Undergraduate Student Investment Management Fund Panosian Jasmine Anglen Paul Farrington Sean...
Transcript of Undergraduate Student Investment Management Fund Panosian Jasmine Anglen Paul Farrington Sean...
Undergraduate Student Investment Management Fund
Semi-Annual Presentation
Friday December 6th, 2013
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Fund Members Fund Managers Fund Analysts
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Dakota Boyd
Clayton Jenners Adrian Reiter Andrew Farber Dylan King James Hert
Tro Panosian
Jasmine Anglen Logan Hurst
Paul Farrington Sean Gormley Alex Green Alasandro Fenston Vikas Bhagavatula
Justin Eastman
Marcus Schafer
Kyle Heck
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Insider transactions:
• Continue to develop more automated implementation
• Develop more informative signal, adjust weighting scheme
ADR Momentum:
• Diversify to international
• Avoid Universe overlap and conflicting trade signals
• Implement completely new strategy
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Strategy
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10%
10%
20%
20%
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20%
ADR Constituent 1
ADR Constituent 2
Insider Constituent 1
Insider Constituent 2
Insider Constituent 3
Insider Constituent 4
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Composition
Insider Transactions
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Insider Research • “Decoding Inside Information” – October 2010
• By: Lauren Cohen, Christopher Malloy, & Lukasz Pomorski
• Data Parameters • Form 4 – filed within 2 days of trade
• January, 1986 to December, 2007.
• Open-market purchases and sales
• Exclude options exercises and private transactions
• “Opportunistic” vs. “routine” traders
• Excess monthly returns • Opportunistic buys: 1.58%
• Routine buys: 0.87%
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Classifying Insiders
Su M T W Th F Sa Su M T W Th F Sa Su M T W Th F Sa
X = Routine Trader
2011 2012 2010
December
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X
X X X
X
X
X = Opportunistic Trader
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Sorting & Filtering
Classify Insiders
IPO Filter – 3 Years
Current Week’s Transaction
Rank: Net Buyers – Net Sellers
Market Capitalization Filter >$1.1bn
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Strategy
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Week 1
VRX
ABM
ACN
COV
ED
DVA
PCYC
ERIE
T
BRC
Week 3
BCOR
MDLZ
Y
SSS
AYR
FICO
EOG
SANM
ANDE
GPN
Week 2
AYR
SNV
RDN
MOG-A
FAST
NLY
RLI
HTS
CDE
PXD
Week 5
ACWI
ROLL
XOMA
BAC
KO
FCX
MPC
ORCL
PG
MRK
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Week 4
GMCR
HMSY
LEG
SPG
WEC
KMT
PPS
MOG-A
NCT
OKE
ADR Momentum
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
What is Momentum? • Jegadeesh and Titman
• Buy past winners, short past losers
• Time period: 1965 to 1989
• Calculated monthly returns for a variety of portfolios
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
International Momentum • Rouwenhorst
• Time period: 1980-1995
• International Momentum: • 12 developed countries • Ex. Austria, U.K, France, Germany, Spain
• Emerging Market Momentum: • 20 emerging countries
• Showed that momentum existed in International Equity
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Strategy • Lookback period : 12 months
• -12 to -2
• Rank ADR’s based on returns
• Invest in top decile
• Holding period: 2 months
• 2 rolling portfolios
• Any repeat signals will trigger a rebuy
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Dec. Nov.
Calculate returns Reversal
Dec. Buy Feb. Sell
Hold
Nov. Buy Jan. Sell
Hold
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Backtest • Monthly return data for all ADR’s
• Time period: 1980 – 2012
• Sample size : 396 months
• Outperformed Benchmark by: • .35% monthly
• 4.31% yearly
2 Month HP Statistics (MOM)
Avg Mnthly RET: 1.35%
Avg Yearly RET: 17.47%
Std Dev: 6.26% $0.10
$1.00
$10.00
$100.00
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Growth of $1 Invested (Log)
Momentum Portfolio Equal-Weighted Benchmark
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
ADR Universe Over 2,500 ADR’s on
Bloomberg
Exchange Filter: • NYSE, AMEX, NASDAQ
Market Cap Filter: • Over $1.1 Billion
Volume Filter: • Over 150,000 shares
average daily trading
Investable Universe: • 149 ADR’s
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Bloomberg Web Scraper
Retrieve daily price data for the last year for each ADR
Calculates Momentum Returns.
Ranks universe based on momentum returns
Outputs the top decile (14 ADR’s)
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Filtering the Top Decile • Country of Origin Cap
• [ # of ADRs for x country / total # of ADRs ] • Capped most of our countries at 1 security
• 35% filter • No country could make up more than 35% of our portfolios
• Max of 5 stocks per country per portfolio
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Ticker Country VIPS China
HIMX Taiwan
YGE China
TSL China
QIHU China
NOAH China
ALU France
BITA China
SFUN China
CTRP China
NOK Finland
IRE Ireland
MPEL Hong Kong
EJ China
Ticker Country VIPS China
HIMX Taiwan
QIHU China
ALU France
SFUN China
CTRP China
NOK Finland
IRE Ireland
MPEL Hong Kong
EJ China
NMR Japan
BFR Argentina
YPF Argentina
TEO Argentina
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Holdings
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
52.99
21.92 25.24
18.24
0
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ADR Momentum Insider Trading Aggregate Russell 3000
Portfolio Holdings – P/E Ratio Analysis
47%
26%
27%
Aggregate
Large Cap Mid Cap Small Cap
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71%
15%
14%
ADR Momentum
42%
30%
28%
Insider Transactions
Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Holdings - Size
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Holdings - Sector
19%
27%
3% 7% 4%
11%
17%
6% 3% 3%
Aggregate Portfolio
Information Technology Financials Consumer Discretionary Energy
Telecommunication Services Health Care Industrials Consumer Staples
19%
15%
15% 13%
12%
9%
8%
5% 4%
Russell 3000
17%
27%
6% 3%
14%
20%
7% 3% 3%
Insider Transactions
34%
30%
20%
9%
7%
ADR Momentum
Conclusion
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Portfolio Returns Benchmark Returns
ADR 1.87% -0.0002% (Custom)
Insider 1.06% 0.35% (Russell 3000)
Aggregate 0.81% 0.35% (Russell 3000)
Portfolio Performance
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Case Study: Moog Incorporated • MOG.A – Moog Incorporated
• Designs control systems for Aerospace and Defense Industries
• Week of 11/11/2013 through 11/15/2013 Insider Transactions generate buy signal
• Purchase order Submitted by SIM Fund on 11/18/2013
• 11/19/2013 Moog Announces call back of $200MM, 7.25% Senior Subordinated Notes
• Continue weekly tracking of performance, attribution and holdings
• Long/Short simulation for Insider and ADR portfolios
• Signal Strength optimization for Insider
• Continue to automate as much of the seeding process as possible
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Undergraduate SIM Fund
Introduction
Research Implementation
Overview Insider Transactions
Portfolio Construction
ADR Momentum
Student Investment Management Fund
Future Plans