Market Analysis in the 5 Largest Economic Countries in Southeast Asia.pdf
QEX_Managment_7/22
1. June 25, 2014 1
Agenda – June 25, 2014
• Market watch (JB)
• Us vs them: CP vs similar funds (DHL)
• US vs the world: CP vs the funds it trades
(DHL)
• But what about fund selection? (DHL)
• More ETFs (JB)
• Mo’ Maxfield (JB)
– And what it might used for (discussion)
14. June 25, 2014 14
Us vs Them: similar funds
• Plotted the equity curves of some mutual funds
similar to ours
• Time period is jan 1, 2012 to jun 17, 2014
– Roughly since we (re) started the fixed income
program
• Also created a “pseudo-CPMPX” using the
traded results of all the funds that we currently
hold. Our results should equal this number,
minus our fees.
• Conclusion: We are competitive with these
other funds, though we are lagging behind our
theoretical eq curve.
19. June 25, 2014 19
• Repeated the pseudo process, for Toews this time, using
their reported holdings
• Their fund picking is no better than ours (worse actually
– see all b&H for instance)
• While this is a crude evaluation to say the least, their
efficiency is clearly higher than ours. They are only 1%
below their “pseudo” which is about what they charge in
fees.
• Conclusion: We need to look into where we are less
efficient. Also reconsider overall allocations
psTHHYX CPMPX SIRRX THHYX OTRFX SPY All B&H
APR 10.4% 6.8% 4.6% 9.5% 7.0% 21.1% 11.3%
MDD -2.6% -2.1% -3.9% -2.0% -3.4% -9.7% -5.2%
UI 0.9% 0.8% 1.8% 0.7% 1.0% 2.4% 1.2%
UPI 11.1 8.7 2.6 12.7 6.8 8.7 9.7
Stdev 0.73 0.42 0.26 0.64 0.51 * 1.75 0.80
Sharpe 14.2% 16.1% 17.7% 14.7% 13.7% 12.1% 14.1%
* artificially low
PHIYX_6 RITCX_6 PHYZX_6 SAMHX_6 PYHIX_6 SHYAX_6 FJSYX_6 WAHSX_6 JYIIX_6 BHYIX_6
APR 8.6% 9.2% 9.6% 10.2% 9.6% 9.8% 12.4% 11.9% 10.6% 12.2%
MDD -3.4% -2.6% -3.1% -3.9% -3.2% -2.6% -2.7% -2.4% -3.2% -2.8%
UI 1.2% 1.0% 1.0% 1.3% 1.2% 0.9% 0.9% 0.8% 1.0% 0.8%
UPI 7.3 9.5 9.4 7.7 8.2 11.0 13.2 14.5 10.4 15.9
Stdev 0.59 0.65 0.68 0.72 0.66 0.69 0.89 0.85 0.72 0.90
Sharpe 14.6% 14.0% 14.2% 14.1% 14.4% 14.3% 14.0% 14.0% 14.7% 13.6%
20. June 25, 2014 20
Trade Date Principal Comm
ission
Tran Type Settle Date Security ID Symbol Int/Pur Sid Fees
date price (div adjusted) deviation cost
Purchase 2/23/2012 87234N765 TGEIX 7,300,000.00 18.00 7,300,018.00 CEROS
1/4/2012 7.3292 7.7385 (386,191)
Purchase 3/14/2012 87234N765 TGEIX 7,450,000.00 18.00 7,450,018.00 CEROS
1/4/2012 7.3292 7.9013 (539,465)
Sale 5/14/2012 87234N765 TGEIX 4,970,000.00 18.00 4,969,982.00 CEROS
5/17/2012 7.7665 7.8744 69,028
Sale 5/17/2012 87234N765 TGEIX 4,872,960.00 0.00 4,872,960.00 CEROS
5/17/2012 7.7665 7.7665 -
Sale 5/17/2012 87234N765 TGEIX 4,873,780.70 18.00 4,873,762.70 CEROS
5/17/2012 7.7665 7.7665 -
Purchase 7/18/2013 87234N765 TGEIX 12,100,000.00 0.00 12,100,000.00 HUNTINGTON BANK
7/19/2013 8.5128 8.5030 13,940
Sale 8/2/2013 87234N765 TGEIX 2,000,000.00 0.00 2,000,000.00 HUNTINGTON BANK
8/8/2013 8.2973 8.3169 4,723
Sale 8/14/2013 87234N765 TGEIX 9,874,405.05 0.00 9,874,405.05 HUNTINGTON BANK
8/8/2013 8.2973 8.2973 -
Purchase 2/27/2014 87234N765 TGEIX 6,500,000.00 0.00 6,500,000.00 HUNTINGTON BANK
2/25/2014 8.2931 8.3226 (23,050)
Sale 3/7/2014 87234N765 TGEIX 100,000.00 0.00 100,000.00 HUNTINGTON BANK
Purchase 5/9/2014 87234N765 TGEIX 5,300,000.00 0.00 5,300,000.00 HUNTINGTON BANK
2/25/2014 8.2931 8.5856 (180,562)
sum (1,041,577)
Net Amount Broker
Location
Changing Parameters Fund
Portfolio Transactions
1/1/2012 through 6/17/2014
Trade Date Principal Comm
ission
Tran Type Settle Date Security ID Symbol Int/Pur Sid Fees
date price (div adjusted) deviation cost
Purchase 6/19/2012 78411R851 SITEX 4,910,000.00 18.00 4,910,018.00 CEROS 6/18/2012 10.0076 10.0427 (17,123)
Purchase 10/3/2012 78411R851 SITEX 410,000.00 18.00 410,018.00 CEROS 6/18/2012 10.0076 10.7127 (26,987)
Purchase 12/10/2012 78411R851 SITEX 335,000.00 18.00 335,018.00 CEROS 6/18/2012 10.0076 10.9671 (29,309)
Purchase 1/2/2013 78411R851 SITEX 1,200,000.00 18.00 1,200,018.00 CEROS 6/18/2012 10.0076 11.1385 (121,839)
Sale 5/22/2013 78411R851 SITEX 7,378,830.82 0.00 7,378,830.82 HUNTINGTON BANK
5/22/2013 11.0901 11.0901 -
Purchase 9/17/2013 78411R851 SITEX 11,700,000.00 0.00 11,700,000.00 HUNTINGTON BANK
9/17/2013 10.0909 10.0909 -
Purchase 10/21/2013 78411R851 SITEX 2,300,000.00 0.00 2,300,000.00 HUNTINGTON BANK
9/17/2013 10.0909 10.4318 (75,177)
Sale 11/6/2013 78411R851 SITEX 4,694,054.73 0.00 4,694,054.73 HUNTINGTON BANK
11/6/2013 10.2055 10.2055 -
Sale 11/7/2013 78411R851 SITEX 4,685,001.59 0.00 4,685,001.59 HUNTINGTON BANK
11/6/2013 10.2055 10.1858 (9,036)
Sale 11/11/2013 78411R851 SITEX 4,630,682.72 0.00 4,630,682.72 HUNTINGTON BANK
11/6/2013 10.2055 10.0677 (62,516)
sum (341,986)
Net Amount Broker
Location
Changing Parameters Fund
Portfolio Transactions
1/1/2012 through 6/17/2014
Use vs. the funds we trade: Some examples of “execution slippage”
All these situations vary; these numbers just give a sense of the magnitude of discretionary
trading/portfolio alteration
Total profit for this period ~$20M; this is EM issues only (because its easy)
21. June 25, 2014 21
Unrealized Realized Interest/Div Total P & L "allocation"
% of Total CP
profits
67065Q772 Nuveen High Yield Muni Bond Fund
139,232.02 1,883,883.87 1,065,745.83 3,088,861.72
56063U521 Mainstay Muni High Yield Bond
901,489.98 446,495.42 567,163.61 1,915,149.01
552984304 MFS Muni High Income- A
0.00 271,471.04 180,614.51 452,085.55 HYMuni
683940852 Oppenheimer Rochester National Municipal-Y
0.00 17,412.70 76,431.89 93,844.59 10% 5,549,940.87 28.1%
78411R851 SEI Emerging Markets Debt Fund
0.00 (141,149.15) 674,646.99 533,497.84 EM Debt SITEX (341,986)
87234N765 TCW Emerging Markets Income Fund
274,122.06 (492,269.48) 361,489.32 143,341.90 10% 676,839.74 3.4% TGEIX (1,041,577)
026547828 American High Income Trust
0.00 (180,946.00) 89,623.58 (91,322.42)
41014P763 John Hancock High Yield I
253,738.32 130,661.40 618,879.41 1,003,279.13
72369B406 Pioneer High Yield Fund - Y
74,808.87 (47,253.65) 875,966.79 903,522.01
893962159 Transamerica AEGON High Yield
0.00 453,028.44 396,406.43 849,434.87
664210101 Northeast Investors Trust
110,869.87 86,014.89 541,613.49 738,498.25
466000122 Ivy High Income Fund
0.00 424,640.75 296,662.73 721,303.48
76628T405 RidgeWorth High Income-I
0.00 336,652.93 269,511.59 606,164.52
52469F432 Legg Mason global HY
0.00 296,762.14 298,947.28 595,709.42
552984874 MFS H/Y Opportunities I
215,157.59 10,950.18 358,971.24 585,079.01
693390841 Pimco High Yield Fund Inst
0.00 (13,845.57) 498,935.36 485,089.79
19763T103 Columbia Income Opportunity-A
0.00 164,777.16 294,120.46 458,897.62
091929638 Blackrock Portfolio HY
0.00 157,052.34 231,295.18 388,347.52 HY Bond
670678234 Nuveen High Income Bond Fund Class I
0.00 110,597.25 158,765.28 269,362.53 40% 7,513,365.72 38.1%
01859M408 AllianceBernstein High Income Y
0.00 (194,673.72) 26,552.13 (168,121.59)
01859M507 AllianceBernstein Bond Fund Inc-High Income Fund
0.00 279,435.45 273,013.64 552,449.09
72201F490 Pimco Income Fund
0.00 1,235,042.62 946,171.08 2,181,213.70 MS Bond
543495840 Loomis Sayles Bond Fund - INS
888,848.26 16,916.54 1,050,536.55 1,956,301.35 20% 4,521,842.55 22.9%
277911491 Eaton Vance Floating Rate Fund
0.00 (9,953.85) 6,153.93 (3,799.92)
416649804 Hartford Floating Rate Fund
0.00 116,665.12 211,938.39 328,603.51
47804A692 John Hancock Funds II Floating Rate Income Fund
0.00 (51,518.86) 55,598.13 4,079.27
00141A586 Invesco Floating Rate CL Y Portfolio
38,250.64 31,035.75 460,289.21 529,575.60 Bank Loan
74254R637 Principal High Yield Fund I Inst
0.00 (140,424.06) 23,412.91 (117,011.15) 10% 741,447.31 3.8%
73936Q769 Powershares Senior Loan Portfolio ETF
36,548.04 (64,983.60) 215,597.35 187,161.79
72201R783 PIMCO 0-5 Year High Yield Corp Bond
17,564.44 163,447.70 318,820.88 499,833.02 ETFs
78464A417 SPDR Barclays High Yield Bond ETF
0.00 24,070.92 14,278.17 38,349.09 10% 725,343.90 3.7%
Security Profit and Loss by Ledger Date Basis
From 12/31/2011 To 6/17/2014
Here is the total profit by sector, in dollars and %.
HYMuni and MS overperformed, the rest under performed
Notes 1. ETFs were only traded for about ¼ of this period, so they probably outperformed as well
2. If you add back in the “slippage” to EM, it comes roughly back up to its full 10%
22. June 25, 2014 22
But what about fund selection?
• Compared the traded results of 39 HY fund with data
back to July 1, 2008
• Also included 18 MS funds in a second round of
comparisons
• Conclusions:
– Previous results, including maxdd in 2009, and stdev are decent
predictors of fund performance, but only during substantial “up
periods”
– The addition of the MS funds increased predictive power,
suggesting these two groups might be merged when selecting
funds.
– Predictive value is best measured over longer time periods, and
rarely exceeds r2 values of .5 (which means there are a lot of
other things going on too).
25. June 25, 2014 25
An expanded look at the EFT Universe
HYLD / HYS / BKLN
HYLD_OWN441 HYLD_OWN881 HYLD_FID2 HYS_OWN441 HYS_OWN881 HYS_FID2 BKLN_OWN441 BKLN_OWN881 BKLN_FID2
APR 7.157% 10.696% 9.573% 9.501% 8.508% 7.998% 8.243% 5.603% 7.521%
MDD -5.59% -3.26% -2.13% -2.20% -3.57% -1.81% -1.77% -2.44% -1.84%
UI 1.886% 0.856% 0.683% 0.453% 0.719% 0.500% 0.373% 0.654% 0.405%
UPI 3.795 12.494 14.007 20.966 11.835 16.012 22.126 8.566 18.551
Trades 41.5 21.5 12.5 9.5 17.5 12.5 21.5 16.5 12.5
TIM 74.7% 76.2% 71.4% 80.9% 76.1% 71.4% 64.1% 65.4% 71.4%
IAPR 9.581% 14.039% 13.400% 11.740% 11.181% 11.195% 12.861% 8.568% 10.527%
6/17/2011 - 5/223/2014
– HYLD_881 and FID2 are at least comparable and in
some ways better than HYS & BKLN OWN441 and
FID2 (systems currently in use)
26. June 25, 2014 26
HYLD / HYS / BKLN Trading overlap
– Data from 6/17/2011 – present (start of HYS)
– HYLD_OWN881 was better than HYLD_OWN441
– HYLD_OWN881 had 22 buys, 21 sells
• 3 common buys with HYS_OWN441, 3 common sells
• 0 common buys with BKLN_OWN441, 6 common sells
– HYLD_OWN441 had 42 buys 41 sells
• 5 common buys with HYS_OWN441, 3 common sells
• 6 common buys with BKLN_OWN441, 2 common sells
27. June 25, 2014 27
HYS vs SJNK
– Follow up from last meeting
– Added a look at SJNK trading on an HYS 441 signal
(2nd
column)
– Narrows the gap a little, still not as good as HYS
– HYS/SJNK on FID2 still pretty similar
SJNK_OWN441 SJNK_HYS441 HYS_OWN441 SJNK_FID2 HYS_FID2
APR 6.291% 6.773% 8.051% 6.112% 6.359%
MDD -2.17% -2.48% -2.20% -1.41% -1.30%
UI 0.408% 0.459% 0.386% 0.408% 0.432%
UPI 15.432 14.757 20.878 14.976 14.705
Trades 19.5 21.5 14.0 8.5 8.5
TIM 75.3% 80.4% 65.4% 73.5% 73.5%
IAPR 8.350% 8.420% 12.314% 8.319% 8.655%
29. June 25, 2014 29
Maxfield Account Random Charts and Stats
0
20
40
60
80
100
120
Apr-89
Apr-90
Apr-91
Apr-92
Apr-93
Apr-94
Apr-95
Apr-96
Apr-97
Apr-98
Apr-99
Apr-00
Apr-01
Apr-02
Apr-03
Apr-04
Apr-05
Apr-06
Apr-07
Apr-08
Apr-09
Apr-10
Apr-11
Apr-12
Apr-13
Balance
H100
H0A0
SPX
CCMP
INDU
RTY
Barclays Aggregate Bond
For VMI / CP Internal Use Only
Growth of client account versus various indices
30. June 25, 2014 30
Maxfield Account Random Charts and Stats
0
10
20
30
40
50
60
70
Apr-89
Apr-90
Apr-91
Apr-92
Apr-93
Apr-94
Apr-95
Apr-96
Apr-97
Apr-98
Apr-99
Apr-00
Apr-01
Apr-02
Apr-03
Apr-04
Apr-05
Apr-06
Apr-07
Apr-08
Apr-09
Apr-10
Apr-11
Apr-12
Apr-13
Balance
SPX
For VMI / CP Internal Use Only
Growth of client account versus various indices
31. June 25, 2014 31
Maxfield Account Random Charts and Stats
0
10
20
30
40
50
60
70
80
-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
Distribution of Monthly Returns (4/89 - 1/14) .5% bins
for internal use only
32. June 25, 2014 32
Maxfield Account Random Charts and Stats
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
All Monthly Returns (4/89 - 1/14) sorted in ascending order
for internal use only
33. June 25, 2014 33
Business Development
• What is our story?
• What marketing material do we need?
– E.g. Mo’ Maxfield data
– Orion has a great deal of data
• Who is our audience?
