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

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

Student Investment Management FundStudent Investment Management Fund

IntroductionIntroductionIntroduction

Asset Allocation

Portfolio Update W. P. Carey School of BusinessOpportunity Cost

Education Undergraduate Fund

y

Succession

gSemi-Annual Meeting

April 29th, 2011

1



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

2



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

3



Introduction

Asset Allocation

Portfolio Update Review of Asset Allocation

Asset AllocationAsset Allocation

Opportunity Cost

Education

Succession

4



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

5



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



Introduction

Asset Allocation

Portfolio Update Portfolio UpdatePortfolio UpdatePortfolio Update

Opportunity Cost

Education

p

Succession

7



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



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



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% % %

10



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%



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

12



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%

13

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



Introduction

Asset Allocation

Portfolio Update Opportunity CostsOpportunity Cost

Education

pp yOpportunity CostsOpportunity Costs

Succession

14



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

15



Without ConstraintsIntroduction

Without Constraints14

Portfolio Performance

Asset Allocation

Portfolio Update 10

12

Opportunity Cost

Education6

8

Ret

urn

Perc

enta

ge


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

16



Without RebalancingIntroduction

Without Rebalancing

12

14Portfolio Performance

Asset Allocation

Portfolio Update

8

10

12

tage

Opportunity Cost

Education 4

6

8

tal R

etur

n Pe

rcen

t


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



Introduction

Asset Allocation

Portfolio Update EducationOpportunity Cost

EducationEducationEducation

Succession

18



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

19



Introduction

Asset Allocation

Portfolio Update Succession PlanningOpportunity Cost

Education

g

SuccessionSuccessionSuccession

20



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

21



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

22



Bio on new managersIntroduction Michael Cohn

• Sophomore, Finance & Mathematics major

g

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.

23



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)

24

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

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