Portfolio Analysis and Recommendation

Portfolio Analysis Project Introduction

The Bluejay Global Fund is a vehicle to study many of the portfolio theories and concepts covered in class readings and discussions. The fund is composed of eight subfunds, initially seeded with $10 million each ($80 million in total). Each starting subfund of $10 million has been equally weighted among its designated assets. Weekly price data has been supplied for a 5 year period on all Bluejay assets and eight global reference assets to be used for comparison purposes. In addition to the EXCEL file being provided we have uploaded the portfolios in Bloomberg. We ask students to each create a Bloomberg Account at one of the library terminals and familiarize her/himself with the basic functionalities. Please see for Bloomberg commands to access the portfolio.

In addition to weekly homework assignments, during this course you will work through an investment analysis project in your respective group. The deliverables will be discussed in class.  The objective is to expose you to some of the analyses and communications that a financial investment team would use in the process of analyzing portfolios.

The highlight will be the final investment recommendation (Deliverable 6) where we will role play an investment committee.

The class has been broken down into eight teams responsible for an analytical report detailing how each subfund has performed over the given period. Please submit six reports in Weeks 3 through 8 (one report for each of those weeks) as described below.

Portfolio Project Deliverable 1 of 6: Description of Subfund Assets (1 single-spaced page)

Due June 10^th or 12^th respectively, 6:00pm

Submit a report describing each asset, key characteristics and any interesting features, including, if applicable, a description of the country/company market capitalization, credit ratings, price-to-earnings (P/E) ratios, and liquidity indicators (if possible, check daily trading volumes; may not be possible for all assets).

Portfolio Project Deliverable 2 of 6: Returns and Volatility (charts and graphs; several pages)

Due June 17^th or 19^th respectively, 6:00pm

Submit a report featuring the following items:

● Graph weekly price trends per asset in price Net Asset Value (NAV), scaled to 100 for your subfund’s individual assets and your subfund index. Use weekly price changes in percent form.

● Calculate annualized volatility for each asset as well as for the subfund index.

● Calculate annualized return and volatility of your individual subfund assets and subfund index.

● Calculate return and volatility for the Bluejay Global Fund (total of all eight subfunds) and the 9 reference assets. Comment on assets that underperformed or outperformed.

● In one paragraph, how has your subfund faired against the total Bluejay Global Fund and the other 9 major reference assets?

Portfolio Project Deliverable 3 of 6: Global/Regional/Country/Company News (1 single-spaced page)

Due June 24^th or 26^th respectiverly, 6:00pm

Submit a report featuring the following items:

● Discuss macro, regional, country, or company-specific happenings that may have affected the performance of your subfund assets.

● Do not forget to include general market trends (e.g., interest rates, U.S. markets); regional happenings (e.g., elections, devaluations, ratings changes); or company- and asset-specific developments (e.g., earnings, market rally, etc.).

Portfolio Project Deliverable 4 of 6: Correlation (2 pages, 1 for matrix, 1 for commentary) You may submit these in either portrait or landscape mode

Due July 1^st or 10^th respectively, 6:00pm

Submit a report featuring the following items:

● Build a correlation matrix for assets in you subfund index and discuss.

● Please find correlations for your assets with the nine referenced asset classes. Please comment on any strong positive or negative correlations.

● Take price data from all eight subfund indexes. Build a correlation matrix for the eight subfund indexes, the Bluejay Global Fund, and the nine referenced asset classes. Please comment on any strong positive or negative relationships.

Portfolio Project Deliverable 5 of 6: Benchmarking (1 single-spaced page)

Due July 8^th or 17^th respectively, 6:00pm

Submit a report featuring the following items:

● Calculate and comment on your subfund’s tracking error and out- or underperformance compared to the Bluejay Global Fund.

● Calculate your subfund’s information ratio relative to the Bluejay Global Fund.

● Calculate and comment on the modified Sharpe ratio of your subfund versus the Bluejay Global Fund (that is, annualized returns/annualized volatility). Compared to the Bluejay Global Fund, has your portfolio been better or worse on a risk-adjusted basis?

Portfolio Project Deliverable 6 of 6: Individual Asset Recommendation (PP slides, 7 min Presentation). We will role play an investment committee presentation.

Due July 15^th or 24^th respectively, 6:00pm.

Select one asset in your subfund that your team will recommend to buy or sell (in case of buy – cash needs to be generated through a sell, in case of a sell – proceeds need to be invested). The recommendation should include the following sections and should not exceed 5 pages:

● Investment Thesis: (1) Stating why this investment should perform. (i.e. secular trend, or fundamental valuation, or short term reversal, etc); (2) What is the major catalyst, and (3) What is the major risk. Should only be one para.

● Relevant background information, including asset class, country and/or company.

● Valuation based on comparable assets, including potential volatility and risks—please use the Week 6 Portfolio price. Is the asset cheaper than comparable assets? If so, theorize what catalysts may boost the asset’s price in the near future and explain why. What can go wrong?

● Identification of a recent (in the past 12 months) event that had a positive or a negative impact on the asset’s price movement. The event can be country or firm specific, or a macroeconomic event.

● Feel free to use any market commentary or additional resources to support your recommendation.