(1) The document summarizes Minzhi Qiu's strategy for the 2013 Global Investment Contest, where they achieved a 25.78% return and ranked 130th overall. (2) The strategy aimed to reduce risk by buying favor stocks and shorting out-of-favor stocks, resulting in a near-zero beta, while gaining alpha through fundamental and technical analysis. (3) Specific trades were described where SPRD and GM were bought and CAT was shorted based on analyzing company-specific events and trends, with stop losses identified for each trade.

1. [Minzhi Qiu]
[Carlson School of Management, University of Minnesota]
[Minneapolis]
2013 Global Investment Contest
Global Final Competition
Contest Name:
[China Alpha Contest]
Overall Return:
[25.78%]
Rank:
[130]
Beta:
[-0.155] & [-0.078]
Alpha:
[19.91% ] & [6.37%]
Sharpe Ratio:
[2.4] (annualized with 1 year risk-free rate 0.15%)
Number of Trades: [32]

2. Portfolio Strategy
• To reduce systematic risk by buying favor stocks and
shorting out-of-favor stocks at the same time,
making beta near 0.
• To gain alpha by combining fundamental analysis and
technical analysis. To be compensated on the hard
work.

3. Analysis Method
‘Fundamental(event) + Technical(trend) = Alpha’
(1) The shorter the investment period is the more I
will focus on events that will have impact on
company’s performance and will cause investors’
short term interest on the stock.
(2) The shorter the investment period is the more I
will rely on Technical analysis. Preferring trend
analysis.

4. Portfolio Construction
What happened
•
•
•
Huawei Y500 has been
approved to be the
customized phones of China
Mobile. (March 29)
Huawei got 10% of market
share in China in 2012.
China Mobile is the the
world's largest mobile
phone operator.
Thinking
•
Who will be benefited from
these information?

5. SPRD
Signal to buy
Stop loss if break
• The signal to buy SPRD appeared on the
week of April 12.

6. Portfolio Construction
What happened
• March 2013 marks best month
for sales since before the
recession.(April 2)
• New-car sales finish strong
first quarter 6.3 percent over
2012.(April 10)
• Four Japanese auto giants
said they are recalling nearly
3.4 million vehicles worldwide
because of airbag problems.
(April 11)
• The economy of United States
was recovering. (Longer term
logic)
Thinking
•
Who will be benefited from
these information?

7. GM
Signal to buy
Stop loss if break
• The signal to buy GM appeared on the
week of April 12.

8. Portfolio Construction
What happened
•
•
•
•
China is the world largest
construction market.
China is getting slower in
GDP growth speed.
Real Estate Investment was
growing in a lower speed.
Housing Inventory level is
becoming higher.
Thinking
•
Who will be impacted from
these information?

9. CAT
Stop loss if break
• Short CAT, which had been in
downtrend since Feb 2012.

10. My Decision
• What did I do?
Buy GM & SPRD and Short CAT.
SPRD
GM*
CAT
Portfolio
Beta
1.31
1.29
1.46
April 22
0.7
0.3
-1
-0.16
June 28
0.35
0.15
-0.5
-0.08

11. What happened after that
SPRD
Receive acquisition proposal
Accept the proposal
Raise guidance
GM
CAT

12. What happened after that
Risk was high at
this point of time,
reduce leverage
Portfolio Performance
140,000.00
130,000.00
2X
1X
120,000.00
110,000.00
100,000.00
90,000.00
80,000.00
Stop loss line

13. If hold until now…
SPRD
GM
CAT

14. THANK YOU
Any Questions?