1. Darwin Fenner
Student-Managed Fund
Darwin Fenner
STUDENT MANAGED FUND
A.B. Freeman School of Business
Tulane University
Scherzade Agha, Jiaqi Bai, Lingpeng Xiao, Qi Chen, Xiuhong Wu
2. Darwin Fenner Student-Managed Fund
• Fund Facts and Investment Philosophy
• Decision Making Process
• Sample Stock Selection
• Portfolio Performance
• Conclusion
4. Fund Highlight
Agha Bai Xiao Chen Wu
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Cumulative Value of a Dollar Since Inception 2005
S&P 400 Vanguard Darwin Fenner
5. Fund Facts
Agha Bai Xiao Chen Wu
• $1.3 million actively managed Mid
Cap Equity Portfolio
• Investment Universe: S&P 400
• 20-30 stocks in the portfolio
• Fund managed for tax-exempt
institution
• Only trade once a year in May
• Eliminates windows dressing
• Forces a focus on fundamentals
• Minimize transaction costs
• Annual turnover capped at 30%
• Derivatives, short selling, and margin
are prohibited
6. Investment Philosophy
Goal: Outperform the benchmark with low total risk and high returns
(High Sharpe Ratio and High CAPM Alpha)
Key Strategy: Identify underpriced stocks with strong fundamentals
Risk Management:
Agha Bai Xiao Chen Wu
Diversify to manage idiosyncratic risk
Stress Testing
Run risk models to manage portfolio
standard deviation, beta, downside beta,
8. Sector Models Developed
S&P 400
Quantitative Screening
Agha Bai Xiao Chen Wu
Research Papers
Form Sector Teams
Own Proprietary Models
Sample Academic Papers:
The Cross-Section of Expected Stock Returns (Fama, French)
Contrarian Investment, Extrapolation, and Risk (Lakonishok, Shleifer, Vishny)
Key Ratios:
B/M; CF/P; Sales Growth
9. Sector Models Developed
S&P 400
Quantitative Screening
Agha Bai Xiao Chen Wu
Research Papers
Form Sector Teams
Own Proprietary Models
Qualitative Screening
• Brand Value
• Employee Happiness
• Governance
• Management Quality
10. Sector Models Developed
S&P 400
Quantitative Screening
Agha Bai Xiao Chen Wu
Research Papers
Form Sector Teams
Own Proprietary Models
Qualitative Screening
Fundamental Analysis
• Completive Strategy
• Product Development
• Management
• Competitive Ratio Analysis
11. Sector Models Developed
S&P 400
Quantitative Screening
Agha Bai Xiao Chen Wu
Research Papers
Form Sector Teams
Own Proprietary Models
Stocks
Final
Deliberation
Qualitative Screening
Fundamental Analysis
13. Final Deliberation
Agha Bai Xiao Chen Wu
Stock Recommendations
Vote
Master Ranking
Preliminary
Stock
Portfolio
Sector Forecasts
14. Final Deliberation
New
Portfolio
Agha Bai Xiao Chen Wu
Mean-Variance
Maximization
Optimizer Team
Vote
Preliminary
Stock
Portfolio
Risk Minimization
Portfolio Risk Team
Stress Test Team
15. Sample Stock Selection Model
AptarGroup Inc (ATR) - Materials
Quantitative
Screening
Fundamental
Analysis
Final
Deliberation
• Value/Growth
• F – Score
• Asset Growth
• Earnings Surprise
• Buy and hold return
• Momentum
• Altman Z – Score
• Downside Beta
• Buyback & Insider
• Management
• Operation
• Competitiveness
• Three-factor DuPont
Agha Bai Xiao Chen Wu
Qualitative
Screening
• Analyst cov&instit.
holdings
• ISS QuickScore
• Brand Value
• Employee Happiness
Strong Buy
on ATR
18. Portfolio Performance
Annual Compound ROR Mid-Cap S&P 400
Since Inception 11.15% 8.03%
Last Five Years 11.30% 8.84%
Last Three Years 13.39% 8.00%
Last Year 5.72% (6.69%)
Agha Bai Xiao Chen Wu
$2.29
$3.12
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Cumulative Value of a Dollar Since Inception 2005
S&P 400 Vanguard Darwin Fenner
$2.24
21. Performance in Up vs. Down Markets
3.67%
3.87%
-3.20%
-4.11%
Average Monthly Return (Inception 2005)
Mid Cap Avg Monthly Return
S&P 400 Avg Monthly Return
Agha Bai Xiao Chen Wu
28. Fund Facts
Agha Bai Xiao Chen Wu
• $1.3 million actively managed Mid
Cap Equity Portfolio
• Investment Universe: S&P 400
• 20-30 stocks in the portfolio
• Fund managed for tax-exempt
institution
• Only trade once a year in May
• Eliminates windows dressing
• Forces a focus on fundamentals
• Minimize transaction costs
• Annual turnover capped at 30%
• Derivatives, short selling, and margin
are prohibited
29. Investment Philosophy
Goal: Outperform the benchmark with low total risk and high returns
(High Sharpe Ratio and High CAPM Alpha)
Key Strategy: Identify underpriced stocks with strong fundamentals
Risk Management:
Agha Bai Xiao Chen Wu
Diversify to manage idiosyncratic risk
Stress Testing
Run risk models to manage portfolio
standard deviation, beta, downside beta,
30. Sector Models Developed
S&P 400
Quantitative Screening
Agha Bai Xiao Chen Wu
Research Papers
Form Sector Teams
Own proprietary models
Stocks
Final
Deliberation
Qualitative Screening
Fundamental Analysis
31. Final Deliberation
Agha Bai Xiao Chen Wu
Stock Recommendations
Vote
Master Ranking
Preliminary
Stock
Portfolio
Sector Forecasts
32. Final Deliberation
New
Portfolio
Agha Bai Xiao Chen Wu
Mean-Variance
Maximization
Optimizer Team
Vote
Preliminary
Stock
Portfolio
Risk Minimization
Portfolio Risk Team
Stress Test Team
33. Sample Stock Selection Model
AptarGroup Inc (ATR) - Materials
Quantitative
Screening
Fundamental
Analysis
Final
Deliberation
• Value/Growth
• F – Score
• Asset Growth
• Earnings Surprise
• Buy and hold return
• Momentum
• Altman Z – Score
• Downside Beta
• Buyback & Insider
• Management
• Operation
• Competitiveness
• Three-factor DuPont
Agha Bai Xiao Chen Wu
Qualitative
Screening
• Analyst cov&instit.
holdings
• ISS QuickScore
• Brand Value
• Employee Happiness
Strong Buy
on ATR
36. Performance in Up vs. Down Markets
3.67%
3.87%
-3.20%
-4.11%
Average Monthly Return (Inception 2005)
Mid Cap Avg Monthly Return
S&P 400 Avg Monthly Return
Agha Bai Xiao Chen Wu
37. Sector Diversification
Cyclical % of Mkt Cap % of S&P 400
Financials 21.65 26.50
Consumer Discretionary 7.36 13.40
Materials 12.77 6.50
Sensitive
Information Technology 18.37 16.70
Industrials 8.64 14.70
Energy 2.78 2.80
Defensive
Utilities 2.43 5.60
Healthcare 12.12 9.90
Consumer Staples 6.96 3.70
Editor's Notes
Thank you, Qi. Now our dear audience, my colleagues have introduced you our investment philosophy, and we also showed you the how we made our profit.
Which is the key to our success in the past
As you can tell from our introduction, we have three characteristics: we are objective
we can achieve long-term abnormal return for you if you want to secure your money and meanwhile achieve higher than market return.
If you invest one dollar in our portfolio, you cumulative wealth will be trippled,
So just invest in our fund, and you will beat the market and be a big winner everyday!
we can achieve long-term abnormal return for you if you want to secure your money and meanwhile achieve higher than market return.
If you invest one dollar in our portfolio, you cumulative wealth will be trippled,
So just invest in our fund, and you will beat the market and be a big winner everyday!
