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    Portfolio Management 09.2013

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    FEPFinanceClub
    The U.S. value investment strategy portfolio increased 4.6% over the past three months while the S&P 500 gained 5.3%. In July, the portfolio outperformed the market by 0.78% with a return of 5.16%. However, its daily volatility was higher at 1.04% than the benchmark's 0.55%. In August, the portfolio fell 5% due to market reactions to events in Syria, compared to a 1.7% drop in the S&P 500. The portfolio rebounded in September with a 5.12% return, driven by double-digit gains in two stocks, while the index rose 1.7%.

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    Portfolio Management 09.2013

    Uploaded by

    FEPFinanceClub
    60 views1 page
    The U.S. value investment strategy portfolio increased 4.6% over the past three months while the S&P 500 gained 5.3%. In July, the portfolio outperformed the market by 0.78% with a return of 5.16%. However, its daily volatility was higher at 1.04% than the benchmark's 0.55%. In August, the portfolio fell 5% due to market reactions to events in Syria, compared to a 1.7% drop in the S&P 500. The portfolio rebounded in September with a 5.12% return, driven by double-digit gains in two stocks, while the index rose 1.7%.

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    The U.S. value investment strategy portfolio increased 4.6% over the past three months while the S&P 500 gained 5.3%. In July, the portfolio outperformed the market by 0.78% with a return of 5.16%. However, its daily volatility was higher at 1.04% than the benchmark's 0.55%. In August, the portfolio fell 5% due to market reactions to events in Syria, compared to a 1.7% drop in the S&P 500. The portfolio rebounded in September with a 5.12% return, driven by double-digit gains in two stocks, while the index rose 1.7%.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    60 views1 page

    Portfolio Management 09.2013

    Uploaded by

    FEPFinanceClub
    The U.S. value investment strategy portfolio increased 4.6% over the past three months while the S&P 500 gained 5.3%. In July, the portfolio outperformed the market by 0.78% with a return of 5.16%. However, its daily volatility was higher at 1.04% than the benchmark's 0.55%. In August, the portfolio fell 5% due to market reactions to events in Syria, compared to a 1.7% drop in the S&P 500. The portfolio rebounded in September with a 5.12% return, driven by double-digit gains in two stocks, while the index rose 1.7%.

    Copyright:

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    of 1

    PORTFOLIO MANAGEMENT

    Jul 1st Sep 27th


    U.S. Value Investment Strategy
    Value S&P 500 122%

    U.S. Value continues its dominance.


    Over the past three months, our North American portfolio was rebalanced twice, with its value increasing by 4.6% while the market gained 5.3%. On one hand, extreme losses in August and on the other an excellent performance in September, as well as with positive performance in July, were responsible for this slight differentiation. During July, value continued its impressive performance, outperforming the market by approximately 0.78%. Our portfolio recorded a 5.16% return, while the benchmark increased by 4.38%. However, its daily volatility was 1.04%, compared to 0.55% of the latter. During August, the portfolio consisted of five new stocks namely: American Capital Ltd (ACAS), American International Group Ltd (AIG), KKR Financial Holdings LLC (KFN), Monster Worldwide Inc. (MWW), and Newcastle Investment Corp (NCT). This portfolio and the market index recorded negative returns of -5.0% and -1.7%, respectively, largely due to the reaction of the market to the threat of a U.S. military action in Syria and the large betas of these companies (higher than 2.5). Their daily volatilities were 1.19% and 0.53%, respectively. September saw our portfolio rebound with a return of 5.12%, while the index registered a return of 1.70%, despite news of possible stimulus reduction by the Fed. Daily volatilities were 0.88% and 0.59%, respectively. This performance was largely driven by the positive fluctuations of American Capital Ltd and Tutor Perini Corporation (TPC), which recorded returns of 10% and 11% respectively, due to their significant correlation with the market (1.75 and 2.51 beta, respectively). Despite the fall in its share price due to racial remarks made by the companys CEO, AIG posted a 6% return. American Equity Investment Life Holding Co. (AEL) recorded a 6.71% return as the companys revenue growth exceeded the industry average. Although oil services activity fell short of expectations in September, Superior Energy Services (SPN) also posted positive returns.

    120%

    MWW KFN AIG ACAS -30,0% -20,0% -10,0% 0,0% 10,0%

    ACAS -5,0% 0,0% 5,0% 10,0% 15,0% David Novo Phil Rose

    29-Nov 14-Dec 31-Dec 15-Jan 30-Jan 14-Feb 01-Mar 18-Mar 02-Apr 17-Apr 02-May 17-May 03-Jun 19-Jun 4-Jul 19-Jul 05-Aug 20-Aug 04-Sep 19-Sep

    Asset Contri buti on to U.S. Value (July)


    WLP SPN RJET RGA IM -5,0% 0,0% 5,0% 10,0% 15,0%

    Asset Contri buti on to U.S. Value (August)


    NCT

    Asset Contri buti on to U.S. Value (September)


    TPC SPN AIG AEL

    Financial Markets | fepfinanceclub@gmail.com|www.facebook.com/FEPFinanceClub

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