MASTER 203 Working groups 2012
1.
2.
3.
4.
5.
6.
7.
Dauphine Capital Partners .................................................................................................. 2
EMIS ................................................................................................................................... 3
Pandore ............................................................................................................................... 7
Stoic Investment .................................................................................................................. 8
Eurostoxx Systematic fund ................................................................................................. 9
EMER Fund ...................................................................................................................... 10
TRM .................................................................................................................................. 11
1. Dauphine Capital Partners
Company name
Group name
Benjamin
#1
Chemarin
chemarin.benjamin@gmail.com
Investment team
#2 Hicham El Bahari h.elbahari@gmail.com
(names of the
group participants
Omar El
omar.elkendouci@gmail.com
+ email of the
#3
Kendouci
correspondent
kenjilee10@gmail.com
#4 Kenji Lee
Université Paris
Dauphine
Université Paris
Dauphine
Université Paris
Dauphine
Université Paris
Dauphine
Fund name
Dauphine Capital Partners
Constant Proportion Portfolio Insurance Stategy, French Stocks,
Key words
German Bonds
Our CPPI strategy guarantees the invested capital by providing in the
same time a participation to the CAC 40 performance. It is well
Fund
suited to the current situation because the worst part of the crisis
Objective/Description seems to be behind us but it can move quickly further into disress too.
Hence, our fund allows to bet on the recovery of the economic
growth by being hedged if this event doesn't appear.
Investment universe
Equities: Futures on CAC 40 / Fixed Income: Bunds
It sounds to be a good project.
http://www.lyxor.com/fr/notre-savoir-faire/gestion-structuree/fonds-a-coussin-cppi/
http://en.wikipedia.org/wiki/Constant_proportion_portfolio_insurance
Comment 1. You should pay attention to the investor promise, i.e. what do you intend to protect, on
wich time frame ?. For example, Sinopia managed a product range name acticlic. You could use this
example to settle a quaterly 90% NAV protection.
http://www.hsbc.fr/1/2/hsbc-france/entreprises-institutionnels/placements/acticlic-95-by-sinopia
Comment 2. I want you to integrate cross assets in the performance engine. For example you could
enlarge your investment universe to other risky assets like commodities, FX, Emerging bonds… As I
mentioned, the portfolio need to consider an investment universe of at least 10 different assets.
2. EMIS
Company name
TCP Partners
Group name
#1 Tilila ELAOUADI t.elaouadi@hotmail.fr
#2 Pushkar GUPTA
pushkar.com@gmail.com
#3 Chow Jin LEE
lee_chowjin@hotmail.com
Polytech’nice
ESCP Europe
National University
of Singapore
#4
Fund name
EMIS
Key words
> Global macroeconomic events
> Risk-adjusted return
> Directional investment strategy
> Use macroeconomic analysis based on global market events and
trends to identify opportunities for investment that would profit from
anticipated price movements.
Fund
> Use leverage to take large positions in diverse investments in
Objective/Description
multiple markets
> Long and short positions, in order to profit in both market upswings
and downswings
Investment universe
Equities, bond, commodities or currency markets
Data request
German bunds, Gold, EUR GBP, CAC40, EUROSTOXX50
This project looks very wide. Could you precise it by defining a benchmark, this will help you in
defining your SRRI. I Remind you must consider an investment universe of at least 10 different assets.
As you should manage a coordinated fund, take care of the leverage ratio.
De : pushkar gupta [mailto:pushkar.com@gmail.com]
Envoyé : vendredi 24 février 2012 14:38
À : francois.jubin@wiseam.fr
Cc : Tilila El Aouadi; lee chow jin
Objet : Master 203 - EMIS group Strategy
Equity: 30-40%
We will use Pairs trading/beta neutral trading/sector Neutral trading using S&P 500,
Eurostoxx, and DAX equities. We will look for potential pairs among these indices and even
across these indices from same sector. We enter a position when the spread of the pair is 2x
(std dev) higher than historical mean. As the equities are mean reverting, pairs trading can be
very useful and we can arbitrage cross country as well.
I understand that you get data from individual stocks of the three mentioned markets (SP500, Euro
Stoxx and Dax). Is that correct?
What can of spread do you mean? Is that a spread in momentum, in valuation ratios or other item?
Could you precise this?
Fixed Income: 30-40%
We will use the trend following strategy to detect the relevant signals like spreads and yield
curve convexity. We will then use these signals to make systematic fixed income arbitrage
bets. We will only make spread and yield arbitrage strategies using Citi WGBI all maturities
bonds (23 countries) and Euribor and libor and other developed countries' swap rates. We will
then go for either swap-spread and/or yield curve arbitrage.
Do you mean you will consider individual bonds or generic bonds through swap of futures?
Currencies: 20-40%
We can either go for correlation trading pairs like in equities or for fixed income arbitrage in
FOREX swap. We can use all the G-8 currency pairs
We will have stop loss strategy to exit our positions without having high losses. We will
maintain our leverage ratio equal to 1. The downside of this is that we will not have high
potential gains but we will limit our downside risk as well. We will take 5-10 year data to
back test.
Benchmark:40% MSCI International equity index + 40% CITI WGBI + 20% MSCI EAFE
Currency [USD] Index
See comments on page “Investment constraints for long only portfolios” of the Template for
presentation.PPT
Could you forward me an example of portfolio that could meet your strategy and constraints?
O Fund du Goofre
Company name
Du Goofre Asset Management
#1
ANDRIEUX
Guillaume
Investment team
(names of the
#2 COCAULT Julien
group participants
+ email of the
#3 MAHADEA Ghirish
correspondent
#4 OZHAN Emeline
CESEM / Reims Mgt
guillaume.andrieux89@gmail.com School
IUP Caen
julien.cocault@gmail.com
Normandie
Université de Lille 1
ghirisha@gmail.com
Université de
emeline.ozhan@etu.univorleans.fr
Orléans
Fund name
O'Fund
Key words
Balanced investment strategy, European exposure, Benchmark
(50%Eurostoxx 50 + 50%EuroMTS New EU Index), Austrian Liquidity cycle.
*The O’Fund is located in Luxemburg and complies with the CSSF legislation and the
UCITS IV directive.
Fund
Objective/Description
O’Fund – Du Goofre Asset Management aims at providing a positive return
over the long run by investing in equities and fixed income securities that are
traded on a regulated stock exchange and that may be considered as eligible
assets by the UCITS IV (2009/65/EC) directive.
The objective of the fund is to gain exposure on the North American
economy by investing in companies having their registered office or
undertaking a preponderant part of their business activities in the United
States.
The strategy pursued is a balanced investment strategy. The strategic
allocation will be defined on a monthly basis by the asset managers thanks
to economic ratios that will define the liquidity of stocks and bonds markets.
The asset with the most attractive upside will be over weighted.
The use of derivatives will be limited to hedging purposes and will not, in any
case, be used for speculation. Naked short selling, as specified in the UCITS
directive will simply be prohibited. Even though a specific asset class will be
over weighted in the fund, diversification and concentration ratio will be
respected.
The Reference Currency of the Fund is the Dollar.
Investment universe
The fund may invest in equities and fixed income securities that are
operating in North American or having their head office located in such
countries. The use of derivatives is allowed for hedging purposes.
Data request
To be able to back test the strategy, investment managers will need the
prices of each underlying of the S&P 500 as well as the prices of each
underlying of the Dow Jones 20 Bond Index. To define the liquidity cycle, the
3 Months Treasury Bills yield, the Dow Jones 20 Bond Index, the 30 year
Government (USA) Bond Yield, the capacity utilization ratio, the industrial
production ratio, the USA unemployment ratio, the CPI Inflation rate, the
Quarterly GDP and the Commodity Research Bureau Index over the period
will also be needed.
It sounds on the good track. Just a little discrepancy between your investment universe (US
markets) and your Benchmark (European indexes). I understand you already have all the data
collection needed.
3. Pandore
Pandore Investment
Investment team
#1
(names of the
#2
group participants #3
+ email of the
#4
correspondent
Pandore A
Vincent Bilard
Colin Gloeckler
Dylan Janet
bilard.v@gmail.com
colin@gloeck.com
dylanjanet@gmail.com
AgroParisTech
ENSEA
McGill, Canada
Guillaume Ducongé guillaume.duconge@live.fr Dauphine
Key words
MVP, Momentum.
Fund
Objective/Description
Research a Minimum Variance Portfolio using equities, bonds and
commodities.
Investment universe
Data request
Equities, gov-bonds, commodities.
CAC40 components from 2000, French 5Y yield from 2000,
Fund objective sounds good. You may face an important issue if you consider 5Y bond in
your investment universe : since a minimum variance portfolio is carried out, it’s likely that
the 5 Y bond will act as an anchor in your model and there is litlle chance to allocate assets to
riskier one. But go forward, and you will see. May be you will have, in a second step, to
define a more homogenous investment universe.
4. Stoic Investment
Company name
Group name
Investment team
(names of the
group participants
+ email of the
correspondent
#1 Vincent Minichetti
#2 Franck Sebakhi
#3 Hatim Benlemlih
#4 name
University of
Reading
f.sebakhi@gmail.com
ESTP
hatim.belemlih@gmail.com INSA Lyon
initial school /
email
univertity
mvincent89@gmail.com
Fund name
Stoic Investment
Key words
Balanced Portfolio - Long Short Equity Portfolio - HFT
Fund
Objective/Description
Investment universe
Data request
The idea behind Stoic Investment is to stay in the safe zone in case of
global equity meltdown. We secure our investment with commodities
such as gold and silver inversely correlated with equities. We will try
to catch the upside in the commodities market (precious metals). And
aswell with governement bonds which will again secure a minimum
return on investment. We will use Dynamic trading (HFT) to catch
variable opportunities intraday and enhance global return of our fund.
Equity, Commodities, Fixed Income
S&P500(5 years) Gold (5years) Silver (5years), UK Gov Bonds Mat
1Year (5years)
Your investment universe is not precise enough. Your key words let suppose that you are
going to manage equities. Your fund objective suggests you will use indexes and your data
request is unclear.
As I mentioned in the last session, you can only trade once a day. Hence, you won’t be able to
implement HFT in your strategy.
5. Eurostoxx Systematic fund
Company name
Investment team
(names of the
group participants
+ email of the
correspondent
Group name
#1 DORFMANN maxime_dorfmann@hotmail.com DAUPHINE
#2 BEHAR
#3 ROSO
colin.behar@gmail.com
#4 name
email
roso.harold@gmail.com
DAUPHINE
DAUPHINE
initial school /
univertity
Fund name
Eurostoxx Systematique Fund
Options; Moving Average; Performance; Market signal; Cash
Key words
investment
The objective of the fund is to capture market signals through the
SX5E moving average. If the signal is positive we are long ATM call
Fund
on the SX5E in order to leverage the fund, if the signal is negative,
Objective/Description
we sell call to get premiums that we will invest at EONIA. The time
horizon is between two and four years
Investment universe
Call 5X5E
SX5E closing prices since 2000. Vsotx index prices ;SX5E Call ATM
Data request
closing price 1M 3M 6M in order to backtest. EONIA fixings
This fund description does not correspond to the guidelines. You have to consider a wider
investment universe in order to get finally a diversified portfolio (10 securities minimum).
6. EMER Fund
Company name
BBLT Investments
Christopher
christopher@bender.fr
#1
BENDER
Investment team
bucher.julie90@gmail.com
#2 Julie BUCHER
(names of the
group participants
Pernelle
pernelle.lombard@hotmail.fr
#3
+ email of the
LOMBARD
correspondent
lisaturk@hotmail.com
#4 Lisa TURK
Fund name
EMER Globe
Key words
- Trend following
- Global macro
- Value investing
Telecom Business
School
University Assas
University
Dauphine
University
Dauphine
The objective of EMER Globe is to invest in emerging markets to
take advantage of the high potential of reward attached to superior
Fund
growth prospects of industries in emerging countries. As a result we
Objective/Description recognize that these investments come with a higher risk, therefore
we place strong emphasis on the assessment and mitigation of such
risks to guarantee secure returns for our investors.
Investment universe
Emerging markets indices and stocks picking in diverse industries
among which: telecom, energy, consumer, health.
Data request
Historical quotes of firms included in MSCI Emerging Markets ETF
First of all, you have been very late to send me your term sheet. You have to be more
responsive.
As far as your investment universe is concerned, it seems you want to invest in stocks with a
global macro view and then you favor value investing with trend following approaches : this
looks in some way inconsistent.
Now, you have to define your objective more precisely your objective by setting a
benchmark.
7. TRM
Company name
TRM
#1 LEVY Yoni
Investment team
(names of the group #2 TROGMAN Dolev
participants + email #3 PAVARD Ambre
of the
#4 name
correspondent
yonilevy@msn.com
dolev3@msn.com
ambre_p@msn.com
email
DAUPHINE
DAUPHINE
DAUPHINE
initial school /
univertity
Fund name
KECEF
Key words
Long/Short strategy ( Buy selection of equities/Sell index)
Fund
Objective/Description
We want to find the best 10% equities of the FTSE100. We build
criterias , in order to buy the best selection and to sell the index.The
goal is to win the spread. This is a long term strategy.
Investment universe
Data request
Equites FTSE100, each equitiy of the FTSE100
FTSE 100 since 2000, each equity of the FTSE 100 since 2000.
You do not need to implement a long short strategy if your benchmark is the FTSE 100. Since
the benchmark weights are considered as the neutral position, every underweight in your
portfolio will have the same effect as a short position in a total return fund.
Nevertheless, if you absolutely want to consider a long/short strategy where the benchmark
could be the money market index, you will have to define risk constraint in absolute terms and
therefore calculate the relevant SRRI.
Do you get the data on individual stocks of the FTSE 100 Index? Could you precise the
criteria you would like to use in selecting stocks and the data set you get?