Some advice before starting :
1. Be open mind to asset manager news flow (press)
2. Find out some information of typical fund you would like to
manage (web screening)
3. Make some performance analysis on www.quantalys.com to
determine relevant peer group
Fund Name : TATA
Master 203 - Asset Management Project
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
Team Presentation
Investment team
(names of the
group participants
+ email of the
correspondent
#1
Name
Email
Initial school/university
Describe your contribution to the team
#2
Name
Email
Initial school/university
Describe your contribution to the team
#3
Name
Email
Initial school/university
Describe your contribution to the team
#4
Name
Email
Initial school/university
Describe your contribution to the team
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
2
KIID (1 page)
•
Objectives and Investment Policy
– Joint description of the objectives and policy of the UCITS in plain language
– Essential features of the product which a typical investor should know
• Asset classes with limits
• Instrument used
•
Standardized Risk and Reward Profile
– Scale
– Narrative presentation of risks
•
Find out a commonly
used investment sector
for your fund
See Chapt 1
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
3
SRRI Justification (1 Page)
•
Describe the calculation that lead you to the final value of SRRI indicator
This has to be
implemented
at the end
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
4
Philosophy
•
Describe with a professional background the fund objectives and specific approach?
•
What’s make you different in your investment principles from your competitor?
•
What an investor should expect when investing in you fund?
•
See chapt 2 : Investment typology
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
5
Investment Process
•
Investment process is the workflow that encompass investment philosophy, your data set and
modelisation
•
Describe
– The data set used in your analysis
–
The modelisation used to generate
• Investment ideas
• Optimal portfolios
• Risk monitoring
•
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
6
Backtests
•
Show and analyse results of your strategy
•
Describe the behaviour of your fund trough different path of the market cycles
•
Highlight pros ands cons of your strategy
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
7
Current strategy
•
Describe the current market conditions and strategy of your fund.
/ Actions
–
Conservation des fonds
–
Renforcement de la partie émergente
–
Couverture sur Nasdaq
/ Une faible sensibilité aux taux Etats
–
Pas d’exposition aux taux d’Etat Français et
Allemands
–
Forte sensibilité au secteur bancaire
/ Le crédit encore :
–
Réduction des spreads sur les subordonnées
bancaires
–
Capter une partie de la hausse des actions
–
Partage de la valeur ajoutée en faveur des
créanciers plutôt que les actionnaires :
Profiter du portage
/ Les devises émergentes
–
Mutations en cours du système international
favorable aux devises de pays bénéficiant de
réserves de change importantes
/ Amortisseurs
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
–
Fonds investis sur la volatilité implicite des
marchés actions
–
Fonds Obligations internationales exposés à
la zone dollar
–
Hausse de l’exposition USD et devises
émergentes
8
One page reporting
•
Define a one A4 page risk report consistant
with the caracteristics of your funds
– Add some risk indicators that could
help the investor to follow his risks or
reach an investment decision.
•
Data usualy disclosed
– Fund objective
– SRRI
– Comments on the current strategy
– Main holdings
– Asset / sector allocation
– Risk statistics
– NAV and notation
– Performance chart
– Performance table
– Risk allocation
– Technical information
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
9
•
Appendix
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
10
Some fund suggestions (not compulsory)
•
Group overlay accepted under FJ discretion. Recommended breakdown:
– Minimum variance : 4
– Balanced Risk allocation : 3
– Class 4 Fund of Fund : 2
Minimum variance Equity
Fund
Version 1 : Fund of Fund
Version 2 : Fund of Indexes
Define a minimum variance equity fund strategy that would provide an optimal risk return. Propose
a dynamic allocation investment rule. Through predefined factor models identify :
Type A : Identify sector biais
Type B : identify style biais (SML, HML)
Balanced Risk Allocation
Using GVT Bonds, Corporate bonds (funds), Equities (funds ans indexes) and vega strategies, define
a dynamic investment rule to provide an optimal risk return.
• type A : contrarian style
• type B : 90% capital protected through CPPI
• type C : ALM based on surplus models of Solvency II
Class 4 Fund of Fund
Define an optimal fund of fund in Class 4 SRRI. Propose a methodology to help classifying
diversified funds (for example dynamic/specific risk + contrarian trend follower). Propose an
optimal allocation rules to maximise the risk return.
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
11
Investment constraints for long only portfolios
•
Investment universe
– Define precisely the list of assets you are going to trade (your investment universe)
•
W master 203.XLS
– Funds for a Euro zone investor
• Diversified and Fixed Income Funds
• European Equity funds
• International Equity Funds
– Index in local currencies
• Equity Indexes
• Bond Indexes
• FX
• Interest rates
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
12
Investment constraints for long only portfolios
•
Benchmark issue :
– Long only investments are equivalent to long short strategies modulo the benchmark weights
– The benchmark is viewed as the neutral portofolio. Hence, the benchmark must be an eligible
portfolio compare to the investment constraints : w_min < w_bnch < w_max
– A market neutral long short portfolio is a portfolio where the benchmark is equal to the money
market index.
– To compute the active risk of the portfolio, one must know the weights of the underlying assets or
sector of the benchmark
•
Example:
Asset Class
Minimum Weight
Neutral (Benchmark)
Maximum
Currencies (FX)
20%
40%
MSCI EAFE Currency
[USD] Index
60%
Bonds
20%
30%
CITI WGBI index
40%
Equities
20%
30%
MSCI International
equity index
40%
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
13
Check list
Fund Name :
#
Item
Description
1
Investment
universe
list of securities you propose to trade (p. 3)
Data base used (period) p. 6
2
Fund objective
Fund category (p. 3 & 5)
Benchmark or VaR constraint for absolute return funds (p. 3)
3
Portfolio and
benchmark
valuation
Daily records of holdings and valuation on closing prices
Monthly rebalancing for the benchmark
4
Performance
engine
Buy and sell signal on your investment universe.
Describe the rationale (p. 5)
Describe the process of your strategy (p. 6,7, 8)
5
Backtest
Highlight successes and pitfalls of your strategy (p. 9)
Compute the SRRI (p. 4)
6
Reporting
Describe the current strategy and portfolio in an appropriate
one page reporting (p. 10)
Level of achievement
Team member in charge
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
14
Calendar
•
First draft presentation: email February 20th
•
One to one at Dauphine February 28th
•
Second draft presentation : e mail before March 20th
– One to one at Wiseam for the less advanced groups (first yellow card)
•
Final presentation : e mail before marh 25th
– One to one at Wiseam for inadaquate presentations (catching up)
•
Final score: april 1st
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
15
Fund name
HVK AM
#1 Akallal / M1 203
Investment team (names of #2 De Keyser / M1 203
the group participants +
email of the correspondent #3 Nguyen /M1 203
#4
Key words
[email protected]
[email protected]
m
[email protected]
m
Paris Dauphine
Paris Dauphine
Monash University
Conservative strategy (capital preservation)
Global balanced
International diversification
Previous projects
Fund Objective/Description
Investment universe
Data set
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
We want to set up a diversified fund that uses three types of assets: international bonds, international equities and
currencies. To respect its objective focusing on capital preservation, we will invest at least 50% of its assets in
fixed income and money market instruments. The objective is to seek the best opportunities to preserve the initial
capital.The currency of reference of our fund will be the Euro.
Fixed income = government and corporate bonds without restrictions in terms of region, only investment grades
Money-market instruments
Equities : large Cap (US, EUR)
Hard currencies
Historical prices of USD,EUR,GBP
10Y Bund, Bond, OAT and from other emerging countries
Our benchmark will be 50% of the MSCI AC World NR (USD) index converted in Euro and 50% of the
Citigroup WGBI all maturities EUR Index.
CAGF Ltd
Cayen Agressive Growth Fund Ltd
#1 Moussa BAPTISTE M2 [email protected] Dauphine University
Adrien LEGALLICIER
[email protected] Dauphine University
#2
Investment team (names of
M1
the group participants +
#3 Poonam SURRUN M2 [email protected]
Columbia University / Paris 1
email of the correspondent
Jean Christophe Rodier /
[email protected]
#4
Dauphine univertity
M1
Global Macro - Funds of Funds - securities picking - diversification Key words
trading/quantitative strategy - backtesting - capital appreciation
Funds performance analysis: download fund's historical prices on yahoo finance, and
Previous projects
compute the performance, the VaR, moving averages, Sharpe ratio, so on and so
forth
CAGF is an open-ended fund, whose objective is capital appreciation. We aim at
picking some securities of a diversified investment universe that we believe have a
strong performance potential: we have a top down and opportunalistic approach: we
Fund Objective/Description
might focus on emerging markets, growing or structurally rebounding sectors, or asset
classes, and then select securities within these constraints. Our Fund is targeting
Institutional investors, such as fund of fund managers. The fund horizon is 5 year.
Targeted returns are 15% annually. The fund is composed of a dozen of assets.
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
Investment universe
Commodities futures (gold, crude oil), listed funds, listed equities (small cap),
currencies ( short yen, long euro), options..
Data set
SAGF (agressive growth fund), and other funds - HUI -XAU - STX 600 - FTSE
SMX - AIM Index - Russell 2000 - T13 (T-bill) - SP500 …
#1
Investment team (names of
#2
the group participants +
#3
email of the correspondent
#4
SMBG Capital
Dan Lasry / M1
Jeremy Gzaiel / M1
Laurie Smadja / M1
Laure Benchimol / M1
Key words
Diversified management, active mamagement, various categories of assets
Previous projects
no project to describe
name
Investment universe
SMBG Capital's objective is to optimize the diversification of its portfolio by
allocationg the funds on various asset categories and activity sectors. Thus, it operats
on equities as well as on the currency markets, commodity markets and real estate.
SMBG Capital aims at outperforming the CAC40 index that is taken as a
benchmark.
Equities, real estate, commodities, FX
Data set
weekly data, 3 years
Fund Objective/Description
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
Universite Paris Dauphine
[email protected]
Universite Paris Dauphine
[email protected]
Universite Paris Dauphine
[email protected] Universite Paris Dauphine
[email protected]
Kheops Diversified Fund
Fund name
#1
Investment team (names of
#2
the group participants +
#3
email of the correspondent
#4
Key words
Snyder / M2 203
Perrier / M2 203
[email protected]
[email protected]
Paris Dauphine
Corporate
Balanced Fund of funds
International diversification
Discretionary management
Previous projects
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
Fund Objective/Description
We are going to create a diversified fund of funds using four types of assets: european short and long term
bonds, international equities, commodities and cash. We want to manage a balanced portfolio with
between 35% and 65% of equities, a maximum weight of 40% of bonds and governmental debts and a
maximum of 30% in commodities. The rest of the NaV will be in cash. We will manage the fund
dynamically rebalancing the weights every month in order to limit the risks against the benchmark.
Maximum Tracking Error allowed : 5%
Investment universe
Equities : Large Cap (part in Euro for US and Emerging Markets exposures)
Fixed income : European government and corporate bonds only with investment grades
Commodities : Energies, Metal and Basic foods
Cash : Money-market funds
Data set
Our benchmark will be composed by :
- 50% of equity indices (25% in Eurostoxx50, 15% in S&P500 and 10% in MSCI Emerging Markets),
- 25% in the Barcap Euro Aggregate,
- 15% in GSCI Commodity Index,
- 10% in EONIA.
All performances will be taken in Euro.
Fund name
Fund Name
#1 CLAUDE M2
Investment team (names of
#2 GIOVANNETTI M2
the group participants +
email of the correspondent #3 PORRET M2
#4 YE M2
[email protected]
Braford University
Dauphine
Telecom Paris
Investment in equity; long strategy, control of risks …
Previous projects
Monte Carlo, Prices diffusion, hedging techniques, option valuations, market analysis
of various sectors…
Investment universe
@
[email protected]
ESC Grenoble
Key words
Fund Objective/Description
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
[email protected]
guillaume.giovannetti@gmail
.com
[email protected]
Data set
Our objective is to maximise return while managing risks. We think we will focus on
equity by tracking indexes such as the CAC 40. To track the index, we will consider
a stock picking according to a specific selection process. This is our initial thought but
we could extend our investment strategy to fixed income, commodities… We will also
set up backtests.
European Equity indexes
Public data available on yahoo finance, google finance, boursorama. We will probably
retreive data using a VBA or Matlab code
Fund name
#1
Investment team (names of the
#2
group participants + email of
#3
the correspondent
#4
Key words
Previous projects
Fund Objective/Description
Investment universe
Data set
31, rue des Poissonniers
92200 Neuilly-sur-Seine
 01 55 62 19 80
 01 55 62 19 81
@
[email protected]
TITANIAM
JALFON Michael / M1
MILLET Clément / M1
KOSTRZEWSKI Stanislas / M1
CAROUGE Charles / M1
[email protected]
[email protected]
[email protected]
[email protected]
Paris Dauphine University
Paris Dauphine University
Paris Dauphine University
Paris Dauphine University
Emerging asian markets (mostly asians), banking sector, new technology, industry sector
CAPM, SML, efficient portfolio and your own portfolio management
Create a fund with few but differentiated assets in very different sectors. Minimizing the risk by investing in
indexes and funds. However, we try to maximize profits in this bullish trend by investing in high potential and
stable sectors. The main objective of this fund is to benefit the best from the recovery period we are in and at
the same time, minimizing the maximun losses.
Funds, indexes, equity
The horizion of the fund is 2 to 5 years. Targeted returns are 40%. The fund will be composed of 5 to 10 assets,
very diversified with weights to be determined. Part of the fund will be dedicated to risky/high returns strategy.