PROCESS W. P. Carey School of Business · 2018-10-10 · PROCESS W. P. Carey School of Business...

UndergraduateUndergraduateSIM F dSIM F dSIM FundSIM Fund

Student Investment Management Student Investment Management FundFund

INTRODUCTION

QUANTITATIVE

INTRODUCTIONINTRODUCTION

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

W. P. Carey School of BusinessINVESTMENTSELECTION

FUNDPERFORMANCE

Undergraduate FundPERFORMANCE

ATTRIBUTIONANALYSIS

Semi-Annual MeetingDecember 3rd, 2010

CONCLUSION

APPENDICES

Today’s AgendaINTRODUCTION

QUANTITATIVE

Today s Agenda

• Team introduction & fund objectivesINTRODUCTIONINTRODUCTION

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

j• Investment selection• Fund performance

INVESTMENTSELECTION

FUNDPERFORMANCE

• Risk and return attribution• Lessons learned & conclusion

PERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

T INTRODUCTION

QUANTITATIVE

Fundamental AnalystsFund ManagerQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Tom Bochenko

Fund Manager

Tyler RivesJay Joshi

INVESTMENTSELECTION

FUNDPERFORMANCE

Quantitative Analysts

R b HillMichael Cohn Vincent Mendez

PERFORMANCE

ATTRIBUTIONANALYSIS

Rob Hill

Ryan DetlaffNate Irwin Dan Tram

CONCLUSION

APPENDICES

Ryan Detlaff

Steven KutosCole Jackson

Investment CharterINTRODUCTION

QUANTITATIVE

Investment Charter

• Long term focusINTRODUCTIONINTRODUCTION

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

g• Portfolio constraints

INVESTMENTSELECTION

FUNDPERFORMANCE

• ≤ 95% Equity (up to 25% in Foreign Equity)• ≤ 20% Fixed Income

0% C hPERFORMANCE

ATTRIBUTIONANALYSIS

• ≤ 10% Cash• ≤ 25% in a single sector• ≤ 15% i i l U S G iCONCLUSION

APPENDICES

• ≤ 15% in a single non U.S. Gov. issuer

D fi i h P blINTRODUCTION

QUANTITATIVE

Defining the Problem

Ch t t i t

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

• Charter constraints

• Quantitative and fundamental INVESTMENTSELECTION

FUNDPERFORMANCE

analysis

• Optimization methodsPERFORMANCE

ATTRIBUTIONANALYSIS

• Optimization methods

CONCLUSION

APPENDICES

Our Solution: Asset Allocation

INTRODUCTION

QUANTITATIVEQUANTITATIVEQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Quantitative ProcessQUANTITATIVE

PROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

MVO|Black-LittermanPERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

INTRODUCTION

QUANTITATIVEQUANTITATIVEQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Constrained MVO Data

QUANTITATIVEPROCESS

INVESTMENTSELECTION

FUNDPERFORMANCEPERFORMANCE

ATTRIBUTIONANALYSIS FI Ex-US US

CONCLUSION

APPENDICES

Mean Variance OptimizationINTRODUCTION

QUANTITATIVE

Mean Variance OptimizationConstraints/Inputs

QUANTITATIVEQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Asset Class Cash Fixed Income

Ex-US Equity

US Equity

QUANTITATIVEPROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

Constraint(1st)

1% 20% 25% 95%

PERFORMANCE

ATTRIBUTIONANALYSIS

InputsCONCLUSION

APPENDICES

Returns• Historical vs. Expected

• Rolling Betas

Risk•Volatility

• Correlations – 7 years

Unconstrained ConstraineINTRODUCTION

QUANTITATIVEQUANTITATIVE

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

QUANTITATIVEPROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

PERFORMANCE

ATTRIBUTIONANALYSIS

Asset Allocation WeightsCONCLUSION

APPENDICES

Cash Fixed Income Ex-USEquity

US Equity

1.00% 16.35% 21.06% 61.59%

INTRODUCTION

QUANTITATIVE

Current U.S. Equity Market Weights

QUANTITATIVE

Constrained MVO Data

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

QUANTITATIVEPROCESS

FI Ex-US US

INVESTMENTSELECTION

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

10*as of 9/30/10

INTRODUCTION

QUANTITATIVE

FI Ex-US US

FUNDAMENTALPROCESS

QUANTITATIVEPROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

Black-Litt

Fundamental Analysis DataPERFORMANCE

ATTRIBUTIONANALYSIS

LittermanAnalysis Data

CONCLUSION

APPENDICES

Sector Weights

Black-Litterman ResultsINTRODUCTION

QUANTITATIVE

Black-Litterman Results

FUNDAMENTALPROCESS 15%

20%QUANTITATIVE

PROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

PERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

12Market Weights B-L Weights

INTRODUCTION

FUNDAMENTALPROCESS

Fundamental ProcessFUNDAMENTAL

PROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

Industry AnalysisPERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

Industry AnalysisINTRODUCTION

QUANTITATIVE

Industry Analysis

Industry overviewQUANTITATIVE

PROCESS

FUNDAMENTALPROCESS

y─ Current position of each sector─ CompositionFUNDAMENTAL

PROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

Fundamental analysis─ Historical returns and volatility

M i tPERFORMANCE

ATTRIBUTIONANALYSIS

─ Macroeconomic events─ Sector drivers

CONCLUSION

APPENDICES

Fundamental Example FinancialsINTRODUCTION

QUANTITATIVE

Fundamental Example – Financials

• Macro events: regulation banking restrictionsQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

• Macro events: regulation, banking restrictions

• Drivers: rate of recovery unemployment real INVESTMENTSELECTION

FUNDPERFORMANCE

• Drivers: rate of recovery, unemployment, real estate prices, vacancies and supply

PERFORMANCE

ATTRIBUTIONANALYSIS

• Decision: underweight relative to market– 9/30/10 Market holds 16.00%

CONCLUSION

APPENDICES

9/30/10 Market holds 16.00%– SIMF target weight 5.96%

INTRODUCTION

FUNDAMENTALPROCESS

Investment SelectionINVESTMENTSELECTION

FUNDPERFORMANCE

INVESTMENT SELECTION

PERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

ETF S l iINTRODUCTION

QUANTITATIVE

ETF Selection

General ConsiderationsSector Ticker

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

General Considerations

• Holdings overlap• Expense ratio

Consumer Discretionary XLY

Con Staples VDC

Energy VDEINVESTMENTSELECTION

FUNDPERFORMANCE

Expense ratio• Tracking error• Composition

Li idi

Energy VDE

Financials XLF

Healthcare VHT

PERFORMANCE

ATTRIBUTIONANALYSIS

• LiquidityIndustrials VIS

Technology XLKCONCLUSION

APPENDICES

Utilities XLU

Ex-Us VFWIX

Fi d I IPE17

Fixed Income IPE

Fixed IncomeINTRODUCTION

QUANTITATIVE

Fixed Income

Ch t t i tiQUANTITATIVEPROCESS

FUNDAMENTALPROCESS

• Charter restrictions

• Breakeven inflation from TIPSINVESTMENTSELECTION

FUNDPERFORMANCE

• Breakeven inflation from TIPS

• Long-term inflation → TIPS

PERFORMANCE

ATTRIBUTIONANALYSIS

Long term inflation → TIPS

• TIPS negative yieldCONCLUSION

APPENDICES

• IPE in lieu of TIP

INTRODUCTION

FUNDAMENTALPROCESS

Fund PerformanceINVESTMENTSELECTION

FUNDPERFORMANCE

FUND PERFORMANCEPERFORMANCE

ATTRIBUTIONANALYSIS

PERFORMANCE

CONCLUSION

APPENDICES

H ldiINTRODUCTION

QUANTITATIVE

HoldingsSector Ticker Weight

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Consumer Discretionary XLY 9.77%

Con Staples VDC 12.64%

E VDE 8 00%INVESTMENTSELECTION

FUNDPERFORMANCE

Energy VDE 8.00%

Financials XLF 3.52%

Healthcare VHT 9.57%FUND PERFORMANCEPERFORMANCE

ATTRIBUTIONANALYSIS

ea t ca e V 9.57%

Industrials VIS 2.57%

Technology XLK 12.63%

PERFORMANCE

CONCLUSION

APPENDICES

Utilities XLU 3.35%

Ex-Us VFWIX 21.27%

TIPS (Fi d I ) IPE 15 72%20

TIPS (Fixed Income) IPE 15.72%

BenchmarksINTRODUCTION

QUANTITATIVE

Benchmarks

• MSCI World Equity IndexQUANTITATIVE

PROCESS

FUNDAMENTALPROCESS

q y• S&P 500 US Index• Composite Index

INVESTMENTSELECTION

FUNDPERFORMANCE

• 60% US Equity• 25% Ex-US Equity

% S G d bFUND

PERFORMANCEPERFORMANCE

ATTRIBUTIONANALYSIS

• 14% US Investment Grade Debt• 1% Cash

PERFORMANCE

CONCLUSION

APPENDICES

Fund PerformanceINTRODUCTION

QUANTITATIVE

Fund Performance

6.00%QUANTITATIVE

PROCESS

FUNDAMENTALPROCESS

INVESTMENTSELECTION

FUNDPERFORMANCE

FUND PERFORMANCE

PERFORMANCE

ATTRIBUTIONANALYSIS

PERFORMANCE

CONCLUSION

APPENDICES -1.00%

Undergrad Constraint S&P 500 MSCI World

Fund PerformanceINTRODUCTION

QUANTITATIVE

Fund Performance

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS

Over Holding Period

Annualized Volatility Sharpe Ratio

Undergraduates 1.37% 9.44% 13.46% .252

INVESTMENTSELECTION

FUNDPERFORMANCE

Constrained BM 1.25% 8.58% 13.76% .231

S&P 500 2.54% 18.08% 15.28% .462FUND PERFORMANCEPERFORMANCE

ATTRIBUTIONANALYSIS

S& 500 .5 % 8.08% 5. 8% . 6

World Equity 0.42% 2.8% 16.37% .069

PERFORMANCE

CONCLUSION

APPENDICES

INTRODUCTION

FUNDAMENTALPROCESS

Attribution AnalysisINVESTMENTSELECTION

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

Risk AnalysisINTRODUCTION

QUANTITATIVE

Risk Analysis

Con Discretionary

Return vs. Volatility (Bubble Size Represents Weight in Portfolio)

QUANTITATIVEPROCESS

FUNDAMENTALPROCESS 12.00%

15.00%Con Staples

Energy

Financials

INVESTMENTSELECTION

FUNDPERFORMANCE 6 00%

Healthcare

Industrials

Technology

UtilitiRet

PERFORMANCE

ATTRIBUTIONANALYSIS

S&P 5003.00%

6.00% Utilities

TIPS Fund

CONCLUSION

APPENDICES

ConstraintMSCI World

0.00%-2.00% 2.00% 6.00% 10.00% 14.00% 18.00% 22.00% 26.00%

Constraint

S&P 500

-3.00%MSCI WorldVolatility

Going ForwardINTRODUCTION

QUANTITATIVE

Going Forward

• Continual monitoring of riskQUANTITATIVE

PROCESS

FUNDAMENTALPROCESS

g• Monthly attribution framework • Rebalance as necessary to match opinions

INVESTMENTSELECTION

FUNDPERFORMANCE

• Improve• IPE and liquidity

PERFORMANCE

ATTRIBUTIONANALYSIS

CONCLUSION

APPENDICES

CONCLUSION

PROCESS W. P. Carey School of Business · 2018-10-10 · PROCESS W. P. Carey School of Business...

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