StoneCastle Investment Management 2nd Quarter Update€¦ · Real Estate Technology Telecom...
Transcript of StoneCastle Investment Management 2nd Quarter Update€¦ · Real Estate Technology Telecom...
REDWOOD ASSET MANAGEMENT INC. 1
StoneCastle Investment Management2nd Quarter Update
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Overview
• Bear Market Indicators
• Economy
• Markets
• Sectors
• Opportunity Ahead
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StoneCastle Investment Management
• Redwood Income Growth Class – Yielding Equities• Redwood Equity Growth Class – Growth Equities
• StoneCastle Investment Management is a quantitative-oriented investment firm focused on the management of Canadian equities.
• StoneCastle is led by Bruce Campbell, B. Comm., CFA, CAIA a financial professional with over 22 years experience in discretionary investment management
• StoneCastle manages two mutual funds for Redwood using their earnings growth/relative strength focused quantitative approach:
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Fund Performance as at June 5th, 2015
Total Return % (05/06/2014) 1-Month 3-Month YTD 1-Year 3-Year 5-Year
Redwood Equity Growth Class 2.16 8.04 10.05 14.63 23.39 12.85
Category (Canadian Small/Mid Cap Equity) 0.73 3.25 6.00 -0.36 14.55 11.48
+/- Category (Canadian Small/Mid Cap Equity) 1.43 4.79 4.05 15.00 8.85 1.37
Rank in Category / # of Funds 21/200 3/- 19/193 5/187 16/147 42/120
Redwood Equity Growth Class
Total Return % (05/06/2014) 1-Month 3-Month YTD 1-Year 3-Year
Redwood Income Growth Class -2.10 0.62 3.70 3.40 11.10
Category (Canadian Dividend & Income Equity) -1.32 -1.00 1.28 1.44 11.95
+/- Category (Canadian Dividend & Income Equity) -0.78 1.62 2.42 1.96 -0.86
Rank in Category / # of Funds 72/478 8/- 14/465 33/445 66/312
Redwood Income Growth Class
Source: Morningstar Research
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16-18 Year Cycles
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Valuation Low Jeff Saut – Raymond James
Source: Jeff Saut, Raymond James
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Structural Fair Market Vs. Bull Market
Source: Dorsey Wright & Associates
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10 Year CAGR
10 Year CAGR is 4.4% today. Average since 1800=9.1% and tops our in mid teens
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Bear Market Indicators
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LEI and 18 Month Moving Average
Source: Bloomberg
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Energy80% Rise in 12 Months
80% Increase = $81.52
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Financial Conditions Index
Source: Bloomberg
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Unemployment and 12 Month Moving Average
Source: Bloomberg
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ISM Manufacturing
Source: Bespoke
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Citi Economic Surprise Index
Source: Bloomberg
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Consumer Comfort Index
Source: Bloomberg
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Valuation
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Equities - Favored Asset Class
Source: Dorsey Wright
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What’s the Bond Market Telling Us?
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NYSE Monthly Momentum
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S&P/TSX Monthly Momentum
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Weekly MACD Positive
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Pros Have Given Up Control
Source: Whiteside Research
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Pros About to Give Up Control
Source: Whiteside Research
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S&P/TSX SectorsNegative
Source: Whiteside Research
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S&P/TSX SectorsPositive
Source: Whiteside Research
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S&P/TSX Sectors
Source: Stockcharts, RRG
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TSX Monthly ReturnsMay and June
Source: Bloomberg
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S&P 500 Monthly ReturnsMay and June
Source: Bloomberg
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Sector Allocation Redwood Equity Growth Fund
Communications Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Materials
Technology
SECTOR WEIGHTINGS ‐ Q1
Communications Consumer Discretiona
ry
Consumer Staples
Cash
Energy
FinancialsHealth Care
Industrials
Materials
Technology
SECTOR WEIGHTINGS ‐ Q2
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Sector Allocation Redwood Income Growth Fund
Consumer Discretionary
Energy
Financials
Health Care
Industrials
Real Estate
Technology
Telecom
Transportation
Utilities
SECTOR WEIGHTINGS – Q1
Cash
Capital Goods
Consumer Disc
Consumer Staples
Energy
FinancialsHealth Care
Industrials
Real Estate
Technology
Transportation
Utilities
SECTOR WEIGHTINGS – Q2
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Fund Attributes
Attribute S&P TSX Redwood Income Growth
Beta 1.00 0.70
Expected Yield 2.90% 5.44%
Quarterly EPS Growth ‐4.80% ‐2.50%
NY EPS Growth 25.00% 19.40%
Attribute S&P TSX Redwood Equity Growth
ROE 10.50 % 11.10%
Quarterly EPS Growth ‐4.80% 4.20%
Quarterly Earnings Surprise 1.60% 3.50%
NY ESP Growth 19.40% 43.00%
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Statistics – Volatility MetricsRedwood Equity Growth Class
3‐Year Trailing Redwood Equity Growth
S&P/TSX Completion
Canadian Small/Mid Cap Equity
Standard Deviation 10.74 8.31 9.77
Return 23.48 10.21 14.18
Sharpe Ratio 1.94 1.10 1.41
R‐Squared 36.90 100 80.36
Alpha 13.69 ‐ 0.50
Beta 0.79 ‐ 1.00Upside & Downside Capture 1‐Year 3‐Year
Redwood Equity Growth 75.83‐12.81
104.61‐49.70
Canadian Small/Mid Cap Equity 78.22 72.49
88.6050.66
Source: Morningstar. Data as of May 31, 2015
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Statistics – Volatility MetricsRedwood Income Growth Class
3‐Year Trailing Redwood Income Growth
S&P/TSX Total Return
Canadian Dividend & Income Equity
Standard Deviation 7.10 7.28 6.61
Return 10.64 12.58 11.68
Sharpe Ratio 1.33 1.54 1.63
R‐Squared 29.52 100 63.66
Alpha 3.50 ‐ 3.19
Beta 0.53 ‐ 0.60
Upside & Downside Capture 1‐Year 3‐Year
Redwood Income Growth 67.1563.87
63.7820.38
Canadian Dividend & Income Equity 73.0182.64
79.6555.96
Source: Morningstar. Data as of May 31, 2015
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The Playbook
• Indicators are in Neutral
• Seasonally weaker time of the year
• Bear market warning signs are not present
• Watch indicators for changes
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Back to OffenseSeptember 2010 to February 2011
32.5%
12.8%
Source: GlobeFund
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Back to OffenseSeptember 2012 to January 2014
39.7%
11.2%
Source: GlobeFund
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Questions?
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Contact Info
Bruce Campbell, CFA, [email protected]
Jordan Youl, [email protected]
205‐1708 Dolphin AveKelowna, BCV1Y 9S4
Phone: 250‐448‐6475Toll Free: 866‐780‐6475