Performance Report Student Managed Fund MBA class of 2005 March 3, 2005.
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Transcript of Performance Report Student Managed Fund MBA class of 2005 March 3, 2005.
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Performance Report
Student Managed Fund MBA class of 2005
March 3, 2005
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MBA Fund Managers
Christophe Pane
Luis Prandini
Stephen Petretto
Igor Lemagic
Rajiv Iyer
Jie Wan
Ashley Martella
Yun Cai
Amit Kumar
Sampita Ray
Gabriel Joanes
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Performance Highlights (Sept 24,2004 thru February 11,2005)
SMF PORTFOLIO
S & P 500
Portfolio Value (9/24/04) $410,918.25 1,110.11
Portfolio Value (2/11/05)$958,082.81(*
)1,205.30
Holding PeriodReturn (9/24/04 thru 2/11/05)
11.48% 8.57%
Annualized Return (%) 29.93% 22.36%
Beta 0.89 1
Annualized Standard Deviation
10.04% 11.11%
Sharpe Ratio** 2.57 1.64
Treynor Index** 28.95 18.18
Alpha 4.67%
*An additional $500,000 was added to the portfolio as of Jan,19 2005.
**Based on risk-free rate of
4.2%.
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Agenda Investment Methodology
Portfolio Performance & Attribution Analysis
Economic Outlook and Allocation
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Blend Strategy Combination of value and growth
Multi-Cap Fund
Investment Strategy and Style
Mid Caps
5 stocks
Small Caps1 stock
Large Caps
23 stocks
Primarily investments in large-cap stocks
Number of holdings as of 02/25/05: 29
Market Capitalization
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Investment Philosophy Fundamental analysis
Historical performance Valuation models Business models Future Prospects Economic outlook for the industry
Long-term (3-5 year) investment horizon
Benchmark: S&P500 Index Selecting stocks with potential Close monitoring of the portfolio
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Investment Approach
Sector Allocation
Valuation Models
•PEG and P/E Models•Dividend Discount Model •Free Cash Flow Model
Stock Selection
Fundamental Analysis
•Business Model Analysis•Ratio Analysis•Future Prospects
Top Down Approach
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Stock Selection CriteriaWe look for:
Solid financials
Strong management
Earnings growth
Attractive valuation relative to peers
Higher return/risk relative to industry
“If the choice is between a questionable business at a comfortable price or a comfortable business at a questionable price, we much prefer the latter.”
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Buy & Sell Discipline
Buy CriteriaSteady growth ratesIntrinsic value > market value Above average expected returns
Sell Review CriteriaStock reaches our target return Predetermined stop loss pricesRisk/reward profile deterioratesActual earnings figures lower than estimates
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Management Style
Active Management Report presentation and voting
Performance Monitoring Stop Loss Measures (15%) Appreciation Reevaluation (20%) Continuous Monitoring & Dynamic Response
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Sector Allocation (as of 02/11/2005)
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
S&P 500 Current SMF allocation
Top 5 sectors:
FinancialsIndustrials
Consumer Disc.IT
Health Care
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Detailed Sector Allocation (as of 02/11/2005)
COMPANY NAMETRADE DATE
# SHARES COST ($)
CURRENTPRICE ($)
CURRENT VALUE ($)
% RETURN
% OF PORTFOLIO
HEALTHCARE
Aetna Inc. 27-Oct-04 200 $89.41 $133.50 $26,700.00 *49.31% 2.79%
ENERGY
Valero Energy 27-Oct-04 500 $44.00 $61.43 $30,715.00 39.61% 3.21%
FINANCIALS
Citigroup 22-Oct-04 500 $42.80 $49.40 $24,700.00 15.42% 2.58%
Commerce Bancorp 22-Dec-04 600 $60.03 $57.74 $34,644.00 -3.81% 3.62%
Hartford F. Services 12-Nov-04 350 $62.00 $73.76 $25,816.00 18.97% 2.69%
ING Group (ADR) 9-Nov-04 300 $26.71 $29.31 $8,793.00 9.73% 0.92%
CONSUMER STAPLES
Coca-Cola 22-Sep-04 300 $40.46 $42.76 $12,828.00 5.68% 1.34%
Walgreen's 22-Nov-04 400 $37.93 $42.81 $17,124.00 12.87% 1.79%
* Best Performeruntil 02/11
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Detailed Sector Allocation (as of 02/11/2005)
CONSUMER DISCRETIONARY
Comcast Corp. 15-Oct-04 375 $28.77 $31.53 $11,823.75 9.59% 1.23%
Starwood Hotels 28-Dec-04 350 $59.01 $59.00 $20,650.00 -0.02% 2.16%
Lions Gate Entertain. 11-Feb-05 3000 $10.42 $10.44 $31,320.00 0.19% 3.27%
Viacom B 6-Oct-04 500 $35.21 $37.44 $18,720.00 6.33% 1.95%
INDUSTRIALS
Fedex Corp. 15-Nov-04 260 $95.12 $98.01 $25,482.60 3.04% 2.66%
Masco Corp. 22-Dec-04 500 $36.46 $37.19 $18,595.00 2.00% 1.94%
3M Corp. 15-Nov-04 200 $82.64 $84.04 $16,808.00 1.69% 1.75%
INFORMATION TECHNOLOGY
Cisco Systems 3-Dec-04 1000 $19.50 $17.70 $17,700.00 -9.23% 1.85%
Flextronics 28-Dec-04 1000 $13.80 $14.15 $14,150.00 2.54% 1.48%
SAP AG (ADR) 8-Feb-05 750 $39.24 $39.86 $29,895.00 1.58% 3.12%
UTILITIES
Dominion Resources 23-Nov-04 150 $66.71 $70.63 $10,594.50 5.88% 1.11%
INDEX FUND and CASH
Vanguard S&P500 Index 27-Jan-05 686 $103.26 $110.46 $75,775.56 6.97% 7.91%
CASH $485,248.40 50.65%
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Performance Highlights (Sept 24,2004 thru February 11,2005)
SMF PORTFOLIO
S & P 500
Portfolio Value (9/24/04) $410,918.25 1,110.11
Portfolio Value (2/11/05) $958,082.81(*) 1,205.30
Holding PeriodReturn (9/24/04 thru 2/11/05)
11.48% 8.57%
Annualized Return (%) 29.93% 22.36%
Beta 0.89 1
Annualized Standard Deviation
10.04% 11.11%
Sharpe Ratio** 2.57 1.64
Treynor Index** 28.95 18.18
Alpha 4.67%
*An additional $500,000 was added to the portfolio as of Jan,19 2005.
**Based on risk-free rate of
4.2%.
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Portfolio Performance Attribution
290 339
-2 -47-200
0
200
400
PortfolioExcessReturn
StockSelectionAttribution
SectorAllocationAttribution
CashPosition
Attribution
S1
Basis points
Excess Return = Stock Selection + Sector Allocation + Cash Position
Period: September 24, 2004 to February 11, 2005
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Current State of the SMF Portfolio (since Feb. 11)
Positions Added:
Apache Corporation, PetroChina (Energy)
Ameritrade, E*Trade, MBNA (Financials)
Invitrogen (Health Care)
Sysco Foods (Consumer Staples)
Dunn & Bradstreet, Tyco International (Industrials)
Florida Power & Light Group, Inc. (Utilities)
Positions Increased:
Comcast and Starwood Hotels (Consumer Discretionary)
Hartford Financial Services (Financials)
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Portfolio Summary Market Value at Feb. 25, 2005: $967,397
Current number of stocks: 29
Total amount yet to be allocated: $160,653
Top 10 holdings:
Apache Corporation – 4.43%
Dun & Bradstreet – 4.45%
Tyco International – 4.24%
Hartford Financial Services – 4.12%
E*Trade - 4.07%
FPL Group - 4.06%
MBNA Corporation - 4.04%
Invitrogen Corp. – 3.97%
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Portfolio Summary
Top 10 holdings:
Commerce Bancorp – 3.72%
Sysco Foods – 3.63%
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Economic OutlookExpected GDP growth of over 3% for 2005, albeit lower than 2004.
Core Inflation expected to rise; prices rose 2.3% from a year earlier.
Long-term interest rates are still low; flattening yield curve.
Federal Reserve is expected to continue increasing the federal-funds rate at “measured” pace.
Mergers-and-acquisitions market is picking up steam – favorable development for equities.
Situation in Iraq puts pressure on oil price and maintain high level of uncertainty.
Energy,industrials,materials, utilities expected to lead market.
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Industry Outlook Sector Weight OutlookConsumer Discretionary
Overweight Favorable
Consumer Staples
Underweight Favorable
Energy Neutral Favorable
Financials Overweight Favorable
Healthcare Underweight Favorable
Industrials Overweight Favorable
IT Underweight Unfavorable
Materials Underweight Favorable
Telecom Underweight Unfavorable
Utilities Underweight Favorable
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Fulfilled Portfolio Objectives
Performance surpassed S&P 500
Lower Risk Level
Invested primarily in Large Cap U.S. Equities
Chose only fundamentally strong companies
WRAP UP
Top Performers
Aetna (AET)-49.31%
Valero (VLO)-39.61%
Hartford (HIG)-18.97%
Worst Performers
Cisco (CSCO)- (9.23%)
Pfizer (PFE)- (16.83%)
CACI (CAI)- (16.98%)
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Takeaways
Valuation Highly Dependent on Analyst’s Assumptions
Stop Losses can sometimes work against you
Have patience
Stick to your strategy and convictions
Enjoy the extraordinary learning opportunity
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Thank you.
University of Connecticut Foundation Inc.
Investment Advisory Board
Dr. Chinmoy Ghosh
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Q & A ?