THOMPSON

ASSET
MANAGEMENT
P r e s e n t b y Te a m 1 :
M e n g y u n Z h a n g , Z i h a n Wa n g , Yi x i n J i a , B i n g Wa n g , N a n Z h a n g
 01 Background

02 ProIndex Fund

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03 ProValue Fund

04 Money distribution
01 Background
 Merits of Quantitative Investing
• There is a lot of merit in conducting quantitative
investing
• Mathematical models - volatility, price trends in the
past, and the volume of trades
• More accessible and easier to analyze with time
• Objective approach
• involves a lot of risk management and also
transparency
• Acceptability of returns and risks depend on different
risk tolerance and goals
 Short Position
• Beneficial in that it can generate greater returns
• Greater risks of a lot of long-term losses.
• Losses that are uncapped
• Strong timing needed in order to
short and to enter and exit positions at ease
• For the endowment, - risk tolerances,
objectives, and understandings align with
the short positioning
 Thompson Asset Management (TAM)

• CEO and Founder Allison Thompson

• Thompson Asset Management (TAM) started in 2008
• Before the 1990s, easiest way to index while maintaining
low trading costs was a low-expense index mutual funds
• In 2013, TAM launched ProValue
• Presentation in 2013, invest the college’s $20 million
in the ProValue fund in other companies
• While calculating risks and returns, need to engage
in short position
02 ProIndex Fund
 WHAT IS PROINDEX FUND

• Aim: Deliver returns that beat the

benchmark S&P 500 index while
maintaining a level of risk in line with
that index.

-Uses leveraged ETFs -240% of S&P500

Index
-Thompson's technical analysis
RETURN

ProIndex has the potential to

generate higher returns for
investors than the S&P 500
BUT PROFIT EXISTS PARALLELING RISK...

-More volatile than the market portfolio

-Investors must be prepared for higher
fluctuations in returns

-Better risk-adjusted performance

-Indicates that ProIndex was generating higher
returns relative to the market, given the
amount of systematic risk it was taking
03 ProValue Fund
03

PROVALUE

Annual Standard Deviation Holding period return

• ProValue 27.14% • ProValue 42.11%
• S&P Return 20.37% • S&P Return 31.57%

Sharpe Ratio
• ProValue 1.48
CURRENT
• S&P Return 1.18 PORTFOLIO Provalue
• Beta 1.11
Treynor Ratio • Jensen's Alpha 0.1337
• ProValue 0.36 9 SECURITIES • Daily Tracking Error 0.45%
• S&P Return 0.24 • Information Ratio 0.382154
个人年终述职 20 2 3.1 .1

04 Money distribution
HOW TO DEAL WITH $20MILLION
OPTIMAL PROVALUE FUND
 MONEY DISTRIBUTION

Invest in Provalue with a return rate of 17% and ProIndex with a return rate of 27.92% with different proportion
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