2. Auroch Portfolio Analysis – August 2010
Mega & Large Capitalization
2.50% ASSET CLASS RETURN
1.95%
2.00% Average 3.35%
Absolute return for the month of August
1.50%
IDFC Imperial Equity 1.78%
1.12% ING Nifty Plus 3.23%
1.00% Sundaram BNP Paribas Select Focus 1.19%
0.69%
0.50% 0.42% ICICI Prudential Growth 0.15%
0.21%
DSPBR Top 100 Equity 3.09%
0.00% Birla Sun Life Top 100 2.09%
it
Gold
es
te
10 Yr Coporate Bond
bt
n
Kotak
K k 30 4.40%
4 40%
Fixed Deposi
10 Yr Govt Deb
Commoditie
Real Estat
-0.50%
Magnum Equity 4.48%
-1.00%
UTI Equity 4.28%
-1.50% HDFC Top 200 5.92%
-2.00% 0% 1% 2% 3% 4% 5% 6% 7%
-2.50% -2.28%
Return over Quarter Ending June 2010
Auroch portfolios have outperformed all asset classes in the quarter ending June 2010.
Portfolios have been averaging between 8-12% a quarter. As an asset class, equities
would continue to outperform as it is the asset most levered to the India growth.
All stocks for allocation go through a three stage process where we whittle down from
an universe of 1000 stocks down to 60-80 that we like, largely on economics and where
it falls on the economic cycle. We draw on these stocks for our portfolio based on the
different strategies that each is pursuing. As a House we take a top-down
view, consistent with our investment horizon. Our strategies ensure that we minimize
portfolio drag by focusing on the best alternatives and not over-diversifying. Actual
asset allocations are based on individual investor context and risk profile.
3. Alpha Performance Analysis
Alpha is a fundamentally driven portfolio that is medium to high risk. It uses macro
indicators to overweight sectors likely to do well. This strategy focuses on business
outperformance, with an increased market consideration. Portfolio companies tend to
be dominant players with a story edge th t t d t outperform i a rising market.
b d i t l ith t d that tend to t f in i i k t
Amongst the strong businesses that we identify, we are looking for mispricing on
account of market sentiments and our understanding of its performance at various
points on the economic cycle. We look to exploit structural gaps in the market with a
longer horizon to see the underlying thesis play out. The holding period is one year, one
day or less and between 15 to18 stocks are held at any one time.
4. Tracked Performance – ALPHA VS NIFTY
135
Portfolio Index Nifty Index Buy and Hold
130
riod From 31st December
Active
Mgmt
125
14%
ugust 2010
120
115
Sel
Stock
lection
2009 to 31st Au
s
110
12%
105
Mark
Retur
100
4%
ket
Per
rn
95
Alpha portfolio was commenced in Dec-09
90
11-Mar-10
18-Mar-10
1-Apr-10
8-Apr-10
3-Jun-10
26-Aug-10
4-Mar-10
14-Jan-10
28-Jan-10
11-Feb-10
18-Feb-10
25-Feb-10
21-Jan-10
4-Feb-10
15-Apr-10
22-Apr-10
29-Apr-10
31-Dec-09
7-Jan-10
25-Mar-10
10-Jun-10
17-Jun-10
24-Jun-10
12-Aug-10
19-Aug-10
13-May-10
20-May-10
27-May-10
15-Jul-10
22-Jul-10
29-Jul-10
5-Aug-10
6-May-10
1-Jul-10
8-Jul-10
PORTFOLIO STATISTICS • 30% • 5.47X • 4.67X PORTFOLIO RETURN
(168 Days)
ABSOLUTE RETURN ALPHA NIFTY
Alpha Portfolio Return (Rp) 30%
Market Return (Rm) 4% Trailing Return on
Return per From Inception 30.25% 3.87%
Unit of
12M return Carry
Portfolio Beta 0.74 Risk Quarterly Return 9.79% 6.21%
Residual Componet of Alpha Portfolio Return 27% Monthly Return 1.74% 0.65%
• 16 • 1 Yr 1
Market Componet of Alpha Portfolio Return 3% • 6.25% Day
St k
Stocks
Tracking Error (Active Risk) 0.67%
Active Return (Rp-Rm) 26% # of Average
Average
Holding
Counters Holding %
Information Ratio 39.38 Period
Confidential, for intended persons only
5. RELATIVE INDEX – ALPHA VS NIFTY (Monthly)
104 101
110 Alpha Portfolio - March 2010 Alpha Portfolio - April 2010 100 Alpha Portfolio - May 2010
103
108 99
98
102
106 97
101 96
104
95
102 100
94
93
100 99
92
98 98 91
Mar
Mar
Mar
Mar
Mar
Mar
Mar
Mar
Mar
Mar
Mar
May
May
May
May
May
May
May
May
May
May
May
Mar
Mar
Mar
Mar
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
Apr
May
May
May
May
10-M
12-M
14-M
16-M
18-M
20-M
22-M
24-M
26-M
28-M
30-M
2-M
4-M
6-M
8-M
11-A
13-A
15-A
17-A
19-A
21-A
23-A
25-A
27-A
29-A
11-M
13-M
15-M
17-M
19-M
21-M
23-M
25-M
27-M
29-M
31-M
3-M
5-M
7-M
9-M
1-A
3-A
5-A
7-A
9-A
Portfolio Nifty Portfolio Nifty Portfolio Nifty
108.00 105.00 103.00
BELLWETHER PORTFOLIO - JUNE 2010 BELLWETHER PORTFOLIO - JULY 2010 BELLWETHER PORTFOLIO - AUGUST 2010
107.00
107 00
104.00 102.00
106.00
105.00 103.00
101.00
104.00
102.00
103.00
100.00
102.00 101.00
101.00
99.00
100.00
100.00
99.00 99.00 98.00
un
un
un
un
un
un
un
un
un
un
un
un
un
un
un
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
ul
10-Aug
g
12-Aug
g
14-Aug
g
16-Aug
g
18-Aug
g
20-Aug
g
22-Aug
g
24-Aug
g
26-Aug
g
28-Aug
g
30-Aug
g
2-Aug
g
4-Aug
g
6-Aug
g
8-Aug
g
11-Ju
13-Ju
15-Ju
17-Ju
19-Ju
21-Ju
23-Ju
25-Ju
27-Ju
29-Ju
1-Ju
3-Ju
5-Ju
7-Ju
9-Ju
11-Ju
13-Ju
15-Ju
17-Ju
19-Ju
21-Ju
23-Ju
25-Ju
27-Ju
29-Ju
1-Ju
3-Ju
5-Ju
7-Ju
9-Ju
Bellwether Nifty Bellwether Nifty Bellwether Nifty
RETURN Mar-2010 Apr-2010 May-2010 Jun-2010 July-2010 Aug-2010
ALPHA 10.37% 2.75% -1.57% 3.04% 4.88% 0.73%
NIFTY 4.63% -0.24% -2.61% 6.89% 2.21% -0.54%
Confidential, for intended persons only
6. Bellwether Performance Analysis
Bellwethers is our core holding with a low risk profile. It holds 10 stocks in the Nifty
universe that are then weighted to achieve outperformance. This strategy focuses on
companies that have a strong franchise that they are continuing to build on. A longer
term b i
t business f
focus not f
t front and center story stocks. E
t d t t t k Economics and growth
i d th
consideration within a larger macro trend drives allocation. Buy and let the company do
its job. We think of these as annuity businesses that are increasing their EPS, while a
rising market will take care of multiple-expansion. The holding period is over one year
and around 10 stocks are held at any one time.