Below are some of my research conducted for the Sprott Student Investment Fund as a portfolio analyst. I enjoy the work and freedom to explore various areas of both academia and practical use within Finance.
2016 Economic Outlook - Co-authored - November 28, 2015
With 2015 coming to a close, we have positioned our portfolio for the upcoming year. Following our top-down investment approach, we have re-analyzed the macroeconomic environment, and strategically positioned our holdings in each sector accordingly.
This report will provide a detailed walkthrough in arriving at an optimal sector allocation in line to our Equity managers’ beliefs of relative returns between sectors.
Low-Volatility Targeting: A Risk-Factor Approach - March 11, 2015
Risk factor styles of investing are widely popular within the active investment management industry due to its ability to generate alpha and reduce risk beyond traditional allocation. Using the Fama and French (2014) five factor model, I assume each factor to be risk-factor style investment securities and construct four minimum volatility portfolios with different techniques of estimating the covariance matrix. Results indicate that low volatility risk factor portfolios produce superior sharpe, less risk and lower likelihood and impact of tail events.
Optimal Portfolio Inputs: Various Methods - December 4, 2014
In this document, I will model and back test our portfolio with various proposed models. It goes without saying that the portfolio with the greatest out-of-sample performance will be used for our current and future portfolio. The out-ofsample performance will be evaluated through a utility loss value derived in the introduction as well as through a portfolio performance comparison against the S&P 500 index and 1/N Portfolio rule. I found that the industry and constant correlation model tends to work best in out-of-sample performance.