Investment Project Presentation - HKD10M Fund Porotfolio

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  • Executive Summary - GigiResults - FonyEconomic Analysis - GigiIntroduction – Investment Process - PhyllisAsset Allocation – Portfolio Construction & Structure - PhyllisTiming – Rebalancing & Investment Strategy - ThomasSecurity Selection - MarthaConclusion - Thomas
  • Within 1 slideTo be presented by GigiP&L figures to be provided
  • Presented by Fony
  • Figures to be updated to reflect week 5 p&l
  • Investment Process
  • Investment Process
  • Investment Process
  • Investment Process
  • Within 4 slides Presented by __________News will be provided by Gigi
  • Investment Process
  • For reference only – model from lecture 1 [may not need for presentation]
  • For reference only – model from lecture 1 [may not need for presentation]
  • For reference only – model from lecture 1 [may not need for presentation]
  • Calculate the mean return of stocks within each sectors and fundamental analysis of the best stocks in each sector
  • A basis point is 1/100th of 1%.
  • Risk control: systematic risk vs firm specific risk – split is ?) and portfolio beta (weekly) –e.g. add ChinaGas to hedge another two utilities
  • Within 2 slidesTo be presented byThomas
  • Investment Project Presentation - HKD10M Fund Porotfolio

    1. 1. Monthly Report<br />Super Equity Fund<br />April 26, 2009<br />1<br />
    2. 2. Our Team<br /><ul><li>Team Member 1
    3. 3. Team Member 2
    4. 4. Team Member 3
    5. 5. Team Member 4
    6. 6. Team Member 5</li></ul>2<br />
    7. 7. Agenda<br /><ul><li>Executive Summary
    8. 8. Weekly Results
    9. 9. Economic Analysis
    10. 10. Investment Process & Asset Allocation – Portfolio Construction & Structure
    11. 11. Timing – Rebalancing & Investment Strategy
    12. 12. Security Selection & Performance Analysis
    13. 13. Conclusion</li></ul>3<br />
    14. 14. Executive Summary<br /><ul><li>Overall result:
    15. 15. Investment horizontal : 5 weeks (Mar 23 ~ Apr 24, 09)
    16. 16. Initial Investment: HK$10M
    17. 17. Fund Balance: HK$10,902,417
    18. 18. Stock returns are measured and based on market value, Sharpe ratio to Hang Seng Index
    19. 19. Risk control by beta, standard deviation, volatility within 130% Hang Seng Index</li></ul>4<br />
    20. 20. Are you ready to invest?<br />5<br />
    21. 21. Super Equity Fund ~ The Report Card<br />Weekly Results<br />6<br />
    22. 22. Weekly Result<br />Overall Strategy<br /> Diversification and balance among sectors<br />Component in each week’s portfolio will be rebalanced as required<br />7<br />
    23. 23. Portfolio Composition – Week 1 ~ 5<br />Updated as at Apr 24, 2009<br />8<br />
    24. 24. Portfolio & Result - Week 1<br />Week 1 Portfolio<br />The Figures<br />9<br />
    25. 25. Portfolio & Result - Week 2<br />Week 2 Portfolio<br />The Figures<br />10<br />
    26. 26. Portfolio & Result - Week 3<br />Week 3 Portfolio<br />The Figures<br />11<br />
    27. 27. Portfolio & Result - Week 4<br />Week 4 Portfolio<br />The Figures<br />12<br />
    28. 28. Portfolio & Result - Week 5<br />Week 5 Portfolio<br />The Figures<br />13<br />
    29. 29. Portfolio Performance<br />Updated as at Apr 24, 2009<br />14<br />
    30. 30. Returns<br />Cumulative Performance<br />Updated as at Apr 24, 2009<br />15<br />
    31. 31. Returns<br />Weekly Performance<br />Updated as at Apr 24, 2009<br />16<br />
    32. 32. The Global Rally?<br />Economic Analysis<br />17<br />
    33. 33. Economic Analysis - GDP<br />4th Qtr 2008: -2.5% year-on-year % change in real terms<br />Source: Census and Statistics Department, HK<br />18<br />
    34. 34. Economic Analysis - CPI<br />Mar 2009: +1.2% year-on-year % change<br />Source: Census and Statistics Department, HK<br />19<br />
    35. 35. Trend of HSI<br />23rd Mar: 13,447.42<br />24th Apr: 15,214.46<br />Source: www.aastock.com<br />20<br />
    36. 36. HSBC – Rights Issue<br />Lowest closing: $33.00 on 9 Mar<br />Highest closing: $55.60 on 14 Apr<br />1st Week close at: $41.70 on 23 Mar<br />5th Week close at: $52.70 on 24 Apr<br /><ul><li>2 March, proposes to raise US$17.7b: basis of 5 New Ordinary Shares for every 12 Existing Ordinary Shares
    37. 37. The Issue Price: HK$28.00/New Ordinary Share</li></ul>Source: www.aastock.com<br />21<br />
    38. 38. <ul><li>Covering finance and Law, raising capital and cross-border investment in small-cap with Chinese-based Asian companies seeking financing
    39. 39. The PIPEs market offers the opportunity for company’s growth for equity markets disarray </li></ul>22<br /><ul><li>Largest forum for Chinese companies interested in going public in the US
    40. 40. Covering cross-border investment in small-cap Chinese companies</li></ul>Market research for equity private placement market <br />
    41. 41. G20 – US$1.1 trillion<br /><ul><li>Held on Apr 1-2 in London, UK
    42. 42. Financial commitments:
    43. 43. U$500 billion for the International Monetary Fund (IMF) to aid struggling economies
    44. 44. US$250 billion to boost world trade
    45. 45. US$250 billion for a new IMF overdraft facility
    46. 46. US$100 billion to assist international development banks in lending to poor countries
    47. 47. Regulation - wider global regulation and common approach to clean toxic assets
    48. 48. No Green Policies
    49. 49. Decreased influence of the United States</li></ul>23<br />
    50. 50. Economic Analysis <br /><ul><li>G20 is “Turning point” for economic recovery and reform of “failed regulatory system” e.g. hedge funds, “credit rating agencies”
    51. 51. Banking collapses and Governments focus steady funding </li></ul>  banks are able to meet commitments<br /><ul><li>Worldwide stock markets rise, HSI up 1,002 points (7.4%) to 14,522
    52. 52. Approved Financial Accounting Standards Board (FASB) using new standard on valuing assets and reporting losses
    53. 53. Organization of Economic Cooperation and Development published a blacklist of countries deemed uncooperative, e.g. Malaysia, Philippines etc.</li></ul>24<br />
    54. 54. BOAO Forum For Asia (BFA)<br /><ul><li>Held on 17-19 Apr, 2009 at Hainan, China
    55. 55. “Strengthen confidence and deepen cooperation for win-win progress”
    56. 56. 10 billion USD China’s Association of Southeast Asian Nations on Investment Cooperation to support infrastructure development
    57. 57. Protesters denouncing the Thailand prime minister and blocked the hotels where visiting leaders were staying
    58. 58. The summit was cancelled
    59. 59. Create more job opportunity by construction and stimulate domestic demand</li></ul>Source: www.boaoforum.org<br />25<br />
    60. 60. Economic Analysis -<br /><ul><li>National Bureau of Statistics
    61. 61. Earnings of state-owned enterprises in increase 86% in February
    62. 62. Economy grew 6.1% in the 1Q - the slowest since 1992 </li></ul> in line with market expectations <br /><ul><li>Industrial output, property transactions and car sales registered growth stronger in March
    63. 63. Strong growth in fixed-asset investment and retail sales helped offset the declines in exports
    64. 64. China economy is recovering and its stimulus measures are expected to drive higher growth in the half year</li></ul>26<br />
    65. 65. RMB Clearing <br />Purpose<br /><ul><li>To strengthen the financial cooperation of Mainland and Hong Kong</li></ul>Features<br /><ul><li>Regional commercial banks' internal fund</li></ul> lending & borrowing, and clearing in <br /> different branches within banks<br /><ul><li>Enhance efficiency in fund transfer, </li></ul> improves liquidity management, and <br /> realize external payment<br />Opportunities in financial services:<br /><ul><li>Expansion of US financial services industry
    66. 66. Expansion of QDII investment to include equity investment
    67. 67. RMB credit and debit cards services by foreign backs
    68. 68. Market access for insurance companies</li></ul>27<br />
    69. 69. Super Equity Fund - The New Born <br />Investment Process<br />Asset Allocation – Portfolio Construction & Structure<br />28<br />
    70. 70. The Investment Process<br />29<br />
    71. 71. The Investment Process<br />30<br />
    72. 72. The Investment Process<br />31<br />
    73. 73. Portfolio Construction<br />32<br />historical stock performance, company background & market news<br />
    74. 74. Portfolio Construction<br />33<br />
    75. 75. Portfolio ConstructionCorrelation (6-month historical data)<br />34<br />
    76. 76. Portfolio ConstructionCorrelation (6-month historical data)<br />35<br />
    77. 77. Portfolio ConstructionCorrelation (3-year historical data)<br />36<br />
    78. 78. Portfolio ConstructionCorrelation (3-year historical data)<br />37<br />
    79. 79. Portfolio Construction Result<br />+ market news & <br />speculation justification<br /> CLP (10%) HK Electric (25%) MTRC (10%) Li & Fung (10%)<br />Tencent (30%) China Life (15%) <br />38<br />
    80. 80. How Super Equity Fund Grow?<br />Timing – Rebalancing & Investment Strategy<br />39<br />
    81. 81. Market Timing<br />40<br />
    82. 82. Market Timing – Week 1<br /> Our Investment <br />Strategy:<br />Prudent <br />41<br />
    83. 83. Market Timing – Week 2<br />Rebalancing Strategy<br /> Our Investment <br />Strategy:<br />Prudent <br />42<br />
    84. 84. Market Timing – Week 3<br />Rebalancing Strategy<br /> Our Investment <br />Strategy:<br />Prudent <br />43<br />
    85. 85. Market Timing – Week 4<br />Rebalancing Strategy<br /> Our Investment <br />Strategy:<br />Moderate<br />44<br />
    86. 86. Market Timing – Week 5<br />Rebalancing Strategy<br /> Our Investment <br />Strategy:<br />Aggressive<br />45<br />
    87. 87. Super Equity Fund – An in-depth look<br />Security Selection & <br /> Performance Analysis<br />46<br />
    88. 88. Daily Returns & Dollar Appreciation: Portfolio vs Market Index<br />Daily Return: (%) Portfolio vs Market<br />Daily Balance: Portfolio vs Market<br />Updated as of Apr 24, 2009<br />47<br />
    89. 89. Returns: Portfolio to Market Indexa single index model approach<br />Portfolio Return vs Market Portfolio Return (Hang Seng Index)<br />Updated as of Apr 24, 2009<br />48<br />
    90. 90. Regression – Portfolio vs Indexa single index model approach<br />Updated as of Apr 24, 2009<br />49<br />
    91. 91. Market Return to Portfolio Return<br />Updated as of Apr 24, 2009<br />50<br />
    92. 92. Capital Market Line & Security Market Line<br />51<br />Note: risk free rate is referred to exchange fund bill – Mar 2009 (HKMA)<br />Updated as of Apr 24, 2009<br />
    93. 93. Risk Control<br />Sector-wise<br /> diversify risk among sectors<br />Portfolio <br /> diversify stock in the same sector<br /> correlation among stock in the portfolio<br />Portfolio standard deviation within 130% of volatility of the Hang Seng Index<br />Updated as of Apr 24, 2009<br />52<br />
    94. 94. Super Equity Fund ~ our forecast & wrap up<br />Conclusion<br />53<br />
    95. 95. Conclusion<br />Overall returns is 9.02% , compared with market index 18.90%<br />Inappropriate stock picking in Week 1<br />Week 2-4 performance is similar to that of market<br />Week 5 performance is better than that of market<br />Progressive improving performance every week by rebalancing<br />Achieve the objectives : the risk tolerance is less than 10% and the average return is greater than 2.5% <br />Improvements: <br /><ul><li>Good Asset Allocation
    96. 96. Good Market Timing
    97. 97. Good Security Selection</li></ul>54<br />
    98. 98. Conclusion<br /> Other Strategy:<br /><ul><li>Long-term Investment Strategy
    99. 99. Warren Buffett approach
    100. 100. Short-term Investment Strategy
    101. 101. Day-trade approach </li></ul>Other Considerations: <br /><ul><li>Trading cost
    102. 102. Tax
    103. 103. Management fee of other assets such as ETF, fund, bonds, derivatives, futures, options, swap, … etc. </li></ul>55<br />
    104. 104. Thank You<br />56<br />

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