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Stocktrak

In: Business and Management

Submitted By
Words 3188
Pages 13
Julius Chen
George Chiu
Armen Odadjian
Mengyang Wu
FBE459: Stock-Trak End of Semester Report

Our portfolio had a return of +6.97% as of November 28th compared with a +3.86% return on the S&P 500 in the same time period. We ended with a Sharpe Ratio of 4.30 and portfolio beta of 0.23. Over 136 trades, we employed various option strategies, longed and shorted equities, speculated on commodities with futures, and invested in fixed income securities. Listed below are a few highlights and in-depth analysis of the strategies that we used.

Protected Put

Ticker | Position | Cost | Strike | S0 | ST | Profit/Loss | MU | Long | | | 30.61 | 34.30 | +$369.00 | | Buy Put | 1.72 | 31 | 30.61 | 34.30 | -$172.00 | DVN | Long | | | 59.02 | 67.20 | +$818.00 | | Buy Put | 1.60 | 57.5 | 59.02 | 67.20 | -$160.00 | SSYS | Long | | | 116.63 | 102.42 | -$1,421.00 | | Buy Put | 6.70 | 115 | 116.63 | 102.42 | +588.00 | *where S0= price at position open and ST=price at position close

On October 22, we entered into three protect put strategies for Micro Technology (semiconductor maker), Devon Energy Corp. (energy company), and Stratasys, Ltd. (3-D printer maker). Our team believed that each company would outperform their peers in their perspective industries. Each company, however, operates in volatile industries. The semiconductor industry suffers from cyclical demand and producers often see margins slashed due to constant price wars. The stock prices of energy companies often fluctuate with the price of the commodities such as oil and gas. Finally, the 3-D printing industry is fairly young and many uncertainties still exist as 3-D technology is constantly developing and changing. For these reasons, our team employed protected put strategies for these three stocks, so that we could hedge and limit the potential downside and enjoy the unlimited upside if these stocks...

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