Asam Class of 2014 Annual Report
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ASAM CLASS OF 2014 ANNUAL REPORT ASAM CLASS OF 2014 ANNUAL REPORT ANDERON STUDENT ASSET MANAGEMENT TABLE OF CONTENTS II. ANNUAL STAKEHOLDER LETTER 4 II. FUND MANAGEMENT OVERVIEW – ASAM CLASS OF 2013 6 PURPOSE OF FUND 6 INVESTMENT PHILOSOPHY 6 III. ASAM INVESTMENT STRATEGIES 7 OVERALL PERFORMANCE REVIEW 7 THE F-SCORE STRATEGY 10 THE TACTICAL ASSET ALLOCATION (TAA) STRATEGY 20 THE EARNINGS ANNOUNCEMENT RETURN (EAR) STRATEGY 37 FUNDAMENTAL INDEX STRATEGY 44 IV. ASAM FELLOWSHIP HIGHLIGHTS 60 DISTINGUISHED SPEAKER SERIES 60 FIRM VISITS 61 BUFFET TRIP 62 ACCOMPLISHMENTS AND HONORS 64 RECRUITING 64 UCLA ASAM CLASS OF 2014 65 UCLA Anderson Student Asset Management Annual Report | 3 I. ANNUAL STAKEHOLDER LETTER ThisThis was was without without a doubta doubt a bannera banner year year for for the the Anderson Anderson Student Student Asset Asset Management Management Fellows Fellows (“ASAM”) (“ASAM”). The The ASAM ASAM Class Classof 2014 of 2014 has hasseen seen strong strong performance performance in inall all three three traded traded strategies, strategies, hostedhosted a numbernumber ofof preeminent preeminent guest guest speakers, speakers, and andvisited visited many many of ofthe the largest largest and and most most respected respected assetasset managementmanagement firms in thethe world.world We We travelled travelled across across the the country to countryNew York, to New San York, Francisco San Francisco and even and made even a trekmade to a visit trek theto visit Oracle the ofOracle Omaha, of Omaha, Warren Warren Buffett. Buffett Moreover, Moreover, we launched we a new launchedinvestment a new strategy, investment the Fundamental strategy, the FundamentalIndex, based Index,on an basedacademic on an paper academic by UCLA paper A bydjunct UCLA Professors, Adjunct Professors, long-time ASAM supporters and co-founders of Research Affiliates, Dr. Jason Hsu and Mr. Robert Arnott. long-time ASAM supporters and co-founders of Research Affiliates, Dr Jason Hsu and Mr Robert Arnott This year ASAM Fellows stood on the shoulders of the 2013 class. After a robust knowledge transfer in the spring of 2013, This year ASAM Fellows stood on the shoulders of the 2013 class After a robust knowledge transfer in the spring of ASAM was able to maintain strong momentum and ongoing management of its investments in three strategies. This 2013,resulted ASAM in a was strong able continuation to maintain strongof performance momentum, which and weongoing hope managementwill be maintained of its investmentsin future classes in three to develop strategies a consistent Thistrack resulted record in of a yearstrong-over continuation-year returns of performance, for our Tactical which Asset we hopeAllocation will be (TAA), maintained Fundamental in future Indexclasses and to developF-Score astrategies. consistentThis year, track ASAM record boasts of year-over-year one year combined returns returns for our from Tactical May Asset 1, 201 Allocation3 to April 30, (TAA), 2014 Fundamental of 14.94%, increasing Index and theF-Score size of the strategiesassets under This managementyear, ASAM boasts by $87K one from year $582K combined to $669K returns. Of from further May note, 1, 2013 all tothree April actively 30, 2014 traded of 14 strategies 94%, increasing outperformed thetheir size ben of thechmarks assets for under this managementperiod. Additional by $87K analysis from $582Kof the tomarkets $669K and Of eachfurther strategy’s note, all threereturns actively are detailed traded in the pages that follow. strategies outperformed their benchmarks for this period Additional analysis of the markets and each strategy’s returns areIn detailedlight of thein the strong pages market that follow returns during the year, and the continued low interest rate environment, we made a strategic mid-year decision to re-allocate funds that were set aside for a fourth strategy, Earnings Announcement Return (“EAR”), to Inbe light evenly of the allocated strong market among returns the three during traded the year, strategies and the and continued out of alow fixed interest income rate indexed environment, ETF. We we made athis decision to strategicimprove mid-year the overall decision returns to ofre-allocate ASAM while funds the that EAR were strategy set aside was for continually a fourth strategy, modified Earnings and back Announcement-tested over Returnthe year. We (“EAR”),also made to be this evenly change allocated with amongthe explicit the three promise traded that strategies once aand fourth out ofstrategy a fixed isincome fully indexedback-tested ETF Weand made can bethis properly decisionimplemented, to improve the theoverall overall fund returns will be of rebalanced ASAM while again the evenlyEAR strategy across wasthe fourcontinually strategies. modified This strategicand back-tested decision over resulted in ASAM funds being fully invested and taking advantage of strong equities markets of 2013. the year We also made this change with the explicit promise that once a fourth strategy is fully back-tested and can be properlyIn addition implemented, to ASAM ’sthe success overall fundin implementing will be rebalanced and trading again evenlyupon theacross strategies, the four westrategies made gre Thisat strategicstrides in decision increasing our resultedaccess inand ASAM exposure funds to being the fullyinvestment invested management and taking advantage industry, of enhanced strong equities the reputation markets ofof 2013ASAM within the school, and served as an ambassador of UCLA Anderson, and the broader UCLA Community on a number of occasions. This year we Inc additiono-sponsored to ASAM’s a number success of high in implementing profile speaking and events trading with upon investment the strategies, legends we made Larry greatFink, stridesDavid Booth in increasing and Mary our Erdoes. accessThese and events exposure are further to the investmentdescribed inmanagement a new section industry, of this enhanced year’s annual the reputation report regarding of ASAM ourwithin speakers the school, and andfirm visits. servedASAM as Fellowsan ambassador also garnered of UCLA a Anderson,number of and accolades the broader within UCLA the Community university onand a numberin inter -ofcollegiate occasions competitions. This year These weawards co-sponsored and honors a number include of a high range profile of accomplishments speaking events fromwith investmentwinning finance legends competitions, Larry Fink, toDavid delivering Booth andTED MaryTalks. These events are also described in a new section of the annual report on Fellows’ achievements. Erdoes These events are further described in a new section of this year’s annual report regarding our speakers and firm visits2014 ASAM ASAM Fellows Fellows also also garnered received a anumber number of of accolades coveted withininternships the university and full timeand in job inter-collegiate offers in the financialcompetitions sector including Theseoffers awards at Western and honors Asset include Management a range ofCompany, accomplishments American from International winning finance Group, competitions, and the financial to delivering consulting TED division of TalksErnst These & Young, events among are also others. described Details in a newon thesesection post of the ASAM annual happenings, report on Fellows’ along achievementswith updates on other recent alumni achievements are further detailed herein. 2014 ASAM Fellows also received a number of coveted internships and full time job offers in the financial sector It was also an incredible year for recruiting the next generation of ASAM fellows. We would like to take this opportunity to including offers at Western Asset Management Company, American International Group, and the financial consulting welcome and introduce the 2015 ASAM Fellows, whose ranks include multiple PhDs, CFAs, a CPA and a JD. We believe divisionthat our of strong Ernst & recruitment Young, among efforts others will furtherDetails addon these to the post longevity ASAM and happenings, prosperity along of this with Fellowship. updates on other recent alumni achievements are further detailed herein We would like to express our gratitude to all who helped make ASAM such a rewarding experience. In particular, we would It likewas toalso thank an incredible our faculty year advisor for recruiting Professor the nextRobert generation Geske for of ASAMhis guidance fellows and We expertise; would like theto take UCLA this Anderson opportunity School of toManagement welcome and for introduce providing the us 2015 with ASAM this unique Fellows, opportunity; whose ranks the include Fink Center multiple for PhDs, Finance CFAs, and a Investments CPA and a JD for We its sponsorship believeof ASAM that ourand strong collaboration recruitment with efforts respect will to further recruiting add andto the branding longevity efforts; and prosperity and our offellow this FellowshipAnderson students for their support. We would also like to thank the guest speakers and company visit hosts who contributed their time this year. 3 4 | UCLA Anderson Student Asset Management Annual Report We would like to express our gratitude to all who helped make ASAM such a rewarding experience In particular, we would like to thank our faculty advisor Professor Robert Geske for his guidance and expertise; the UCLA Anderson School of Management for providing us with this unique opportunity; the Fink Center for Finance and Investments for its sponsorship of ASAM and collaboration with respect to recruiting and branding efforts;