The document summarizes the Darwin Fenner Student-Managed Fund. It includes details about the fund's $1.3 million portfolio focused on mid-cap stocks in the S&P 400 index. The fund aims to outperform the benchmark with a strategy of identifying underpriced stocks with strong fundamentals. It uses a rigorous selection process involving quantitative screening, fundamental analysis, and risk management to select 20-30 stocks while minimizing risks. Over its history, the fund has achieved higher returns than the S&P 400 with lower risks, as evidenced by higher Sharpe and alpha ratios as well as better performance in down markets.
In this workshop, Jeff Faust, CVA will discuss how to prepare for a valuation as a startup, as well as commonly used valuation methods in various domains, including venture capital.
Jeff will take Q&A throughout the presentation.
EIα All Weather Alpha Fund I L.P. is a Quantitative Long/Short Global Equity fund managed by EIα All Weather Alpha Partners, LLC. The Fund’s objective is to seek attractive absolute returns by identifying and exploiting multiple inefficiencies that may exist in global equity markets. The only requirements are the minimum investment is $10k per unit and they are a good Limited Partner. At EIA I have created an environment, structure, and set of routines that enable us to be patient, disciplined, and to exercise good judgment.
▪ Discipline means a willingness to keep one’s standards incredibly high across an organization, whether that is making investments or other
business decisions.
▪ Patience is a willingness to forgo activity today in order to end up with better results over the long term.
▪ Judgment is the ability to conquer the behavioral side of investing, think clearly in terms of probabilities, identify the key variables, and
weigh difficult tradeoffs.
The Fund’s strategy is based on utilizing a proprietary intellectual framework (GLM Analytics) of forecasting, research, portfolio simulation and valuation models to evaluate when to buy or sell stocks using over 100 factors. This intellectual framework allows the Portfolio Manager to manage the Fund unencumbered by emotions or inherent bias.
GLM Analytics is Eiα’s proprietary systematic research process using quantitative techniques to capitalize on opportunities from mis-priced fundamentals. It is an approach built upon depth, breadth and diversification. GLM Analytics is an adaptive and repetitive process brings together the latest in portfolio management techniques and technology with the traditional fundamental, technical and qualitative analysis to navigate the ever-changing market environments to achieve the highest returns for investors.
EIα All Weather Alpha Fund I L.P. strategy pursues four primary objectives:
1. Long-term capital appreciation in excess of market indices (S&P 500)
2. Generating income from dividend or interest on securities
3. Capital preservation
4. Limitation of downside risk.
Respectfully,
Andrew M. Middlebrooks
CEO/CIO & General Partner
EIα Alpha Partners Fund Management, LLC
EIα All Weather Alpha Partners, LLC.
EIα All Weather Alpha Partners Fund I, L.P.
C- 248.990.1938
E- andrew.middlebrooks@eiaalphapartners.com
Trade Like a Chimp: Unleash Your Inner Primate by Andreas Clenow at QuantCon ...Quantopian
It is a long established fact that a reasonably well behaved chimp throwing darts at a list of stocks can outperform most professional asset managers. It is less known why this is the case. While there would be obvious advantages with hiring chimps over hedge fund traders, such as lower salaries and calmer tempers, there are also a few practical obstacles to such hiring practices. For those asset management firms unable to retain the services of a cooperative primate, a random number generator may serve as a reasonable approximation of their skills.
The fact of the matter is that even a random number generator can, and will, outperform practically all mutual funds. Such random strategies may seem like a joke, and perhaps they are, but if a joke can outperform industry professionals we have to stop and ask some hard questions.
When designing investment strategies, it can be very useful to have an understanding of random strategies, how they work and what kind of results they are likely to yield. Given that random strategies perform quite well over time, they can act as a valid benchmark. After all, if your own investment approach fails to outperform a random strategy, you may as well outsource your quant modeling to the Bronx Zoo.
In this workshop, Jeff Faust, CVA will discuss how to prepare for a valuation as a startup, as well as commonly used valuation methods in various domains, including venture capital.
Jeff will take Q&A throughout the presentation.
EIα All Weather Alpha Fund I L.P. is a Quantitative Long/Short Global Equity fund managed by EIα All Weather Alpha Partners, LLC. The Fund’s objective is to seek attractive absolute returns by identifying and exploiting multiple inefficiencies that may exist in global equity markets. The only requirements are the minimum investment is $10k per unit and they are a good Limited Partner. At EIA I have created an environment, structure, and set of routines that enable us to be patient, disciplined, and to exercise good judgment.
▪ Discipline means a willingness to keep one’s standards incredibly high across an organization, whether that is making investments or other
business decisions.
▪ Patience is a willingness to forgo activity today in order to end up with better results over the long term.
▪ Judgment is the ability to conquer the behavioral side of investing, think clearly in terms of probabilities, identify the key variables, and
weigh difficult tradeoffs.
The Fund’s strategy is based on utilizing a proprietary intellectual framework (GLM Analytics) of forecasting, research, portfolio simulation and valuation models to evaluate when to buy or sell stocks using over 100 factors. This intellectual framework allows the Portfolio Manager to manage the Fund unencumbered by emotions or inherent bias.
GLM Analytics is Eiα’s proprietary systematic research process using quantitative techniques to capitalize on opportunities from mis-priced fundamentals. It is an approach built upon depth, breadth and diversification. GLM Analytics is an adaptive and repetitive process brings together the latest in portfolio management techniques and technology with the traditional fundamental, technical and qualitative analysis to navigate the ever-changing market environments to achieve the highest returns for investors.
EIα All Weather Alpha Fund I L.P. strategy pursues four primary objectives:
1. Long-term capital appreciation in excess of market indices (S&P 500)
2. Generating income from dividend or interest on securities
3. Capital preservation
4. Limitation of downside risk.
Respectfully,
Andrew M. Middlebrooks
CEO/CIO & General Partner
EIα Alpha Partners Fund Management, LLC
EIα All Weather Alpha Partners, LLC.
EIα All Weather Alpha Partners Fund I, L.P.
C- 248.990.1938
E- andrew.middlebrooks@eiaalphapartners.com
Trade Like a Chimp: Unleash Your Inner Primate by Andreas Clenow at QuantCon ...Quantopian
It is a long established fact that a reasonably well behaved chimp throwing darts at a list of stocks can outperform most professional asset managers. It is less known why this is the case. While there would be obvious advantages with hiring chimps over hedge fund traders, such as lower salaries and calmer tempers, there are also a few practical obstacles to such hiring practices. For those asset management firms unable to retain the services of a cooperative primate, a random number generator may serve as a reasonable approximation of their skills.
The fact of the matter is that even a random number generator can, and will, outperform practically all mutual funds. Such random strategies may seem like a joke, and perhaps they are, but if a joke can outperform industry professionals we have to stop and ask some hard questions.
When designing investment strategies, it can be very useful to have an understanding of random strategies, how they work and what kind of results they are likely to yield. Given that random strategies perform quite well over time, they can act as a valid benchmark. After all, if your own investment approach fails to outperform a random strategy, you may as well outsource your quant modeling to the Bronx Zoo.
Investment policy decisions are a vital part of a successful investment process for insurers. Related to this: Strategic asset allocation and how best to manage in a low interest rate environment.
Employee Engagement for Outstanding PerformanceMcCauleyS
Employee Engagement drives performance, productivity and builds trust in any organisation. It is at the centre of organisational culture and at the heart of behaviour and attitude
IBN technologies provides complete Risk & Quantitative Analysis services to their client. Our team consist of highly professionals with more than 8 years of exp
Covers the key concepts of valuation - why value companies, the 3 valuation approaches, and the strategic insights you can get and suggest a valuation framework to use.
Does Your ESOP program makes you more attractive to VCs?ESOP ezee
This presentation is made to assist start-up founders, business leaders, and strategic thinkers in understanding the critical role ESOPs can play in team motivation, accelerating growth, meeting strategic targets, and striking the right note to drive business growth.
Investment policy decisions are a vital part of a successful investment process for insurers. Related to this: Strategic asset allocation and how best to manage in a low interest rate environment.
Employee Engagement for Outstanding PerformanceMcCauleyS
Employee Engagement drives performance, productivity and builds trust in any organisation. It is at the centre of organisational culture and at the heart of behaviour and attitude
IBN technologies provides complete Risk & Quantitative Analysis services to their client. Our team consist of highly professionals with more than 8 years of exp
Covers the key concepts of valuation - why value companies, the 3 valuation approaches, and the strategic insights you can get and suggest a valuation framework to use.
Does Your ESOP program makes you more attractive to VCs?ESOP ezee
This presentation is made to assist start-up founders, business leaders, and strategic thinkers in understanding the critical role ESOPs can play in team motivation, accelerating growth, meeting strategic targets, and striking the right note to drive business growth.
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!