Download - Fin 340 PowerPoint Presntation
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Sean McCormickRyan Tamashiro
Ashley Tran
Titan Funds
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Overview
1.Directive2.Performance3.Economic Outlook/ Portfolio Strategy4.Risk Management5.Conclusion and “Take Aways”
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Directive
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Performance
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Performance Overview
$339.30 (+.34%)
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Portfolio MetricsTitan Funds S&P 500
Beta:
HPR:
Avg. Daily Return:
Daily STDEV:
Daily Sharpe Ratio:
Annualized Sharpe Ratio:
.34%.25
.01%
.31%.02.32
15.53%.19%.67%.29
4.60
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Management MetricsTitan Funds
Alpha:
P-Value:
R Square:
Daily Sharpe Ratio:
.31-.0154
.30
.02
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Performance Charts
Series 1 – Titan FundsSeries 2 – S&P 500
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Portfolio Strategy
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Strategies1.Cyclical Sector Strategy2.Bearish U.S. Treasuries3.USD vs. Euro4.Bullish Eurozone5.Oil Play
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Cyclical Sector Strategy- Pairs Trading Strategy
- Technology/Financial Outperform
- Market/Economic Cycle- Sector Rotation
#1Strategy:Long: Nasdaq 100 (QQQ)Long: Financial Sector (XLF)
Short: SP500 (SPY)
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Bearish U.S. Treasury #2- Improving economic conditions- Fed raising interest rates- Inverse yield/price relationship- High convexity on 20 year
STRATEGY:SHORT: U.S TREASURIES (TLT)
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USD vs. Euro #3- ECB negative interest rates- ECB increased asset purchases- Rising U.S. interest rates- USD appreciate vs. Euro
Strategy:Long: U.S. Dollar (UUP)
Short: Euro (FXE)
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Bullish Eurozone- Aggressive monetary policies
- Stimulate Spending- Increase Exports
- Lower oil prices- Increased government spending
Strategy:Long: Eurozone (IEV)
#4
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Bearish Oil- Negative Supply Pressures
- Negative Demand Pressures
- Iran- O.P.E.C.
- China Slowing- Eurozone Recession
#5Strategy:Long: Exxon Mobile (XOM)
Short: Oil (USO)
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Risk Management- Diversification of Strategies
- Asset allocation- Correlation of assets
- 10% Stop loss on all positions- Reduce Basis through DCA
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Conclusions