FUND MANAGEMENT CHALLENGE
Università degli Studi di Pavia ‐ Pavia
Milano, XXIV Giugno 2015
TACTICAL APPROACH
STRATEGIC APPROACH
Investment Strategy ‐ Summary
High fees
Medium term
view
Weekly rebalancing
Low turnover
Macroeconomic
view
Fundamental
analysis
Industrial diversification
9 Beta adjustment
9 Fundamental analysis
9 Technical analysis
Università degli Studi di Pavia ‐ Pavia
Best idea ‐
One of the best investment ideas was AIRBUS GROUP (AIR.PA). We picked this stock according to the following assumptions:
¾ Multiples analysis:
F12M EV/EBITDA was 6.4x vs 8.2x comps
F12M EV/SALES was 0.6x vs 1.1x comps
F12M ROE was 17.93% vs 9.45% comps
¾ Expectations of an imminent QE in EU / Tapering in the US:
• weakening € vs stronger $ Æ EU exports would be more competitive
• industrial stocks (cyclical sector) would benefit from an expansive monetary policy
¾ Record backlog, in particular thanks to A330 aircraft orders
Università degli Studi di Pavia ‐ Pavia
Investment Performance
Our strategy, after 4 months, gives a cumulative return of +9.08%. The results show that the portfolio was based on a conservative investment idea, with lower volatility
but a Sharpe Ratio in line with the Benchmark.
Strategy
Benchmark Level
Return
9.08%
11.90%
Volatility
1.75%
2.55%
Sharpe Ratio
0,198
0,209
Alpha
0,0016
Beta
0,34
Source:
Università degli Studi di Pavia ‐ Pavia
QuantPV IV ‐ Team Federico Argiolas
Alessandra Colombo
Mauro Cristiani
Fabrizio Ligurgo
Antonella Salomone
UNIVERSITA’ XYZ ‐ Città