Stanford Blyth Fund FICC Group Current Holdings Review
Stanford Blyth Fund FICC Group Current Holdings Review ---------------------DBC ---------------------- Harrison Caruthers Jaewoo Jang John Solitario Kuno Choi Sen Lin
Power. Shares DB Commodities (DBC) Symbol Price Quantity Price Paid Total Gain Market Value DBC $18. 30 688 $25. 61 - $5029. 28 | 28. 54% $12590. 4 FICC Group Current Holdings Review 02/18/2015
Relative Performance to Benchmarks DBC has generally underperformed the market over the past 3 years, though it has done better than other commodities tracking indices, such as the Bloomberg Commodity Index. source: http: //etfdb. com/etf/DBC/#fundamentals FICC Group Current Holdings Review 02/18/2015
ETF Component Weightings DBC Current Portfolio Summary DBC by Weighting Sector Weight Oil & Gas 45. 31% Agricultural Softs 27. 14% Gold & Silver 13. 65% Base Metals 9. 04% Miscellaneous 4. 86% Total 100% Listed February 3, 2006, DBC follows movements in the commodities market with a heavy emphasis on crude oil and other energy-related commodities. It tracks the DB Commodities Index. FICC Group Current Holdings Review 02/18/2015
Correlation Analysis 1 DBC highly correlated with Brent Crude at 0. 90 over 5 years Further holding onto DBC akin to a long directional bet on oil source: https: //www. invesco. com/portal/site/us/financial-professional/etfs/tools/correlation-analyzer FICC Group Current Holdings Review 02/18/2015
Correlation Analysis 2 Moderate to high degree of inter-correlation between ETF components. All are inversely correlated to value of USD against basket of foreign currencies. Not significantly hedged. Heavy weighted correlation with oil & gas instruments. FICC Group Current Holdings Review source: http: //www. mrci. com/special/correl. htm 02/18/2015
Thesis : Sell at Target Price $20 • FICC recommends unwinding DBC position at target price $20. • Following the recession, DBC peaked at $30 with oil prices above $100 in 2011. Previous highs not expected. • Short-Medium outlook for oil markets bearish due to changing fundamentals. • No strong directional opinion agricultural commodities or precious metals among members, hence no edge. FICC Group Current Holdings Review 02/18/2015
Exogenous Shocks • Crude Oil : US-led advances in shale oil make scaling production cheap and fast. Upside potential limited. • US dollar strength. General downward pressure on commodity prices. • Chinese factory output stagnant. Copper and Aluminum demand hinges on industrial production. • Soft (agricultural) commodities : no trending, no edge. Downturn persistent since end of commodities supercycle. FICC Group Current Holdings Review 02/18/2015
Arguments Against • • OPEC raises prices / cuts output US shale producers closing Value-Approach investment strategy (oversold) Portfolio Diversification. FICC Group Current Holdings Review 02/18/2015
Thoughts? FICC Group Current Holdings Review 02/18/2015
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