Question
Portfolio Reporting The Bruno Global Fund is a vehicle to study many of the portfolio theories and concepts covered in class readings and discussions. The
Portfolio Reporting
The Bruno Global Fund is a vehicle to study many of the portfolio theories and concepts covered in class readings and discussions. The fund is comprised of eight (8) Regional subfunds initially seeded with $10 million each ($80 million in total). Each starting Regional subfund of $10 million should be equally weighted among its designated assets. Weekly data has been supplied from January 2015 through May 2017 for all 8 subfunds and 9 global asset classes. The class has been broken down into 8 teams responsible for an analytical report detailing how your Regional subfund has performed over the given period. Please address the following:
1. Describe each asset and interesting features including, in applicable, description of business, market capitalization, ratings, P/Es, liquidity (if possible, check trading volumes).
2. Returns and Volatility: Graph weekly price trends per asset in price (NAV, scaled to 100) for your subfunds individual assets and your Regional subfund index. Calculate volatility for each asset as well as for the Regional subfund index. What is the return and volatility of your individual subfund assets and Regional subfund index? Calculate return and volatility for the VIOLET Global (total of all 8 Regional subfunds) and the 9 broad asset classes. Comment on assets that underperformed or outperformed. How has your respective Regional subfund performed over this designated period? Did anything specific impact the performance of your assets? Don't forget general market trends (e.g. interest rates, US markets), regional happenings (e.g. elections, devaluations, ratings changes), or company/asset specific developments (e.g. earnings, market rally, etc.). How does diversification affect returns and volatility? How has your Regional subfund faired against the total VIOLET Global and the other major indices?
3. Correlation: Build correlation matrix for assets in your Regional subfund index and discuss. Please find correlation for your assets with the 9 referenced asset classes. Please comment on any strong positive or negative correlations. Take price data from all 8 Regional subfund indexes. Build correlation matrix for the eight subfundindexes, the VIOLET Global, and the 9 referenced asset classes. Please comment on any strong positive or negative relationships.
4. Benchmarking: Calculate and comment on your regional portfolios Tracking Error compared to the VIOLET Global. Calculate its Information Ratio relative to the VIOLET Global. Calculate and comment on the Modified Sharpe Ratio of your regional portfolio vs. the VIOLET Global, (that is Annualized Returns/Annualized Volatility). Has your portfolio been better or worse on a risk-adjusted basis?
| Asset Name | Description | BBG Lookup | Opening Price | Type | Quantity | Coupon | Current Week Price | Principal Value | Accrued Interest to-date | NAV | Regional Index | Last Week Price | Principal Value | Accrued Interest to-date | NAV | Regional Index |
| Ecuador 7.95% due 24 | Benchmark Ecuador bond ($) | EK341298 Corp | 91.13 | d | 2,194,739 | 7.950% | 90.71 | $1,990,782.10 | $2,908.03 | $1,993,690.12 | 91.13 | $2,000,000.00 | $0.00 | $2,000,000.00 | ||
| Vene 7.65% due 25 | Benchmark Venezuela bond ($) | ED8955574 Corp | 24.55 | d | 8,145,644 | 7.65% | 23.78 | $1,936,871.26 | $10,385.70 | $1,947,256.95 | 24.55 | $2,000,000.00 | $0.00 | $2,000,000.00 | ||
| Ishares LatAm (ILF) | Regional stock ETF | ILF US Equity | 30.18 | e | 66,269 | 29.46 | $1,952,286.28 | $0.00 | $1,952,286.28 | 30.18 | $2,000,000.00 | $0.00 | $2,000,000.00 | |||
| Ecopetrol SA | Colombian oil company (ADR) | EC US Equity | 22.60 | e | 88,496 | 22.01 | $1,947,787.61 | $0.00 | $1,947,787.61 | 22.60 | $2,000,000.00 | $0.00 | $2,000,000.00 | |||
| Brazil Real 1 year | Local Brazil T-bill | USDBRL Curncy | 4.05 | d | 8,108,000 | 8.80% | 4.06 | $1,997,683.99 | $2,929.94 | $2,000,613.92 | 4.05 | $2,000,000.00 | $0.00 | $2,000,000.00 | ||
| $9,825,411 | $16,223.66 | $9,841,635 | 98.42 | $10,000,000.00 | $0.00 | $10,000,000 | 100.00 | |||||||||
| Wisdomtree ME fund | Middle East dividend fund | Gulf US Equity | 18.88 | e | 105,932 | 18.88 | $2,000,000.00 | $0.00 | $2,000,000.00 | 18.88 | $2,000,000.00 | $0.00 | $2,000,000.00 | |||
| Teva (TEVA) | Israeli generic drugmaker | TEVA US Equity | 22.91 | e | 87,298 | 21.75 | $1,898,734.18 | $0.00 | $1,898,734.18 | 22.91 | $2,000,000.00 | $0.00 | $2,000,000.00 | |||
| Bahrain 6% due 44 | Benchmark Bahrain bond | EK486937 Corp | 80.25 | d | 24,921 | 6.00% | 79.46 | $1,980,312.26 | $24.92 | $1,980,337.18 | 80.25 | $2,000,000.00 | $0.00 | $2,000,000.00 | ||
| Lebanon 6.25% due 25 | Benchmark Lebanon bond | EJ2448540 Corp | 81.00 | d | 24,691 | 6.25% | 80.03 | $1,976,123.46 | $25.72 | $1,976,149.18 | 81.00 | $2,000,000.00 | $0.00 | $2,000,000.00 | ||
| CI Bank Egypt (CIBEY) | Egyptian bank stock | CIBEY Equity | 4.68 | e | 427,168 | 4.44 | $1,896,625.37 | $0.00 | $1,896,625.37 | 4.68 | $2,000,000.00 | $0.00 | $2,000,000.00 | |||
| $9,751,795 | $50.64 | $9,751,846 | 97.52 | $10,000,000.00 | $0.00 | $10,000,000 | 100.00 |
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
9th Edition
0324656122, 978-0324656121
