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Equity allocation

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    Equity allocation Equity allocation Presentation Transcript

    • Equity Selection Acedo * Fabia * Reyes * Sorbito * Vidamo
    • Fund DescriptionFund Size 100 million pesosLaunch Date March 23, 2013Fund Structure Equity FundFund Currency PhpManagement Fee 1% paInvestment Horizon Medium TermPolicy Constraints • Not less than 10% in government securities • Not more than 10% of the portfolio to be invested in any one stock or 10% of the issuers equity, whichever is smaller • No short positions • No leverage
    • Client RequirementsActuarial Return 10% net of fees and taxesActuarial Liability 350 Million pesos, 260 Million is matched by other assets fully dedicated and cash-flow matched with the liabilities to be paid out beyond 5 yearsActuarial Forecast 10 Million in liquid or near liquid assets.Others The fund must be fully invested except for 500,000 pesos in cash for operating expenses outside of management fees
    • Philippine Stock Market Outlook• Based on macroeconomic analysis, sectors we prefer are : Consumer Staples Utilities Financial Real estate Tourism
    • PSEi Correlation matrix Financials Holding firms Industrial Mining & oil Property Services Financials 1.00 0.94 0.88 0.63 0.96 0.82Holding firms 0.94 1.00 0.95 0.68 0.96 0.77 Industrial 0.88 0.95 1.00 0.72 0.95 0.77Mining & oil 0.63 0.68 0.72 1.00 0.68 0.76 Property 0.96 0.96 0.95 0.68 1.00 0.84 Services 0.82 0.77 0.77 0.76 0.84 1.00 RISK-RETURN STATS Expected Sharpe return Volatility Ratio Optimizer Financials 8.25 33.44 -0.01 0% Holding firms 16.64 43.64 0.13 30% Industrial 12.01 36.56 0.30 0% Mining & oil 23.77 51.71 -0.14 40% Property 5.92 43.61 0.32 0% Services 1.52 18.66 0.32 30%
    • Stock Selection Screening Fundamentals Cheap or Not P/E or P/B, etc. below its Peers Liquidity Higher Market Cap and Volume Leverage ROI with low leverage Growth Analysis of PEG, P/E and ROE Others Dividend Yield TechnicalsCandle sticks Chart 2007 up to date Risk – Return Statistics Risk and Return Sharpe Ratio Other Analysts’ Consensus Source Reuters Optimization per SectorMean-Variance Opt Min Variance and Expected Return > 15%
    • Banks RISK-RETURN STATS FUNDAMENTALS ALLOCATION Ave daily volume Mean Std. Var Sharpe Ratio P/B Dividend Yield (6-mo) Optimizer SECB 21.10 50.68 0.36 2.46 1.24 703,936.60 0.20 0.50 UBP 12.64 47.73 0.20 1.56 2.65 284,895.80 0.00 0.00 PNB 8.89 59.22 0.10 1.84 - 1,231,893.00 0.00 0.00 RCB 10.48 47.97 0.16 1.54 1.54 653,179.00 0.00 0.00 BPI 8.81 23.19 0.25 3.54 1.88 1,707,217.00 0.50 0.50 PSB 8.95 24.52 0.24 1.44 0.77 7,073.94 0.00 0.00 MBT 9.61 44.59 0.15 2.23 0.88 3,316,030.00 0.15 0.00 BDO 4.38 41.18 0.03 2.42 - 4,854,643.00 0.15 0.00 1.00 1.00 200 180 160 140 120 100 80 60 40 20 - Rizal Commercial Metropolitan Security Bank Union Bank of the Philippine Bank of the Philippine Savings BDO Unibank, Banking Bank & Trust Corporation Philippines, Inc. National Bank Philippine Islands Bank Inc. Corporation Company12/30/2011 97 66 56 30 55 85 68 53MAX 179 125 104 68 106 135 114 99MIN 16 20 12 9 33 36 20 18LAST PRICE 179 120 98 67 106 135 113 88
    • Holding Firms RISK-RETURN STATS FUNDAMENTALS ALLOCATION Sharpe Div. Ave daily volume P/B P/E Mean Std. Var Ratio Yield (6-mo) Optimizer JGS 21.66 81.65 0.23 1.71 11.73 0.81 2,095,162.00 0.25 0.00 AGI 18.24 63.89 0.24 2.59 19.01 1.80 17,434,400.00 0.10 0.00 DMC 36.33 74.87 0.45 3.68 13.56 0.00 2,042,333.00 0.20 0.00 SM 14.90 34.94 0.34 3.09 25.97 1.18 441,296.30 0.05 0.09 MPI 0.33 31.57 -0.08 1.40 20.02 0.61 34,343,560.00 0.10 0.55 AC 4.67 35.73 0.05 2.92 33.29 0.69 727,891.50 0.00 0.00 LPZ 7.14 72.58 0.06 0.74 5.69 0.00 6,542,529.00 0.00 0.00 AEV 37.46 52.09 0.66 3.42 13.97 3.23 1,428,067.00 0.30 0.36 FDC -0.86 75.51 -0.05 0.89 14.39 1.61 1,004,184.00 0.00 0.00 1.00 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 - (1.00) Metro Pacific Filinvest JG Summit Alliance Global DMCI Holdings, SM Investments Ayala Lopez Holdings Aboitiz Equity Investments Development Holdings, Inc. Group, Inc. Inc. Corporation Corporation Corporation Ventures, Inc. Corporation Corporation12/30/2011 3.22 2.34 3.72 6.37 1.30 5.74 1.63 3.68 1.21MAX 3.71 3.00 4.09 6.95 1.82 6.36 2.01 4.06 1.77MIN 0.53 0.41 0.90 5.21 0.82 5.08 (0.03) 1.70 (0.47)LAST PRICE 3.71 2.98 3.99 6.94 1.66 6.31 1.98 4.00 1.77
    • Mining and Oil RISK-RETURN STATS FUNDAMENTALS ALLOCATION Sharpe Ave daily volume P/E ROI EPS Div. Yield Mean Std. Var Ratio (6-mo) Optimizer SCC 39.90 57.08 0.65 14.83 20.79 15.57 0.00 272,644.90 100.00 0.20 PX 31.15 50.02 0.56 24.69 12.84 0.72 0.00 5,087,707.00 0.30 ORE -10.47 121.67 -0.11 9.51 16.00 0.36 0.00 868,180.30 0.00 AT 5.41 63.67 0.04 24.95 5.00 0.92 0.00 1,515,709.00 0.00 OV 18.30 59.55 0.26 25.00 10.32 0.00 0.00 327,079,700.00 0.02 OPMB -0.31 43.39 -0.08 12.96 11.57 0.00 0.00 36,268,030.00 0.00 BSC -5.76 41.79 -0.21 3.75 27.00 0.07 0.00 8,024,672.00 0.48 8.00 6.00 4.00 2.00 - (2.00) (4.00) (6.00) Atlas Consolidated Oriental Petroleum Semirara Mining Philex Mining Oriental Peninsula Mining and The Philodrill Basic Energy and Minerals Corporation Corporation Resources Group, Inc. Development Corporation Corporation Corporation Corporation12/30/2011 5.40 3.02 1.38 2.82 (3.82) (4.02) (1.67)MAX 5.56 3.31 2.48 3.16 (2.81) (3.58) (0.73)MIN 2.85 0.86 (0.92) 1.01 (4.77) (4.83) (2.21)LAST PRICE 5.56 2.86 1.19 3.09 (3.19) (3.86) (1.29)
    • Consumer RISK-RETURN STATS FUNDAMENTALS ALLOCATION Sharpe Ave daily volume EPS P/E Div. Yield EBITDA/SH Mean Std. Var Ratio (6-mo) Optimizer URC 28.80 65.32 0.39 1.04 23.69 1.58 1.45 2,095,162.00 0.00 JFC 14.86 23.11 0.51 1.20 30.70 1.73 2.08 17,434,400.00 0.30 1.00 RFM 31.14 78.10 0.36 0.08 22.42 6.37 0.09 2,042,333.00 0.20 0.00 SMC 12.48 40.28 0.24 1.49 14.28 4.83 6.02 441,296.30 0.00 PGOLD 70.65 12.11 5.59 0.38 0.00 0.00 34,343,560.00 0.20 0.00 PF 81.30 204.79 0.38 6.13 13.74 1.20 11.80 727,891.50 0.30 0.00 10.00 8.00 6.00 4.00 2.00 - (2.00) San Miguel Pure Foods Universal Robina Jollibee Foods Puregold Price Club, Inc. RFM Corporation San Miguel Corporation Company, Inc. Corporation Corporation12/30/2011 2.87 7.24 3.87 4.50 0.17 4.76MAX 3.72 8.01 4.55 4.84 1.61 5.16MIN 2.50 3.52 1.59 3.51 (1.51) 3.61LAST PRICE 3.65 5.60 4.64 4.74 1.56 4.74
    • Utilities, Telco and Other Services RISK-RETURN STATS FUNDAMENTALS ALLOCATION Sharpe Div. EPS P/E ebitda/sh Ave volume Mean Std. Var Ratio Yield Optimizer MER 23.55 47.96 0.43 3.45 20.75 3.12 5.95 638,988.10 0.30 0.25 FPH 1.06 67.00 -0.03 1.54 4.43 2.64 4.06 938,046.40 0.00 MWC 15.04 27.47 0.44 0.75 13.12 1.87 1.31 2,674,040.00 0.20 0.07 GLO -1.88 26.32 -0.19 0.31 20.83 5.78 62.51 88,292.99 0.36 TEL 2.20 15.49 -0.05 31.13 17.00 4.94 92.04 165,280.30 0.30 0.32 AP 41.07 50.67 0.75 0.84 0.00 3.43 0.87 2,783,387.00 0.20 0.00 Utilities 350 300 250 200 150 100 50 - Aboitiz Power Corporation Manila Electric Company First Philippine Holdings Corporation Manila Water Company, Inc.12/30/2011 30 247 62 19MAX 39 314 114 37MIN 3 39 15 9LAST PRICE 36 314 106 37
    • Telcommunication 3500 3000 2500 2000 1500 1000 500 0 Globe Telecom, Inc. Philippine Long Distance Telephone Company12/30/2011 1133 2453.28MAX 1499.79 2867.78MIN 710 1772.77LAST PRICE 1205 2792 Other Services 9.00 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 - Aboitiz Power First Philippine Holdings Manila Water Company, Philippine Long Distance Manila Electric Company Globe Telecom, Inc. Corporation Corporation Inc. Telephone Company 12/30/2011 3.39 5.51 4.12 2.97 7.03 7.81 MAX 3.65 5.75 4.73 3.61 7.31 7.96 MIN 1.22 3.65 2.72 2.21 6.57 7.48 LAST PRICE 3.58 5.75 4.66 3.61 7.09 7.93
    • Properties FUNDAMENTALS RISK-RETURN STATS ALLOCATION Sharpe Div. EPS P/E Ave volume Optimizer Mean Std. Var Ratio Yield RLC 2.19 62.39 -0.01 0.29 20.44 35.71 3,288,723.00 0.20 0.00 ALI 8.79 44.52 0.13 0.17 43.28 0.00 10,445,860.00 0.30 0.00 SMPH 10.78 25.52 0.30 0.15 30.72 29.36 14,866,540.00 0.20 0.80 MEG -7.26 71.97 -0.14 0.07 12.72 0.00 74,760,880.00 0.00 CPG 31.44 89.60 0.32 0.05 5.35 61.22 14,439,860.00 0.30 0.20 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 - (1.00) (2.00) (3.00) Robinsons Land Century Properties Ayala Land, Inc. SM Prime Holdings, Inc. Megaworld Corporation Corporation Group, Inc.12/30/2011 2.42 2.72 2.36 0.53 0.66MAX 3.19 3.47 2.94 6.94 1.66MIN 1.40 1.72 1.72 (0.62) (2.04)LAST PRICE 3.19 3.39 2.90 6.94 1.66
    • Final Picks Risk/return stats (using rolling 12-mo returns for the period Jan 2007 - Feb 2013) Expected FUND SIZE: Volatility Sharpe ratio return 100,000,000.00 Financials Security Bank Corporation 21.10 50.68 0.36 Operating expense: Bank of the Philippine Islands 8.81 23.19 0.25 500,000.00 Metropolitan Bank & Trust Company 9.61 44.59 0.15 BDO Unibank, Inc. 4.38 41.18 0.03 Management fee: Holding firms 1,000,000.00 JG Summit Holdings, Inc. 21.66 81.65 0.23 Alliance Global Group, Inc. 18.24 63.89 0.24 Investment in T-bills: DMCI Holdings, Inc. 36.33 74.87 0.45 10,000,000.00 SM Investments Corporation 14.90 34.94 0.34 TOTAL Available for EQUITY Metro Pacific Investments Corporation 0.33 31.57 (0.08) investment: Aboitiz Equity Ventures, Inc. 37.46 52.09 0.66 Mining & Oil 88,500,000.00 Semirara Mining Corporation 39.90 57.08 0.65 Total cost of equity allocation: Consumer Jollibee Foods Corporation 14.86 23.11 0.51 88,449,523.40 RFM Corporation 31.14 78.10 0.36 Excess cash: Puregold Price Club, Inc. 70.65 12.11 5.59 San Miguel Pure Foods Company, Inc. 81.30 204.79 0.38 50,476.60 Utilities, telco & other services Manila Electric Company 23.55 47.96 0.43 Manila Water Company, Inc. 15.04 27.47 0.44Portfolio Expected Philippine Long Distance Telephone Company 2.20 15.49 (0.05) 24.66 Aboitiz Power Corporation 41.07 50.67 0.75return PropertyPortfolio Volatility 54.01 Robinsons Land Corporation 2.19 62.39 (0.01)Sharpe ratio 0.406 Ayala Land, Inc. 8.79 44.52 0.13 SM Prime Holdings, Inc. 10.78 25.52 0.30 Century Properties Group, Inc. 31.44 89.60 0.32
    • Final Picks SECB BPI MBT BDO JGS AGI DMC SM p MPI SCC JFC RFM MER MWC TEL AP p RLC ALI SMPH CPGSecurity Bank Corporation 1.00Bank of the Philippine Islands 0.79 1.00Metropolitan Bank & Trust Company 0.91 0.83 1.00BDO Unibank, Inc. 0.95 0.81 0.93 1.00JG Summit Holdings, Inc. 0.91 0.66 0.90 0.93 1.00Alliance Global Group, Inc. 0.86 0.77 0.91 0.90 0.91 1.00DMCI Holdings, Inc. 0.85 0.66 0.90 0.89 0.93 0.94 1.00SM Investments Corporation 0.86 0.88 0.96 0.90 0.84 0.89 0.88 1.00Metro Pacific Investments Corporation 0.35 0.62 0.39 0.41 0.30 0.46 0.40 0.56 1.00Aboitiz Equity Ventures, Inc. 0.64 0.49 0.73 0.67 0.82 0.79 0.78 0.63 0.10Semirara Mining Corporation 0.49 0.19 0.40 0.56 0.70 0.60 0.62 0.33 0.00 1.00Jollibee Foods Corporation 0.73 0.71 0.85 0.80 0.78 0.78 0.80 0.86 0.39 0.45 1.00RFM Corporation 0.79 0.79 0.87 0.85 0.82 0.78 0.76 0.85 0.40 0.39 0.74 1.00Manila Electric Company 0.32 0.34 0.48 0.36 0.33 0.50 0.55 0.54 0.41 (0.08) 0.45 0.25 1.00Manila Water Company, Inc. 0.58 0.46 0.37 0.64 0.50 0.46 0.40 0.39 0.30 0.45 0.22 0.47 (0.04) 1.00Philippine Long Distance Telephone Company 0.73 0.52 0.60 0.73 0.61 0.57 0.60 0.60 0.36 0.29 0.44 0.51 0.36 0.75 1.00Robinsons Land Corporation 0.87 0.77 0.93 0.88 0.81 0.84 0.84 0.91 0.39 0.24 0.73 0.83 0.57 0.46 0.71 0.61 1.00Ayala Land, Inc. 0.92 0.82 0.96 0.95 0.89 0.90 0.88 0.94 0.41 0.41 0.77 0.89 0.45 0.55 0.71 0.69 0.96 1.00SM Prime Holdings, Inc. 0.74 0.82 0.79 0.75 0.57 0.62 0.63 0.84 0.53 (0.02) 0.70 0.70 0.51 0.37 0.62 0.24 0.82 0.81 1.00Century Properties Group, Inc. 0.41 0.23 0.28 0.35 0.26 0.25 0.31 0.26 0.19 0.08 0.19 (0.05) 0.25 0.17 0.32 0.01 0.27 0.28 0.37 1.00*insufficient data points for Puregold, San Miguel Purefoods, Aboitiz Equity Ventures
    • Final Picks TAA FUND ALLOCATION Fund allocation Last price Cost Sector Equity Wt (PhP mio) (PhP/sh) # of shares* (PhP mio)Financials 17% 15.00Security Bank Corporation 20% 3.4% 3.01 179.2 16,791 3.01Bank of the Philippine Islands 50% 8.4% 7.47 105.7 70,699 7.47Metropolitan Bank & Trust Company 15% 2.6% 2.26 112.7 20,024 2.26BDO Unibank, Inc. 15% 2.6% 2.26 87.9 25,674 2.26Holding firms 30% 26.55JG Summit Holdings, Inc. 25% 7.5% 6.64 40.95 162,088 6.64Alliance Global Group, Inc. 10% 3.0% 2.66 19.74 134,498 2.65DMCI Holdings, Inc. 20% 6.0% 5.31 53.9 98,516 5.31SM Investments Corporation 5% 1.5% 1.33 1033 1,285 1.33Metro Pacific Investments Corporation 10% 3.0% 2.66 5.28 502,841 2.66Aboitiz Equity Ventures, Inc. 30% 9.0% 7.97 54.5 146,147 7.97Mining & Oil 2% 1.77Semirara Mining Corporation 100% 2.0% 1.77 261 6,782 1.77Consumer 16% 14.16Jollibee Foods Corporation 30% 4.8% 4.25 115 36,939 4.25RFM Corporation 20% 3.2% 2.83 4.77 593,711 2.83Puregold Price Club, Inc. 20% 3.2% 2.83 38.65 73,273 2.83San Miguel Pure Foods Company, Inc. 30% 4.8% 4.25 271.4 15,652 4.25Utilities, telco & other services 25% 22.13Manila Electric Company 30% 7.5% 6.64 314 21,139 6.64Manila Water Company, Inc. 20% 5.0% 4.43 36.8 120,245 4.43Philippine Long Distance Telephone Company 30% 7.5% 6.64 2792 2,377 6.64Aboitiz Power Corporation 20% 5.0% 4.43 36 122,917 4.43Property 10% 8.85Robinsons Land Corporation 20% 2.0% 1.77 24.3 72,840 1.77Ayala Land, Inc. 30% 3.0% 2.66 29.8 89,094 2.66SM Prime Holdings, Inc. 20% 2.0% 1.77 18.2 97,253 1.77Century Properties Group, Inc. 30% 3.0% 2.66 5.28 502,841 2.66Total 100% 100% 88.45 88.45
    • References:• Bloomberg• Reuters• IMF