Global Opportunities Fund Fund Managers: Guergana Anguelova &
description
Transcript of Global Opportunities Fund Fund Managers: Guergana Anguelova &
Global Opportunities Fund
Fund Managers:
Guergana Anguelova &
Moritz Broelz
2
Agenda
Fund ObjectiveFund GuidelinesFund BandwidthsAsset Allocation RationaleCurrent Asset AllocationCurrent HoldingsMarkowitz Portfolio OptimizationBenchmarksFund PerformanceQ&A
3
Fund Objective
• Global Opportunities Fund, Inc. (“the Fund”) is a non-diversified, closed-end management investment company.
• The Fund’s investment objective is long-term capital appreciation and income generation, which it seeks to achieve by investing in equity, debt and derivative securities of all types from issuers around the world.
• The fund consists of three security portfolios - equity, debt and derivative, with equal capital base.
• The Fund allocates and reallocates capital based upon management selection, and is not limited to specific industries or sectors.
• The Fund aims to limit downside risk potential by investing in strategic derivative positions.
• The Fund will invest near all, but no less than 90% of its total available capital.
• There is no guarantee that the Fund will meet its objectives.
4
Fund Guidelines• General Fund Guidelines
– Allocations subject to management selection
• Equity Portfolio Guidelines– Focus on capital gains– Flexible time horizons
• Bond Portfolio Guidelines– Long Term Income Generation– Long Term Capital Preservation
• Derivative Portfolio Guidelines– Hedge Currency Exposures– Limit Equity Downside Risk– Generate Steady Income– Speculation
5
Fund Bandwidths• General Fund– No more than 10% cash holdings
• Equity Portfolio– No more than 10% in a single title issue– No more than 40% in a single fund title
• Bond Portfolio– No more than 80% European debt– No more than 80% U.S. debt
• Derivative Portfolio– No limitations
6
Asset Allocation RationaleFED ↑ Balance Sheet through Q.E. 2 (…)
U.S. Treasuries ↑ FED Reserves ↑ U.S. Monetary Base ↑
U.S. Dollar ↓U.S. Financials ↑ U.S. Equity ↑ (LT) Cashflows to Emerging Markets ↑ (Yields)
U.S. Primary Government
Dealers Earnings ↑
Buys U.S. Treasuries & MBS
Hedge Currency Exposure
Long U.S. Financials, particularly Primary Dealers
Long U.S. Blue Chips
Long Emerging Markets
Long U.S. Treasuries
Positioning
7
Current Asset Allocations
8
Current Holdings
9
Markowitz Portfolio OptimizationReturn & Standard deviation for 2010
Data for current portfolio
Data for optimized portfolio
10
Markowitz Portfolio OptimizationAllocation of Original Portfolio Allocation of Optimized Portfolio
11
Original vs. Optimized Equity Portfolio Performance
Performance of Original Portfolio Performance of Optimized Portfolio
12
Benchmarks
13
Benchmarks
14
Equity Portfolio Performance vs. MSCI World Country Index
Fund Performance (excl. Bonds)Large Spreads @ Close+ Spread Positions= exaggerates volatility
EUR/USD Performance has large impact on Fund Performance!
QE2 starts kicking in: Equity up, USD down, (UST’s up)European sovereign debt worries weaken Euro - halts U.S. Equity advance (in $ terms) – Equity Portfolio appreciates solely due to EUR/USD impact
15
16
Fund Performance
• Derivative Positions maximize returns towards Expiration• Bond Positions held to maturity
17
Questions & Answers
18
Appendix 1• Fund Spreadsheets Link