Portfolio management stocktrak presentation

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Sunday, July 11, 2010


FNCE307 : Portfolio Management

Stocktrak Stockpicks

Andy Wong Teck ChingChris Tan Kok YongEdgar Tan Yan RenJasmine Teo Yen SanKenneth Cheok Wen JunVincent Fu Jing Cai


A g e n d a


A g e n d a

S&P

Strategy

Methodology

Our Pick

Q&A


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14.98%

9.21%

11.41%

11.86%

10.19%

13.35%

21.82%

3.48%3.70%

FinancialsConsumer DiscretionaryConsumer StaplesEnergyIndustrialsHealthcareInformation TechnologyMaterialsUtilities

Value Weighted

9 Sectors


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Past 3 Years as approximation


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3-Year 1-Year


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Max P = E(d) - 0.5*Var(d)

Positive E(d) Minimum Var(d)


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Weights of sectors in S&P 500 index


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Correlation of sector to overall S&P index


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Correlation of sector to overall S&P index

Top 10 in terms of market capitalization

Ranking of highest R-squared value with index


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Top firm from each

sector

Multiple Regression


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Weights of individual companies


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Sector weights in

S&P 500



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Sector weights in

S&P 50014.98%

9.21%

11.41%

11.86%

10.19%

13.35%

21.82%

3.48%3.70%

Composition of S&P 500



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Sector weights in

S&P 50014.98%

9.21%

11.41%

11.86%

10.19%

13.35%

21.82%

3.48%

3.70%



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Correlation to S&P 500


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Correlation to S&P 500

Rank Sector Correlation

1 Industrials 0.87

2 Consumer Discretionary 0.84

3 Infotech 0.84

4 Financial 0.8

5 Healthcare 0.78

6 Materials 0.76

7 Energy 0.56

8 Consumer Staples 0.53

9 Utilities 0.48


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Regression Analysis

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Regression Analysis

Rank Company Ticker R-squared

1 CVX 0.687468863

2 DIS 0.685413303

3 UTX 0.682463247

4 EMR 0.663128984

5 CSCO 0.653075675

6 XOM 0.651028743

7 HON 0.637325184

8 COP 0.633340087

9 T 0.609253089

10 AXP 0.608064111

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Regression Analysis

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StocksStocksStocksStocksStocksStocksStocks R-squared

AXP DIS CVX ? CSCO UTX ? 0.925449

? DIS CVX ? CSCO UTX ? 0.92488563


? ? ? ? CSCO UTX ? 0.9197624

DIS CVX UTX CSCO ? ? ? 0.918333


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Regression Analysis

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StocksStocksStocksStocksStocksStocksStocks R-squared


? DIS CVX ? CSCO UTX ? 0.92488563


? ? ? ? CSCO UTX ? 0.9197624

DIS CVX UTX CSCO ? ? ? 0.918333

AXP DIS CVX CSCO UTX


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Regression Analysis

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Regression Analysis

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Regression Analysis

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Earning announcements

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American Express Company

Ticker Symbol : AXP

Sector : Financials

Industry : Credit Services

Market Cap : 40.63B

Profit Margin : 9.36%


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Walt Disney Co.

Ticker Symbol : DIS

Sector : Consumer Discretionary

Industry : Entertainment - Diversified

Market Cap : 52.82B



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Chevron Corp.

Ticker Symbol : CVX

Sector : Energy

Industry : Major Integrated Oil & Gas

Market Cap : 141.89B



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United Technologies Corp

Ticker Symbol : UTX

Sector : Industrials

Industry : Conglomerates

Market Cap : 58.35B



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Cisco Systems, Inc

Ticker Symbol : CSCO

Sector : Information Technology

Industry : Network & Communication Devices

Market Cap : 133.39B



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Q & A


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Portfolio management stocktrak presentation