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Portfolio Management

Portfolio Management . Henry Chan 2014/2/12 Husky Traders. Investment Thesis. Quantitative Portfolio Analysis Increase diversification effect in addition to great return opportunities Quality large cap stocks for sustainable correlation. SP 500. IT 18.9% Consumer Staples 9.57%

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Portfolio Management

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  1. Portfolio Management

    Henry Chan 2014/2/12 Husky Traders
  2. Investment Thesis Quantitative Portfolio Analysis Increase diversification effect in addition to great return opportunities Quality large cap stocks for sustainable correlation
  3. SP 500 IT 18.9% Consumer Staples 9.57% Energy 9.98% Industrial 10.75% Healthcare 13.57% Financials 16.17% Consumer Discretional 12.36% Others
  4. Our portfolio picture
  5. Comparison with SP500 Exposure to market Technology (SYNT, SMH) Real-estate, Healthcare (HTA) Consumer discretionary(DDAIF, SMH) Energy (NOG) We lack Financials, Consumer Staples, Industrials
  6. Segment Tests XLB (Industrials, materials, chemicals, packaging) XLY (Consumer Staples) XLP (Consumer Discretionary) XLF (Financials)
  7. Historical Analysis Jun 6th 2012 – Feb 10th 2014 daily returns. (420 data point for each stock) Correlation of Assets Create portfolios by adding in assets to existing portfolio Beta Alpha Sharpe Ratio Excess return/ Stdev
  8. Daily return of adding $1500 into portfolio
  9. Consumer Staples XLY Food and beverage Kraft foods (31.69B) KRFT Mondelez (57.94B) MDLZ Coke (168.82B) KO Pepsico (123.55B) PEP General Mills (30.35B) GIS CVS (81.58B) Philip Morris International (125.77B)PM
  10. Daily return of adding $1500 into portfolio
  11. Financials XLF Banks WFC BAC JPM BBT BB&T FITB Fifth Third Bancorp
  12. Daily return of adding $1500 into portfolio
  13. BAC
  14. JPM FITB Multinational banking and financial services holding. Largest in US. Regional banking Corp headquartered in Cincinnati, Ohio.
  15. Comparable Analysis
  16. JPM
  17. FITB
  18. Equity P/E Comp
  19. JPM Low PE High Operating margin Largest bank in US, correlation should be more sustainable. FITB focus heavily on commercial banking, consumer lending, branch banking. The potential source of diversification is too concentrated High SR
  20. Use Bloomberg!
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