SemiAnnual Presentation Friday April 26 th 2013 INTRODUCTION Fund Members Fund Managers Fund Analysts Aaron Baker Andrew Farber Clayton Jenners Dakota Boyd Dylan King John Happe ID: 934898
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Slide1
Undergraduate Student Investment Management Fund
Semi-Annual PresentationFriday, April 26th, 2013
INTRODUCTION
Slide2Fund Members
Fund Managers
Fund Analysts
Aaron Baker
Andrew Farber
Clayton
Jenners
Dakota Boyd
Dylan King
John
Happe
Kenneth
Qian
Leo
Panopoulos
Yili
Yu
Kai Lam
Jaesung
Lee
Lorne
Forcum
Brian Wright
Troy Hebert
Adrian Reiter
INTRODUCTION
Slide3Portfolio Strategy and Construction
Two Portfolio Strategies:Passive Portfolio
Market weightedContains multiple asset classesActive PortfolioIncorporates information on insider transactions100% U.S. equityRebalancingREVIEW
Slide4Passive Portfolio Overview
Initially represented
70% of our overall portfolio valueGoals Highly diverse, globalLow cost Easily scalable International tiltREVIEW
Slide5One US instrument and one international instrument per asset class (equity, bond, REIT)
EquitiesiShares
FTSE All World Ex-US (VEU)Schwab US Broad Market (SCHB)BondsiShares Barclays Intermediate Credit (CIU)Vanguard Total Bond Market (BND) REITsVanguard REIT Index (VNQ)SPDR Dow Jones International Real Estate (RWX)
Passive Portfolio
Strategy and Asset Classes
REVIEW
Slide6Active Portfolio
Insider Trading
Initially represented 30% of our total portflio valueUse information on insider positions to determine which stocks to purchaseHold 40 securities in active portfolioPurchase top 10 firms ranked by net number of opportunistic buyers (# insiders buying - # insiders selling) each weekHold each stock for 4 weeksREVIEW
Slide7The fund made the decision to rebalance the active portfolio so that it would represent 50% of our total portfolio value
This process began on 2/11/13 and was completed on 3/5/13 (4 weeks)
Rebalancing
REBALANCING
Slide8Purchase a larger amount of the ten individual stocks in the active portfolio
Each week, sell the stocks that we had purchased 4 weeks priorGradually liquidate position in SCHB ETF (U.S. Broad Market)
Process was completed on 3/5/13Rebalancing Method
REBALANCING
Slide9Initial Weights
REBALANCING
Slide10Final Weights
REBALANCING
Slide11Performance
Total Portfolio vs. Russell 3000
Total Portfolio vs. Custom BenchmarkActive Portfolio vs. Russell 3000Portfolio StatisticsPERFORMANCE
Slide12Total Portfolio vs. Russell 3000
PERFORMANCE
Slide13Total Portfolio vs. Custom Benchmark
20% Barclays U.S. Aggregate, 25% FTSE Index, 55% Russell 3000
PERFORMANCE
Slide14Active Portfolio vs. Russell 3000
PERFORMANCE
Slide15Portfolio Statistics
PERFORMANCE
Slide16Attribution
Active Sector Attribution
Sector Attribution vs. Russell 3000Active Size WeightsActive Size AttributionATTRIBUTION
Slide17Sector Attribution vs. Russell 3000
ATTRIBUTION
Slide18Active Sector Attribution
ATTRIBUTION
Slide19Active Size Weights
ATTRIBUTION
Slide20Active Size Attribution
ATTRIBUTION
Slide21Hypothetical Scenarios
Holding Period Analysis
Long/Short PortfolioMargin CallsHOLDING PERIOD
Slide22Holding Period Analysis
HOLDING PERIOD
Slide23SHORT SCENARIO
Short Portfolio
100% Active Short PortfolioLong/Short Portfolio50% Long, 50% ShortTotal Portfolio50% Active Long/Short, 50% PassiveSHORT SCENARIO
Slide24Short Portfolio Returns
SHORT SCENARIO
Slide25Long/Short Portfolio
SHORT SCENARIO
Slide26Margin Call Analysis
Margin Calls Occur when the equity in the account drops below the product of the current market value (CMV) of the shorted security and maintenance margin
SHORT SCENARIO
Slide27Margin Call Analysis
Assumptions:Initial Margin (IM): 50%
Maintenance Margin (MM): 30%SHORT SCENARIO
Slide28Margin Call Analysis
Example of Shorting Stock:
Short 100 Shares of ABC at $10 a shareRequired to post 50% Equity (Reg-T)SHORT SCENARIO
Slide29Margin Call Analysis
SHORT SCENARIO
Example of Shorting Stock:Price increase to $13/shareAmount to be paid back:
$13
x 100 shares = $1300
Equity
decreases to $200 ($1500 - $1200 = $300)
Margin
call occurs:
30% x $1300 = $390
$200 < $390
Required to bring equity to initial margin
Slide30Margin Calls
Date
TickerMagnitude11/30/2012ATML$1,017.9012/11/2012HRG$1,405.531/14/2013HPQ$1,237.111/14/2013DK$992.671/22/2013PCYC$1,057.352/1/2013VLO$1,023.78
2/13/2013
MAS
$1,023.00
3/8/2013
DF
$1,764.00
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SHORT SCENARIO
Slide31Total Portfolio Returns
SHORT SCENARIO