
9
REBALANCING
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Case Study – Hecla Mining
• Base and precious metal business lines
– Discovery/Exploration
– Development/Production
• Two operational mines
– Greens Creek (Alaska)
– Lucky Friday (Idaho)
• Market Capitalization (mm): $1,193
• Average Volume (mm): 6.34
10
REBALANCING
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Case Study – Hecla Mining
• Two deaths occurred at Hecla’s Lucky Friday mine in 2011
– One of deepest mines in US
– Safety failures blamed for deaths
• Mine Safety & Health Administration shut down Lucky Friday for one year
– 2012 silver production estimates reduced by 20%
11
REBALANCING
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Case Study – Hecla Mining • Mine closure news release (Jan. 11th):
– Stock price plunged 21%
– Trading volume spiked 885%
12
REBALANCING
0
10
20
30
40
50
60
70
80
90
100
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
10
/17
/11
10
/24
/11
10
/31
/11
11
/07
/11
11
/14
/11
11
/21
/11
11
/28
/11
12
/05
/11
12
/12
/11
12
/19
/11
12
/26
/11
01
/02
/12
01
/09
/12
01
/16
/12
01
/23
/12
01
/30
/12
02
/06
/12
02
/13
/12
02
/20
/12
02
/27
/12
03
/05
/12
03
/12
/12
03
/19
/12
03
/26
/12
04
/02
/12
04
/09
/12
04
/16
/12
Mill
ion
s
Hecla Mining Co. (NYSE: HL) Price and Volume
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Case Study – Hecla Mining
• Correlation to gold index remained favorable post mine closure
– Commodity exposure maintained
• Investment horizon: 3-5 years
– Passive strategy
• P/E of 8.16 vs. industry P/E 13.50
13 Do not sell Hecla Mining
REBALANCING
~
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Performance metrics
14
PERFORMANCE
Holding Period Return
Annualized Return
Volatility Sharpe Ratio
Undergraduates 6.29% 14.38% 16.35% 0.825
Constrained BM 7.31% 17.27% 12.50% 1.31
Russell 3000 10.48% 23.07% 17.46% 1.31
World Equity 5.90% 13.28% 16.01% 0.77
Non-Rebalanced 6.50% 14.84% 16.37% 0.85
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Fund Performance
15
PERFORMANCE
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
11/3/2011 12/3/2011 1/3/2012 2/3/2012 3/3/2012 4/3/2012
MSCI World Russell 3000 Portfolio Custom Benchmark Benchmark
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Fund Performance
16
PERFORMANCE
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
20.00%
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
Commodities
International
US Equity
Fixed Income
REIT
Portfolio
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Opportunity Costs
Views expressed on U.S. sectors
17
OPPORTUNITY COSTS
11.50%
11.60%
11.70%
11.80%
11.90%
12.00%
12.10%
12.20%
12.30%
12.40%
12.50%
Our Portfolio No Views
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Views Expressed on U.S. sectors
18
Sector Ticker Return Weight
Utilities VPU US 0.38% Neutral
Telecom VOX US 3.21% Neutral
Industrials VIS US 9.04% Overweight
Healthcare VHT US 12.10% Neutral
Information Tech VGT US 14.15% Overweight
Financials VFH US 13.18% Underweight
Energy VDE US -0.74% Overweight
Consumer Staples VDC US 8.95% Neutral
Consumer Disc. VCR US 13.97% Underweight - Neutral
Materials VAW US 5.21% Neutral
OPPORTUNITY COSTS
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Succession Planning
• Training for new members
– Bloomberg, Portfolio Theory, Asset Pricing
• Problems we encountered
• Hand-over portfolio
19
SUCCESSION
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
New Members
20
SUCCESSION
Aaron Baker Kenneth Qian Dakota Boyd Shane Carlin Charlotte DeMocker Andrew Farber Lorne Forcum Sean Gormley John Happe
Troy Hebert Clayton Jenners Dylan King Kai (Edwin) Lam Jaesung Lee Leo Panopoulos Adrian Reiter Brian Wright Yili Yu
INTRODUCTION
ASSET ALLOCATION
PERFORMANCE
OPPORTUNITY COSTS
SUCCESSION
QUESTIONS
REBALANCING
Undergraduate
SIM Fund
Student Investment Management Fund
Questions?
21
QUESTIONS
