The document summarizes the performance of a trading strategy during the 2019 Bloomberg Trading Challenge. The strategy achieved a total return of 10.6% compared to the benchmark return of 8.4%, resulting in an outperformance of 2.2%. The strategy utilized a mix of fundamental analysis, technical indicators, and momentum signals to identify opportunities while also holding a cash position to hedge against volatility. The largest risk factor was exposure to the technology sector, and limited nominal losses from few positions helped preserve overall gains for the strategy.

1. David Brynda
Clay Miller
Mark Pilipczuk
Alex Freeman
Brendan Lyons
2019 Bloomberg Trading Challenge

2. Strong Performance Relative To Benchmark
Strategy Risk Holdings Application Reflection Conclusion
● Total Return 10.6%
● RAG Return 8.4%
● Relative Return 2.2%
Return Statistics
● Sharpe 4.54
● Treynor 0.68
● Information 0.98
● Jensen’s Alpha 8.08%
Performance Ratios
Return Against RAG

3. Core Plus Strategy Drives Capital Appreciation
Strategy Risk Holdings Application Reflection Conclusion
● Technical Indicators
● Earnings Calls
○ Implied one Day Move
Passive
Active 25%
75%
Active Position Strategy
Passive Position Strategy Asset Allocation
● Momentum
○ Pivot Calculator
● Fundamental Analysis
● Market Cap Weighted
Target
Turnover
Ratio
100%

4. Cash Provided Hedge Against Market Volatility
Strategy Risk Holdings Application Reflection Conclusion
Initial Asset Allocation
Large Cap Positions
Mid Cap Positions
Small Cap Positions
Allocated to Short Term Positions
Cash Hedge
Target Asset Allocation
Swing Trades

5. Risk Matrix Shows Exposure to Market Pullback
Strategy Risk Holdings Application Reflection Conclusion
Interest Rate Risk
US Market Pullback
Tax Reform
Sector Relative
Strength Decrease
Natural Disaster
Negative Earnings
Surprise
US Trade Policy

6. Tech Sector Proves to Be Largest Risk Factor
Strategy Risk Holdings Application Reflection Conclusion
Sector VaR Breakdown Quarter VaR Distribution
Healthcare
Tech
Consumer Discretionary
Healthcare
VaR :
11.61%
Partial VaR
Expected
Shortfall: 16.18%

7. Limited Nominal Losses Preserved Capital
Strategy Risk Holdings Application Reflection Conclusion
TNDM 22.81%
NSIT 20.84%
NVDA 17.25%
HMHC (19.79%)
CLDR (22.71%)
AGIO (7.73%)
Top 3 Positions Bottom 3 Positions
● Strong Earnings
● Strong Technical Indicators
● Positive Market Sentiment
● Missed Earnings
● Broke Support Lines
● Weak Fundamentals

8. Amazon Generates Positive Return
Strategy Risk Holdings Application Reflection Conclusion
Rationale
Metrics and LT Indicators
Bought at test of 100 SMA and
strong trendline resistance. Sold at
rejection of resistance and a
reversal to test the 200 SMA.
Annotated Price Chart
● Historical volatility
○ Downward trend
● Leader in two large and
growing markets in e-
commerce and cloud
computing
● Aggressive Expansion
● Focus on AI
WA Return: 7.61%

9. Successful Swing Trade with NVDA
Strategy Risk Holdings Application Reflection Conclusion
Buy 1: Reversal pattern showed
strength. Bought the bounce of of
trendline, convergence of 8/12MA’s,
and increased volume. Sold after
earnings.
Rationale Annotated Price Chart
Buy 2: Bought breakout of
horizontal resistance. Held
supporting trendline and filled the
gap, then sold at next resistance.
WA Return: 8.29%

10. Strategy Risk Holdings Application Reflection Conclusion
Implementations If Unrestricted
Protective Put
● Apply derivative strategies to
hedge risk
● Limit turnover by
implementing swing and
range trades
● Use idle cash in T-Bills
● Implement short positions

11. Strategy Risk Holdings Application Reflection Conclusion
Limited Partnership Will Reduce Tax Implications
● No more lottery earnings
plays
● Reduce the amount of
exposure in short term trades
● Include investment policy
statement
● Tax implications

12. Would Have Benefited from Increased Exposure
Strategy Risk Holdings Application Reflection Conclusion
Exposure
Position Size
Reassessment
Strategy
● Smaller position size on
short-term plays, but greater
volume of them
● Cash position
● Reassess investment strategy
and allocations over break
● Adhered to investment
guidelines, rather than
abandoning initial strategy
● Under exposure at beginning
● Cash utilization

13. Unrestricted Core Plus Strategy Will Drive Growth
Strategy Risk Holdings Application Reflection Conclusion
Lessons Learned
RAG Return
8.4%
Portfolio Return
10.6%
2.2%
Spread
● Exposed to trading platforms on
Bloomberg
○ Options Analyzer
○ Screener
○ Portfolio Optimizer
● Stress of performance in a short
timeframe
○ Had to beat competition and
index
● Dealing with losses
○ When to Cut losses

14. Questions?

15. Appendix: Portfolio Statistics

16. Appendix: Portfolio Statistics

17. Appendix: VF Corp [VFC]
Key Statistics
Explanation
Raw Beta: 0.79
Adjusted Beta: 0.86
Correlation Coefficient: 0.476
R-Squared: 0.227
Open Price: $85.77
Close Price: $87.30
Return: 1.78%
Valuation metrics show that V.F.
Corporation may be fairly valued. The
financial health, consistent growth, and
growth prospects of VFC, demonstrate its
potential to outperform the market.
Annotated Price Chart

18. Appendix: Microchip Technology Inc. [MCHP]
Key Statistics
Explanation
Raw Beta: 1.279
Adjusted Beta: 1.186
Correlation Coefficient: 0.663
R-Squared: 0.440
Open Price: $82.55
Close Price: $87.99
Return: 6.59%
Strong revenue and EPS growth. Have
taken on leverage that has lowered cost of
capital and has produced high ROE
measures. High beta is offset by VFC low
beta for our large cap fund. Lower P/E
than competitors as well as lower EBITDA
Multiple.
Annotated Price Chart

19. Appendix: FLIR Systems, Inc. [FLIR]
Key Statistics
Explanation
Raw Beta: 0.82
Adjusted Beta: 0.88
Correlation Coefficient: 0.479
R-Squared: 0.229
Open Price: $49.16
Close Price: $52.28
Return: 6.35%
Lower P/E and EBITDA than other
members of its GICS sector. Trading well
below its historical ranges for these
metrics. Chart was headed toward the 200
day looking for it to go there and roll off of
it.
Annotated Price Chart

20. Appendix: Monolithic Power Systems, Inc. [MPWR]
Key Statistics
Explanation
Raw Beta: 1.294
Adjusted Beta: 1.196
Correlation Coefficient: 0.683
R-Squared: 0.466
Open Price: $135.62
Close Price: $131.30
Return: 3.29%
While overvalued within its peer group, it
was trading at a yearly low P/E. Had
recently broken out above the 200 SMA
and we were hoping for a continued rally.
Strong EPS and revenue growth as well.
Annotated Price Chart

21. Appendix: Gardner Denver Holdings Inc [GDI]
Key Statistics
Explanation
Raw Beta: 1.083
Adjusted Beta: 1.055
Correlation Coefficient: 0.498
R-Squared: 0.248
Open Price: $24.96
Close Price: $27.88
Return: 11.70%
Multiples are lower than its peers in the
industrial machinery sub-industry. Bought
at the breakout of the 100 SMA. Closed
the trade after it showed signs of pulling
back to the 200. High ROE and strong
growth since the IPO.
Annotated Price Chart

22. Appendix: FibroGen Inc [FGEN]
Key Statistics
Explanation
Raw Beta: 1.579
Adjusted Beta: 1.386
Correlation Coefficient: 0.412
R-Squared: 0.170
Open Price: $60.20
Close Price: $56.46
Return: 6.62%
Historically not correlated with the
market. Can experience large surges in
price. After the breakout of the 200 SMA
we were looking to hold the company until
the RSI and MACD turn around. More of a
short-term momentum play.
Annotated Price Chart

23. Appendix: Resideo Technologies Inc [REZI]
Key Statistics
Explanation
Raw Beta: 1.074
Adjusted Beta: 1.050
Correlation Coefficient: 0.463
R-Squared: 0.214
Open Price: $23.58
Close Price: $25.52
Return: 8.23%
2018 saw a massive spike in free cash flow
generation, this is a good buy indicator.
Decent ROE, not the best financially
compared to its competitors, but is a
recent IPO with solid growth prospects.
Annotated Price Chart

24. Appendix: Quidel Corporation [QDEL]
Key Statistics
Explanation
Raw Beta: 1.183
Adjusted Beta: 1.122
Correlation Coefficient: 0.392
R-Squared: 0.154
Open Price: $58.92
Close Price: $65.66
Return: 11.44%
Purchased as it was showing signs of a
reversal of the pullback in december.
Multiples were trading low compared to
the year. Flipped above the McGinley
Dynamic Indicator and was looking to
move higher. Strong Revenue and EPS
Growth over the past 2 years.
Annotated Price Chart

25. Appendix: Insight Enterprises, Inc. [NSIT]
Key Statistics
Explanation
Raw Beta: 1.269
Adjusted Beta: 1.179
Correlation Coefficient: 0.504
R-Squared: 0.254
Open Price: $46.70
Close Price: $56.62
Return: 21.24%
NSIT has an operating earnings yield of
8%, indicating that it is undervalued. Their
stock price is up 59% the past 12 months
and has continued to show positive
momentum.
Annotated Price Chart

26. Appendix: Houghton Mifflin Harcourt Co [HMHC]
Key Statistics
Explanation
Raw Beta: 1.196
Adjusted Beta: 1.131
Correlation Coefficient: 0.409
R-Squared: 0.167
Open Price: $10.43
Close Price: $8.36
Return: (19.85%)
At the time its multiples were pretty
similar to the historical averages.
Historically uncorrelated to the market.
Annotated Price Chart

27. Appendix: salesforce.com, inc. [CRM]
Key Statistics
Explanation
Raw Beta: 1.358
Adjusted Beta: 1.238
Correlation Coefficient: 0.806
R-Squared: 0.650
Average Open Price: $162.99
Average Close Price: $160.60
Return: (1.47%)
Has been a high growth company over the
past 2 years. Was trading at similar
multiples to the next year and had
recently broken out to fresh highs.
Annotated Price Chart

28. Appendix: Cloudera Inc [CLDR]
Key Statistics
Explanation
Raw Beta: 1.433
Adjusted Beta: 1.289
Correlation Coefficient: 0.419
R-Squared: 0.176
Open Price: $14.91
Close Price: $12.51
Return: (16.10%)
Purchased prior to Q4 2019 earnings. As a
leader in big data management and
analytics, we believed that CLDR would
rebound in Q4. This earnings play did not
work out for us.
Annotated Price Chart

29. Appendix: Amazon.com, Inc. [AMZN]
Key Statistics
Explanation
Raw Beta: 1.405
Adjusted Beta: 1.270
Correlation Coefficient: 0.781
R-Squared: 0.610
Open Price: $1,670.47
Close Price: $1,797.64
Return: 7.61%
Purchased due to low risk implicated by
downward trending historical volatility.
Positive long term outlook of the company
due to growing e-commerce and cloud
computing markets. In addition, their size
creates a competitive advantage to
aggressive expand.
Annotated Price Chart

30. Appendix: Tandem Diabetes Care Inc [TNDM]
Key Statistics
Explanation
Raw Beta: 1.791
Adjusted Beta: 1.527
Correlation Coefficient: 0.246
R-Squared: 0.061
Average Open Price: $54.78
Average Close Price: $62.13
Return: 13.42%
Buy 1: Identified potential channel/resistance
breakout with increased volume at the 52 week
high. Sold after failed breakout.
Buy 2: Bought after multi-day base and support
from 12 SMA.
Buy 3: Increased position size at support from
the top of the gap. Sold at 8SMA on decreased
volume.
Annotated Price Chart

31. Appendix: Unitedhealth Group Inc [UNH]
Key Statistics
Explanation
Raw Beta: 0.897
Adjusted Beta: 0.931
Correlation Coefficient: 0.619
R-Squared: 0.383
Open Price: $245.01
Close Price: $249.12
Return: 1.68%
They are aggressively expanding their
international business, specifically in South
America and the Middle East. A healthy
balance sheet gives them financial
flexibility, as they have continued to raise
dividends, share buybacks, and pursue
merger and acquisitions
Annotated Price Chart

32. Appendix: Analog Devices, Inc. [ADI]
Key Statistics
Explanation
Raw Beta: 1.183
Adjusted Beta: 1.122
Correlation Coefficient: 0.679
R-Squared: 0.461
Open Price: $107.98
Close Price: $110.18
Return: 2.04%
Growth potential and strong performance
shown by increasing revenues and EPS. In
addition, it has consistent growth in both
profit and operating margins.
Annotated Price Chart

33. Appendix: NVIDIA Corporation [NVDA]
Key Statistics
Explanation
Raw Beta: 1.792
Adjusted Beta: 1.528
Correlation Coefficient: 0.608
R-Squared: 0.370
Average Open Price: $159.60
Average Close Price: $172.82
Return: 8.29%
Buy 1: Reversal pattern showed strength.
Bought the bounce of of trendline,
convergence of 8/12MA’s, and increased
volume. Sold after earnings.
Buy 2: Bought breakout of horizontal
resistance. Held supporting trendline and
filled the gap, then sold at next resistance.
Annotated Price Chart

34. Appendix: Twilio Inc [TWLO]
Key Statistics
Explanation
Raw Beta: 2.118
Adjusted Beta: 1.746
Correlation Coefficient: 0.469
R-Squared: 0.220
Open Price: $130.05
Close Price: $127.04
Return: (2.31%)
Top-line gains continue to outpace the
number of developers on the platform
which is a healthy indication that its
solutions are becoming more valuable to
app publishers.
Annotated Price Chart

35. Appendix: Intuit Inc. [INTU]
Key Statistics
Explanation
Raw Beta: 1.153
Adjusted Beta: 1.102
Correlation Coefficient: 0.748
R-Squared: 0.560
Open Price: $259.39
Close Price: $267.00
Return: 2.93%
It has ample cash on hand and short-term
investments to meet upcoming liabilities.
Implies that it manages its cash and cost
levels well. It made good use of debt,
producing operating cash levels of 4.82x
total debt. This indicates that debt is
reasonably met with cash generated.
Annotated Price Chart

36. Appendix: Carvana Co [CVNA]
Key Statistics
Explanation
Raw Beta: 1.552
Adjusted Beta: 1.368
Correlation Coefficient: 0.302
R-Squared: 0.091
Average Open Price: $57.21
Average Close Price: $59.15
Return: 3.40%
Buy 1: Bought bounce off of trendline and
sold at failed breakout of horizontal
resistance.
Buy 2: Bought the attempted breakout of
bull flag. Sold after breakout when profit
dropped.
Annotated Price Chart

37. Appendix: Advanced Micro Devices, Inc. [AMD]
Key Statistics
Explanation
Raw Beta: 1.944
Adjusted Beta: 1.629
Correlation Coefficient: 0.430
R-Squared: 0.185
Average Open Price: $25.83
Average Close Price: $25.50
Return: (1.28%)
Buy 1: Identified flag formation. bought
bounce off of trendline and then there
was a failed breakout. Sold after failure to
hold 8/12 SMA’s.
Buy 2: Bought at 8 SMA support. Sold due
to decreased volume and to minimize loss.
Annotated Price Chart

38. Appendix: AtriCure Inc. [ATRC]
Key Statistics
Explanation
Raw Beta: 1.111
Adjusted Beta: 1.074
Correlation Coefficient: 0.382
R-Squared: 0.146
Open Price: $28.33
Close Price: $28.11
Return: (0.78%)
Increasing margins, EPS, return ratios and
revenues show it is minimizing cost of
revenue and could be heading for high
growth in upcoming years.
Annotated Price Chart

39. Appendix: Arista networks Inc [ANET]
Key Statistics
Explanation
Raw Beta: 1.293
Adjusted Beta: 1.195
Correlation Coefficient: 0.432
R-Squared: 0.187
Open Price: $322.96
Close Price: $324.77
Return: 0.56%
Arista beat earnings on Q4 2018, due to
increasing demand in the cloud computing
industry. From a technical standpoint,
Arista’s MACD had just converged, and
Relative Strength had just reached an
“oversold” signal.
Annotated Price Chart

40. Appendix: Agios Pharmaceuticals Inc [AGIO]
Key Statistics
Explanation
Raw Beta: 1.828
Adjusted Beta: 1.552
Correlation Coefficient: 0.405
R-Squared: 0.164
Open Price: $67.23
Close Price: $61.32
Return: (8.79%)
Recent revenue and EPS growth indicate a
potential turnaround for AGIO. In addition,
their involvement in the development of
cancer related drugs could be a catalyst
for high growth.
Annotated Price Chart

41. Appendix: TransDigm Group Incorporated [TDG]
Key Statistics
Explanation
Raw Beta: 0.932
Adjusted Beta: 0.955
Correlation Coefficient: 0.528
R-Squared: 0.279
Open Price: $467.70
Close Price: $463.38
Return: (0.92%)
TDG focuses on aftermarket aircraft parts,
where it is essentially the sole provider for
many parts. It shows market-leading
profitability and organic growth, offering
high margin revenue and a hedge to new
aircraft production cycles.
Annotated Price Chart

42. Appendix: Parker-Hannifin Corp [PH]
Key Statistics
Explanation
Raw Beta: 1.239
Adjusted Beta: 1.159
Correlation Coefficient: 0.704
R-Squared: 0.496
Open Price: $179.88
Close Price: $188.64
Return: 4.87%
PH holds an operating earnings yield of 6%
indicating that it is undervalued. Earnings
have increased from $9.67 to an estimated
$11.34 over the past five quarters showing
steady acceleration in quarterly growth
rates.
Annotated Price Chart

43. Appendix: Emerson Electric Co. [EMR]
Key Statistics
Explanation
Raw Beta: 1.024
Adjusted Beta: 1.016
Correlation Coefficient: 0.649
R-Squared: 0.421
Open Price: $70.67
Close Price: $72.10
Return: 2.02%
Emerson had great Q1 2019 earnings, and
showed solid momentum. Being one of
our very last trades in the competition, we
made a momentum play on Emerson
because it crossed over the McGinley
Dynamic indicator on the daily time frame
at the end of march.
Annotated Price Chart

44. Appendix: Tiffany & Co. [TIF]
Key Statistics
Explanation
Raw Beta: 0.796
Adjusted Beta: 0.864
Correlation Coefficient: 0.395
R-Squared: 0.156
Open Price: $90.40
Close Price: $94.48
Return: 4.51%
Breakout of horizontal resistance after
strong support shown from 85MA, 12MA,
and trendline. Sold before next resistance
and earnings.
Annotated Price Chart

45. Appendix: Roku Inc [ROKU]
Key Statistics
Explanation
Raw Beta: 1.361
Adjusted Beta: 1.241
Correlation Coefficient: 0.269
R-Squared: 0.072
Open Price: $51.33
Close Price: $53.14
Return: 3.53%
Bought breakout of horizontal resistance.
Showed strength after 8/12 SMA’s crossed
above 200 SMA. Sold at top of channel
(horizontal resistance).
Annotated Price Chart

46. Appendix: Ultragenyx Pharmaceutical Inc [RARE]
Key Statistics
Explanation
Raw Beta: 2.159
Adjusted Beta: 1.773
Correlation Coefficient: 0.476
R-Squared: 0.227
Open Price: $51.33
Close Price: $53.14
Return: 3.53%
Bought breakout of rising wedge and
horizontal resistance. Sold midday during
earnings. Had an implied one day move of
3.75% and an actual move of 6.55%.
Annotated Price Chart

47. Appendix: Lululemon Athletica inc. [LULU]
Key Statistics
Explanation
Raw Beta: 0.994
Adjusted Beta: 0.996
Correlation Coefficient: 0.362
R-Squared: 0.131
Open Price: $145.60
Close Price: $164.81
Return: 13.19%
Bought breakout of falling wedge. Sold at
failure of new support.
Annotated Price Chart

48. Appendix: Dave & Buster’s Entertainment Inc [PLAY]
Key Statistics
Explanation
Raw Beta: 1.092
Adjusted Beta: 1.061
Correlation Coefficient: 0.424
R-Squared: 0.180
Open Price: $50.23
Close Price: $52.74
Return: 5.00%
Swing Trade: Bought breakout of
horizontal resistance. Sold next day at
failed breakout of daily horizontal
resistance.
Annotated Price Chart