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Contents
An Introduction
The Board of Trustees 3
Our investment Objectives 4
Our Responsibilities 4
Strategic Report
Global & domestic Research 5
Our Approach 8
Top to Bottom Analysis 10
Potential Risk Factor 11
Screening Criteria 12
Sector & Research Diversification 14
Holdings 15
Exit Strategy 16
Report from the Trustees
Financial Review
Realised Performance 17
Highlights 18
Portfolio vs Benchmark 20
Conclusion
Thoughts & Reflections 21
Appendix
Equity Chart 22
Sector Chart 23
Bibliography 24
Knights Capital Management Investment Report
“We safe guard your investment”
3
Introduction
The Board of Trustees
Daniel Lim
Portfolio Manager &
Director
Zahra Mohammed
Strategic Analyst
Risk Associate
Risk Associate
Chief Quantitative
Analyst
Chief Economist
Trade Execution &
Performance Analyst
Zahra Al-Lawati
Jason Cranfield
Asra Owais
Max Pease
Thompson Loh
4
We seek to deliver and achieve medium term capital growth through the use of multi sector diversi-
fication from a list of public listed companies in the UK. Our investment belief is based on the phi-
losophy that value can be added through active, fundamental management with an amalgamation
of top down macroeconomic research, sector analysis and a strategic asset allocation strategy we
will be able to maximize the portfolio’s performance.
Our portfolio is made of open-ended growth companies listed in the UK stock exchange. Through
the efficient screening process, superlative companies are selected from the nominated sectors of
the FTSE100, which assists to build greater liquidity by providing clear and independent benchmark-
ing the market. An additional advantage from using the FTSE100 would be the strength of this index.
FTSE100 being made up of the top 100 companies gives us great deal of exposure to both domestic
and international markets. Our risk-taking capacity is restricted by prudential considerations; small
caps were avoided in our investing strategy. Therefore, strictly large caps were chosen to achieve
sufficient yield over the medium term and to maintain the contribution proportion stable.
To eliminate the risk of serious capital loss, we have utilized market timing strategies, as well as
downside risk management.
Our responsibilities
Our primary focus is based on fulfilling our fiduciary duties towards
our clients. We aim to deliver the highest standards of client services.
Overcoming obstacles with the use of active risk management is inte-
gral to our investment activities, because our primary focus is based
on providing strategic solutions to our clients’ objectives. Finally, we
seek to manage our fund in a fair and ethical manner.
Introduction
Knights Capital Management Investment Report
Our Focus , Your Advantage
Our Investment Objectives
5
Strategic Report
Global & Domestic Research
Theme 1: Growth in UK, US, Eurozone & Emerging
Markets
Growth in the UK went up by 0.7% in the 4th quarter of 2013, compared to the previous
quarter. Since the beginning of the year 2013, UK’s GDP has been constantly increasing on
a quarterly basis.
At the end of 2013, the economy was growing at a moderate 2.4% pace. Another impor-
tant trend is the narrowing in the trade deficit, which is driven by both rising exports and
lower imports. On the supply side, the improvement has been attributable to the shale gas
story which is creating a cost advantage for the manufacturing sector (and also resulting in
lower energy imports); whereas, on the demand side, rising consumption of domestically
produced goods and services are having a clear impact.
The Eurozone is also showing signs of growth 2014 based on the European commission
autumn forecasts. External demand is expected to pick up over the coming quarters as the
global economy recovers. Countries in Eurozone with the strongest growth rates are Lux-
emburg, Malta, Estonia. Countries such as Germany & France show strong stability. In the
Eurozone, the Purchasing Managers’ Index (PMI) for manufacturing started 2014 at a 32-
month high, with Germany posting a robust reading, while France moved much closer to
the expansion threshold.
Overall the emerging Asian economies can ex-pect a growth of 6.9% per annum for the years 2014-2018. This is a fast and stable pace. How-ever, these figures were downgraded after the financial crisis when Asia’s growth was fore-casted at 8.6%. This slower rate of growth largely reflects the moderate rates of expansion in the two large Emerging Asian economies of China and India.
In the Southeast Asian region however, the ex-
pected growth will remain robust in the medium
term, growing at a pace which is similar to the
pre-global financial crisis. The real GDP growth
rate in the Southeast Asian is projected to aver-
age 5.4% per annum from 2014-18, against 5.5%
in 2000-07.
Knights Capital Management Investment Report
6
Strategic Report
Global & Domestic Research
Theme 2: Inflation rates in the UK
Inflation rates in the UK have remained at a low rate of inflation for the past 19 months.
In addition, inflation rates have dropped further from 2.7% to 2.2% from the previous
month in October. The UK has maintained inflation rates between 2% to 3%. The reason
for the reduction in the rate of inflation was due to reduced consumer prices of goods
and services.
This rate of infla-
tion is still con-
sidered as the
safe zone for the
UK government
Theme 3: Gap Between Disposable income
and inflation in the UK
Another concern for the UK economy is the gap between Real Income of house-
holds and Inflation. This means that in real terms disposable income is decreas-
ing. This is especially of concern because many analysts consider the recent
recovery to have been led by consumer spending. This cannot be sustained for
very long. There is some positive news though the deflationary trends we are
seeing in the inflation figures are a sign of potential respite for UK households.
Along with this the BoE have forecast real income to rise in 2014.
Knights Capital Management Investment Report
7
Strategic Report
Global & Domestic Research
Theme 4: Interest Rates on a Global Perspective
Inflation rates in the UK have remained at a low rate of inflation for the past 19 months.
In addition, inflation rates have dropped further from 2.7% to 2.2% from the previous
month in October. The UK has maintained inflation rates between 2% to 3%. The reason
for the reduction in the rate of inflation was due to reduced consumer prices of goods
and services. This rate of inflation is still considered as the safe zone for the UK govern-
ment and Bank of England.
In the Southeast Asian region however, the expected growth will remain robust in the
medium term, growing at a pace which is similar to the pre-global financial crisis. The real
GDP growth rate in the Southeast Asian is projected to average 5.4% per annum from
2014-18, against 5.5% in 2000-07.
The Bank of England is unlikely to increase interest rates in the near future mainly due to
falling inflation as well as a lack of foreign investment, whilst also mentioning there to be
no significant changes done before 2015.
In the US the signs that the economy is recovering has allowed the Fed to slow down its
QE programme. The US Fed is facing the prospect that between the end of February and
March they will run out of money, possibly forcing another government shutdown that
would influence the FTSE as it is strongly correlated to the NASDAQ. Although it quickly
recovered there was an immediate
effect on global markets.
Europe has a major influence on the
FTSE as they are highly correlated. Any
economic or political decision that
could have an impact on Europe will
have a certain impact on the UK. The
European Central Bank (ECB) thinks
inflation will stay well below its 2%
target for two more years. In order for
the ECB to change its policy there
must be drastic changes to Europe’s
recovery, e.g undershooting Inflation
and growth targets. However, if the
Eurozone does not recover as planned,
quantitative easing might be neces-
sary.
Knights Capital Management Investment Report
8
Our Approach
Returns/Risks:
To outperform the benchmark using risk-adjusted returns
To maximise growth across sectors
To keep the contribution rate stable
Horizon:
3 Years
Safety Measures:
Diversification across a few sectors
Invest in Large cap companies with financial flexibility
To review the portfolio quarterly
Selection Criteria:
Weight for each asset to be less than 5% of the portfolio.
Only to invest in Long Positions
Large Caps Companies
To have a PEG ratio not more than 2.
To have a Operating Margin greater than 5%
Benchmark:
FTSE100
Knights Capital Management Investment Report
Strategic Report
Knights Capital Management Investment Report
9
Strategic Report
Today’s Environment
Refocus on real economic growth
Increased Attractiveness in the Western Economies
Low Volatility of US & UK market according to the MSCI in-
dex
BOE Interest rates remain below Historical norms
Potential Opportunities
The hunt for under-priced companies and low dividends
Sectors with high overall returns
Expansion and reinvestments in companies is of key impor-
tance
Rising Corporate Profits/Returns
Companies with increasing liquidity and valuation
Lingering Uncertainty in the Eurozone
Political Unrest in Ukraine
Referendum on Europe
Scottish Independence
Interest Rates uncertainty
Potential Risks involved
Knights Capital Management Investment Report
Our Approach
10
Strategic Report
Central to portfolio maximisation is the screening
process. The first step is to choose either a top down
or a bottom up approach. For the purposes of our
portfolio we have chosen the former of the two. The
Top-down approach looks at the global picture and
narrows down the search depending on the perform-
ance of a sector or a geographic region. When con-
structing our portfolio we researched all the UK sec-
tors and selected stocks that belonged to the ones
with the most positive outlook. For example, we did in
-depth analysis of the UK domestic market and the
global economy research using indictors such as: GDP
growth, Inflation, Interest Rates and forecasting the
future economic condition. Once the sectors where
selected we conducted some microeconomic analysis.
We performed some fundamental analysis (PEG, Op-
erating Margin), supported by technical research
(Moving Averages). The objective was to locate stocks
that had the potential to beat the benchmark. KCM
chose the top down approach because it is not
restrictive and allows for the best chance of pick-
ing profitable stocks. This is because it has a two
tier profit potential: not only is the stock selected
picked for its potential to outperform its own sec-
tor, but moreover the sector was picked because
it showed signs of beating the index. We did not
use the bottom-up approach because we found it
too restrictive and it not suit are investment style
and objectives.
Macro Economic Analysis
Strategic Asset Allocation
Sector Determination
Security Selection
Knights Capital Management Investment Report
Top to Bottom Analysis
11
Global Risk Factors
Uncertainty in the Eurozone
There is still lingering uncertainty in the Eurozone. Despite some positive news at the turn of the year (PMI
at 32 month high), the sovereign debt crisis is not fully resolved (Ireland GDP down 2.3% 2013Q4). There
still a risk of nervousness in the markets.
Political Unrest in Ukraine
The growing political unrest in the region is having negative consequences on European markets. This un-
certainty is amplified by the tensions between Russia and the US over this conflict.
UK Risk Factors
European referendum
UK Conservative party have promised an in/out referendum on the UK’s EU membership.
This will create uncertainty over the UK economy because Europe is a major trade partner
Scottish independence
A referendum on the 18th September 2014 will decide if Scotland stays in the UK. This has the potential to
hamper the economy and derail the UK’s growth prospects as well as destabilise the country’s budget, reli-
ant on the income generated from North Sea oil.
Interest Rates Uncertainty
The Bank of England is being coy as to when it will raise the interest rates from their record low position of
0.5%. Falling inflation is working in favour of the central bank. We are not expecting any changes until at
least 2015
Potential Risk Factors
Knights Capital Management Investment Report
Strategic Report
12
As Trustees of the preeminent Knights Capital Management Fund, we aim to be effi-
cient in providing maximum returns for our fund, whilst keeping the overall risk to a
minimum. Our portfolio had been constructed with the idea of choosing UK equities
and short-term cash as our universe of instruments.
As part of our portfolio’s mandate, the most appropriate benchmark for assessing
our portfolio’s performance was the FTSE 100 index, which entails the 100 compa-
nies listed on the London Stock Exchange with the highest market capitalization.
The screening process which we implemented to identify a short list of stocks for in-
clusion in the portfolio was basically based on a top down approach, initially involving
a thorough sector analysis. By basing our investment decision through information
obtained by reading online web articles and the current news, we picked up those
sectors that were believed to show high levels of growth for the next three years,
whilst also providing superior returns.
Having decided on the sectors we would be investing for our portfolio, we ended up
with 49 companies that belonged to each of our chosen sectors. As the number of
companies (49) we ended up with was too high to be included in our portfolio, we
devised an appropriate screening process for selecting the companies.
Our stock screening process was implemented by following two vital criteria for as-
sessing stocks which are:
1. PEG ratio ≤ 2
2. Operating Margin > 5%
As our constructed portfolio significantly entails growth stocks, it was deemed appro-
priate by our team to use the PEG ratio as our basis for choosing companies in our
portfolio, as this criteria being very popular among growth investors, provides an in-
sight of how the P/E ratio of a firm relates to the estimated EPS growth for the com-
ing three years. Moreover, it indicates valuation of the expected growth in the com-
pany. We have chosen to select those companies with a PEG ratio less than or equal
to 2 as this signifies growth valuation at a reasonable price.
Screening Criteria
Knights Capital Management Investment Report
Strategic Report
13
In addition to the PEG ratio as one of the screening methods,
the team also included the operating margin as a screening
tool for selecting the stocks in our portfolio. This financial
risk metric gives the proportion of revenues remaining after
paying the costs of operating the business which include
overheard costs, depreciation, etc. We thought it is a useful
measure for assessing a company’s profitability based on the
profit made by each firm (before interests and taxes) for
each dollar of their sales. According to our criterion, the
higher the operating margin, the better.
We made use of the Bloomberg terminals to obtain the oper-
ating margin and the PEG ratio for each of the company (A
photo showing the process is included below). Implementing
these screening criteria, we ended up with 26 companies for
inclusion in our portfolio. We
then used optimisation tech-
niques including Solver to adjust
the weights in each of the 26
stocks, so as to maximise our
portfolio’s expected return.
Screening Criteria
Knights Capital Management Investment Report
Strategic Report
14
Sector Research & Diversification
The team felt that looking at annual reports on the various sectors would be a good place to start off.
According to the table below, we are able to see that all sectors had positive returns except for Basic
Materials had the potential to be good investments. After much discussions, the team decided to
look for various news articles to support our research. After extensive research, we had decided to
streamline our choices to Telecommunica-
tions, Healthcare, Industrials, Consumer
Services, Oil & Gas and Technology. We be-
lieve that these sectors have the potential
to be leaders in the market for the next few
years. Finally, we have only picked sectors
which coincide with our group’s objectives.
Sector: Total Return: Oil & Gas 12.70%
Basic Materials -11.00%
Industrials 29.30%
Consumer Goods 14.20%
Health Care 30.20%
Consumer Services 30.20%
Telecommunications 63.00%
Utilities 11.30%
Financials 18.10%
Technology 43.50%
KCM has handpicked all of these sectors after undertaking Sector research and annual aver-
age returns into consideration. (As shown in the chart to the bottom )
Knights Capital Management Investment Report
Strategic Report
15
Holdings
Knights Capital Management has handpicked the top 26 companies according to
our diversification strategy. We believe that these companies have huge potential
to perform better than our benchmark, the FTSE100.
Optimisation
Aside from diversifying assets across the chosen sectors and selecting various criteria’s, the
team decided to use the Mean-Variance Optimization and CAPM formula to optimize the
portfolio. Thus we had to determine the Optimal Risky Portfolio (ORP) which consisted of the
expected returns on assets and the standard deviation across the historical returns across
selected assets. In order to determine the expected returns for each asset, we had to use the
CAPM formula which consisted of using the expected returns on the FTSE All-Share, the risk
free rate of the chosen 3-Year Gilt and the calculated beta from the 4 years of historical re-
turns. As for the amount of risk on investment involved, we had decided to use a current 3-
Year Gilt which has a Risk-Free Rate of 0.78%.
(Diversification of weights after optimization.)
Knights Capital Management Investment Report
Strategic Report
16
Exit Strategy
The exit strategy is performed by capturing the movements of our assets in the market. In addition, we have also decided to set a stop loss for each company’s equities in the portfolio. This method used by calculating the percentage changes of the equities which have taken into account the expo-sure we have in each company’s equities, so we are able to quantify the kind off losses the portfolio is able to withstand depending on the exposure the portfolio has to each individual stock. We feel that mechanism prevents us from running the risk of being stopped-out of a stock just through its day to day fluctuations and will only close a position in a stock if it has entered a serious downtrend. There are many benefits by having a form of stop loss in our portfolio. Primarily, the stop loss pre-vents the portfolio from suffering a catastrophic loss in a time of uncertainty. Essentially, a stop loss allows decision making to be free from any emotional influences. At times, human being emotional creatures tend to develop feelings for a particular investment. Therefore, this defensive mechanism will pose huge advantage for our portfolio.
Company Weight
(%):
Change Needed(%):
British Sky Broadcasting 4.81% 15.19%
Vodafone 5.00% 15.00%
BT group plc 5.00% 15.00%
Petrofac LTD 3.78% 16.22%
Rolls Royce 5.00% 15.00%
Wolseley PLC 3.59% 16.41%
Travis Perkins PLC 3.51% 16.49%
Melrose PLCDaily 3.92% 16.08%
Experian PLC 3.45% 16.55%
Intertek Group PLC 4.17% 15.83%
smith group plc 3.61% 16.39%
TUI TRAVEL 1.69% 18.31%
Carnival PlcDaily 5.00% 15.00%
Sports Direct 2.45% 17.55%
ARM Holdings 2.53% 17.47%
G4S 3.52% 16.48%
Aggreko 5.00% 15.00%
WPP 4.76% 15.24%
Next Plc 5.00% 15.00%
ITV plc 1.88% 18.12%
Whitbread 5.00% 15.00%
Easy Jet 3.07% 16.93%
BG Group 5.00% 15.00%
AMEC PLC 3.59% 16.41%
Smith and Nephew 3.61% 16.39%
Babcock Plc 2.06% 17.94%
Knights Capital Management Investment Report
Strategic Report
17
Financial Review
(Performance of each stock in the portfolio from the 10th of Feb’14 to 10th of Mar’14.)
After analyzing the data over the investment term, it seems that the economic recovery
is facing a slow but steady trend. Unfortunately, the Manufacturing PMI is constantly
below expectations at around 57. In the FTSE 100 index the Industrials (20 securities in
the FTSE 100) have had mixed performances since the beginning of the year: Rolls Royce
Holding was down 12 % compared to the industry average of -0.42 %, causing an ad-
verse negative effect on our portfolio. This was because RR Holdings have declared a
pause in their growth, with their revenues and profits failing to show any significant
growth this year, owing to US defense cuts and the end of profitable contracts (The
Guardian,2014).. Melrose is down 1.8%. Petrofac and Sports Direct on the other hand,
are up double digits with 10.15% & 18.10% respectively.
Consumer cyclical: Wolseley Plc is up 3.03% with a high PE ratio of 31.28 PE on a TTM
basis. The worst performer in the sector is WPP Plc which lost 6.58%. Sports Direct is
doing well with a performance of 18.10 % which is the best performer in the portfolio.
In Consumer Non Cyclical the performance has been sluggish to negative. Experian &
Aggreko are down with 0.83% and 2.43% respectively.
Technology performance has been moving forward and is on the good run. Technology(1
security) ARM Holdings have returns of 8.3% respectively. Moreover, ARM Holdings also
has a very high PE ratio of 128.54.
Smartphones have changed the world and so the dimension of the telecom industry. In
the Telecom Sector Interestingly BT group has outperformed Vodafone are performing
relatively close to
each other with re-
turns 1.30% & 1.04%
respectively. Voda-
fone is fighting a tax
case in India. British
Sky Broadcasting has
done well with 3.2%
to date, and it has
Price-to-book ratio of
14.
Knights Capital Management Investment Report
Realized Performance
-15
-10
-5
0
5
10
15
20
AG
K
RR
MR
O
ITR
K
TPK
WO
S
EXP
G4
S
SMIN EZ
J
BA
B
WTB
CC
L
NX
T
WP
P
SPD
ITV TT B
SY BG
PFC
AM
EC
BT-
A
VO
D SN
AR
M
Re
turn
s(%
)
18
Financial Review
Highlights of Portfolio Total profits have been up by 1.77% of the
initial investment over the investment
horizon.
The Information Technology, Energy, Con-
sumer Discretionary and Industrial sectors
have outperformed their respective sector
benchmarks.
The Top 5 and Bottom 5 Performers have been
identified.
Considerable progress from investments is re-
quired in order for the portfolio to beat the
FTSE100.
Top 5 Winners
719.00
778.50
806.50822.00
809.00
14/2 21/2 28/2 07/03 10/03*
Sports Direct International
1317.00
1379.00 1368.00
1405.00
1357.00
14/2 21/2 28/2 07/03 10/03*
Petrofac Ltd
4077.004157.00
4487.00
4361.00 4345.00
14/2 21/2 28/2 07/03 10/03*
Whitebread PLC
931
970
1010 1001 992
14/2 21/2 28/2 07/03 10/03*
ARM Holding PLC
1415.001441.00
1471.00
1434.00 1437.00
14/2 21/2 28/2 07/03 10/03*
Babcock International Group PLC
Knights Capital Management Investment Report
19
Financial Review
Top 5 Losers
1317.00
1379.001368.00
1405.00
1357.00
14/2 21/2 28/2 07/03 10/03*
Smith Group PLC
1069.00
1100.00
1081.00
1046.00 1043.00
14/2 21/2 28/2 07/03 10/03*
Experian PLC
2507.00
2457.00 2463.00
2396.00 2391.00
14/2 21/2 28/2 07/03 10/03*
Carnival PLC
1346.00 1343.001308.00
1257.001221.00
14/2 21/2 28/2 07/03 10/03*
WPP PLC
1025
995 999
1026
1043
14/2 21/2 28/2 07/03 10/03*
Rolls-Royce Holding PLC
Knights Capital Management Investment Report
Highlights of Portfolio
20
Financial Review
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
11/2 13/2 17/2 19/2 21/2 25/2 27/2 3/3 5/3 7/3
KCM
FTSE100
Return: Portfolio(%): FTSE100(%):
Total Return 1.77 2.07
Maximum Return 2.1 1.72
Minimum Return -1.77 -1.49
Mean Return (Annualized) 39.48 51.66
Risk:
Standard Deviation(Annualized) 14.48 12.1
Downside Risk (Annualized) 10.05 8.55
Skewness 0.17 0.01
VaR 95^ (ex-post) -0.98 -1.12
Tracking Error(Annualized) 5.47
Risk/Return:
Sharpe Ratio 8.703 2.82
Jensen Alpha -0.2032
Information Ratio -1.06
Treynor Ratio 1.829
Beta (ex-post) 1.11
Correlation 0.9308
Unfortunately, the portfo-
lio did not manage to beat
the market over the in-
vestment horizon. Never-
theless, we managed to
make a profit with the use
of diversification strate-
gies and objective ori-
ented measures. Investing
in companies from sectors
such as Information tech-
nology, Energy, Consumer
Discretionary and Indus-
trial sectors really helped
to give us the competitive
edge in the market. How-
ever, the telecommunica-
tions and healthcare sec-
tors did not perform as
well as expected.
Portfolio vs FTSE100
Knights Capital Management Investment Report
21
Knights Capital Management Investment Report
Conclusion
We have implemented and maintained a unique investment strategy using UK equities primarily
as our investment vehicles. We had tailored our investment objectives and incorporated an ap-
propriate amount of risk in our investments, suited to our clients’ needs.
However, although in this instance, our portfolio underperformed the benchmark, we perceive
this to be owing to incidental circumstances relating to individual stocks in our portfolio that may
have suffered unforeseeable damage within our time horizon. One justifiable reason for the In-
dustrials sector having performed poorly in comparison to others could be the effect of the Rolls
Royce holdings within this sector that had declared a pause in its growth for the current year.
Our team eliminated any sources of unsystematic risk in our portfolio through diversification, by
investing in a broad range of sectors. However, an overview of the sector performance suggests
a few other good candidates for the sectors on our portfolio with promising substantial returns
but we had missed out, such as the Financials and Utilities sector. Nevertheless, this was com-
pensated by our diversification strategy that allowed us to minimize exposure to any large losses
within the chosen sectors in our portfolio.
We have had a notably remarkable performance in our portfolio through sectors such as Infor-
mation Technology and Energy, reaping returns of 8.30% and 4.65% within our overall portfolio
return of 1.77%.
However, potential risk factors within our investment grounds from a global and domestic out-
look might be useful in explaining why certain equities within the Energy sector, such as the Brit-
ish based AMEC plc, had generated considerably lower returns, possibly due to the lingering risk
factor within the UK regarding the Scottish independence. This news might have potentially ham-
pered the UK economy and the markets, causing an in-built unrest within the Energy sector.
Overall, our portfolio had shown a notably commendable performance, generating a positive re-turn of 1.77% and a Sharpe ratio of 1.82, overall signifying a positive risk-adjusted performance given our investment objectives.
Thoughts and Reflections
22
Knights Capital Management Investment Report
Appendix Eq
uit
y C
har
t
Com
pany
:Ti
cker
nam
e P
rice
at 1
0 Fe
brua
ryV
alue
on
Dat
e 10
Feb
'14
Qua
ntit
y Bo
ught
Pric
e at
10
Mar
chV
alue
on
Dat
e 10
Mar
'14
%£
Star
tEn
d
AG
K LN
AG
K LN
Equ
ity
1596
4400
82.3
827
5.74
1556
4364
36.0
6-0
.83%
-364
6.32
5.00
%4.
37%
AM
EC L
NA
MEC
LN
Equ
ity
1073
3851
49.7
358.
9510
8939
0892
.85
1.49
%57
43.1
53.
59%
3.87
%
ARM
LN
ARM
LN
Equ
ity
916
3351
57.6
236
5.89
992
3629
65.4
68.
30%
2780
7.84
2.53
%3.
44%
BAB
LNBA
B LN
Equ
ity
1342
3015
09.1
522
4.67
1437
3228
52.9
57.
08%
2134
3.80
2.06
%3.
13%
BG/
LNBG
/ LN
Equ
ity
1060
.545
6503
.68
430.
4610
87.5
4681
26.1
22.
55%
1162
2.44
5.00
%4.
55%
BSY
LNBS
Y LN
Equ
ity
889.
512
6355
.25
142.
0591
813
0403
.74
3.20
%40
48.4
94.
81%
1.27
%
BT/A
LN
BT/A
LN
Equ
ity
392
4999
99.4
512
75.5
139
7.1
5065
04.5
41.
30%
6505
.09
5.00
%5.
03%
CCL
LNCC
L LN
Equ
ity
2537
5019
78.6
819
7.86
2391
4730
90.6
7-5
.75%
-288
88.0
15.
00%
4.76
%
EXPN
LN
EXPN
LN
Equ
ity
1069
3647
18.9
634
1.18
1043
3558
48.3
4-2
.43%
-887
0.62
3.07
%3.
60%
EZJ L
NEZ
J LN
Equ
ity
1709
3485
77.8
920
3.97
1641
3347
08.2
1-3
.98%
-138
69.6
83.
45%
3.42
%
GFS
LN
GFS
LN
Equ
ity
229
3594
98.5
815
69.8
624
538
4616
.39
6.99
%25
117.
813.
52%
3.58
%
ITRK
LN
ITRK
LN
Equ
ity
2885
3939
47.3
313
6.55
3046
4159
31.9
15.
58%
2198
4.58
4.17
%3.
96%
ITV
LN
ITV
LN
Equ
ity
201.
129
8067
.81
1482
.19
196.
829
1694
.4-2
.14%
-637
3.41
1.88
%2.
94%
MRO
LN
MRO
LN
Equ
ity
300.
439
8740
.09
1327
.36
295
3915
72.3
2-1
.80%
-716
7.77
3.92
%4.
06%
NXT
LN
NXT
LN
Equ
ity
6235
4437
14.4
71.1
765
9546
9333
.83
5.77
%25
619.
435.
00%
4.52
%
PFC
LNPF
C LN
Equ
ity
1232
3959
92.2
732
1.42
1357
4361
70.0
610
.15%
4017
7.79
3.78
%4.
18%
RR/
LNRR
/ LN
Equ
ity
1189
4808
11.3
940
4.38
1043
4217
71.4
7-1
2.28
%-5
9039
.92
5.00
%4.
07%
SMIN
LN
SMIN
LN
Equ
ity
1386
3670
88.6
126
4.85
1354
3586
13.2
6-2
.31%
-847
5.35
3.61
%3.
55%
SN/
LNSN
/ LN
Equ
ity
917
3725
74.9
406.
3092
337
5012
.68
0.65
%24
37.7
83.
61%
3.73
%
SPD
LN
SPD
LN
Equ
ity
685
3190
19.5
746
5.72
809
3767
69.1
18.1
0%57
749.
532.
45%
3.48
%
TPK
LNTP
K LN
Equ
ity
1847
3781
76.3
920
4.75
1875
3839
09.4
41.
52%
5733
.05
3.51
%3.
83%
TT/
LNTT
/ LN
Equ
ity
433
2941
76.9
567
9.39
429.
829
2002
.9-0
.74%
-217
4.05
1.69
%2.
91%
VO
D L
NV
OD
LN
Equ
ity
222
4329
64.8
1950
.29
230.
144
8762
.17
3.65
%15
797.
375.
00%
4.46
%
WO
S LN
WO
S LN
Equ
ity
3328
3821
26.6
211
4.82
3429
3937
23.6
13.
03%
1159
6.99
5.00
%3.
79%
WPP
LN
WPP
LN
Equ
ity
1307
4354
19.8
633
3.14
1221
4067
69.4
3-6
.58%
-286
50.4
33.
59%
4.27
%
WTB
LN
WTB
LN
Equ
ity
3970
5044
46.8
612
7.06
4345
5520
96.1
29.
45%
4764
9.26
4.76
%5.
21%
Retu
rnPo
rtfo
lio W
eigh
t
23
Knights Capital Management Investment Report
Appendix Se
cto
r C
har
t
Ass
et
Cla
ss
Op
en
ing
Po
rtfo
lio
Val
ue
s
Op
en
ing
Po
rtfo
lio
We
igh
ts
Init
ial
Be
nch
mar
k
We
igh
tsD
ivid
en
ds/
Inte
rest
Clo
sin
g
Po
rtfo
lio
Mar
ket
Val
ue
s
Clo
sin
g
Po
rtfo
lio
We
igh
ts
Fin
al
Be
nch
mar
k
We
igh
ts
Po
rtfo
lio
Cap
ital
Re
turn
s
Po
rtfo
lio
Tota
l
Re
turn
s
Be
nch
mar
k
Tota
l Re
turn
s
Co
ntr
ibu
tio
n
fro
m A
sse
t
All
oca
tio
n
Co
ntr
ibu
tio
n
fro
m S
tock
sele
ctio
n
£mil
lio
n%
%R
ece
ive
d/p
aid
£mil
lio
n%
%%
%%
%%
31/1
2/11
UK
Eq
uit
ies-
Se
cto
r Ex
po
sure
s10
.00
100.
00%
50.0
8%0.
2103
10.2
0
97
.98%
48.8
1%2.
00%
4.10
%1.
25%
-0.1
5%3.
00%
Ene
rgy
1.24
12.3
7%16
.26%
0.02
691.
3012
.49%
16.9
3%5.
10%
7.27
%3.
66%
-0.1
4%0.
45%
Ind
ust
rial
s3.
7837
.83%
7.71
%0.
0432
4.20
40.3
4%7.
75%
11.0
1%12
.16%
-0.4
2%-0
.13%
4.76
%
He
alth
care
0.36
3.61
%8.
97%
0.01
860.
383.
65%
9.38
%5.
25%
10.4
1%4.
81%
-0.2
6%0.
20%
Co
nsu
me
r Se
rvic
es
3.37
33.6
6%7.
95%
0.02
183.
0028
.82%
8.14
%-1
0.87
%-1
0.22
%0.
98%
0.25
%-3
.77%
Tele
com
mu
nic
atio
ns
1.00
10.0
0%8.
17%
0.09
480.
969.
22%
5.51
%-4
.00%
5.48
%1.
38%
0.03
%0.
41%
Tech
no
logy
0.25
2.53
%1.
02%
0.00
500.
363.
46%
1.10
%42
.32%
44.3
0%6.
44%
0.10
%0.
96%
Cas
h &
Cu
rre
ncy
Inst
rum
en
ts0.
000.
00%
0.00
%0.
0000
0.21
2.02
%0.
00%
N/A
N/A
0.00
%0.
00%
0.00
%
Bas
e C
urr
en
cy (
Cas
h)
0.00
0.00
%0.
00%
0.00
000.
212.
02%
0.00
%0.
00%
0.00
%0.
00%
0.00
%0.
00%
TOTA
LS10
100.
00%
50.0
8%0.
2103
10.4
110
0.00
%48
.81%
Ge
arin
g In
stru
me
nts
0.00
0.00
%0.
00%
0.00
0.00
%0.
00%
Gro
ss B
orr
ow
ings
0.
000.
00%
0.00
%0.
0000
0.00
0.00
%0.
00%
TOTA
L N
ET P
OR
TFO
LIO
EX
PO
SUR
E1
0.0
01
00
.00
%5
0.0
8%
10
.41
10
0.0
0%
48
.81
%
TOTA
L G
RO
SS E
XP
OSU
RE
10
.00
10
0.0
0%
50
.08
%1
0.4
11
00
.00
%4
8.8
1%
24
Knights Capital Management Investment Report
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