W. P. Carey School of Business
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1 AMENTAL W. P. Carey School of Business Undergraduate Semi-Annual Meeting December 3rd,
2 Today s Agenda Undergraduate AMENTAL Team introduction & fund objectives Investment selection performance Risk and return attribution Lessons learned & conclusion 2
3 Team Manager amental Analysts AMENTAL Tyler Rives Tom Bochenko Jay Joshi Quantitative Analysts Rob Hill Michael Cohn Vincent Mendez Nate Irwin Dan Tram Ryan Detlaff Cole Jackson Steven Kutos 3
4 Investment Charter Undergraduate AMENTAL Long term focus Portfolio constraints 95% Equity (up to 25% in Foreign Equity) 20% Fixed Income 10% Cash 25% in a single sector 15% in a single non U.S. Gov. issuer 4
5 AMENTAL Dfii Defining the Problem Charter constraints t Quantitative and fundamental analysis Optimization methods Our Solution: Asset Allocation 5
6 AMENTAL Quantitative Process MVO Black-Litterman 6
7 AMENTAL Constrained MVO Data FI Ex-US US 7
8 Mean Variance Optimization Constraints/Inputs AMENTAL Asset Class Cash Fixed Income Ex-US Equity US Equity Constraint (1 st ) 1% 20% 25% 95% Returns Historical vs. Expected Rolling Betas Inputs Risk Volatility Correlations 7 years 8
9 Unconstrained Constraine d Undergraduate AMENTAL Retur rn Risk Asset Allocation Weights Cash Fixed Income Ex-US Equity US Equity 1.00% 16.35% 21.06% 61.59% 9
10 Constrained MVO Data Current U.S. Equity Market Weights AMENTAL FI Ex-US US *as of 9/30/10 10
11 FI Ex-US US AMENTAL amental Analysis Black- Litterman Data Sector Weights 11
12 Black-Litterman Results Undergraduate 20% AMENTAL 15% 10% 5% 0% Market Weights B-L Weights 12
13 AMENTAL amental Process Industry Analysis 13
14 Industry Analysis Undergraduate AMENTAL Industry overview Current position of each sector Composition amental analysis Historical returns and volatility Macroeconomic events Sector drivers 14
15 AMENTAL amental Example Financials Macro events: regulation, banking restrictions Drivers: rate of recovery, unemployment, real estate prices, vacancies and supply Decision: underweight relative to market 9/30/10 Market holds 16.00% SIMF target weight 5.96% 15
16 AMENTAL Investment Selection 16
17 AMENTAL ETF Selection General Considerations Holdings overlap Expense ratio Tracking error Composition Liquidityidi Undergraduate Sector Ticker Consumer Discretionary XLY Con Staples VDC Energy VDE Financials XLF Healthcare VHT Industrials VIS Technology XLK Utilities XLU Ex-Us VFWIX Fixed Income IPE 17
18 Fixed Income Undergraduate AMENTAL Charter restrictions ti Breakeven inflation from TIPS Long-term inflation TIPS TIPS negative yield IPE in lieu of TIP 18
19 AMENTAL Performance 19
20 AMENTAL Holdings Sector Ticker Weight Consumer Discretionary XLY 9.77% Con Staples VDC 12.64% Energy VDE 8.00% Financials XLF 3.52% Healthcare e VHT 9.57% Industrials VIS 2.57% Technology XLK 12.63% Utilities XLU 3.35% Ex-Us VFWIX 21.27% TIPS (Fixed Income) IPE 15.72% 20
21 Benchmarks Undergraduate AMENTAL MSCI World Equity Index S&P 500 US Index Composite Index 60% US Equity 25% Ex-US Equity 14% US Investment Grade Debt 1% Cash 21
22 Performance Undergraduate AMENTAL 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% -1.00% Undergrad Constraint S&P 500 MSCI World 22
23 Performance Undergraduate AMENTAL Over Holding Period Annualized Volatility Sharpe Ratio Undergraduates 1.37% 9.44% 13.46%.252 Constrained BM 1.25% 8.58% 13.76%.231 S&P % 18.08% 15.28%.462 World Equity 0.42% 2.8% 16.37%
24 AMENTAL Attribution Analysis 24
25 AMENTAL Risk Analysis 15.00% 12.00% 9.00% Return vs. Volatility (Bubble Size Represents Weight in Portfolio) Undergraduate Con Discretionary Con Staples Energy Financials Healthcare Industrials Technology 6.00% Utilities Return 3.00% S&P 500 SIMF 0.00% Constraint MSCI World -2.00% 2.00% 6.00% 10.00% 14.00% 18.00% 22.00% 26.00% -3.00% Volatility Ex US TIPS Cash SIMF Constraint S&P 500 MSCI World 25
26 Going Forward Undergraduate AMENTAL Continual monitoring of risk Monthly attribution framework Rebalance as necessary to match opinions Improve IPE and liquidity 26
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