新加坡assignment范文 Managing a mutual fund

论文题目：managing a mutual fund
论文语言：英语论文 English
论文专业：金融
字数：2页
学校国家：新加坡
是否有数据处理要求：是
您的学校：
论文用于：Master assignment 硕士课程作业
补充要求和说明：
 

Managing a mutual fund

We managed a mutual fund, the initial balance was 10million。In order to gained higher absolute returns, we took portfolio insurance strategic, made one part of funds invests in low-risk assets to ensure the lowest value of the assets, also made some funds invested risk assets, and adjusted the ratio of risk-free assets as the change of market, while not given up the potential asset。

Due the uncertainty of stock market of American, particularly the monetary policy of Federal Reserve, we only controlled less than 100% positions. We bought bonds of American Express, one-year US Treasury Note(2.25% , 31-May-2014), and made these as the low-risk assets. The risk assets mainly invested stocks of American and Hong Kong, the stocks of American market included Facebook Inc.、Apple Inc.、Gilead Sciences, Inc、Alliance Data Systems Corp、Gannett Co.,Inc、Sungy Mobile、ARIAd pharmacenticals Inc、Sohu.com.Inc、Cisco Systems Inc、Baidu Inc、Shanda Games Limited、QIHOO 360 Technology Co.,Ltd、Wal-Mart Stores Inc、Celgene Corporation; the stocks of Hong Kong market contains Shanghai Fosun Pharmacetical(Group)Co., Ltd、Meng Niu Dairy、Boyaa、Tong Ren Tang Technologies Co,.Limited、Anta Sports、Net、NetDragon Websoft Inc、Consun Pharmaceutical Group Limited、China Suntien Gre. In order to diversification the portfolio, the assets mainly distributed the information technology、healthcare industries etc, the mainly reasons were these industries had excellent operation and high growth in future, so we think these stocks may have investment value. The detail portfolio in table 1.
Table 1: the portfolio


We selected Shanghai Fosun Pharmaceutical(Group)Co., Ltd(Shanghai Fosun Ph,  2196.HK) and one-year US Treasury Note(2.25% , 31-May-2014), the risk free return  was 2.25%, theβof company was1.336, the market return was 12.5%, so the return of equity of company is 15.95%. after 2013, the growth of company is 15%.
Table 2: the information of Shanghai Fosun Ph(2196.HK)
Items 2007 2008 2009 2010 2011 2012 2013E
Dididends(per share) 0.1 0.1 0.10 0.1 0.1 0.21 0.25
EPS 0.51 0.56 2.02 0.46 0.61 0.80 0.85

According to the Dividend Discount Model, the per share value of company is 30 HK$. Actually we also use the compare valuation model to values the company, the EPS of company is 0.85 in 2013, while the PE of industry is 35, the per share values of company is 29.75.in summary, the per share value is about 30, at present the stock price of Shanghai Fosun Ph is 23.15, so the company is under the value, we buy Shanghai Fosun Pharmaceutical(Group)Co., Ltd(Shanghai Fosun Ph,  2196.HK).

See from the table 3, application CAMP model to calculate the return of company and found the return of portfolio is -1.34%, the σis 0.612, and the found it only acquire the abnormal return.
Table 3: the portfolio return


According to the Sharpe performance measure, and found the S=-0.05, which was lower than 0, so the performance of portfolio was poor. Compare to S&P 500 (3.58%) and the Dow(3.92%), the portfolio was not outperform these averages. We can also see the performance of portfolio and S&P 500 from figure 1,

Actually this portfolio operation only less than one month, it would not present the ability of investment, some companies will have excellent performance in long-term, while have poor performance in short time. The CAMP and Share performances have some assumption, while may not consistency to the really stock market.
Figure 1: the performance of portfolio