introduction asset w. p. carey school of business · 2018-10-10 · portfolio update w. p. carey...

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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IntroductionIntroductionIntroduction

Asset Allocation

Portfolio Update W. P. Carey School of BusinessOpportunity Cost

Education Undergraduate Fund

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Succession

gSemi-Annual Meeting

April 29th, 2011

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T d ’ A dIntroduction

Today’s Agenda

T I t d ti

IntroductionIntroduction

Asset Allocation

Portfolio Update

• Team Introduction• Review of Asset Allocation Strategy

Opportunity Cost

Education

gy• Portfolio PerformanceO i C

Succession

• Opportunity Costs• Succession

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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T Introduction

Team

Fundamental AnalystsFund Manager

IntroductionIntroduction

Asset Allocation

Portfolio Update

y

Tom Bochenko

Fund Manager

Tyler RivesVincent Mendez

Opportunity Cost

Education

Quantitative Analysts

R b HillMichael Cohn Dan Tram

Succession

Rob Hill

Ryan DetlaffJay Joshi

Ryan Detlaff

Steven Kutos

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Introduction

Asset Allocation

Portfolio Update Review of Asset Allocation

Asset AllocationAsset Allocation

Opportunity Cost

Education

Succession

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M V i O i iIntroduction

Mean‐Variance OptimizerAsset Allocation

Portfolio Update Constrained MVO Data

Asset AllocationAsset Allocation

Opportunity Cost

Education

MVO

Succession

FI Ex-US US

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Bl k Li M d lIntroduction

Black‐Litterman ModelAsset Allocation

Portfolio Update

FI Ex-US USAsset AllocationAsset Allocation

Opportunity Cost

Education

Succession Black-Litterman

Fundamental Analysis

Data

Sector Weights6

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Introduction

Asset Allocation

Portfolio Update Portfolio UpdatePortfolio UpdatePortfolio Update

Opportunity Cost

Education

p

Succession

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P f G hIntroduction

Performance Graph40.00%

Undergraduate SIM Fund

Asset Allocation

Portfolio UpdatePortfolio UpdatePortfolio Update VDE

30.00%

35.00%

XLY

Opportunity Cost

Education 20.00%

25.00%

urn

VDC

VDE

XLF

VHT

VIS

SuccessionXLY

VHT

VIS

SIMF10 00%

15.00%

20.00%

Tot

al R

etu VIS

XLK

XLU

VFWIX

IPE

VDC

VFWIX

SHY

XLB

SIMF

0 00%

5.00%

10.00%SHY

XLB

CASH

SIMF

SHY

-5.00%

0.00%-1.00% 4.00% 9.00% 14.00% 19.00%

Standard Deviation8

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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SIMF P fIntroduction

SIMF Performance18.00%

Asset Allocation

Portfolio Update14.00%

16.00%

Portfolio UpdatePortfolio Update

Opportunity Cost

Education

10.00%

12.00%

"SIMF"

Succession6.00%

8.00%

SIMF

"Custom Benchmark"

"Russell 3000"

2.00%

4.00%

-2.00%

0.00%10/6/2010 11/04/2010 12/03/2010 01/05/2011 02/04/2011 03/08/2011 04/06/2011 9

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Performance vs. benchmarks table w/Introduction

Performance vs. benchmarks table w/ volatility

Asset Allocation

Portfolio UpdatePortfolio UpdatePortfolio Update

Return Annualized Return Volatility Sharpe

SIMF 10 12% 19 87% 12 1% 56Opportunity Cost

Education

SIMF 10.12% 19.87% 12.1% .56

Custom Benchmark

10.7% 21.1% 12.5% .59

SuccessionRussell 3000 19.5% 31.7% 14.7% .82

MSCI World 11.8% 24.47% 14.4% .64% % %

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HoldingsIntroduction

gSector Ticker Original Weight

Consumer XLY 9.8%Asset Allocation

Portfolio Update

Discretionary

Con Staples VDC 12.6%

Energy VDE 8 0%Portfolio UpdatePortfolio Update

Opportunity Cost

Education

Energy VDE 8.0%

Financials XLF 3.5%

Healthcare VHT 9.6%

Succession

Industrials VIS 2.6%

Technology XLK 12.6%

Utilities XLU 3.4%

Ex-Us VFWIX 21.3%

TIPS IPE 15 7%11

TIPS IPE 15.7%

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R b l iIntroduction

Rebalancing

Eli i ti D iftAsset Allocation

Portfolio Update

• Eliminating Drift• TurnoverPortfolio UpdatePortfolio Update

Opportunity Cost

Education

• Change in asset allocation

Succession

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HoldingsIntroduction

gSector Ticker Original Weight Current Weight ChangeConsumer XLY 9.8% 6.81% -2.99%

Asset Allocation

Portfolio Update

DiscretionaryCon Staples VDC 12.6% 3.75% -8.86%Energy VDE 8 0% 9 78% 1 78%

Portfolio UpdatePortfolio Update

Opportunity Cost

Education

Energy VDE 8.0% 9.78% 1.78%Financials XLF 3.5% 13.58% 10.08%Healthcare VHT 9.6% 5.22% -4.38%

Succession

Industrials VIS 2.6% 7.76% 5.16%Technology XLK 12.6% 14.06% 1.46%Utiliti XLU 3 4% 0 00% 3 40%Utilities XLU 3.4% 0.00% -3.40%Ex-Us VFWIX 21.3% 25.00% 3.7%TIPS IPE 15.7% 0.00% -15.7%

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% % %1-3 yr Treasury SHY 0% 12.14% 12.14%

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Introduction

Asset Allocation

Portfolio Update Opportunity CostsOpportunity Cost

Education

pp yOpportunity CostsOpportunity Costs

Succession

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Without Geographic ConstraintsIntroduction

Without Geographic Constraints14

Portfolio Performance

Asset Allocation

Portfolio Update 10

12

enta

ge

Opportunity Cost

Education

6

8

turn

Per

ce

Opportunity CostsOpportunity Costs

Succession2

4

Tota

l Ret

SIMF

SIMF NO GEO CONSTRAINT

-2

010/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011

SIMF No Geographical ConstraintsR 19 87% 23 33%Return 19.87% 23.33%

Volatility 12.09% 13.19%Sharpe Ratio 0.564 0.635

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Without ConstraintsIntroduction

Without Constraints14

Portfolio Performance

Asset Allocation

Portfolio Update 10

12

Opportunity Cost

Education6

8

Ret

urn

Perc

enta

ge

Opportunity CostsOpportunity Costs

Succession2

4

Tot

al R

SIMF Unconstrained Portfolio

-2

010/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011

SIMF No Constraints19 8 % 20 4 %Return 19.87% 20.47%

Volatility 12.09% 11.39%Sharpe Ratio 0.564 0.598

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Without RebalancingIntroduction

Without Rebalancing 

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14Portfolio Performance

Asset Allocation

Portfolio Update

8

10

12

tage

Opportunity Cost

Education 4

6

8

tal R

etur

n Pe

rcen

t

Opportunity CostsOpportunity Costs

Succession

0

2

4

Tot

SIMF

Drifting Portfolio

-2

10/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011

SIMF Drifting SIMF

Return 19.9% 21.0%Return 19.9% 21.0%

Volatility 12.1% 11.7%

Sharpe 0.56 0.6017

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Introduction

Asset Allocation

Portfolio Update EducationOpportunity Cost

EducationEducationEducation

Succession

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Ed iIntroduction

Education

M th d f P tf li C t tiAsset Allocation

Portfolio Update

• Methods of Portfolio Construction• Portfolio Analysis

Opportunity Cost

Education

y• Turnover, Rebalancing, MonitoringT l

EducationEducation

Succession

• Tools

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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Introduction

Asset Allocation

Portfolio Update Succession PlanningOpportunity Cost

Education

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SuccessionSuccessionSuccession

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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S i l iIntroduction

Succession planning

Ed tiAsset Allocation

Portfolio Update

• Education– Bloomberg

Opportunity Cost

Education

– Statistics and probability– Basic portfolios

Succession

Basic portfolios– Videos, readings, etc

F ll t i d b fSuccessionSuccession

• Fully trained before summer

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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R i iIntroduction

Recruiting

Cl i it il tiAsset Allocation

Portfolio Update

• Class visits, emails postings• Application to interview process

Opportunity Cost

Education

pp p• Trade‐offs when selecting applicants

SuccessionSuccessionSuccession

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Bio on new managersIntroduction Michael Cohn

• Sophomore, Finance & Mathematics major

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Asset Allocation

Portfolio Update

• Worked as a research assistant for the W. P. Carey School of Business and interned with Merrill Lynch's WM division.

• Run an online trading card business that has

Opportunity Cost

Education St K t

Run an online trading card business that has generated over $140,000 in revenue with a 28% cumulative profit margin

Succession

Steven Kutos• Junior, Finance  & Statistics major• Worked on a long/short pan‐European equity hedge 

f l h

SuccessionSuccession

fund last summer and spent the prior summer at LGT Capital Management as a summer intern. 

• Co‐leading the Investment Banking Industry Scholar program and have been a quantitative analyst forprogram and have been a quantitative analyst for the Student Investment Management this year.

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UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

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N M bIntroduction

New Members

A B k Finance & Mathematics H St d Ab d i P i FAsset Allocation

Portfolio Update

Aaron Baker (Statistics) Honors Study Abroad in Paris, France

Ajay G. Finance & Economics Working, Self-Employed

Fi & A tiOpportunity Cost

Education

Jenna Hoppe Finance & Accounting (minor in Economics) Interning with Vanguard

Jonathan Lozano Finance Undecided

K h Qi Mathematics, Finance & I i i h H L i ill

Succession

Kenneth Qian Mathematics, Finance & Economics Interning with Humana at Louisville

Michael Ham Finance & Management (Entrepreneurship) Interning with E&Y in Risk ManagementSuccessionSuccession

Rima Reddy Finance & Mathematics (Statistics) Interning with Goldman Sachs (Operations)

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