4yrTradeAnalysis_Full-Version

Tiger Fund |Business Education Complex Baton Rouge, LA 70803
Performance Report For
TIGER FUND
4 Year Trading Analysis: 8/1/2011 – 6/30/2015
This report encapsulates the performance of the portfolio for the time
period mentioned above. It includes information pertaining to the
weights, returns, and risk of the portfolio as well as its respective
benchmark, the Russell Top 200 Index.

Tiger Fund Performance Report Page 1
Table of Contents
1) Key Data......................................................................................................................................................................2
2) Trade Data Analysis....................................................................................................................................................3
3) Holdings Allocation: Top 10 .......................................................................................................................................3
4) Annual Returns...........................................................................................................................................................4
5) Cumulative Returns....................................................................................................................................................5
6) Average Annual Return (AAR) vs. St. Deviation of Returns (SDR)............................................................................6
7) Attribution..................................................................................................................................................................7
8) Holdings by Sector......................................................................................................................................................8
9) Max / Min Weights by Sector ....................................................................................................................................9
10) Annual Sector Weights.........................................................................................................................................10
11) Beta, Correlation, R2
& Other Ratios....................................................................................................................13
Student Managed Investment Fund................................................................................................................................14
Course Suggestions...........................................................................................................................................................14
Student Focused Recommendations ...............................................................................................................................14

Tiger Fund
July 2015
Period Analyzed - 8/1/2011 - 6/30/2015
Analysts:
Daniel Dowd
Jason Wyman
Steve Taylor
The Tiger Fund is a student managed investment fund which is part of the LSU Foundation. Within a top down
approach, undergraduate and graduate students managed the fund, which is benchmarked against the Russell 200 Top
200 index.
1) Key Data
The Tiger Fund has consistently underperformed its primary benchmark, the Russell Top 200. The Tiger Fund has
averaged an annualized return of 14.29%, while the Russell
Top 200 has averaged 15.36% over the period analyzed,
8/1/2011 - 6/30/2015. In addition, the Tiger Fund has
proven to be riskier than its benchmark. From a total risk
perspective, the standard deviation of returns for the Tiger
Fund has been 13.28%, while its benchmark standard
deviation was 12.75%. From a systemic risk perspective,
the Tiger Fund has been slightly more risky, having a Beta
of 1.01 relative to the Russell Top 200. While the Tiger
Fund has a higher risk profile, it has also under-performed
its benchmark on an absolute basis. Of course this causes
the risk adjusted performance to lag more dramatically
than the absolute performance, as evidenced by both the
Sharpe and Treynor ratios being less than the benchmark.
Both ratios indicate that the Tiger Fund is not getting as
much return per unit of risk as the benchmark. In addition,
risk appears to be asymmetric, as evidenced by the
upside/downside capture ratios. Upside capture for the
fund is 98.7%, while the fund is capturing 107.44% of the
downside of the index.
Figure 1 Key Data

2) Trade Data Analysis
In analyzing the Tiger Fund, we have determined one of the major drags to performance has been the decision making,
specifically the buy decisions, by each class. On average, the decisions made by classes, who serve as portfolio
managers, have reduced return, while adding volatility to the portfolio. We examined trade data over the period to
determine the average buy decisions made by the class, underperformed their sell decisions by 2.32% over the first six
months after the decision and 1.51% over the first twelve months. In addition, the buy decisions have underperformed
the benchmark by an average of 12.61% over the first six
months and 9.31% over the first twelve months. While
the buy decisions have been disappointing, the sell
decisions have been good. The sells actually
underperformed the benchmark over the six and twelve
month period. Unfortunately, the buy decisions
underperformed the sell decisions.
3) Holdings Allocation: Top 10
Certainly as a top down focused process, sector selection
also plays an important role as a driver of performance.
Over the period analyzed, sector selection has contributed
5.51% drag to total return of the portfolio. However, if it
were not for the exceptionally strong performance of three
holdings that have added to relative performance, the
results would be much worse. Gilead Sciences, Disney and
CVS have added 6.31%, 3.14% and 2.51% relative
performance to the fund, respectively, for a cumulative
11.96% of relative performance increase. While there has
been a slight increase in exposure to Gilead and a larger
increase in exposure to CVS, those positions existed prior to
the beginning of our analysis. Certainly those positions
serve to mask an even worse situation. Without the
positive selection attribution of those companies, sector
attribution would be about 280 basis points worse.
It appears as though part of the problem might be
inconsistency of thought process. What we noticed through the trade analysis is that classes tended to “undo” trades
that a prior class might have made. As demonstrated by the portfolio’s turnover of 39%, much of the portfolio is turned
over each year. While there are several long term holdings, many of the larger holdings have been bought and sold
relatively frequently, leading to the volatility and performance drag. Overall, the management of the fund has been
concerning on both an absolute and risk adjusted basis.
Figure 2 Trade Data Analysis
Figure 3 Holdings Allocation: Top 10

4) Annual Returns
Figure 4 Annual Returns Chart
Figure 5 Annual Returns Graph

5) Cumulative Returns
Further analysis of the 4 year term provide findings that the Relative Total Returns over the period from (8/1/2011 -
6/30/2015) would be 12% worse without GILD, DIS and CVS.
Figure 6 Cumulative Returns Graph

6) Average Annual Return (AAR) vs. St. Deviation of Returns (SDR)
Figure 7 Average Annual Returns vs. Standard Deviation Chart
Figure 8 Average Annual Returns vs. Standard Deviation Graph

7) Attribution
Based on the chart below, when looking at specific sector selection, ie. Underweight/overweight sectors, the fund has
negative allocation attribution for 7 out of 10 sectors examined. Fortunately strong relative performance of Gilead,
Disney and CVS helped balance out the total attribution of health care, consumer discretionary and staples.
Stock selection in technology and durables both exhibited poor selection that hurt the overall sector attribution.
Caterpillar was a major drag in durables, while numerous stocks contributed to the drag in technology.
Figure 9 Attribution

8) Holdings by Sector
Figure 10 Holdings by Sector

9) Max / Min Weights by Sector
Figure 11 Max/Min Weights by Sector (1-5)
Figure 12 Max/Min Weights by Sector (6-10)

10) Annual Sector Weights
Figure 13 Sector Weights Year 2011

11) Beta, Correlation, R2 & Other Ratios
Figure 18 Beta, Correlation, R2 & Other Ratios

Student Managed Investment Fund
The large cap U.S equity market is extremely competitive and highly efficient. Even the most seasoned
investment professionals with robust research staff have a difficult time out performing the U.S large cap benchmarks.
Therefore it is not surprising that the Tiger Fund has performed mediocrely over the past years, never truly exceeding
the benchmark. We think this is simply due to the inexperience our students have when engaging the stock market. We
understand the class has the dual mandate to learn while gaining real life experience. To help students better maximize
investments in the future, we have come up with some suggestions. We certainly understand that the fund has a dual
mandate of educating students as well as superior relative performance. With that understanding, some of these
recommendations might hamper the mandate of educating students.
Course Suggestions
1) Constrain the decision making power of the class
a) Possibly narrowing the +/- 50% rule
2) Add another prerequisite to the course
a) With only Finance 3716 required to take this class, it could be beneficial for the students to have more/any
experience regarding the stock market before entering the Tiger Fund class. Classes currently available are FIN
3826 (basic Investments) and FIN 4830 (analysis of corporate financial statements).
3) Revamp the course
a) Many times we have noticed through our research that what one class will do, normally a semester or 2 later it
will be undone by other classes. We suggest a new structure to the Tiger Fund course in which:
i) PM’s are the advisory board
ii) Increase members of the advisory board from 3 to 5
(1) Possibly another asset management professional
(2) Alumni
ii) Students serve as research analyst for the board
4) Slim down the number of stocks students can choose from
a) 200 stocks is a lot for students to analyze each company, possibly through group consensus of the advisory
board slim down and give the students certain stocks to concentrate on each semester.
Student Focused Recommendations
In addition we compiled a few suggestions students in the future could benefit from understanding:
1) Valuations matter
a) Almost all valuations are helpful
b) Stock price can raise one or a combination of two ways
i. Higher P value
ii. Increase in company EPS
2) Understand how the market values particular companies
a) The market values companies differently. How is it valuing the company you are analyzing
i. Price to sales
ii. Price to earnings
iii. Price to book
iv. PEG ration
v. Dividend yield
3) Consensus opinion
a) Understand the markets consensus on a particular stock and think:
4) Is your consensus similar? If so the stock probably already reflects that view
i. Beware of bullish consensus
ii. “You pay a high price in the stock market for a rosy consensus” – Warren Buffett
5) Additional Fact Set/Bloomberg training

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