global opportunities fund fund managers: guergana anguelova &
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Global Opportunities Fund Fund Managers: Guergana Anguelova & Moritz Broelz. Agenda. Fund Objective Fund Guidelines Fund Bandwidths Asset Allocation Rationale Current Asset Allocation Current Holdings Markowitz Portfolio Optimization Benchmarks - PowerPoint PPT PresentationTRANSCRIPT
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Global Opportunities Fund
Fund Managers:
Guergana Anguelova &
Moritz Broelz
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Agenda
Fund ObjectiveFund GuidelinesFund BandwidthsAsset Allocation RationaleCurrent Asset AllocationCurrent HoldingsMarkowitz Portfolio OptimizationBenchmarksFund PerformanceQ&A
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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.
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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
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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
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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
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Current Asset Allocations
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Current Holdings
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Markowitz Portfolio OptimizationReturn & Standard deviation for 2010
Data for current portfolio
Data for optimized portfolio
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Markowitz Portfolio OptimizationAllocation of Original Portfolio Allocation of Optimized Portfolio
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Original vs. Optimized Equity Portfolio Performance
Performance of Original Portfolio Performance of Optimized Portfolio
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Benchmarks
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Benchmarks
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Equity Portfolio Performance vs. MSCI World Country Index
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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
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Fund Performance
• Derivative Positions maximize returns towards Expiration• Bond Positions held to maturity
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Questions & Answers
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Appendix 1• Fund Spreadsheets Link