Group 2 BAFI3192 s3479797

BAFI3192 Group 2
RISK
MANAGEMENT
REPORT 2016
Lecturer TAI TRAN
Duong Tan Tai s3479797
Do Nhu Nam s3533350
Bui Van Cong s3500655
Huynh Thanh Duy s3500427
Nguyen Xuan Truong s3480710
Contents
Introduction ................................................................................................................................... 2
Market Valuation ........................................................................................................................... 2
1. Interest Rate ........................................................................................................................ 2
2. The Dollar Currency ............................................................................................................. 2
3. The Influence of the World Economy .................................................................................. 3
Risk Analysis .................................................................................................................................. 3
Trading philosophy ....................................................................................................................... 4
Portfolio Construction .................................................................................................................. 4
1. Fundamental analysis .......................................................................................................... 5
2. Portfolio Allocation .............................................................................................................. 5
Evaluation of trading..................................................................................................................... 6
Portfolio Performance ................................................................................................................. 7
Risk Control - Hedging .................................................................................................................. 7
Future .......................................................................................................................................... 7
Option.......................................................................................................................................... 8
Reflection ....................................................................................................................................... 9
References .................................................................................................................................... 10
Appendices................................................................................................................................... 13
Risk Management Report Group 2 Page 1

Introduction
The stock market, particularly in the United States, has always been well-known for its
fluctuation and volatility. In financial terms, this market poses great benefits to investors. Yet,
there is always the flip side of the coin, as risks also abound, among which two categories of
systematic and non-systematic risks could be derived, all of which are obstacles on investors
journey to profitability. However, options and futures are two solutions to these
aforementioned hindrances. This report aims to demonstrate how these aforementioned
investing strategies could help investors hedge the described risks of loss and gain higher
profits in practice through the use of virtual trading on the markets of Dow Jones and NYSE,
which spans from 24th of June to 31st October of 2016.
According to the trading periods, it would also be clear that short-term investing strategies
would be utilized, in which, as an investor, we would not intend to hold any items on our
portfolio for a long period of time, thus would not make any calculation to hedge any
concerning risks.
Market Valuation
The beginning of this paper would analyse the United States financial markets current situation
to give readers an in-depth understanding of the circumstances in which trading has taken
place.
1. Interest Rate
It has been a noticeable state of affair that the interest rate level in the United States is still
being kept at its record low, ranging from 0.25 to 0.5 percent, given that the economy has
steadily recovered for 25 out of 27 quarters since 2009 after the notorious global financial crisis
(Appendix 1). Their intention to increase the interest rate twice a year, as indicated earlier in
June, has not come to light due to the need for more substantiating evidence of full economic
recovery, or, in other words, the presence of a slightly weak GDP, which has grown by 1.2
percent in the April-June period, less than half of the market expectation (Walker 2016). The
interest is likely to be kept stable at 0.5 percent until 2018, mostly due to the local
unemployment scene, which has been described by Ms Yellen herself as disappointing and
concerning (Wieczner 2016). The Federal Reserve shall converge three more times in 2016,
starting on September 20-21, and analysts forecast that there is a 36 percent probability that
they would raise interest rate by the end of this year (Barton 2016). An increase interest rate, in
general, would affect the USD spot rate by increasing investors demand for the currency for
the sake of higher saving profits. However, it could slow down the expansion of the economy
due to higher cost of borrowing for businesses. Also, this could be utilised as a strategic policy
to hinder inflation in the economy (Diamond & Rajan 2012).
2. The Dollar Currency

Changes in the dollar currency have also been attributable to recent events in the worlds
economy and political scene. During the weekend following Brexit, the US dollar has almost

immediately rallied against the British pound in a hike of 6.3 percent, its most significant one-
day appreciation since 1967 (Appendix 1). It is now traded at $1.1174 per euro in the New York
market. The Dollar Spot Index of Bloomberg also dropped by its largest margin since June 3rd
to 95.517 (Appendix 1). This might benefit local consumers but wreak havoc on the economys
trading balance (Gillespie 2016). Earlier in June, forecast of interest rate hikes have temporarily
boosted the USD value, based on optimistic data on jobs, industrial output and retail revenue
(Barton 2016). However, investors have gradually grown out of the dollar, especially after the
Feds refusal to raise interest rate, despite having caused significant expectations within the
market.
3. The Influence of the World Economy

Due to globalization, certain notable world events have drastically affected the USs economic
policies, a phenomenon akin to the butterfly effect. The Brexit, for example, has caused the
Federal Reserve to defer interest rate. Consequently, the US dollar has decreased in its value,
while the price of energy and precious metals commodities, or cyclical assets, and have
appreciated. Another influencer is the weak monetary expansion policy made by the Japanese
government for the Yen currency. Also, a name that should not escape our notice is China, the
worlds second-largest economy. Its governments sudden decision to devaluate its currency,
the yuan, last year in August 2015, caused a 1,000 point decrease in the Down Jones Industrial
Average, its largest since 2008, which, today, has risen back by 20 percent. The dollar has also
appreciated 5 percent, trading at 6.64 yuan per dollar. However, record-low interest rates
observed in Japan and Europe have caused the U.S 10-year treasury yield to diminish from
2.142 to 1.531 percent (Adinolfi 2016). The recent chains of terrorist bombings over the world
shall also affect the stock market. However, these detriments may not be significant. It is
observed that the stock market often takes 2.8 weeks on average to recover to its original point
before these attacks. Also, investors are learning to hedge these risks beforehand, diminishing
their volatility. Nonetheless, it is noteworthy to consider the effects of these terrorist activities
upon policy-making, as observed in Brexit, where one of the British Governments goals was to
avoid more Syrian refugees (DePillis 2016). The forthcoming future of the USs financial
markets could go in many directions, and investors as well as industry specialists are all waiting,
as well as predicting, for the Feds decision to raise interest rates.
Risk Analysis
Every investment possesses some risks and return lurking in store. Aside from looking for the
greater margin of the latter, it is also of crucial importance to analyze the specific risks
investors might face in such a short-term portfolio hypothesized in this paper. Investors in the
US financial markets are susceptible to, first and foremost, interest rate risks. This involves the
various reactions from the market that could arise from the FEDs decision to hike interest
rates, which has been suspected many times this year. Such a change could affect investors
choice of investments, businesses and banks willingness to borrow and lend, and so forth
(Abdymomunov & Gerlach 2014). Thus, investors should anticipate the probability of such a

hike at the end of this year and consider the various investment channels that yield their
desired return, either in the debt or equities market.
It is also worthwhile to hedge foreign exchange risk. The anticipated interest rate increase
might appreciate the value of the dollar. Such changes would influence the nations
international trading balance, depending on other influential world currencies, such as the
Chinese Yuan, the English pound, and so on (Barton 2016). If the Fed again refuses another
increase attempt, investors might lose confidence and opt out of the dollar for other currencies
(Bash 2015). These changes would in turn cast their influence on other policies in interest rate
or treasury yields. Last but not least, investors need to be aware of the potential commodity
risk in the forthcoming future. Oil prices have been forecast to increase by the end of the year,
which, along with a higher borrowing cost resulting from an interest rate increase, would
rocket local prices (Fretheim & Kristiansen 2015). On the other hand, if oil prices fall, such
indexes as the Dow Jones and the S&P 500 might suffer, which would wreak havoc on
investors portfolio. These possibilities and their separate consequences should be paid great
attention by not only investors but also policy makers in the United States. All in all, the United
States financial markets could go many ways, and it is in investors interest to get informed of
the various possibilities and hedge themselves against the consequential risks.
Trading philosophy
Due to the dynamic mechanism of the stock markets, there are many different types of trading
methods were applied to take the variety of opportunity.
For short term investment, the trading styles of our group involve swing and events based
trading which primarily based on the technical analysis. Basically, the trading position only
occurred in a few weeks so we applied swing trading to predict the short-term fluctuation in
stock price and try to book higher profits per trade. Related to the events based trading, the
trading based on some events that occurred during the trading periods such as good earnings
results of companies, company restructuring and new innovations. Besides that, the team also
applied the predetermined exits approach within the stop-loss order so that we are able to exit
with a profit and to limit the loss on the portfolio. By setting a stop loss order, the team can
lock in profits even if the price falls under the target price.
Portfolio Construction
The teams attitude is to gain the highest available expected return. Firstly, the team decided
investing in tech stocks as they performed good earnings and potential growth. In addition, the
graph shows that XLK still hold a bullish trend against the S&P 500 over the periods (Appendix
2). According to Poletti, technology giants were strongly growing and also were the most
valuable companies in the US stock market (Tech is the King of Wall Street, thanks to the cloud,
2016). In addition, growth is about the companys culture and innovative drive so technology
company with innovative sectors take advantage from above average potential for growth and

profitability. On the other hands, the team had to keep a close eye on the competitive
landscape when picking stocks because the technology areas of the economy are dynamic and
always changing.
1. Fundamental analysis
REGN [NASD] GOOGL [NASD]
Market Cap 42.55B Market Cap 542.41B

P/E 63.11 P/E 30.4
Forward P/E 28.02 Forward P/E 19.64
EPS (ttm) 6.41 EPS (ttm) 26.3
ROE 24.60% ROE 14.70%
Profit Margin 19.50% Profit Margin 22%
Beta 1.08 Beta 0.98
The fundamental analysis will mainly focus on the two large cap stocks which are GOOG,
GOOGL and REGN, other stocks will be specifically discussed on the appendix.
Regarding to Tech stocks, we purchased GOOG, GOOGL as our main large cap stock on the
portfolio because the stocks move is less volatility to the market within the beta is at 0.98.
Basically, we purchased both GOOGL from class A and GOOG from class C on our portfolio to
generate more profits as we have found the soar of Alphabets profits and these stocks are
basically different in the voting right, not much had changed as the result of the GOOG and
GOOGL distinction (Dan Ritter at Wall St. Cheat Sheet 2014). According to finviz (2016),
Alphabet current P/E on trailing twelve month basis is quite high at 30.4% which indicate that
Alphabet traded at a high earnings growth rate. Moreover, Alphabets production is efficient at
14.70% ROE and the low stocks volatility compared to S&P 500 with beta at 0.98. Also, the
profitability of Alphabet is represented by the profit margin at 22% which had supported the
team to invest in Alphabet.
The second selected large cap stock was REGN. Looking at the REGNs growth rates, revenue
grew by 21.43%, average revenue growth is at 39.84% and the net profit margin of 16.18% is
currently ranking no. 26 in Major Pharmaceutical Preparations. Furthermore, the expected
growth of the company could be overvalue with current P/E (ttm) basis is above the Major
Pharmaceutical Preparations industry average at 60.07 and the PEG (5 years expected) ratio is
currently at 2.02% which indicates that the share might be expensive. Additionally, the REGNs
beta is 1.08 which means the stock is high volatile compared to the market moving. In
conclusion, based on the fundamental analysis, the risk of investing in Tech stocks and health
care industry will be high but the return is actually promising.
2. Portfolio Allocation
It would also be clear that short-term investing strategies would be utilized. At the beginning of
the trading date, we intended investing in the solid stocks to hold over the trading period.
Therefore, we mainly bought the large cap stocks which are Alphabet Inc. and Regeneron

Pharmaceuticals Inc. to take advantages on the stability in tenure and the clarity of valuations.
In other to minimize the risks, we decided to diversify the portfolio by investing in the potential
medium cap stocks (NTDOY, NVDA) in different industries which were health care (JNJ) and
finance (CINF). Specifically, the team mainly constructed 82% of the portfolio on technology
industry (GOOGL, GOOG, AAPL, MSFT, INTC, NVDA and NTDOY) and the remaining 18% was on
health care industry which is REGN.
FINAL PORTFOLIO AAPL PORTFOLIO DAILY RETURN

NVDA 2%
NTDOY 20.00%
1% 3%
15.00%
REGN
MSFT 18% 10.00%
2%
INTC GOOGL
5.00%
1% 46%
GOOG
27% 0.00%
9-Jul 19-Jul 29-Jul 8-Aug 18-Aug
Evaluation of trading
Weight and Profit On the early trading periods, the reason of these trading
60.0% decisions actually based on the positive news and the
40.0%
expectation of growth opportunity in the future. On July
20, 2016, the team decided to heavily invest on GOOGL,
20.0%
GOOG and REGN which lead to the significant increase of
0.0%
return from 27 29 July, 2016. As a result of increasing
-20.0%
expected returns, the volatility had raised with the higher
-40.0% cost of cash borrowed. During the trading period, JNJ and
Weight profit CINF were traded and the portfolio added MSFT and INTC
on the portfolio as the relative success of Microsoft
refocusing on cloud computing and software - Azure cloud (Dix 2016). Along with adding new
stocks, we continuously invested on NTDOY and NVDA as the growth number of people using
Pokemon Go and the new graphics card were released by Nvidia (Rittenhouse 2016). In this
case, holding these two stocks till end to get advantages is an application of trend-following
trading (Riley 2016). At the end of the portfolio, the slow growth of overall return could be
explained by the entirely trade of REGN out of the portfolio on August 7, 2016. To be more
specific, REGN value had fall steadily since July 29, 2016 when the missed profit on the second
quarter report did not satisfy the shareholders (ABMN Staff, 2016). For the first time trading,
the team made a mistake regarding to fundamental behavior of loss as we afraid of bearing a
loss when looking at the sharp fall in market value of AAPl and REGN which explained the
entirely trade of these stocks.

Portfolio Performance
Portfolio As expected, GOOG and GOOGL had generated a large
S&P 500
E(R) 5.29% 4.84% amount of return within the highest weight on the
Treynor ratio 0.0439 portfolio. Regarding to trend following trading, MSFT, INTC
Beta 1.1 1.0 and NVDA also positively contributed to the portfolio. The
REF 0.45%
current six months US treasury yield (risk free rate of
Sharp ratio 2.7442 -1.204
StdDev 1.76% 0.3273%
return) is 0.45 per cent (Bloomberg, nd). The portfolio
RFR 0.45% actual return is higher than it expected return by 1.27 per
cent (6.56% compared to 5.29% respectively) and higher
than the benchmark expected return by 1.72 per cent (6.56% compared to 4.84% respectively).
It represents that the portfolio has actually performed quite better than its expected return
which is calculated by the historical data and CAMP.
The higher actual return is possibly due to excess of additional risk. The Treynor ratio is a
financial ratio for a risk-adjusted measurement of a return which depends on systematic risk. In
this case, Treynor ratio equal to 0.0439 or 4.39 per cent which is not much lower than the
expected return of the portfolio (4.39% compared to 5.29% respectively). Hence, the
systematic risk will be inconsiderable to reach the expected return. The higher actual return is
possibly due to excess of additional risk. The Treynor ratio is a financial ratio for a risk-adjusted
measurement of a return which depends on systematic risk. In this case, Treynor ratio equal to
0.0439 or 4.39 per cent which is not much lower than the expected return of the portfolio
(4.39% compared to 5.29% respectively). Hence, the systematic risk will be inconsiderable to
reach the expected return.
Risk Control - Hedging
Future: Admittedly, the

Assumptions July September
market value is expected a
(Forecast)
Portfolio Value $57,812,752 fall in the next periods.
Market 2173.6 2135
Additionally, earnings
Index
Future Level 2,168.2
Future 2168.2 2145
recession is another bearish
signal when the earning if
Systematic risk 1.10 S&P 500 has already peaked and predicted to come down in
(Beta)
the upcoming periods. Moreover, the beta of the portfolio is
Point Value 50
1.1 which indicates that the portfolios value will fall along
Hedging Value 586.6 with the market trend. Therefore, the team conducted an
over hedge by buying 587 E-mini S&P 500 Futures contracts
(FC) at 2168.2 to take some profit and offset the loss of the
portfolio, expired on September 2016.

Portfolio sValue
Hp = port ( ) = 586.6 587 contracts
Future Level Point Value
Equity Market Future Market
29th Portfolio value $57,812,752 Expect bearish market with Beta is 1.1 > 0 so the
Jul portfolio value is expected to fall. Short 587 FC
2016 @2168.2, expiration September 2016.
Get 2168.2 587 50 = 63,636,670
Sep S&P500 Index is forecasted decreasing from In September, the future index falls to 2145. The
2016 2168.48 to 2135 we have: position is closed out by buying 587 E-mini S&P 500
2145 future contracts.
Change = 1 = 1.07%
2168.2 The contracts value
= 2145 50 587 = $62,955,750
Portfolio sBeta = 1.1
portfolio falls by 1.1 1.07% = 1.177%
New value of the portfolio
=$57,812,752 (1 0.01177)
=$57,132,296
Profit Portfolio loss Future profit
= $57,132,296 $57,812,752 = $680,456 = $63,636,670 $62,955,750 = $680,920
Net $680,920 $680,456 = $464

profit
Option
Currently, REGN is expected a
20
fall in the upcoming months
because the missed profits in
15
the second quarter report
Long Call
1 which did not satisfy its
10
Long Put 2 shareholders expectation.
Strangle
Furthermore, the bank of
5
America stock chart also
0 flashed bearish signals
(Kilgore 2016) and the
417
390
393
396
399
402
405
408
411
414
420
423
426
Strike
-5 analyzing on Dow Theory,

earnings recession or P/E of
S&P 500 (Reitmeister 2016) also bet a bear market in the future which will lead to the fall of
REGNs stock value. Thus, there are many events support that the price of REGN will have high
volatility in the future so the team decided applying the long strangle strategy in option trading
to take advantages on fluctuated stock price. The idea of strangle strategy is a simultaneous
buying of a slightly out of the money put and a slightly out of the money call of the same
underlying stock and expiration date with different strike price. On 19th July 2016, the team

purchased 25010 Regeneron Pharmaceuticals stock with the market price at $382.78. The
current price of REGN is at $410 so we purchase 51 contracts with the strike price at $412.5 per
share with the premium 1.40 each contract, expiration date is on 19th August 2016. Besides,
we also buy 96 put options at the strike price of $407.5 with 1.7 premiums at the same
expiration date. Basically, the closest strike price to the spot price will be chosen to reduce the
risk.
If the price of REGN rise over $412.5 before maturity, the call option will be exercised while put
option is left till maturity so we can buy REGN stocks at a low price then resell to the physical
market to gain profits. If the price of REGN fall below $407.5 before maturity, REGN stock will
be bought in the physical market then we exercise the put option to earn profits and leave the
call option till maturity. The profit comes from the difference between exercise price and
market price after subtracting the premium.
Reflection
This final section of the paper intends to
give a general description of the groups
experience in accomplishing virtual
trading activities and evaluating
investing decisions and performances.
First and foremost, the group has come
to appreciate the invaluable opportunity to gain first-hand experience in investing in one of the
most active stock markets of the world economy without any significant cost of capital in case
of mistakes. To list a substantiating example, the decision to invest in the stocks of NTDOY
(Nintendo Co.) has been considered by the group as one of the most memorable and eye-
opening lessons. In the beginning, all members agreed that, given the relentless trend of the
Pokemon Go video game, these aforementioned stocks are bound to increase and become
profitable for the portfolio. However, this was proven untrue, which led to negative realized
profits. Another spellbinding lesson was taken by heart when the students ventured into the
stocks of Regeneron Pharmaceutical (REGN), the price of which was also expected to rocket.
However, what the students failed to think of is that, despite ongoing sales, the companys
profits did not succeed in meeting its shareholders expectation, which led to a significant
diminution of its stock price. On the other hand, the learners involved in this paper appreciate
the application of the various theories obtained in the course of Risk Management in order to
hedge potential losses and increase profits, particularly through the trading of futures and
options. This has helped build the students portfolio a strong foundation against the various
currents of the market. In a nutshell, as all the learners involved in completing the tasks
demonstrated in this paper reflect upon their various actions, there lies a dominant sentiment
of accomplishment and a significant increase in the theoretical and practical understanding of
how financial markets operate. This shall be considered by all students a major learning
success.

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Appendices
Appendix 1: Market valuations
a. Interest Rate
Federal Reserve Target Rate from September 2015 up to date, Bloomberg
b. The value of the US Dollar
USD Value Index from 1st Jan 2016 up to date, Thomson Reuters

EUR/USD from Jan 2016 up to date, Thomson Reuters
c. West Texas Intermediate (WTI) & Brent Crude Oil Price
Oil WTI Crude CL1:COM from August 2015 up to date, Bloomberg

Brent Crude CO1:COM from August 2015 up to date, Bloomberg
d. Gold Spot
Gold on COMEX per troy ounce from August 2015 up to date, Bloomberg

Appendix 2: Portfolio construction
XLK versus S&P 500 (Pei, 2016)
Appendix 3: Evaluation of trading
REGNs fundamental analysis

Appendix 4: Calculate portfolio construction
Ticker Holding Value Ticker Weight Profit

AAPL $ 1,474,733 AAPL 2.6% -1.27%
GOOGL $ 26,386,064 GOOGL 45.6% 5.79%
GOOG $ 15,600,200 GOOG 27.0% 6.37%
INTC $ 523,200 INTC 0.9% 2.26%
MSFT $ 1,148,924 MSFT 2.0% 2.46%
REGN $ 10,564,974 REGN 18.3% 10.36%
NTDOY $ 542,407 NTDOY 0.9% -22.55%
NVDA $ 1,572,250 NVDA 2.7% 17.82%
$ 57,812,752
FINAL PORTFOLIO ALLOCATION

60.0%
40.0%
20.0%
0.0%
-20.0%
-40.0%
Weight profit
Appendix 5: Portfolio final weight
Ticker Industry Weight Volume Market price ($) Holding Value Buy price ($) Realized Weighted
on 15 Aug on 19 Jul profit realized
profit
AAPL Technology 0.03 15010 98.25 $ 1,474,733 99.51 -1.27% -0.03%
GOOGL Technology 0.46 32870 802.74 $ 26,386,064 758.81 5.79% 2.64%
GOOG Technology 0.27 20000 780.01 $ 15,600,200 733.31 6.37% 1.72%
INTC Technology 0.01 15000 34.88 $ 523,200 34.11 2.26% 0.02%
MSFT Technology 0.02 19957 57.57 $ 1,148,924 56.19 2.46% 0.05%
REGN Health Care 0.18 25010 422.43 $ 10,564,974 382.78 10.36% 1.89%
NTDOY Technology 0.01 20015 27.1 $ 542,407 34.99 -22.55% -0.21%
NVDA Technology 0.03 25000 62.89 $ 1,572,250 53.38 17.82% 0.48%
1.00 Capital with $ 57,812,752 Actual 6.56%
margin return
Appendix 6: Portfolios volatility and actual return
Ticker Weight Beta recorded Weighted Expected Weighted Variance Standard

in Portfolio Beta Return Expected Return deviation
AAPL 0.03 1.13 0.03 0.05 0.0014 -0.0515 0.0027

GOOGL 0.46 0.98 0.45 0.05 0.0217 -0.0312 0.0010

GOOG 0.27 1.32 0.36 0.06 0.0169 -0.0360 0.0013
INTC 0.01 1.23 0.01 0.06 0.0005 -0.0524 0.0027
MSFT 0.02 0.95 0.02 0.05 0.0009 -0.0520 0.0027
REGN 0.18 1.08 0.20 0.05 0.0095 -0.0434 0.0019
NTDOY 0.01 0.91 0.01 0.04 0.0004 -0.0525 0.0028
NVDA 0.03 1.25 0.03 0.06 0.0016 -0.0513 0.0026
1.00 1.10 0.0529 0.0176
Appendix 7: Benchmark volatility and actual return
Number Date Open High Low Close Volume Adj S&P 500 S&P 500 Absolute Square
close cumulative daily deviation deviation
return return
0 2163.75
1 15-Jul-16 2,165.13 2,169.05 2,155.79 2,161.74 643,101,106 2,161.74 -0.093% -0.093% 0.149% 0.0002%
2 18-Jul-16 2,162.04 2,168.35 2,159.63 2,166.89 478,404,253 2,166.89 0.145% 0.238% 0.183% 0.0003%
3 19-Jul-16 2,163.79 2,164.63 2,159.01 2,163.78 516,605,607 2,163.78 0.002% -0.144% 0.199% 0.0004%
4 20-Jul-16 2,166.10 2,175.63 2,164.89 2,173.02 500,205,767 2,173.02 0.429% 0.427% 0.371% 0.0014%
5 21-Jul-16 2,172.91 2,174.56 2,159.75 2,165.17 559,292,869 2,165.17 0.068% -0.361% 0.417% 0.0017%
6 22-Jul-16 2,166.47 2,175.11 2,163.24 2,175.03 525,935,607 2,175.03 0.523% 0.455% 0.400% 0.0016%
7 25-Jul-16 2,173.71 2,173.71 2,161.95 2,168.48 511,374,042 2,168.48 0.222% -0.301% 0.357% 0.0013%
8 26-Jul-16 2,168.97 2,173.54 2,160.18 2,169.18 537,572,545 2,169.18 0.254% 0.032% 0.023% 0.0000%
9 27-Jul-16 2,169.81 2,174.98 2,159.07 2,166.58 661,630,367 2,166.58 0.134% -0.120% 0.176% 0.0003%
10 28-Jul-16 2,166.05 2,172.85 2,159.74 2,170.06 564,543,919 2,170.06 0.295% 0.161% 0.105% 0.0001%
11 29-Jul-16 2,168.83 2,177.09 2,163.49 2,173.60 787,086,996 2,173.60 0.458% 0.163% 0.107% 0.0001%
12 1-Aug-16 2,173.15 2,178.29 2,166.21 2,170.84 543,777,140 2,170.84 0.331% -0.127% 0.183% 0.0003%
13 2-Aug-16 2,169.94 2,170.20 2,147.58 2,157.03 619,382,235 2,157.03 -0.305% -0.636% 0.692% 0.0048%
14 3-Aug-16 2,156.81 2,163.79 2,152.56 2,163.79 542,285,389 2,163.79 0.008% 0.313% 0.258% 0.0007%
15 4-Aug-16 2,163.51 2,168.19 2,159.07 2,164.25 492,388,664 2,164.25 0.030% 0.021% 0.034% 0.0000%
16 5-Aug-16 2,168.79 2,182.87 2,168.79 2,182.87 569,849,800 2,182.87 0.890% 0.860% 0.805% 0.0065%
17 8-Aug-16 2,183.76 2,185.44 2,177.85 2,180.89 486,958,977 2,180.89 0.799% -0.091% 0.146% 0.0002%
18 9-Aug-16 2,182.24 2,187.66 2,178.61 2,181.74 427,986,401 2,181.74 0.838% 0.039% 0.017% 0.0000%
19 10-Aug-16 2,182.81 2,183.41 2,172.00 2,175.49 439,573,433 2,175.49 0.552% -0.286% 0.342% 0.0012%
20 11-Aug-16 2,177.97 2,188.45 2,177.97 2,185.79 464,458,711 2,185.79 1.025% 0.473% 0.418% 0.0017%
21 12-Aug-16 2,183.74 2,186.28 2,179.42 2,184.05 432,156,303 2,184.05 0.946% -0.080% 0.135% 0.0002%
22 15-Aug-16 2,186.08 2,193.81 2,186.08 2,190.15 441,305,055 2,190.15 1.225% 0.28% 0.224% 0.0005%
11,745,875,186 Average daily 0.056% 5.740% 0.0236%

return
sum diff sum
square
Mean absolute 0.261%
deviation
Benchmark 0.0011%
variance
Benchmark 0.3273%
daily std dev

Appendix 8: Benchmark and portfolio expected return
Assumptions
Rate of return on 6 months Treasury Composite 0.45%
Expected rate of return on market portfolio 4.84%
Systematic risk (beta) of portfolio stocks 1.10
Systematic risk (beta) of benchmark 1.00
Ticker Weight Beta Weighted Expected

recorded Beta Return
in
Portfolio
AAPL 0.03 1.13 0.03 0.05
GOOGL 0.46 0.98 0.45 0.05

GOOG 0.27 1.32 0.36 0.06
INTC 0.01 1.23 0.01 0.06
MSFT 0.02 0.95 0.02 0.05
REGN 0.18 1.08 0.20 0.05
NTDOY 0.01 0.91 0.01 0.04
NVDA 0.03 1.25 0.03 0.06
1.00 1.10
Appendix 9: Portfolio and benchmark performance
Portfolio S&P 500

E(R) 5.29% 4.84%
Treynor ratio 0.0439
Beta 1.1 1.0
REF 0.45%
Sharp ratio 2.7442 -1.204
StdDev 1.76% 0.3273%
RFR 0.45%

Portfolio daily return
16.000%
14.000%
12.000%
10.000%
8.000%
6.000%
4.000%
2.000%
0.000%
S&P 500 daily return

1.000%
0.800%
0.600%
0.400%
0.200%
0.000%
-0.200%
-0.400%
-0.600%
-0.800%
5-Aug
1-Aug
2-Aug
3-Aug
4-Aug
6-Aug
7-Aug
8-Aug
9-Aug
10-Aug
11-Aug
12-Aug
18-Jul
19-Jul
20-Jul
21-Jul
22-Jul
23-Jul
24-Jul
25-Jul
26-Jul
27-Jul
28-Jul
29-Jul
30-Jul
31-Jul
NVDA FINAL PORTFOLIO AAPL

3%
PORTFOLIO DAILY RETURN NTDOY 2%
20.00% 1%
15.00%
REGN
MSFT 18%
10.00% 2%
INTC
5.00% 1% GOOGL
46%
0.00% GOOG
9-Jul 19-Jul 29-Jul 8-Aug 18-Aug 27%

Appendix 10: Portfolio beta
Ticker Industry Volume Market price ($) on 15th Aug Market Value in the Weight Beta Weighted
Portfolio ($) recorded Beta
in
Portfolio
AAPL Technology 15010 98.25 $ 1,474,733 0.03 1.13 0.03
GOOGL Technology 32870 802.74 $ 26,386,064 0.46 0.98 0.45
GOOG Technology 20000 780.01 $ 15,600,200 0.27 1.32 0.36
INTC Technology 15000 34.88 $ 523,200 0.01 1.23 0.01
MSFT Technology 19957 57.57 $ 1,148,924 0.02 0.95 0.02
REGN Health Care 25010 422.43 $ 10,564,974 0.18 1.08 0.20
NTDOY Technology 20015 27.1 $ 542,407 0.01 0.91 0.01
NVDA Technology 25000 62.89 $ 1,572,250 0.03 1.25 0.03
$ 57,812,752 1.00 1.10
Appendix 11: Stock picking (Technical analysis and Fundamental analysis Historical price
pattern)

GOOG & GOOGL: Alphabet Inc. Alphabet Inc. Corporation is one of the biggest
American multinational technology companies
specializing in Internet-related products and
services, investment capital, life sciences, and
research. Alphabet Inc. is the holding company for
Google and several Google entities. The shares of
Google's stock has been converted into Alphabet
stock that trade under symbols of "GOOGL" and
"GOOG". Google was ranked at the second
leadership on the 2015 rankings of the100 most
valuable brands (Millward, 2015).
Asset turn over
0.65 Net income of Alphabet increased gradually
0.6
0.58 through each year of the period. The net income
0.6
0.55 0.54 growth rate from 2014 to 2015 enhances at
0.55 increasing rate with 6.68 per cent and 35.14 per
cent respectively. According to historical data, the
0.5
2012 2013 2014 2015 Alphabet net income is expected to increase in
2016 which means more income for shareholders.
ROE The expected enhancement in the net income
16.54% would lead to an increasing in Alphabets stocks
17.00% 16.25%
owning demand; therefore its intrinsic value might
16.00%
15.06% be higher. Consequently, investor would tend to
15.00%
14.08% buy GOOG and GOOGL.
14.00%
Besides the gradual increasing in the net income,
13.00%
the EPS growth also has a positive move in the
12.00% same period especially the great jump from -45.70
2012 2013 2014 2015
per cent in 2012 to 132.55 per cent in 2013.
Although the growth dropped in 2014, it still keeps
Leverage the positive trend in the EPS.
1.35
1.31
1.3 1.27 The asset-turnover of Alphabet had experienced
1.25
1.25 1.23 the decreasing in the last four years but it is not
considerable and still higher than 0.5 and generate
1.2
profit better than other competitors.
1.15
2012 2013 2014 2015 Furthermore, the Alphabets ROE and profit margin
also experienced the reduction from 2012 to 2015.
ESP growth Nevertheless, it just dropped with inconsiderable
20.00%
18.00% amount and is expected to increase in the future by
the innovation and new product in the future (Jeff,
15.00% 10.17%
8.60% 8.66% 2015).
10.00%
5.00% Hence, Alphabet stocks have shown its potential of

0.00% the value increasing in the future which is the main
2012 2013 2014 2015
point to buy these stocks.
APPL: Apple Inc. Apple is the largest American multinational
company in a new area which belongs to
technology. Apple specializes to other companies
by its design, programing computer software and
online services improvement. Their representative
products such as IPod, IPhone, IPad and Mac are all
well-known over the world. Apple also is one of the
worlds largest information technology company,
the second-largest mobile phone manufacturer and
the largest technology company by the total assets.
The news and these historical data might give an

Asset turn over
optimistic forecast about growth rate of AAPL as
1.5
1.07 well as net income and revenue could be increased
0.89 0.83 0.89
1 in 2016. Consequently, value of shareholders
available profit would be enhance and leads to the
0.5
positive impact on the APPL intrinsic price in the
0 near future. Thus, an increasing in investors
2012 2013 2014 2015
demand for buying APPL stock is predictable.The
growth in the revenue and net income value
ROE directly lead to the raised trend in EPS of Apple
42.84% 46.25% Company. To demonstrate, ESP growth rate had
50.00%
40.00% 30.64% 33.61% jumped from 13.56 per cent to 42.95 per cent
30.00% between 2014 and 2015. This outline provides a
20.00% high confidence level to predict that the Apples EPS
10.00%
in 2016 would rise continuously.Apples net profit
0.00%
2012 2013 2014 2015 margin fluctuated around the average rate of 23
per cent from 2011 to 2015. The average of net
profit margin is 23.3 per cent in five years; hence
Leverage Apple has outperformance compared to its
3.000
2.434
2.500 2.078 competitors in making profit and managing its cost
2.000 1.489
1.675 for the stock holders.
1.500
1.000
Apples ROE is considerable and it had increased in
0.500 the last three years from 30.6 per cent in 2013 to
0.000 46.25 per cent in 2015 which represents that Apple
2012 2013 2014 2015 use shareholders investments more efficiency.
With the asset turnover average of 0.92 in the last
ESP growth four years and 0.89 in 2015, it represents that Apple
80.00% 59.59%
has used its invested asset efficiency and effectively
60.00% 42.95% to generate profit.To summary, investors could
40.00%
13.56% expect that Apple would maintain its performance
20.00%
-9.98% in the next future according to these financial ratios
0.00%
analysis. Thus, investors could predict that APPL
-20.00%
2012 2013 2014 2015 stock would increase which give them more
motivation to buy Apple shares.

MSFT: Micosoft Corporation
Microsoft Corporation is an American multinational

technology company. It is best known with many
software products such as Microsoft Windows,
Microsoft Office suite or Internet Explorer which
are used almost over the world. It is the largest
software company in the world with the great
amount of annual revenue. On the 2015 rankings of
the100 most valuable brands, Microsoft was ranked
at third position (Millward, 2015).
Asset turn over The net income of Microsoft Company fluctuated

0.64 over the last four years while the revenue almost
0.65
0.59 increased in the same period, except the little
0.6 0.55 0.54 decreasing in a half quarter 2016.
0.55
0.5
The reductions in both asset turnover and ROE from
0.45
2012 2013 2014 2015 2012 to 2015 indicate the less efficient of MSFT in
making profit. The earning per share has also
experienced the decreasing in the last two years
ROE but it is still a larger amount compared to other
40.00% companies.
27.51% 30.09% 26.17%
30.00%
20.00% 14.36% However, according to Jeff (2014), MSFT has stable
10.00%
operations and juicy dividend that it will serve
0.00% investors well over the long-term.
2012 2013 2014 2015
Furthermore, according to Seekingalpha (2016),
while MSFT shares outperformed the flat market
Leverage during 2015, and the trades is very near its all-time
2.5 2.2 high, new adjustments in the company's business
1.83 1.8 1.92
2 model would be continue to make its shares
1.5
become higher this year and making MSFT one of
1
0.5
the top choices for the investors in 2016.
0
2012 2013 2014 2015 Hence, MSFT could be chosen as a potential stock
to invest in long-term.
ESP growth
40.00% 29.00%
20.00% 1.94%
0.00%
-25.65%
-20.00%
-43.73%
-40.00%
-60.00%
2012 2013 2014 2015

REGN: Regeneron Pharmaceuticals Inc.
Regeneron Pharmaceuticals Inc. is an American

biotechnology company which invents, discovers,
develops, commercializes and manufactures
medicines for treatment of serious medical
conditions. Regeneron Pharmaceuticals involves in
medicines marketing for colorectal cancer, eye
diseases and has product candidates in
development, a rare inflammatory condition in
many different areas of medical need. Moreover, its
main subjects are studying on
both cytokine and tyrosine kinase receptors. The
company has ranked as number four of the worlds
ASSET TURNOVER
most innovative companies (Forbes, 2016).
80.00% 71.19% 72.87% 73.08%
66.35%
70.00% The revenue of REGN increased significantly year by
60.00%
year in 5 years. From 2014 to 2015, the revenue
50.00%
40.00%
33.77% increased 45% which was highest increase in this
30.00% period. REGN net income was fluctuation. From
20.00% 2014 to 2015, the net income increased significantly
10.00% to 83 %.
0.00%
2011 2012 2013 2014 2015
ROE of REGN is 15% on five year average which is
almost equal the industry average of 15.4% (yahoo,
RETURN ON EQUITY 2015). This data showed that the company is good
in making profit for their equitys shareholder. Five
years average net profit margin of REGN is 16%
80.00% 60.24%
which is almost equal average industry of 16.86%
60.00%
40.00% 21.74% (yahoo, 2015). It shows that the company is running
13.69% 17.40%
20.00% efficiency to utilize its profit from sales than their
0.00% competitors. Five years average Asset turnover of
-20.00% -45.65% REGN is 63% which is higher than industry of 53%
-40.00% (csimarket).
-60.00%
2011 2012 2013 2014 2015
This data shows that the company uses its assets to
generate sales more efficiency than their
EPS GROWTH competitors in the same industry.
200.00% 94.44% 78.32%
100.00%
-45.33% -20.09%
0.00%
-100.00%
-200.00%
-300.00%
-423.27%
-400.00%
-500.00%
2011 2012 2013 2014 2015

NTDOY: Nintendo Co. Ltd. ADR
Nintendo Corporation is a Japanese multinational

company which engages in the software
and consumer electronics. By net worth, Nintendo
is ranked as one of the world's largest video game
companies. The company's recent success has been
just as much about achieving into new gaming
populations. The company has created some of the
most well-known and best-selling video game such
as Mario, The Legend of Zelda, and Metroid, the
company also owning The Pokmon Company.
Overall, the revenue and the net income of

Nintendo was decrease from 2011 to 2015. In fact,
ASSET TURNOVER
the revenue and profit reduce 63 percent which can
70.00% 62.12%
60.00%
be explained by three reasons. Firstly, game online
47.38%
50.00% 43.89% 43.76% 40.63% on PC and smartphone develop strongly (Thi, 2014).
40.00% Secondly, the main product of Nintendo, Wii U has
30.00%
decrease strongly the number of sales. Finally, the
20.00%
10.00%
main competitor of Nintendo, Sony introduced PS4
0.00% which can interact with smartphone better than
2011 2012 2013 2014 2015
Nintendo products (Leo, 2016).
Moreover, other data of Nintendo as Profit margin,

ROE asset turnover, ROE, Eps growth was fall from 2011
8.00% to 2014. To illustrate, profit margin fell from 7.65%
5.68%
6.00% to -4.05 %, asset turnover decreased 20%.
3.36% 3.60%
4.00% Moreover, ROE reduced from 5% to -2%, while Eps
2.00% 0.55% growth decreased to -430%. However, in 2015, the
company is profitable again from -225 million to
0.00% -2.05%
384 million although the revenue decreased. The
-2.00%
reason for that raise is because the company
-4.00%
2011 2012 2013 2014 2015
introduced the 3DS game (Victor, 2015).
The end of 2015, the company decided to listen

EPS GROWTH their shareholder to corporate with experts of
mobile segment, companies DeNA Co. This is a start
400.00% 292.54% to introduce a new game on mobile, Pokemon Go.
300.00%
This game recuses finance of Nintendo. The profit
200.00% 116.43%
of Nintendo increase from the first trailer of
100.00%
0.00% -66.05% pokemon Go in 2015. In 2016, Nintendo share raise
-100.00%
-155.66% 86% after the company reissued game Pokemon Go
-200.00% in the market (Eddie, 2016). This game showed
-300.00% positive signs for Nintendos finance in 2016.
-430.67%
-400.00%
-500.00%
2011 2012 2013 2014 2015

INTC: Intel Corporation
Intel Corporation is one of the Americans

multinational technology company. Based on
revenue, it is also one of the worlds highest and
largest valued semi-conductor chips makers. It
provides processors for many computer
manufacturers likely HP, Dell or Apple. Intel was
classified at number 56 on the 2015 rankings of
the100 most valuable brands (Millward, 2015).
Overall, Intel revenue and net income has

experiencing a moderate fluctuation with a
decreasing trend from 2011 to 2013 and increase in
ASSET TURNOVER the next 2 years. However, the change of net
75.93% income and revenue was not significantly.
80.00%
70.00% 63.24% 60.75%
57.07% ROE of Intel is 21% on five year average which is
60.00% 53.71%
higher than the industry average by 7% (yahoo,
50.00%
2015). This data showed that the company is good
40.00%
in making profit for their equitys shareholder. Five
30.00% years average net profit margin of Intel is 21%
20.00% which is higher than average industry of 13%
10.00% (yahoo, 2015). It shows that the company is running
2011 2012 2013 2014 2015
competitors. Five years average Asset turnover of
Intel is 60% which is higher than industry of 45%
(Reuters).
ROE
28.19%
30.00% In addition, Intel said it would raise its annual
25.00% 21.50% 20.61%
dividends by eight cents a share to reach $1.04 a
20.00%
18.43% share in the first quarter of 2016 (Don, 2015)
16.51%
15.00%
This data shows that the company uses its assets to
10.00% generate sales more efficiency than their
5.00% competitors in the same industry.
0.00%
2011 2012 2013 2014 2015
EPS GROWTH
23.20%
25.00% 19.42%
20.00%
15.00%
10.00%
5.00% 0.84%
0.00%
-5.00% -10.57% -11.82%
-10.00%
-15.00%
2011 2012 2013 2014 2015

NVDA: NVIDIA Corporation
NVIDIA Corporation is an American technology

company which engages in the visual computing. It
operates into two sections include Tegra Processor
and GPU. Tegra processor produces processors that
integrate a computer on a single chip for
the automotive market and mobile computing and
GPUs is graphics processing units for the gaming
market. NVIDIA Corporation is now become a
leading in designer of graphics processors and has
grown into a dominant force among the graphics
market primarily.
ASSET TURNOVER Revenue of NVIDIA increased dramatically year by

79.00% year in the period except 2014. From 2014 to 2015,
80.00%
the revenue increase 13%. The net income is also
75.00% parallel change with the revenue. The net income
71.08%
increased 43% from 2014 to 2015. Based on
70.00% 67.86%
66.58% 67.15% historical data, the net income of NVIDIA is
65.00%
expected to rise in 2016 which means the share
owner receive more income.
60.00% ROE of NVIDIA is 14.5% on five year average which
2011 2012 2013 2014 2015 is almost equal the industry average (yahoo, 2015).
This data showed that the company is good in

RETURN ON EQUITY making profit for their equitys shareholder.
16.00% 14.00% 14.27%
14.00%
11.65%
Five years average net profit margin of NVIDIA is
12.00% 9.87% 14% which is higher than average industry of 13%
10.00% 7.96% (yahoo, 2015). It shows that the company is running
6.00% competitors.
4.00%
2.00% Five years average Asset turnover of Intel is 70%
0.00% which is higher than industry of 45% (Reuters). This
2011 2012 2013 2014 2015 data shows that the company uses its assets to
generate sales more efficiency than their
competitors in the same industry.
EPS GROWTH
200.00% 118.18%
52.00%
100.00% -5.21% -17.58%
0.00%
-100.00%
-200.00%
-300.00%
-400.00% -466.67%
-500.00%
2011 2012 2013 2014 2015

Appendix 12: Stocks performance
APPL
<http://finviz.com/quote.ashx?t=AAPL&ty=c&ta=1&p=d>

GOOG
<http://finviz.com/quote.ashx?t=goog&ty=c&ta=1&p=d>
GOOGL
<http://finviz.com/quote.ashx?t=googl&ty=c&ta=1&p=d>

MSFT
<http://finviz.com/quote.ashx?t=MSFT&ty=c&ta=1&p=d>

REGN
<http://finviz.com/quote.ashx?t=REGN&ty=c&ta=1&p=d>

INTC
<http://finviz.com/quote.ashx?t=INTC&ty=c&ta=1&p=d>

NVDA
<http://finviz.com/quote.ashx?t=NVDA&ty=c&ta=1&p=d>

NTDOY
<http://www.bloomberg.com/quote/NTDOY:US>
<https://ycharts.com/companies/NTDOY>

Appendix 13: Option
Long Call Long Put 20

Strike Strangle
1 2
388 -1.4 17.8 16.4 15
389 -1.4 16.8 15.4
390 -1.4 15.8 14.4 10
Long Call 1
391 -1.4 14.8 13.4 Long Put 2
5
392 -1.4 13.8 12.4
Strangle
393 -1.4 12.8 11.4 0
394 -1.4 11.8 10.4
395 -1.4 10.8 9.4 -5
391
395
399
403
407
411
415
419
423
427
Strike
396 -1.4 9.8 8.4
397 -1.4 8.8 7.4
398 -1.4 7.8 6.4
399 -1.4 6.8 5.4
400 -1.4 5.8 4.4
401 -1.4 4.8 3.4
402 -1.4 3.8 2.4
403 -1.4 2.8 1.4
404 -1.4 1.8 0.4
405 -1.4 0.8 -0.6
406 -1.4 -0.2 -1.6
407 -1.4 -1.2 -2.6
408 -1.4 -1.7 -3.1
409 -1.4 -1.7 -3.1
410 -1.4 -1.7 -3.1
411 -1.4 -1.7 -3.1
412 -1.4 -1.7 -3.1
413 -0.9 -1.7 -2.6
414 0.1 -1.7 -1.6
415 1.1 -1.7 -0.6
416 2.1 -1.7 0.4
417 3.1 -1.7 1.4
418 4.1 -1.7 2.4
419 5.1 -1.7 3.4
420 6.1 -1.7 4.4
421 7.1 -1.7 5.4
422 8.1 -1.7 6.4
423 9.1 -1.7 7.4
424 10.1 -1.7 8.4
425 11.1 -1.7 9.4
426 12.1 -1.7 10.4
427 13.1 -1.7 11.4
428 14.1 -1.7 12.4

Appendix 14: Future
Assumptions July September

(Forecast)
Portfolio Value $57,812,752 Market 2173.6 2135
Index
Future Level 2,168.2
Future 2168.2 2145
Systematic risk 1.10

(Beta)
Point Value 50
Hedging Value 586.6
Equity Market Future Market
29th Portfolio value $57,812,752 Expect bearish market with Beta is 1.1 > 0 so the
Jul portfolio value is expected to fall. Short 587 FC
2016 @2168.2, expiration September 2016.
Get 2168.2 587 50 = 63,636,670
Sep S&P500 Index is forecasted decreasing from In September, the future index falls to 2145. The
2016 2168.48 to 2135 we have: position is closed out by buying 587 E-mini S&P 500
2145 future contracts.
Change = 1 = 1.07%
2168.2 The contracts value
= 2145 50 587 = $62,955,750
Portfolio sBeta = 1.1
portfolio falls by 1.1 1.07% = 1.177%
New value of the portfolio
=$57,812,752 (1 0.01177)
=$57,132,296
Profit Portfolio loss Future profit
= $57,132,296 $57,812,752 = $680,456 = $63,636,670 $62,955,750 = $680,920
Net $680,920 $680,456 = $464

profit

<http://quotes.wsj.com/futures/S%26P%20500%20FUTURES>
<http://www.forecasts.org/stpoor.htm>

<https://www.google.com/finance/historical?q=INDEXSP:.INX>

APPENDIX Trading Diary
For the first time using the virtual investment tool Markewatch, we are fresh so that explains
why we only trade at 10 shares for each stock
Date and time Cash Cash Int Margin Cost Total Equity Return Symbol Type Shares Exec Price
15/07/2016 $ 24,989,041.24 $ - $ - $ 24,999,900.44 -0.0004% GOOGL Buy 10 $ 52.52
AAPL Buy 10 $ 76.89
JNJ Buy 10 $ 123.86
CINF Buy 10 $ 99.03
NVDA Buy 10 $ 738.58
For the first trading, we diversify the portfolio by investing in health care industry so we
selected JNJ (Johnson & Johnson) which is the biggest health care products company.
Moreover, JNJ is excellent in finance as the firm currently carries $17.5 billion in net cash and
investments, just enough to pay for 6% of firms outstanding shares. The cash cushion reduces
a level of risk to JNJ business and its 3% annual dividend payout.
Regrading to CINF (Cincinnati Financial), this stock is looking impressive as it has beaten out the
industry with the margin of 1.35% compared to -6.78% of the industry and it has also
outperformed when looking at the past year. Moreover, the increase of earning per share from
$2.6 to $2.7 also represents a solid increase to the investors.
18/07/2016 $ 24,987,232.94 $ - $ - $ 25,000,139.19 0.0006% JNJ Sell 10 $ 123.00
CINF Sell 10 $ 75.75
NVDA Sell 10 $ 53.20
REGN Buy 10 $ 374.23
NTDOY Buy 10 $ 35.70
We realized that JNJ and CINF are not appropriate investing in short run as the portfolios
strategy so we decided to trade them all. Based on event based trading, we added REGN and
NTDOY in the portfolio with the expected growth of these stocks in short term to generate
profits. In addition, Regeneron and Bayer had developed new eye disease treatment and
Nintendo also release the global version of POKEMON GO. We predict the value of these stock
will increase along with the event occur.
18/07/2016 $ 24,987,232.94 $ - $ - $ 25,000,139.19 0.0006% AAPL Buy 10000 $ 99.52
GOOG Buy 10000 $ 729.29
NVDA Buy 5000 $ 52.99
REGN Buy 5000 $ 381.53
GOOGL Buy 10000 $ 748.53
As we are good at using Marketwatch and also have a clear strategy, we are now trading at a
high amount of shares each stock. Follow that, we purchased 5000 shares of REGN and NVDA
because NVDA had announced the new graphics cards in this time. As discussed above, we
invested in two large cap stocks with the increasing trend in value which was GOOGL and
GOOG to maximize the portfolios profits. As a result, the portfolio got the first return at
0.0006% after the trading date.
Date and time Cash Cash Int Margin Cost Total Equity Return
19/07/2016 $ 6,851,234.94 $ - $ - $ 25,098,675.99 0.39%
20/07/2016 $ - $ 561.58 $ - $ 25,280,35.82 1.12% NTDOY Buy 15000 $ 33.89
NVDA Buy 15000 $ 53.73
GOOG Buy 5000 $ 737.33
AAPL Buy 5000 $ 100.00
GOOGL Buy 10000 $ 754.28
REGN Buy 15000 $ 384.88
Price of GOOGL from Jul 18, 2016 to Jul 22, 2016
Price of REGN from Jul 18, 2016 to Jul 22, 2016

From Jul 18, 2016 to Jul 22, 2016, as we applied the technical analysis on the price trend of
GOOGL and REGN, the graph shows an increasing trend of both REGN and GOOGL although the
price was not rise significantly but the value of these stocks was very high so for long term, the
expected profits will be accumulated so we will take a great return on the portfolio. As a result,
we have to borrowed cash to purchase these large cap stocks which explains the occurrence of
Cash Int of $561.58 in the portfolios performance.
21/07/2016 $ - $ 561.58 $ - $ 25,217,143.42 0.87% NVDA Buy 5000 $ 54.13
REGN Buy 5000 $ 386.25
GOOGL Buy 7860 $ 756.71
NTDOY Buy 5000 $ 32.40
MSFT Buy 15000 $ 56.01
INTC Buy 15000 $ 34.11
INTCs price from Jul 18, 2016 to Jul 25, 2016
MSFTs price from Jul 18, 2016 to Jul 25, 2016

After the significant change in price of MSFT and INTC on Jul 19, 2016, we expected that the
price of MSFT and INTC to increase in the future. In other to take the advantages we purchased
those stocks and hold until the end of the portfolio. Unfortunately, the price of almost the
stock in the portfolio decrease their value during this time so the over return of the portfolio
had fall from 1.12% to 0.87% on Jul 21, 2016.
22/07/2016 $ - $ 561.58 $ - $ 25,453,448.68 1.81% MSFT Buy 2957 $ 56.49
23/07/2016 $ - $ 561.58 $ - $ 25,390,699.25 1.56% NVDA Buy 2000 $ 56.45
24/07/2016 $ - $ 561.58 $ - $ 25,390,699.25 1.56% AAPL Sell 15010 $ 98.25
02/08/2016 $ - $ 561.58 $ 3,926.41 $ 25,280,35.82 12.86% GOOGL Buy 5000 $ 797.43
07/08/2016 $ - $ 561.58 $ 3,926.41 $ 25,280,35.82 13.61% REGN Sell 25010 $ 422.43
AAPLs price from Jul 18, 2016 to Jul 29, 2016

REGNs price from August 3, 2016 to August 15, 2016
From Jul 22, 2016 to Aug 7, 2016, we intended to maximize the shares of GOOGl then we
purchased and hold it til the end of the trading period. During this time, we also stop loss from
trading the entire shares of AAPL and REGN as the value of those stock falls significantly which
create a huge loss on our portfolio. In addition, it might be a fundamental mistakes of our team
as it is the first trading so we traded the entire of stock when we saw the decrease of stocks
value, but basically trading stocks at a low price we only get loss and take no benefits from this
action.
16/08/2016 $ 28,392,661.37 $ 561.58 $ 6,775.14 $ 25,280,35.82 13.57% INTC Sell 15000 $ 34.88
MSFT Sell 19957 $ 57.57
NVDA Sell 25000 $ 62.89
GOOG Sell 20000 $ 780.01
GOOGL Sell 32870 $ 802.74
NTDOY Sell 20015 $ 27.10
At the end of the trading periods, we traded all the stocks and got the portfolios return at
13.57% which is much higher than the expected return. By holding strategy, our large cap stock
increased in value generates a great return. Besides that, stop the fall value stocks such as
REGN and AAPL also reduce the loss on our portfolio. In overall, INTC and MSFt contribute less
return than our expectation. Additionally, we have to trade at a low price and bear a loss from
selling NTDOY.

Transactions of the Portfolio

Performance of the portfolio


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BAFI3192 Group 2

Risk Management Report Group 2 Page 1

2. The Dollar Currency

Risk Management Report Group 2 Page 2

3. The Influence of the World Economy

Risk Management Report Group 2 Page 3

Risk Management Report Group 2 Page 4

REGN [NASD] GOOGL [NASD]

Market Cap 42.55B Market Cap 542.41B

Risk Management Report Group 2 Page 5

FINAL PORTFOLIO AAPL PORTFOLIO DAILY RETURN

Risk Management Report Group 2 Page 6

Risk Control - Hedging

Future: Admittedly, the

Risk Management Report Group 2 Page 7

Equity Market Future Market

Net $680,920 $680,456 = $464

-5 analyzing on Dow Theory,

Risk Management Report Group 2 Page 8

Risk Management Report Group 2 Page 9

Risk Management Report Group 2 Page 10

MarketWatch, 2016, Annual Financials for NVIDIA Corp, MarketWatch, Viewed on

MarketWatch, 2016, Annual Financials for Regeneron Pharmaceuticals Inc, MarketWatch,

Risk Management Report Group 2 Page 11

Reuters, 2016, Technology Overview, Reuters, Viewed on 20/8/2016,

T Dan, 2014, Li nhun ca Nintendo tip tc i xung, Thanhnien, Viewed on 20/8/2016,

Risk Management Report Group 2 Page 12

Appendix 1: Market valuations

Federal Reserve Target Rate from September 2015 up to date, Bloomberg

b. The value of the US Dollar

Risk Management Report Group 2 Page 13

c. West Texas Intermediate (WTI) & Brent Crude Oil Price

Oil WTI Crude CL1:COM from August 2015 up to date, Bloomberg

Risk Management Report Group 2 Page 14

Risk Management Report Group 2 Page 15

XLK versus S&P 500 (Pei, 2016)

Appendix 3: Evaluation of trading

REGNs fundamental analysis

Risk Management Report Group 2 Page 16

Ticker Holding Value Ticker Weight Profit

FINAL PORTFOLIO ALLOCATION

Appendix 5: Portfolio final weight

Appendix 6: Portfolios volatility and actual return

Ticker Weight Beta recorded Weighted Expected Weighted Variance Standard

AAPL 0.03 1.13 0.03 0.05 0.0014 -0.0515 0.0027

Risk Management Report Group 2 Page 17

Appendix 7: Benchmark volatility and actual return

11,745,875,186 Average daily 0.056% 5.740% 0.0236%

Risk Management Report Group 2 Page 18

Ticker Weight Beta Weighted Expected

GOOGL 0.46 0.98 0.45 0.05

Appendix 9: Portfolio and benchmark performance

Portfolio S&P 500

Risk Management Report Group 2 Page 19

S&P 500 daily return

NVDA FINAL PORTFOLIO AAPL

Risk Management Report Group 2 Page 20

Risk Management Report Group 2 Page 21

5.00% Hence, Alphabet stocks have shown its potential of

The news and these historical data might give an

Risk Management Report Group 2 Page 1

Microsoft Corporation is an American multinational

Asset turn over The net income of Microsoft Company fluctuated