1

NITTANY LION FUND, LLC MONTHLY REPORT

May 2016

2

May 2016 PAGE 2

NITTANY LION FUND, LLC | THE MONTHLY REPORT

2016 Annual Meeting Recap

On Friday, April 15, the Nittany Lion Fund hosted its 11th annual investor meeting, which was attended by both inves-tors and alumni. The meeting was held at the Smeal College of Business’ Business Building and was intended to provide insight into each sector’s outlook for the remainder of 2016, in addition the Nittany Lion Fund’s performance in 2015. The meeting started with the Nittany Lion Fund's Executive Board providing an overview regarding fulltime placements for internships and careers in 2016, broad investing strategies, and insight into the Fund’s 2015 performance. Following the Executive Board, the CEO of the Nittany Lion Fund, Dr. Woolridge, spoke about initiatives that the Fund has taken over the year, as well as highlighting the reasons for the Nitta-ny Lion Fund’s strong placement on Wall Street. From there, each sector was given the opportunity to speak about its cur-rent holdings as well as its future outlook. Investors and alumni in attendance were then given the opportunity to ask the sector any questions that they may have had. The meeting was concluded with announcements and remarks from the Chairman of the Board of Directors, Art Miltenberger. The Nittany Lion Fund would like to sincerely thank every-one who was able to attend the 2016 Annual Meeting. If you would like a copy of the annual presentation, or a video of the meeting itself, please contact Morgan Austen at morga-nausten96@gmail.com

Smeal Student Marshal—Finance

Chris Loggia April 2016

Former Nittany Lion Fund Manager, Chris Loggia, was named the Spring 2016 Penn State Smeal Student Marshal for the Fi-nance department. Chris graduated from Penn State's Schreyer Honors College in May 2016 with a 3.99 GPA after earnings a Bachelor's degree in Finance and a minor in Economics. During his time in the Nittany Lion Fund Chis held a position as President, in addition to being the Lead An-alyst of the Financials Sector. Aside from his active roles in the Nit-tany Lion Fund, Chris also served as the President of the Alpha Kappa Psi Professional Business Fraternity. During the Summer of 2014 and 2015 Chris interned at Perella Weinberg Partners in the Investment Banking Division, where he will be returning for a full-time position in the Summer of 2016.

INSIDE THIS ISSUE:

page 2 2016 Annual Meeting Recap

Smeal Student Marshal—

Finance

— Chris Loggia

page 3 Sector of the Month

Wall Street Trip

page 4 & 5 Sector Summaries

page 6 Portfolio Analysis

3

May 2016 PAGE 3

NITTANY LION FUND, LLC | THE MONTHLY REPORT

Sector of the Month

The Healthcare Sector returned 3.94% nominally in April, a relative outperformance of 0.98%. Strong performance from the pharmaceutical subsector drove gains as drug manufacturers rebounded from the trade down in recent months. Bristol-Myers Squibb was the best performing stock in the portfolio, trading up 12.99% in April after beating its earnings estimates. Additionally, Pfizer was a top performer this month after the U.S. Treasury Department announced a rule change that prevented Pfizer's proposed acquisition of Allergan. Healthcare's performance was also driven by strength in Amgen and Express Scripts. Amgen re-ported positive earnings results in April and benefit-ed from strong biotechnology performance. Ex-press Scripts' contribution was due to a positive note in its earnings call regarding a lawsuit with An-them. Abbott Laboratories and Cardinal Health were the Sector's worst performers.

Wall Street Trip

April 2016 April 2016

On Friday, April 1, Nittany Lion Fund Managers, Penn State Investment Association Analysts, and Wall Street Boot Camp Members took a trip to New York City to visit Wall Street for the first time during the Spring se-mester. The day began with students meeting at the Business Building at 3:30 AM to board the bus to the City. Visits to the various investment banks started with a trip to Goldman Sachs, followed by Bank of America Merrill Lynch, and concluded with a visit to UBS. The trip was intended to be a joint informational and net-working session that provided Analysts, Fund Managers, and Wall Street Boot Camp Members the opportunity to gain insight about a career on Wall Street while also get-ting facetime with a number of professionals at each in-vestment bank. Each bank had representatives from the investment banking division, sales and trading arms, and other vari-ous divisions of the company. A number of the firms also provided students the opportunity to visit a live trading floor while also giving tours of their respective buildings. Each Penn State organization attending the trip thought it was very successful, and plans to continue visiting Wall Street during the Spring semester, moving forward.

4

SECTOR SUMMARIES — Month Ended March 31st

Consumer Discretionary returned 0.51% nominally this

month, a relative outperformance of 0.37%. The Sector's

best performing holding this month was Amazon.com,

trading up 11.11% nominally. The Company reported

1Q2016 adjusted EPS of $1.07, beating consensus esti-

mates of $0.58, on revenues of $29.13 bn, beating consen-

sus estimates of $27.99 bn due to growth in its retail seg-

ment and cloud service revenues. The Sector's worst per-

forming holding this month was Nike, returning (4.12%)

nominally. Nike traded down due to its main competitors

including Under Armour, Adidas and Skechers, all report-

ing strong earnings which could result in increased com-

petitive pressures moving forward.

Consumer Staples returned (1.58%) nominally

this month, a relative underperformance of 0.31%. The

Sector’s best performing holding this month was PepsiCo,

trading up 0.47% nominally. The Company reported earn-

ings on April 18, beating on top and missing on bottom

line, driven by low commodity costs and organic growth,

while facing foreign exchange headwinds. The Sector’s

worst performing holding this month was CVS Health,

returning (3.11%) nominally. The Company traded down

significantly in the beginning of the month due to a highly

volatile health care market, however the stock rebounded

after the announcement of its investment in Curbside to

launch CVS Express, a mobile platform allowing for a one

hour pickup service for customers.

Energy returned 7.91% nominally this month, a relative

underperformance of 0.73%. The Sector's best perform-

ing holding this month was Apache, trading up 14.57%

nominally. During April, West Texas Intermediate (WTI)

crude oil prices increased 28.63% m/m to $45.92/

bbl, benefiting Exploration and Production companies

NITTANY LION FUND, LLC | THE MONTHLY REPORT

like Apache that have revenues directly correlated to the

price of crude oil. The Sector’s worst performing holding

this month was Phillips 66, returning (5.17%) nominally.

This trade down can be attributed to the Company report-

ing adjusted EPS of $0.67, missing consensus estimates of

$0.90, on revenue of $17.40 bn, missing consensus esti-

mates of $20.42 bn.

Financials returned 2.88% nominally this month, a rela-

tive underperformance of 0.51%. The Sector’s best per-

forming holding this month was S&P Global, trading up

6.55% nominally. On Wednesday, April 6, S&P Global

reported adjusted EPS of $1.20, beating consensus esti-

mates of $1.13, on revenues of $1.26 bn, missing consen-

sus estimates of $1.37 bn. The Sector’s worst performing

holding this month was AvalonBay Communities, return-

ing (7.05%) nominally. As a Real Estate Investment Trust

(REIT), AvalonBay trades inversely with the Ten Year

Treasury Note, which increased 7 basis points to 1.88%

from 1.81% m/m.

Healthcare returned 3.94% nominally this month, a rela-

tive outperformance of 0.98%. The Sector’s best perform-

ing holding this month was Bristol-Myers Squibb, trading

up 12.99% nominally. The Company continued to meet

regulatory milestones for its promising oncology treat-

ment Opdivo and reported strong earnings during the

month, beating top and bottom line consensus estimates

The Sector’s worst performing holding this month was

Abbott Laboratories, returning (10.06%) nominally. The

Company traded down due to concerns regarding curren-

cy headwinds impacting future growth as well as negative

sentiment regarding its proposed acquisition of St. Jude

Medical.

May 2016 PAGE 4

5

NITTANY LION FUND, LLC | THE MONTHLY REPORT

SECTOR SUMMARIES — Month Ended March 31st

Industrials returned (0.53%) nominally this month, a rel-

ative underperformance of 1.41%. The Sector’s best per-

forming holding this month was United Rentals, trading

up 12.28% nominally. The Company reported 1Q2016

adjusted EPS of $1.40, beating consensus estimates of

$1.16 due to premium pricing and steady rental volume.

The Sector’s worst performing holding this month was

Stericycle, returning (24.27%) nominally. The Company

reported 1Q2016 EPS of $1.11, missing consensus esti-

mates of $1.17 due to lower hazardous waste volume, in-

ternational pricing pressures, and delays in anticipated

synergies from Shred-It.

Information Technology returned (6.37%) nominally

this month, a relative underperformance of 1.03%. The

Sector’s best performing holding this month was Face-

book, trading up 3.05% nominally. Facebook reported

1Q2016 earnings in April, trading up significantly after

beating top and bottom, driven by strong growth in the

Company’s mobile advertising segment. The Sector’s

worst performing holding this month was Apple, return-

ing (13.99%) nominally. Apple reported 2Q2016 earnings

in April, trading down after missing on both top and bot-

tom, as the Company reported weak iPhone sales for the

second consecutive quarter.

Materials returned (4.71%) nominally this month, a rela-

tive underperformance of 4.39%. The Sector’s best per-

forming holding this month was PPG, trading up (2.47%)

nominally. PPG was adversely affected by relatively high

crude oil prices as it led to decreased demand for its paints

and coatings. The Sector’s worst performing holding

this month was LyondellBasell, returning (8.35%) nomi-

nally. The Company's Houston refinery remains closed

from a fire in its coking unit, thus impacting declined pro-

duction and lower margins.

Telecommunications returned (2.95)% nominally this

month, a relative underperformance of 0.86%. The Sec-

tor’s best performing holding this month was AT&T,

trading down (0.89)% nominally. AT&T announced it

successfully penetrated into Mexico during 1Q2016, as the

Company added 529.0 k wireless subscribers. The Sector’s

worst performing holding this month was Verizon Com-

munications returning (5.81%) nominally. In early April

11, nearly 4,000 union employees of Verizon's wireline

segment went on strike, starting one of the largest U.S.

walkouts in recent years.

Utilities returned (3.16%) nominally this month, a relative

underperformance of 0.76%. The Sector’s best perform-

ing holding this month was NextEra Energy, returning

(0.64%) nominally. NextEra outperformed the benchmark

after bringing the 1,277 megawatt Port Everglades Clean

Energy Center two months early. The Sector’s worst per-

forming holding this month was Entergy Corp., returning

(5.17%) nominally. Entergy Corp. traded down after re-

porting a 21.47% decrease in EPS in its wholesale seg-

ment due to depressed commodity prices.

May 2016 PAGE 5

6

NITTANY LION FUND | PORTFOLIO ANALYSIS

NITTANY LION FUND, LLC | THE MONTHLY REPORT

CURRENT HOLDINGS

May 2016 PAGE 6

PERFORMANCE

SECTOR ANALYSIS

PORTFOLIO OVERVIEW

KEY STATISTICS

Year Beginning Portfolio Value $6,992,363.60

Month Beginning Portfolio Value $6,974,652.09

Month Close Portfolio Value $6,964,885.21

Cash Balance $300,938.93

Performance Monthly YTD Inception

Nittany Lion Fund (0.14%) (0.39%) 5.61%

S&P 500 Index 0.39% 1.74% 7.03%

NLF vs. S&P 500 (0.53%) (2.10%) (1.32%)

Key Statistics NLF

Portfolio Beta 1.00

Sharpe Ratio -0.09

Volatility (26 week) 15.06%

Weighted Ave. Market Value $156.89 bn

P/E (NTM) 21.87x

YTD Turnover Ratio 22.51%

Annualized Dividend Yield 2.17%

Sector Analysis Monthly S&P Relative

Consumer Discretionary 0.51% 0.13% 0.37%

Consumer Staples (1.58%) (1.28%) (0.31%)

Energy 7.91% 8.70% (0.73%)

Financials 2.88% 3.40% (0.51%)

Healthcare 3.94% 2.93% 0.98%

Industrials (0.53%) 0.89% (1.41%)

Information Technology (6.37%) (5.39%) (1.03%)

Materials (1.16%) 4.95% (5.82%)

Telecommunications (2.95%) (2.11%) (0.86%)

Utilities (3.16%) (2.41%) (0.76%)

Current Holding Ticker Purchase Date Purchase Price

Price as of 3/31/15

or Purchase

Price as of

4/29/2015 Monthly Return

Amazon.com Inc AMZN 2/19/2016 $531.92 $593.64 $659.59 11.11%

AutoZone Inc AZO 7/27/2015 $672.59 $796.69 $765.23 -3.95%

Comcast Corp CMCSA 6/15/2015 $57.65 $61.08 $60.76 -0.52%

Consumer Discretionary Select XLY 12/23/2015 $78.51 $79.10 $79.20 0.13%

The Home Depot Inc. HD 12/21/2015 $130.46 $133.43 $133.89 0.34%

NIKE Inc NKE 3/10/2015 $48.37 $61.47 $58.94 -4.12%

Walt Disney Co/The DIS 4/13/2012 $41.85 $99.31 $103.26 3.98%

CVS Health Corp CVS 7/7/2014 $78.36 $103.73 $100.50 -3.11%

JM Smucker Co SJM 12/2/2015 $121.68 $129.84 $126.98 -2.20%

Kraft Heinz Co KHC 3/9/2016 $76.93 $78.56 $78.07 -0.62%

PepsiCo Inc PEP 11/4/2015 $100.71 $102.48 $102.96 0.47%

Procter & Gamble Co PG 2/28/2014 $78.59 $82.31 $80.12 -2.66%

Reynolds American Inc RAI 10/16/2013 $25.46 $50.31 $49.60 -1.41%

Wal-Mart Stores Inc WMT 12/7/2015 $60.44 $68.49 $66.87 -2.37%

Apache Corp APA 4/5/2016 $47.48 $47.48 $54.40 14.57%

Chevron Corp CVX 3/31/2016 $95.57 $95.40 $102.18 7.11%

EOG Resources Inc EOG 11/11/2014 $98.57 $72.58 $82.62 13.83%

Exxon Mobil Corp XOM 9/13/2011 $71.55 $83.59 $88.40 5.75%

Phillips 66 PSX 2/23/2016 $79.03 $86.59 $82.11 -5.17%

Schlumberger Ltd SLB 2/10/2016 $68.32 $73.75 $80.34 8.94%

Allstate Corp ALL 3/11/2013 $49.11 $67.37 $65.05 -3.44%

American International Group I AIG 3/26/2015 $54.27 $54.05 $55.82 3.27%

AvalonBay Communities Inc AVB 2/10/2016 $164.45 $190.20 $176.79 -7.05%

BlackRock Inc BLK 3/16/2015 $373.77 $340.57 $356.33 4.63%

Goldman Sachs Group Inc/The GS 5/30/2012 $94.88 $156.98 $164.11 4.54%

JPMorgan Chase & Co JPM 2/18/2014 $58.55 $59.22 $63.20 6.72%

S&P Global Inc SPGI 4/14/2016 $100.29 $100.29 $106.85 6.55%

Prologis Inc PLD 1/2/2014 $36.80 $44.18 $45.41 2.78%

Wells Fargo & Co WFC 7/9/2010 $29.41 $48.36 $49.98 3.35%

Abbott Laboratories ABT 4/15/2016 $43.25 $43.25 $38.90 -10.06%

Amgen Inc AMGN 2/23/2016 $147.98 $149.93 $158.30 5.58%

Bristol-Myers Squibb Co BMY 11/18/2015 $66.51 $63.88 $72.18 12.99%

Cardinal Health Inc CAH 11/16/2015 $85.98 $81.95 $78.46 -4.26%

Express Scripts Holding Co ESRX 12/21/2015 $86.94 $68.69 $73.73 7.34%

Pfizer Inc PFE 8/13/2015 $35.41 $29.64 $32.71 10.36%

Teva Pharmaceutical Industries TEVA 11/2/2015 $60.84 $53.51 $54.45 1.76%

Thermo Fisher Scientific Inc TMO 4/2/2015 $133.15 $141.59 $144.25 1.88%

Caterpillar Inc CAT 4/4/2016 $75.56 $75.56 $77.72 2.86%

FedEx Corp FDX 4/28/2014 $134.93 $162.72 $165.11 1.47%

General Electric Co GE 12/14/2011 $16.68 $31.79 $30.75 -3.27%

Masco Corp MAS 10/28/2015 $29.00 $31.45 $30.71 -2.35%

Northrop Grumman Corp NOC 1/26/2015 $155.30 $197.90 $206.26 4.22%

Stericycle Inc SRCL 11/18/2015 $122.05 $126.19 $95.56 -24.27%

United Rentals Inc URI 4/4/2016 $59.61 $59.61 $66.93 12.28%

Accenture PLC ACN 2/4/2016 $102.38 $115.40 $112.92 -2.15%

Alphabet Inc GOOGL 2/12/2007 $260.91 $762.90 $707.88 -7.21%

Apple Inc AAPL 9/8/2011 $60.94 $108.99 $93.74 -13.99%

Facebook Inc FB 10/28/2014 $80.10 $114.10 $117.58 3.05%

Market Vectors Semiconductor E SMH 6/23/2015 $57.84 $55.08 $52.46 -4.76%

Microsoft Corp MSFT 3/2/2015 $43.74 $55.23 $49.87 -9.70%

Texas Instruments Inc TXN 3/30/2015 $57.87 $57.42 $57.04 -0.66%

LyondellBasell Industries NV LYB 4/10/2013 $60.45 $85.58 $82.67 -3.40%

PPG Industries Inc PPG 12/8/2009 $29.68 $111.49 $110.39 -0.99%

Sherwin-Williams Co/The SHW 11/2/2015 $270.53 $284.67 $287.31 0.93%

AT&T Inc T 9/20/2011 $29.14 $39.17 $38.82 -0.89%

Verizon Communications Inc VZ 5/1/2009 $30.29 $54.08 $50.94 -5.81%

Dominion Resources Inc/VA D 6/9/2011 $48.66 $75.12 $71.47 -4.86%

Entergy Corp ETR 3/21/2016 $78.41 $79.28 $75.18 -5.17%

NextEra Energy Inc NEE 4/27/2012 $64.34 $118.34 $117.58 -0.64%

WEC Energy Group Inc C 5/21/2009 $18.53 $41.75 $58.21 39.43%