Mercer Capital's Value Focus: Transportation & Logistics | Q3 2021 | Feature...Mercer Capital
Mercer Capital's Transportation & LogisticsIndustry newsletter provides perspective on valuation issues. Each newsletter also typically includes macroeconomic trends, industry trends, mergers and acquisitions review, and guideline public company metrics.
The COVID19 has changed the corporate landscape and the priorities of the government.
How should individual respond to these changes especially the rise of China?
Professor Lee will share his experience and observations from his 30 years in the market, and the global implications of the Chinese Central Bank Digital Currency and Libra Cryptocurrency.
Capital-Infraestructure-spending-outlook-2016PwC España
El Informe "Capital Project and Infraestructure Spending Outlook" de PwC estima que en 2016 la inversión mundial en infraestructuras aumente un 2%. A partir de 2017, se espera que este ritmo se acelere paulatinamente hasta alcanzar una inversión total, en 2020, de 28,3 billones de dólares.
Mercer Capital's Value Focus: Auto Dealer Industry | Year-End 2018Mercer Capital
Mercer Capital's Auto Dealer Industry newsletter provides perspective on valuation issues. Each newsletter also includes macroeconomic trends, industry trends, and guideline public company metrics.
Mercer Capital's Value Focus: Transportation & Logistics | Q3 2021 | Feature...Mercer Capital
Mercer Capital's Transportation & LogisticsIndustry newsletter provides perspective on valuation issues. Each newsletter also typically includes macroeconomic trends, industry trends, mergers and acquisitions review, and guideline public company metrics.
The COVID19 has changed the corporate landscape and the priorities of the government.
How should individual respond to these changes especially the rise of China?
Professor Lee will share his experience and observations from his 30 years in the market, and the global implications of the Chinese Central Bank Digital Currency and Libra Cryptocurrency.
Capital-Infraestructure-spending-outlook-2016PwC España
El Informe "Capital Project and Infraestructure Spending Outlook" de PwC estima que en 2016 la inversión mundial en infraestructuras aumente un 2%. A partir de 2017, se espera que este ritmo se acelere paulatinamente hasta alcanzar una inversión total, en 2020, de 28,3 billones de dólares.
Mercer Capital's Value Focus: Auto Dealer Industry | Year-End 2018Mercer Capital
Mercer Capital's Auto Dealer Industry newsletter provides perspective on valuation issues. Each newsletter also includes macroeconomic trends, industry trends, and guideline public company metrics.
Brazil Digital Report: a first-edition dossier on the Brazilian digital economy. A comprehensive report on trends and facts for investors, public and private institutions, entrepreneurs, executives, students, and for digital savvy people who are curious about Brazil.
https://www.brazilatsiliconvalley.com/
June 2017 - The 2017 edition of the OECD Business and Finance Outlook focuses on ways to enhance “fairness”, in the sense of strengthening global governance, to ensure a level playing field in trade, investment and corporate behaviour, through the setting and better enforcement of global standards. This presentation by OECD's financial markets expert Adrian Blundell-Wignall shows key findings from the publication. Find out more here http://www.oecd.org/daf/oecd-business-and-finance-outlook-2017-9789264274891-en.htm
Brazil Transaction Insights Q3 2019 By Duff & Phelps Ana Lucia Amaral
Duff & Phelps is the global advisor that protects, restores and maximizes value for clients in the areas of valuation, corporate finance, investigations, disputes, cyber security,
compliance and regulatory matters, and other governance-related issues. We work with clients across diverse sectors, mitigating risk to assets, operations and people. For more information, visit www.duffandphelps.com.
For my IB Extended Essay (EE), I chose a topic within Microeconomics; more specifically, contestable market theory. In this academic research paper, I investigated the following research question: “To what extent has the degree of contestability in the electric vehicle market changed in the United States between 2014 and 2019?”
Grade achieved: A
• In the May 2020 session, only 7.17% of candidates (2,975 out of 41,486) who wrote an Extended Essay on a social science achieved this maximum grade.
• Around 180 out of ~4,100 candidates who wrote an Economics Extended Essay achieved an A (above the 95th percentile), making it one of the hardest subjects to write an EE on.
• Overall, only 10.63% of candidates achieved an A on their Extended Essay in May 2020.
This presentation by Hiro Odagiri, Professor, Department of Economics, Hitotsubashi University, was made during the discussion “Market Concentration” held at the 129th meeting of the OECD Competition Committee on 7 June 2018. More papers and presentations on the topic can be found out at oe.cd/2gw.
Trends in Information Technology for Economic & Social Development in 2020 - ...IJMIT JOURNAL
International Journal of Managing Information Technology (IJMIT) is a quarterly open access peer-reviewed journal that publishes articles that contribute new results in all areas of the strategic application of information technology (IT) in organizations. The journal focuses on innovative ideas and best practices in using IT to advance organizations – for-profit, non-profit, and governmental. The goal of this journal is to bring together researchers and practitioners from academia, government and industry to focus on understanding both how to use IT to support the strategy and goals of the organization and to employ IT in new ways to foster greater collaboration, communication, and information sharing both within the organization and with its stakeholders. The International Journal of Managing Information Technology seeks to establish new collaborations, new best practices, and new theories in these areas.
Brazil Digital Report: a first-edition dossier on the Brazilian digital economy. A comprehensive report on trends and facts for investors, public and private institutions, entrepreneurs, executives, students, and for digital savvy people who are curious about Brazil.
https://www.brazilatsiliconvalley.com/
June 2017 - The 2017 edition of the OECD Business and Finance Outlook focuses on ways to enhance “fairness”, in the sense of strengthening global governance, to ensure a level playing field in trade, investment and corporate behaviour, through the setting and better enforcement of global standards. This presentation by OECD's financial markets expert Adrian Blundell-Wignall shows key findings from the publication. Find out more here http://www.oecd.org/daf/oecd-business-and-finance-outlook-2017-9789264274891-en.htm
Brazil Transaction Insights Q3 2019 By Duff & Phelps Ana Lucia Amaral
Duff & Phelps is the global advisor that protects, restores and maximizes value for clients in the areas of valuation, corporate finance, investigations, disputes, cyber security,
compliance and regulatory matters, and other governance-related issues. We work with clients across diverse sectors, mitigating risk to assets, operations and people. For more information, visit www.duffandphelps.com.
For my IB Extended Essay (EE), I chose a topic within Microeconomics; more specifically, contestable market theory. In this academic research paper, I investigated the following research question: “To what extent has the degree of contestability in the electric vehicle market changed in the United States between 2014 and 2019?”
Grade achieved: A
• In the May 2020 session, only 7.17% of candidates (2,975 out of 41,486) who wrote an Extended Essay on a social science achieved this maximum grade.
• Around 180 out of ~4,100 candidates who wrote an Economics Extended Essay achieved an A (above the 95th percentile), making it one of the hardest subjects to write an EE on.
• Overall, only 10.63% of candidates achieved an A on their Extended Essay in May 2020.
This presentation by Hiro Odagiri, Professor, Department of Economics, Hitotsubashi University, was made during the discussion “Market Concentration” held at the 129th meeting of the OECD Competition Committee on 7 June 2018. More papers and presentations on the topic can be found out at oe.cd/2gw.
Trends in Information Technology for Economic & Social Development in 2020 - ...IJMIT JOURNAL
International Journal of Managing Information Technology (IJMIT) is a quarterly open access peer-reviewed journal that publishes articles that contribute new results in all areas of the strategic application of information technology (IT) in organizations. The journal focuses on innovative ideas and best practices in using IT to advance organizations – for-profit, non-profit, and governmental. The goal of this journal is to bring together researchers and practitioners from academia, government and industry to focus on understanding both how to use IT to support the strategy and goals of the organization and to employ IT in new ways to foster greater collaboration, communication, and information sharing both within the organization and with its stakeholders. The International Journal of Managing Information Technology seeks to establish new collaborations, new best practices, and new theories in these areas.
Ultrasonic automatic braking system in cars by Accelerator Disengagement Mech...Arvind Srivastava
The Ultrasonic Automatic Braking System in cars is a safety measure which can be implemented to apply the brakes suddenly in case of collision. Accelerator disengagement mechanism uses a servo motor and an additional link which shuts down the throttle valve to disengage accelerator and then the brakes.
Supply Chain Metrics That Matter: A Focus on Aerospace & Defense Companies 2017Lora Cecere
Executive Overview
A concentrated industry with few players, Aerospace & Defense (A&D) is unique. While demand in the Aerospace industry is relatively stable, the Defense Industry is volatile. Driven by technology innovation, success lies in the integration of R&D processes into the end-to-end supply chain. The A&D supply chain is largely a story of supply chain excellence in procurement and sourcing strategies. With a dependency on scarce materials, and sole-sourcing strategies, the industry fights to survive.
Government spending drives the defense supply chain. Companies in this industry compete for government contracts that range from hundreds of millions to billions of dollars. The magnitude of these contracts defines winners and losers for the industry. Demand is lumpy and volatile. Companies such as Lockheed Martin and Boeing have had a long-lasting relationship with the government re defense spending, but they live contract by contract. In contrast, the commercial aircraft side is much different. It is driven by long-term economic trends
Government ups the ante for the latest and best technology for global defense. As the technology in jets, weapons, and missile-defense systems continues to advance, the supply chain becomes more complex with increasing pressures on driving innovation. To better understand the industry in relation to supply chain management, let’s start by looking at it within the larger context of the A&D value network. Growth is increasing, margins are decreasing, and longer cash-to-cash cycles are increasing working capital. In Table 1, we share the trends and metrics progress on the Supply Chain Metrics That Matter. These charts are set up to take a hard look at value chains. To understand the table, let’s take a look at the data. For the period of 2010-2016 the average growth of the industry was 4%. However, if the year-over-year growth rate of 2016 is compared to 2010, the growth rate is down 19% in a year-by -year comparison. The red arrows represent a negative trend while the green arrow represents a positive trend. Notice within this value chain that most of the arrows are red. While the industry is more dependent on software and computer hardware, there has been little collaboration to drive value between trading partners. Also note that this industry has the longest Cash-to-Cash cycles of any that we have studied, and the impact of lengthening payables in government spending resulted in a 12% increase in Cash-to-Cash with an average days of Cash-to-Cash of 152.
Table 1. Industry Overview of Trends for the Period of 2010-2016
In this report, we take a detailed look at elements of the metrics portfolio, and then wrap up with excerpts from annual reports to enable the reader to understand the “voice” of the industry.
Week 1 - Form 1 Applied Research ProjectFORM 1Brief descrip.docxjessiehampson
Week 1 - Form 1: Applied Research Project
FORM 1
Brief description of your proposed Applied Research Project:
Topic: Effect of Increasing Training Budget
Justification and/or reasons why you want to do this project:
INTERPRETING PRESENTATIONS OF DATA ANALYSIS IN ARTICLES OR REPORTS
LEARNER’S NAME
CAPELLA UNIVERSITY
APPLIED BUSINESS ANALYTICS
INTERPRETING PRESENTATIONS OF DATA ANALYSIS IN ARTICLES OR REPORTS
FEBRUARY, 2019
General Motors: The Business Context
Publicly traded multinational corporation (CNN, 2019)
Only 14.5% of its gross revenue comes from markets outside North America (Statista, 2019)
Downsizing of the company (CNN Business, 2018)
Recent shift toward the production of autonomous electric vehicles (General Motors, 2017)
Hello, all. In today’s presentation, I will discuss two graphs that provide insight into the global economy, and this will go on to provide a clearer perspective of our business context and direct us toward profitable decision-making.
In the past decade, the company has been through turbulent times. We have faced bankruptcy, acquired the status of a government-owned company, and have again become a publicly traded company (CNN, 2019). Although we are one of the largest automakers in the world, only 14.5% of our gross revenue for 2018 was generated from sales in markets outside North America (Statista, 2019), a major concern from the standpoint of growth in revenue and profitability. The company is currently undergoing major restructuring at the global level. We have shut down five facilities in North America and have cut our salaried workforce by 15%. These decisions have been tough but are necessary to remain flexible, increase savings, and stabilize profits (CNN Business, 2018).
Today, General Motors is moving toward a bright future by investing in the production of cutting-edge automobiles. Our 2017 sustainability report highlighted the successful operation of five electrified automobile models developed by us. This accomplishment is accompanied by our commitment to introduce 20 electric vehicles by 2023, which is in adherence to the goal of zero-emission vehicles (General Motors, 2017). The value of this direction should be understood against the backdrop of the automobile industry’s future in self-driving cars and its changing competition arena. Technological firms from the Silicon Valley are challenging traditional automakers with self-driven car models. Therefore, the way forward is to stay ahead in the innovation race (CNN Business, 2018).
2
Variance in Returns on Invested Capital for North American Firms
(as cited in Dobbs, Koller, & Ramaswamy, 2015)
The line graph offers a visual representation of the variance in returns on invested capital for North American firms over a period of 50 years. The graph explains the relationship between two variables, with the value of the first depending on the value of the second. The time duration (m ...
Running Head AT&T AND TIME WARNER 1AT&T AND TIME WARNER.docxtoddr4
Running Head: AT&T AND TIME WARNER 1
AT&T AND TIME WARNER 2
AT&T and Time Warner
Institution
Name
Course Title
Date
5 Porter’s Forces on AT&T and Time Warner
Porter’s Forces are the most essential framework which is being applied in most industry analysis since its introduction in the 1970s. They are embraced most because of their ability to measure the capability of a business’ competitive attractiveness with regard to its market industry. Most of the creditors as well as investors make use of the conclusion that are drawn from the Porter’s 5 Forces in determining the business’s risk as per the current market competition. In this paper, Porter’s 5 Forces analysis of the Company in relation to its market competition will be discussed.
Competitive Rivalry
From the history of telecommunications in the United States, there are 10 main competitors of the firm. Although there are other companies approaching 70 in the telecommunications industry in the United States, these 10 are the one offering a direct competition to AT&T and Time Warner according to…?. These direct competitors include T Mobile, COX, Sprint, Google, Apple, EarthLink, NETFLIX, ADT, Vodafone, and DISH. Together, they have raised over $5.6 billion between there estimated 480,700 employees (Pouryeganeh, 2015).In terms of employees, AT&T and Time Warner have got 268,000 employees as per the 2018 analysis and it’s ranked at the top of all the competitors with the top 10 average number of employees being 68,531.
Considering the revenues of the company and its competitors, the following analysis table can be generated. How have the companies competing in this industry changed over the past decade or two, how have their market shares changed and how have those changes impacted sales and profitability in those industries….
Company Name
Average Annual Revenue
AT&T and Time Warner
$177.5 billion
T Mobile
$43.3 billion
COX
$39.0 billion
Sprint
$33.2 billion
Google
$110 billon
Apple
90,2 billion
EarthLink
$0.206 billion
NETFLIX
$4.19 billion
ADT
$1.185 billion
Vodafone
$46.5 billion
DISH
$13.94 billion
From the above financial information of the following regression graphical analysis can be done concerning the market competition in terms of revenue of AT&T and Time Warner.
It’s clear from the above statistical analysis that, the top most competitors for the company are Google and Apple telecommunication companies, please explain how you reached this conclusion…, with EarthLink being the least competitors among the ten considered companies. Google as well as Apple companies have been presented as the major competitors due to their time to time innovations on issues to do with internet services connectivity as well as their relative competitive costs as far as their services are a concern. Although other close competitors who are becoming popular in the market of telecommunications like Vodafone as well as T Mobile without forgetting COX and Sprint companies s.
The Deloitte M&A Index is a forward-looking indicator that forecasts future global M&A deal volumes and identifies the factors influencing conditions for dealmaking.
The Deloitte M&A Index is a forward-looking indicator that forecasts future global M&A deal volumes and identifies the factors influencing conditions for dealmaking.
This paper offers business students an insight on how to formulate a Public Relations Strategy. The paper has applied a number of strategic planning tools including PEST, Porter's Five Forces, and RBV
The U.S. Tech sector’s new record high has brought back memories of the dot-com bubble. But unlike then,
today’s Tech sector is not propped up by fanciful talk. It’s led by companies that are truly transforming the
economy and our lives.
Gafanomics - The Quarterly - Episode 2 (Q2FY19)Fabernovel
Financial analysis of some of the most disruptive Tech companies in the world. This document aims to provide you with some major insights concerning the financial markets and the most disruptive innovations for the second quarter of the financial year 2019.
Over the last year or so, there has been much talk about another impending recession and how it could impact channel management. The recession theory is based upon historical trends, which suggest business cycles tend to last around five to seven years each. That means every five to seven years we experience some sort of a recession. Eventually the economy recovers, and then something else happens to triggers another recession.
Recession is Coming. Is Your Channel Management Team Ready?
Investment Analysis Project 1
1. U.K. Value Growth Trans-Atlantic
Hedge Fund
The U.K.’s leading hedge fund in Trans-Atlantic Fixed-Income/Equity investing
2. 1
Table of Contents
Executive Summary……………………………………………………………………………………………………………….P.3
Part One……………………………………………………………………………………………………………………………….P.3
Sectors…………………………………………………………………………………………………………………….P.3-4
ConsumerDiscretionary…………………………………………………………………………………P.3
Technology…………………………………………………………………………………………………….P.3
Communications…………………………………………………………………………………………….P.4
Equities………………………………………………………………………………………………………………….P.5-10
Amazon………………………………………………………………………………………………………
SuperComLtd…………………………………………………………………………………………………
Tesla…………………………………………………………………………………………………
Netflix…………………………………………………………………………………………………
Disney…………………………………………………………………………………………………
IMAX…………………………………………………………………………………………………
FixedIncome…………………………………………………………………………………………………………
River9 (11/01/18)…………………………………………………………………………
TSLA 1.25 (03/01/21)………………………………………………………………………….
SHLD 6.5 (12/01/28)…………………………………………………………………………….
RAD 7.7 (02/15/27)…………………………………………………………………………………
ALUFP 6.5 (01/15/28)………………………………………………………………………………..
TOY 7.375 (10/15/18)…………………………………………………………………………….
AssetAllocation……………………………………………………………………………………………………..
SelectedBenchmark……………………………………………………………………………………………….
3. 2
Table of Contents
Part Two…………………………………………………………………………………………………………………………..
WeeklyAnalysis of PortfolioPerformance…………………………………………………………….
Part Three……………………………………………………………………………………………………………………..
S&P500 & Jensen’sAlpha……………………………………………………………………………………………
Part Four…………………………………………………………………………………………………………………………..
Benchmark Tracking……………………………………………………………………………………………………
4. 3
Executive summary
As determined by The National Bureau of Economic Research (2010) the economy is currently
in an expansionary period of the business cycle coming out of the recession which ended June
of 2009. Based on findings from appendix I through VI I believe that the economy is expanding,
albeit cautiously, presenting an investment opportunity where cyclical stocks and high yield
bonds will do well due to easy access to capital, and low interest rates and inflation. As a result,
there will be a focus on securities within the three sectors which are expected to benefit most
from an expanding economy, and current societal trends: consumer discretionary, technology,
and communications. The asset allocation for this portfolio was based on the CAPM, and used
SD and Beta for measuring risk. The S&P500 was used as the benchmark index; however, there
was a large disparity in the returns of the benchmark and portfolio of 23.18.
5. 4
Part One
Sectors
Consumer Discretionary
Consumer discretionary appears to be an excellent sector to invest in considering its YTD
performance in relation to other sectors of 3.91% (Appendix VIII). Going forward it is expected
to continue to outperform, with low oil prices (Appendix IV) and rising income and consumption
(Appendix III). These, paired with lower unemployment (Appendix I), increasing consumer
confidence (Appendix VI), and an expanding U.S. economy are the driving factors for favoring
consumer discretionary.
Technology
Technology was chosen because of its fast-growing and cyclical nature. As such, we expect this
sector to benefit from the effects of an expanding economy, and societal trends of becoming
ever-more dependent on technology. High consumer discretionary growth is expected to spill
over into technology as retailers are pressed with the challenge of attracting the multi-
channeled consumer. Another advantage, and potentially disadvantage with the current US
economy, is technology’s ability to easily reap the rewards of globalization. For a fraction of the
cost tech companies are able to attract large revenues from foreign markets, but are in danger
of increased costs due to the strong USD.
Communications
Communications is growing fast as a result of disruptive technology in areas like filmand
entertainment, and internet media. Major players are adapting to the integration of technology
6. 5
as opposed to falling behind as a result of its disruption. The sector boasted a relatively good
YTD performance of 1.09% (Appendix VIII), while macroeconomic trends (Appendix III;
Appendix VI; Appendix I), support growth expectations. The communications sector has had a
divergence in share prices and earnings (Appendix X), leading me to believe the sector as a
whole is undervalued. This belief is supported by the distortion between a P/E decrease of
48bp, in contrast to the S&P 500’s 45bp increase (Appendix XII), despite the communications
sector share prices outpacing S&P500 growth by more than 2500% (Appendix XIII).
7. 6
Equities
Amazon
Record low oil prices (Appendix IX) allow Amazon to drastically reduce prices and increase
convenience for consumers. With the transformation from bookstore to superstore,
introduction of Amazon prime in 2005, a video streaming service in 2012 (Mangalindan, 2012),
and talk of drone delivery systems (Guarini, 2014), Amazon has proven its ability to
continuously innovate and reinvent itself; making it a trustworthy investment.
Amazon’s retention ratio and D/E show there is no lack of growth prospects or
reinvestment (Appendix XIX), while their D/A and free cash flow alleviates any worry of over-
leveraging (Appendix XIX). Amazon has seen consistent, and large, revenue increases over the
last 4 years (Appendix XX), in comparison to EBay who had revenues decline sharply (Appendix
XXI). Although Amazon’s revenue growth is not as high as Alibaba’s (Appendix XXII), Amazon’s
revenues are more than 10 times larger, making their growth rates 10 times more impressive
(Appendix XX). Lastly, Amazon appears to be overvalued on P/E basis, but their price to sales is
actually below the average of their peers (Appendix XIX); hinting that they are slightly
undervalued on a sales basis and their P/E ratio is a testament to their financial solidity and
expected future cash flows.
SuperCom LTD.
I expect high consumer discretionary growth to benefit SuperCom, as their products are used in
consumer discretionary as well as other industries which have seen positive growth. For
example transportation and industrials, which have both seen growth of close to 8% (Appendix
XIV) since the same time last year and traditionally do well in an expanding economy.
8. 7
SuperCom pays no dividends allowing it to reinvest all of its profits back into the business
(Appendix XXIII). The company is below the average of its peers for P/E, P/B, and P/S valuation
ratios (Appendix XXIII), despite revenues showing a significant increase in the past year, strong
expected future revenues (Appendix XXIV), and a good EPS (Appendix XXIII). The biggest
indicator of SuperCom’s undervaluation is that their ROC, ROE, ROA, and ROIC are all
significantly higher than its peers (Appendix XXV). I believe that the stock price will raise to
bring these ratios closer to the peer average as the company has low D/E and D/A, and a good
current ratio removing most fears surrounding the company’s efficiency or capital structure
(Appendix XXIII).
Tesla
Tesla’s share price is based mostly on expectations for the future, and is driven by sentiment,
news, and CEO Elon Musk, but shows great potential for revolutionizing the market. Rachel
Layne and Dana Hull (2015) wrote in March that analyst Andrea James from Dougherty & Co.
says Tesla is quietly signing industrial customers and has the potential to add $50-$70 to the
share price with the grid storage opportunity. Further, the article stated that Tesla has won 80%
market share of non-residential grid-storage applications in California, and that if California
keeps on pace with projections in the next two years and Tesla retains market share, revenues
could increase to $2B (Layne and Hull, 2015). On top of promising news surrounding Tesla’s
emerging power storage opportunities, “Tesla's March China sales are up 130%-150% month-
over-month,” (Layne and Hull, 2015), and Musk intends to further Tesla’s presence in China by
adding more charging stations and redesigning the cars to better appeal to the Chinese tastes
(Bloomberg News, 2015). Revenue for Tesla increased by 58% in 2014, and they have a strong
9. 8
current ratio (Appendix XXVI). Tesla has a good P/B and P/S ratio (Appendix XXVI) displaying the
earning power of the assets on Tesla’s books, and the high expected value of future cash flows.
Netflix
Netflix is gaining in popularity among consumers, and is expanding to multiple countries in
order to continue its growth at the same pace it has in the U.S market (Cohen, 2015).
Consumers have a “content-on-demand” attitude, and this is only going to grow as Netflix
enters more markets; gaining a first to market advantage (Knight and Lynch, 2015). Netflix pays
no dividend, and so reinvests its earnings back into the company (Appendix XXVII). Last year
revenue for Netflix increased by 25.83% (Appendix XXVII), net income increased by 72%
(Appendix XXVIV) and Diluted EPS increased by 107.36% (Appendix XXVIV). Netflix sports ROC,
ROE, and ROIC ratios that are much higher than the average of its peers (Appendix XXVIII).
Further, Netflix has solid financial ratios in comparison to peers like their current ratio and D/E
ratio (Appendix XXVII) which shows they have room to take on more debt to finance their
expansion into other markets.
Disney
Disney has been releasing/announced films which/are expected to top the box office like
American Sniper and Star Wars VII and has been able to create additional revenues from these
films through merchandise and theme park attractions (Palmeri, 2015; Sakoui and Bit, 2015).
These releases allowed Disney to beat expected 1Q 2015 EPS and revenue, and provided
further ammunition to do so again in the coming quarters (Freund, 2015). With rising consumer
spending, incomes (Appendix III), and confidence (Appendix VI) I expect sales of movies and
merchandise, as well as attendance at theme parks to continue to rise in the coming quarter.
10. 9
Although Disney does pay dividends, their coverage ratio is high enough to give me assurance
of good future prospects for the company. Disney is in a good position fundamentally with a
good ROIC and ROIC/WACC ratio, as well as an abundance of free cash flow which will allow
them to fund further projects (Appendix XXX). Disney also has a good EPS in relation to peers
considering they have more than 1.25 times the average amount of shares outstanding, and a
strong net profit margin and revenue growth over the past year (Appendix XXXI).
IMAX
IMAX has a very close relationship with Disney, and I expect them to feed off of their success
from films like Star Wars VII (Buckles, T. et al., 2015). IMAX has good future prospects with
sequels like Frozen 2 and Furious 7, and HBO partnerships for Game of Thrones (Buckles, T. et
al., 2015). Also, IMAX is projecting a 28% adj. EBITDA growth rate as their cost base is mostly
fixed (Buckles, T. et al., 2015). IMAX’s ROC, ROE, ROA, ROIC, and free cash flow are well above
the average for their peers (Appendix XXXII). Further, IMAX has a strong current ratio, working
capital, and D/E ratio adding financial robustness to their structure, which makes me think they
are undervalued on a P/E basis (Appendix XXXIII).
11. 10
Fixed Income
Introduction
Because of the short Investment time horizon and expanding economic climate with prolonged
low inflation (Appendix IV) and interest rates there is essentially no inflation or interest-rate
risk, and thus call risk, duration, and convexity are eliminated as factors. There is little expected
event risk either, as the government is unlikely to impose regulation on sectors which help drive
the expansion of the economy. The bonds were chosen in sectors that are expected to see the
most growth with the expanding economy and dovish FED (Riccadonna, 2015). The FED being
dovish works in favor of corporate bonds as credit spreads are high at the moment reducing the
chance of them being narrowed by interest-rate hikes, and because this policy allows more
access to capital reducing credit risk.
River Rock Entertainment Authority (River 9 11/01/18)
This is a defaulted bond which is not rated, but the bond is considered 1st lien, and Sr. secured
debt rated by Moody’s at B3 (Appendix XXXIV). The company’s D/E ratio is 2959.03 (Appendix
XXXV), meaning the company is heavily leveraged. The high proportion of leverage is acceptable
when the company boasts a 2.23 interest coverage ratio, net income growth of 8.54% from last
year, and a ROA of 11.85 with their low WACC cost of debt of 0.9976 (Appendix XXXV). These
ratios are a testament to the company’s ability to pay off its debts effectively, and to generate
cash flow from its assets. There is still the worry of credit risk as the bond is defaulted, but the
organization only defaulted once in May, 2014 since its issuance in 2011, drastically reducing
the bond’s value (Business Wire, 2014). Another worry is the size of issuance, as it might be
hard to trade a private company’s bond, but there were $96.622M issued, and there is still
12. 11
$70.383M outstanding reducing any worry surround the marketability of the bond (Appendix
XXXVI).
Tesla Motors Inc. (TSLA 1 ¼ 03/01/21)
Tesla has a capitalization ratio of 68.33%, and is not overly leveraged (RV of Bonds). With an
interest-coverage ratio of -2.94 (RV of Bond), one begins to worry; however, taking into account
the aforementioned analysis of Tesla and its ability to generate equity funding, high P/B and P/S
ratios, and impressive 58% revenue growth last year (Appendix XXVI) I am confident in their
ability to cover interest payments while funding future projects. I believe the bond to be
undervalued based on a B-u rating (RV of Bond) and that when the stock price raises so will the
value of the bond, as investors will realize the latent value in Tesla’s discounted cash flows.
Sears Roebuck Acceptance Corp. (SHLD 6 ½ 12/01/28 Corp)
Sears has enough assets, with a current ratio of 1.05, and a working capital of 268,000,000 to
support the debt (Appendix XXXVIII), as well as strong cash flow from investing activities which
increased last year by 252% to USD423.56M, and is expected to increase by another 727.44% to
1655.68 over the next 2 fiscal periods (Appendix XXXVIII). These numbers alleviate most of the
credit risk surrounding the bond as Sears has sufficient capital to pay their debts, and can use
the cheaper capital available from current policy to refinance.
Toys R Us (TOY7 ⅜ 10/15/18 Corp)
Toys R Us has a current ratio of 1.28, a working capital of 427,730,000, and a projected increase
in cash flow from operations of 217% from $91.86M to $291M for the coming fiscal period,
which will produce an additional $164.61M in free cash flow to pay down debts (Appendix
XXXVIV). Investors will be willing to pay more for the high coupon payment once they realize
13. 12
that Toys R Us has the capital to pay back its debts in the near future, because of the deep
discount they’re getting it at.
Alcatel-Lucent USA Inc. (ALUFP 6 ½ 01/15/28 Corp)
Alcatel-Lucent USA Inc. has a capitalization ratio of 63%, meaning their leverage is actually not
that high (Appendix XXXVII). Revenues increased by almost 10% last year, and net income at
1.4% (Appendix XXXVII). This coupled with their WACC of debt of 0.73% (Appendix XXXV), and
their 1.45 current ratio, $4.1B working capital, and ROIC of 2.78% (Appendix XXXX) gives me
confidence in their ability to pay their debts, and even grow. Moving forward I believe that
investor demand will increase if the current financial stability of Alcatel-Lucent remains steady,
as it offers a 6.5 coupon in a period of prolonged low interest rates, and has the potential to
upgrade from a BB+ rating (Appendix XXXVII).
Rite Aid Corp. (RAD 7.7 02/15/27 Corp)
Rite Aid Corp. is currently suffering from equity problems with a capitalization ratio of 157%
which heavily devalues the bond (Appendix XXXVII). This would seem like over-leveraging, but
their interest-coverage ratio is healthy at 1.53 (Appendix XXXVII) with a ROA of 3.55%, ROIC of
20.29%, and free cash flows of $368.17M (Appendix XXXXI). Offering a coupon rate of 7.7% on
Sr. unsecured debt in these low interest times with this kind of financial stability gives me full
reason to believe that this bond is undervalued and under-rated at B+ (Appendix XXXVII).
14. 13
Asset Allocation (Appendix XXXXII)
Because there are no penalties for investing smaller amounts of money into the fixed income
market as would normally be true, I have only allocated 30% of the portfolio to the high-yield
bonds due to risk exposure. The equity weightings were selected according to the CAPM model
which determined the securities with the highest expected return. Through this model I
attempted to match a 1.0 beta in order to mimic the risk exposure of the U.S market. For
weighting the fixed income I used the above analysis to determine which bond had the
strongest fundamentals and the highest yields. Based on the asset allocation used the portfolio
had an expected annualized return of 110% with a 1.0 beta, in contrast to the market which
had an expected return of 9.43 with a 1.0 beta. The portfolio’s expected variance was 17.60,
with a SD of 4.195 (Appendix XXXXIII), meaning this portfolio theoretically has a 99% chance of
being profitable as even 3 SD’s away from the mean of 110% is a positive return.
15. 14
Selected Benchmark
I have decided to choose the S&P500 as my benchmark index. The majority of the portfolio
(70%) is in large market cap equities traded on the S&P500, proving to be a good fit on for the
benchmark on the equity side. CNBC found there has been a positive correlation over the last 5
years between the Barclays U.S Corp HY Index and the S&P 500 (Chemi, 2015), making it the
most suitable index to use as a benchmark. I do expect some tracking error due to the
discrepancy in the holdings of the index and this portfolio; however I did organise the asset
allocation of this portfolio to have a beta of 1.0, mimicking the S&P500’s systematic risk level,
and thus price movements.
16. 15
Part Two
Weekly Analysis of Portfolio Performance
In the first week of April the portfolio outperformed the S&P500 by about 3% (Appendix XV).
The increase could have been a result of Tesla’s upgrade to the model S (Ramsey, 2015).
Another possibility is that investors realized the true credibility of River Rock Entertainment
(Appendix XXXXIV), doubling the value of their high yield bonds. Alternatively, Netflix tweeted
that their global streaming hours increased by 54% from 6.5bn in 2014, a number which made
current expectations of subscribership appear heavily understated (BTG, 2015).
The second week was similar in that the portfolio beat the S&P500 again by 5%, with the
S&P actually dropping by 100bp (Appendix XV). In this week the only stock which performed
exceptionally was Netflix with a 25% gain (Appendix XXXXV) after beating expectations for
subscribership and earnings in Q1 (Pett, 2015), leading me to believe my weighting in Netflix vs.
the S&P500 is what caused this outperform.
The third week the portfolio and its benchmark S&P500 had similar returns (Appendix
XV). The portfolio didn’t perform that well but was saved from an 18% increase in Amazon’s
share price (Appendix XXXXVI) after releasing earnings from its cloud computing which were
49% higher from last quarter. One possibility for the S&P500 almost matching returns is that
cloud computing as an industry saw a boost in revenue, with Microsoft and Google also
benefiting among others.
17. 16
The final week of the holding period was the biggest discrepancy with the S&P 500
dropping by 40bp and the portfolio earning over 6% (Appendix XV). I believe this was caused by
investors realizing River Rock’s bonds were undervalued as a result of the defaulted label as
they jumped by 70% (Appendix XXXXIV). Another reason for this increase could have been the
decision to not raise interest rates at the April Fed meeting, causing a higher demand for high-
yielding bonds.
18. 17
Part Three
S&P500 & Jensen’s Alpha
Although achieving a beta of 1.0 was accomplished, we are assuming that all unsystematic risk
has been eliminated. This is not the case as the equities chosen are all within 3 sectors, and
within 5 industries. Moreover, the industries’ revenues, earnings, and costs have similar drivers,
and the companies chosen all play some part in the every industry. This being said, establishing
a beta of 1.0 is still an important objective as we are never going to be truly rid of unsystematic
risk, the portfolio is still relatively well diversified, and based on the macroeconomic analysis
conducted (Appendices I through VII) the other sectors were not optimal choices regardless of
additional diversification.
The expected monthly return of the portfolio based on the CAPM was 6.39%, with a
beta of 1.000315108 (Appendix XXXXII), and a standard deviation of 4.19 (Appendix XXXXIII).
The actual monthly return of the portfolio was 25.27% (Appendix XVII). When we calculate this
against a monthly risk-free rate of 0.052126967% (XXXXVII), and a monthly market return of
2.0925% (Appendix XVI), we get a Jensen’s Alpha of 23.18 in comparison to the S&P500. When
comparing the actual return against the expected portfolio return based on the CAPM, we get
an excess return of 18.88%.
19. 18
Part Four
Benchmark Tracking
This portfolio had a mix of passive and active management. I did attempt to beat the market
through fundamental and sentiment analysis, and I don’t believe markets are efficient. I know
investors are not rational, and do not have access to unlimited information. I think
opportunities can be identified through top down analysis like the one used for this report,
taking into account macroeconomic, sector, industry, and firm level factors. I also believe that
sentiment plays a larger role than any fundamental factors because the market has a hard time
accurately accounting for it. This portfolio did not track the benchmark well with a tracking
error of 4.725, and a correlation coefficient of -.074808 (XXXXVII). I think this relatively high
tracking error stems from the fact that this portfolio has high-yield bonds, and that this
portfolio took into account macro-economic trends and consumer lifestyle trends. However it
could also have been the effect of an odd market climate.
The value of the portfolio at the end of the holding period was $22,076,089.85 USD, earning a
25.27% HPR (Appendix XVII).
20. 19
References
National Bureauof EconomicResearch.(2010). BusinessCycle DatingCommittee,National Bureauof
EconomicResearch.BusinessCycleDating Committee, 20 September.Available from
http://www.nber.org/cycles/sept2010.html [Accessedon4th
,April,2016]
Mangalindan, J. (2012). Amazon's Prime and punishment. Fortune, 21 February. Available from
http://fortune.com/2012/02/21/amazons-prime-and-punishment/ [Accessed April 4th, 2016].
Guarini, D. (2014). Amazon Reveals It Wants To Deploy Delivery Drones. No Joke. The
Huffington Post, 23 January. Available from
http://www.huffingtonpost.com/2013/12/01/amazon-prime-air-delivery-
drones_n_4369685.html [Accessed April 4th, 2016].
Layne, R. and Hull, D. (2015). Tesla in ‘Substantially Better Position’ Than Yr Ago: Dougherty.
Bloomberg First Word, March, 31. Available from Bloomberg Terminal [Accessed April 4th,
2016].
News, Bloomberg. (2015). Musk Reboots Tesla's China Strategy. Bloomberg News, 30 March.
Available from http://www.bloomberg.com/news/articles/2015-03-29/musk-reboots-tesla-
china-strategy-as-range-anxiety-crimps-sales [Accessed April 4th, 2016]
Herald, The Sydney Morning. (2015). The tweet that added $1 billion to company's bottom line.
The Sydney Morning Herald, 31 March. Available from http://www.smh.com.au/it-
pro/business-it/the-tweet-that-added-1-billion-to-companys-bottom-line-20150331-1mc0sq
[Accessed April 4th, 2016].
Cohan, P. (2015). 4 Reasons To Invest In Netflix. Forbes, 21 Jan. Available from
http://www.forbes.com/sites/petercohan/2015/01/21/4-reasons-to-invest-in-
netflix/2/#98404076db2c [Accessed April 4th, 2016].
Knight, E. and Lynch, J. (2015). Arrival of Netflix and SVOD set to change Australian TV. The
Sydney Morning Herald, 28 March. Available from http://www.smh.com.au/business/media-
and-marketing/arrival-of-netflix-and-svod-set-to-change-australian-tv-20150326-1m8zlo
[Accessed April 4th, 2016].
Palmeri, C. (2015). Disney Profit Tops Estimates as ‘Frozen’ Gifts Star for Holidays. Bloomberg
News, 2 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].
Sakoui, A. and Bit, K. (2015). Eastwood’s ‘American Sniper’ Tops Box Office for Second Week.
Bloomberg News, 25 January. Available from Bloomberg Terminal [Accessed April 4th, 2016].
21. 20
Freund, J. (2015). Walt Disney Adj. EPS, Rev. Beat Highest Ests. Bloomberg First Word, 2 March.
Available from Bloomberg Terminal [Accessed April 4th, 2016].
Buckles, T. et al. (2015). IMAX: Management Meetings ReaffirmEarnings Power of Robust Box
Office Outlook and Highlight Longer-Term Opportunities. J.P. Morgan, 21 March. Available from
Bloomberg Terminal [Accessed April 4th, 2016].
Riccadonna, C. (2015). Dot Plot Suggests Fed Is Able, Not Yet Ready or Willing. Bloomberg
Intelligence, 20 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].
Wire, Business. (2014). River Rock Entertainment Authority Announces Failure to Make
Scheduled Interest Payment. Business Wire, 28 May. Available from Bloomberg Terminal
[Accessed April 4th, 2016].
Chemi, E. (2015). The correlation between the S&P 500 and high-yield bonds. CNBC, 15
December. Available from http://www.cnbc.com/2015/12/15/the-correlation-between-the-sp-
500-and-high-yield-bonds.html [Accessed April 4th, 2016].
Ramsey, M. (2015). Tesla to Upgrade Slower-Selling Version of Model S. Wall Street Journal, 8
April. Available from http://www.wsj.com/articles/tesla-to-upgrade-base-version-of-model-s-
1428490801 [Accessed April 4th, 2016].
Greenfield, R. et al. (2015). Netflix Rivaling Broadcast Nets Monthly Viewership as Domestic
Subs Now Streaming Over 2 Hours/Day. BTG, 9 April. Available from Bloomberg Terminal
[Accessed April 4th, 2016].
Pett, D. (2015). Investing: Analysts boost Netflix ratings after stellar Q1 earnings. NPW, 17 April.
Available from Bloomberg Temrinal [Accessed April 4th 2016]
22. 21
Appendix I
Retrievedfrom:Bloombergterminal,2016 (Index USUDMAER* & USURTOT - trackingU-3 & U-6
unemploymentrespectively)
Unemployment
Official unemployment (U-3) and U-6 unemployment are showing a long-term trend
downward returning to pre-recession levels, and remaining below their respective 200-day
moving averages signaling the strength of this downward trend. However, this is a simple
moving average, and not an exponential moving average, and so could be overstating the
strength of this downtrend. As a result it is imperative to look at other indicators to support the
claim the economy is in recovery. For example, just because people have jobs doesn’t mean
they are making more money, and thus have more disposable income.
* U-6 unemployment includes marginally attached workers and those working part-time for
economic reasons
23. 22
Appendix II
Retrievedfrom:Bloombergterminal,2016 (Index ETSLTOTL& USPHTOTL – tracking existing&pending
home salesrespectively)
Pending and Existing Housing Sales
Housing sales are on the rise with a strong upward trend, and with potential sales hinting that existing
sales will continue the upward trend (Appendix II). This hints at further economic stimulation and encourages
me to lean toward sectors which do well during expansionary times. This rapid increase could be a result of a
weak housing market, but regardless is another signal of the economy’s recovery. However, there is a
possibility that the sales are being fueled by an increase in foreign investment, meaning consumers in the US
are not showing increased spending and optimism.
24. 23
Appendix III
Retrievedfrom:Bloombergterminal,2016 - US Personal ConsumptionExpenditure Chained2009 Dollars
YoY SA (PCECHY% Index),USDisposable Personal IncomeChained2009 DollarsYoY (PIDSCWT% Index)
Disposable Income and Consumer Spending
It can be seen that both real disposable income and personal consumption are higher than 2008
pre-recession levels. Disposable personal income shows positive change of almost 1%, and
spending is up almost 2%. Although these aren't promising growth rates in a mature economy,
they do signal growing belief in the economy from consumers and thus consumption for cyclical
stocks is expected to grow. The lack of consistency in the growth could also be a result of an
unsteady global economic climate which is still recovering from the 2008 meltdown, as now
more than ever economies are feeling the effects of globalization and interconnectedness.
25. 24
Appendix IV
Retrievedfrom:Bloombergterminal,2016 – EHPIUSY Index (USConsumerPrice Index (AnnualYOY%))
Inflation
Inflation is sitting well below its 50 day moving average and the 2% target set by the FED. This
counters expectations for promising economic growth; because inflation reflects the growth of an economy to
an extent, meaning this far out from the recession we should be seeing higher rates. However, it is promising
for wages and, coupled with low interest rates, consumption of cyclical products and big purchases like
automobiles and new tech as costs of borrowing are low. The other side of this is that US treasuries will have
low yields for the time being which is adverse to our portfolio’s goal of achieving high returns with minimal risk
as government bonds are excellent hedging tools.
26. 25
Appendix V
Retrievedfrom:Bloombergterminal,2016 – US TreasuryActivesCurve asof 04/01/15
Yield Curve
There is a normal yield curve for active US treasuries which shows investors are confident in
the expansion of economy - spread is 192.56bp as per Market Matrix US Sell 2 year & Buy 30
year bond yield spread at April 1st 2015. Based on the yield curve and spread from 2yr to 30yr
bonds we can expect the economy to expand and inflation to pick up. At the very least, we can
be confident that investors expect the economy to continue expanding based on the current
monetary and fiscal policy in place/expected, and will thus continue to increase spending on
cyclical products and help drive the economy. This being said, based on the shape of the yield
curve from 1 month to 2 years it appears that no rises in interest rates or inflation are going to
take place in the immediate future.
27. 26
Appendix VI
Retrievedfrom:Bloombergterminal,2016 - CONSSENT Index (University of Michigan Consumer
Sentiment Index)/CONSCURR Index (University of Michigan Current Economic Conditions
Index)/CONSEXP Index (The University of Michigan Consumer Expectations Index)
Consumer sentiment in the U.S.
The results from the CONSSENT Index from the University of Michigan which surveys
consumer attitudes and expectations toward personal finances, general business conditions,
and market conditions to determine the change in consumers’ willingness to buy shows
consumer sentiment is on the rise (Appendix VI). These results are coupled with the
CONSCURR Index which shows consumer confidence regarding the general state of the
economy in Continental USA, and the CONSEXP Index which measures consumers’ views for
their own financial situation, as well as prospects for the general economy over the near and
long term (Appendix VI). All of these indices have almost reached the same levels, and in some
cases surpassed, where they were at their peak in 2007 (Appendix VI). This is another indicator
showing that consumer sentiment is good and that the economy is expanding. Although it
ignores the large effect institutional investors have on the economy it does support the
expectation that the economy will continue to grow in the near future.
28. 27
Appendix VII
Retrievedfrom:Bloombergterminal,2016 - YoY% v. QoQ% in US GDP
Real GDP growth
YoY% v. QoQ% growth in US GDP shows growth to be dismal (Appendix VII). It appears that prospects for
company growth are minimal at this time, but consumer sentiment drives share price and the economy heavily.
I expect GDP growth to pick up in the near future, and to not have a heavy effect on the share prices over the
next month, as it appears to be rising for the second quarter of 2015 as a result of a sustained increase in
consumer spending (Appendix III) and decrease in unemployment (Appendix I).
35. 34
Appendix XIV
Retrieved from Bloomberg Terminal, 2016 - Weekly Performance of Portfolio Vs. S&P500 for 04/01/15 - 05/01/15
36. 35
Appendix XV
RetrievedfromBloomberg Terminal,2016 - Comparisonof PortfolioReturns to Benchmark S&P500*
*returnof portfolioingraphdoesnotexactlymatchworksheet(3.5% discrepancy) asBloomberg
interpolatedsome of the bondvalueswhen creatingthisgraphusingpricesoutside of the investment
holdingperiod(ie.BeforeApril 1st
,orafterMay 1st
).
55. 54
Appendix XXXIV
RetrievedfromBloombergterminal,2016 – RV of bonds
Column1
Total Debt to
Total Equity
Interest
Coverage Ratio
Net
Income - 1
Yr Growth ROA
WACC
Cost of
Debt
Coup
on
Bon
d
Opti
ons
TOT_DEBT_T
O_TOT_EQY
INTEREST_COVE
RAGE_RATIO
NET_INC_
GROWTH
RETURN_O
N_ASSET
WACC_CO
ST_DEBT CPN
Non
e
Tesla
Motors Inc.
ED1552584
@TRAC
Corp 287.4410695 -2.937603946
-
209.60040
16
-
7.5028529
89
2.1851399
65 1.25
Non
e
Sears
Roebuck
Acceptance
Corp.
EJ9492061
@TRAC
Corp #N/A N/A #N/A N/A #N/A N/A
-
2.0200410
38
1.9124569
26 6.5
Non
e
Toys R Us
ED1552584
@TRAC
Corp #N/A N/A -0.842592593
-
76.576576
58
-
14.221547
42 #N/A N/A 7.375
Non
e
Alcatel-
Lucent USA
Inc.
DD1151818 194.8580968 -0.197530864
1.3698630
14
-
0.5208565
2
0.7344122
36 6.5
Non
e
Rite Aid
Corp.
DD1089216 9893.688657 1.528190029
-
53.775289
42
2.8966117
44
3.9854196
79 7.7
Non
e
Riverrock
Entertainm
ent
EI850976@
TRAC Corp 2959.03616 2.232136573
8.5403417
98
11.853685
02 0.9976 9
Call
able
68. 67
Appendix XXXXVI
RetrievedfromBloombergterminal,2016 –calculatedinexcel (Alphaandtrackingerror)
Alpha = Rp - [Rf + (Rm - Rf)*B] 23.17686
Where :
Rp = Realized return of portfolio
Rm = Market return 18.88
Rf = Risk-free rate
B = Beta
Rf = 1.84 (See CAPM Asset Allocation worksheet)
Monthly Rf = 1.84^(1/12)-1
0.052126967
Monthly Rm = 2.0925 (See graph on left)
Rp = 25.27 (See portfolio summary)
Beta = 1.000315108 (See CAPM Asset Allocation worksheet)
Expected monthly return of portfolio = 6.39%
Simple Tracking Error = X-Y
Where: 23.18
X = return of portfolio 4.724757
Y = Return of benchmark
Advanced Tracking Error = SQRT(Σ(XI-YI)^2/(N-1)
Where:
N = number of periods
X = return of portfolio
Y = Return of benchmark
*calculated using 4 weekly periods and using
weekly returns of benchmark and portfolio
Excess return of portfolio when compared to
expected return =
Tracking Error using Stdev* =
Tracking Error using returns =
Alpha of portfolio =
Actual Weekly returns Portfolio S&P500
4.97% 1.71%
6% -1%
2.50% 1.70%
6.40% -0.04%
Covariance of Portfolio and S&P500 = 0.0002-
STDEV = 0.017518 0.013431
Correlation Coefficient = -0.74808