UNIVERSITY OF CONNECTICUT Student Managed Fund March 11, 2004 Undergraduate Portfolio Timothy...
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![Page 1: UNIVERSITY OF CONNECTICUT Student Managed Fund March 11, 2004 Undergraduate Portfolio Timothy BlaisPatrick MastanEmeka Okafor Kristen CandellaDaniel McCarthyTodd.](https://reader037.fdocuments.in/reader037/viewer/2022103123/56649d635503460f94a45d51/html5/thumbnails/1.jpg)
UNIVERSITY OF UNIVERSITY OF CONNECTICUT Student CONNECTICUT Student
Managed FundManaged Fund
March 11, 2004March 11, 2004
Undergraduate PortfolioUndergraduate PortfolioTimothy
BlaisPatrick Mastan
Emeka Okafor
Kristen Candella
Daniel McCarthy
Todd Shrier
Edmund Chung
Philip Odackal
Timothy Sweeney
Julia Yelevich George Kruglov
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MissionMission
• To employ a systematic approach consisting of both quantitative and qualitative fundamentals to identify companies that possess strong growth potential and above average return.
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Portfolio ObjectivesPortfolio Objectives
• Outperform the S&P 500 index
• Develop a well-diversified portfolio
• Invest consistently with market forecast
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Industry Selection
Quantitative Analysis
Qualitative Analysis
Valuation Models
Portfolio MonitoringRe-optimization
Stop Loss/Review Analysis
Stock Selection ProcessStock Selection Process
Portfolio
Discussion
Group Vote
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ValueValue
4-Sep-03 8-Dec-03 24-Feb-04
Total Portfolio $200,577.00 $211,393.36 $381,532.00
Equity $200,577.00 $209,646.53 $227,621.00
Money Market - $1,746.83 $3,911.00
New Funds (Added 2/23/04)
- - $150,000.00
S&P 500 $1,027.97 $1,069.30 $1,142.17
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Performance Performance
PeriodReturn
on SMF
Return on S&P
Outperform
(09/04/03-02/24/04) 15.43% 11.11% 4.32%
(12/08/04-02/24/04) 9.53% 6.81% 2.72%
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Performance SMF vs. S&P 500
15.43%
9.53%
6.81%
11.11%
0%
5%
10%
15%
20%
(09/04/03-02/24/04) (12/08/04-02/24/04)Period
Ret
urn
Return on SMF
Return on S&P
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Risk Assessment Risk Assessment (As of 12/8/03)(As of 12/8/03)
SymbolBeta of (12/8/04)
Percentage of Portfolio Weighted Average Beta
ANF 1.61 9.41% 0.152
BUD -0.1 5.01% -0.005
CSG 0.04 7.45% 0.003
EAT 0.34 3.81% 0.013
HDI 1.1 7.19% 0.079
MO 0.3 8.13% 0.024
MSFT 1.64 9.89% 0.162
PAYX 0.76 7.39% 0.056
PFE 0.38 10.67% 0.041
TJX 0.89 7.40% 0.066
S&P 500 1 23.64% 0.236
Portfolio Beta 0.827
*Beta as of 12/8/03 obtained from www.multexinvestor.com
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Risk Adjusted PerformanceRisk Adjusted Performance(12/8/03-02/24/04)(12/8/03-02/24/04)
Return on Portfolio(Rp)
Return onS&P (Rsp)
Risk FreeRate (Rfr)
(12/8/03-02/24/04) 9.53% 6.81% 3.28%
Excess Return (Rp-Rfr) 6.25% 3.53%
Risk(Weighted Average Beta)
0.827 15-yr
T-Bond
Treynor Index
7.56% 3.53%(12/8/03)
T=[(Rp-Rfr)/B]
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Attribution AnalysisAttribution Analysis
• Allocation Effect
• Selection Effect
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Sector Allocation Effect Sector Allocation Effect (12/8/03-2/06/04)(12/8/03-2/06/04)
Sector SMF S&P 500
Sector return
(12/8/03-02/6/04)
Excess returns S&P Sector
-**Overall S&P
Sector allocationContribution
Information Technology 0.2192 0.1775 0.0575 -0.0112 -0.0005
Consumer Discretionary 0.4709 0.1102 0.0543 -0.0144 -0.0052
Consumer Staples 0.1684 0.1102 0.05 -0.0187 -0.0011
Health Care 0.1415 0.1364 0.089 0.0203 0.0001
Utilities - 0.028 0.0565 -0.0122 0.0003
Financials - 0.2091 0.0786 0.0099 -0.0021
Energy - 0.0567 0.0898 0.0211 -0.0012
Materials - 0.0286 0.011 -0.0577 0.0016
Industrials - 0.1078 0.0667 -0.002 0.0002
Telecommunications Services - 0.0355 0.1311 0.0624 -0.0022
Total -0.0099
**S&P performance from 12/08/2004-02/06/2004 was 6.87%
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Security Selection EffectSecurity Selection Effect(12/08/03-02/06/04)(12/08/03-02/06/04)
Overall Return Difference = ***SMF Performance - **S&P 500 = .0070 or 70 Basis Points
Security Selection Effect = (.0070) – (-.0099) = .01693 or 169.3 Basis Points
**S&P performance from 12/08/2004-02/06/2004 was 6.87%
***SMF performance from 12/08/2004-02/06/2004 was 7.57%
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Current HoldingsCurrent Holdings
Company NameCurrent Value (As of 02/24//04)
Holding Period Return (As of 02/24/04)
Cadbury Schweppes $19,894.00 31.87%
Altria $18,499.00 20.85%
Pfizer $24,284.00 19.82%
Brinker $9,182.50 19.56%
Abercrombie & Fitch $23,584.00 19.11%
Tj Maxx $17,617.50 16.55%
Harley Davidson $17,537.00 13.60%
Anheuser-Busch $10,756.00 7.99%
Microsoft $21,227.30 6.21%
Fossil $20,430.90 2.88%
Mattel $20,053.44 0.48%
Paychex $13,660.00 -12.82%
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Current Holdings Allocation (As of 02/24/04)
CSG9%
PFE9%
EAT4%
ANF10%
TJX8%
HDI8%
BUD5%
MSFT9%
FOSL9%
MAT9%
PAYX6%
S&P5006%
MO 8%
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Holdings ReturnsHoldings Returns(As of 2/24/04)
-12.8%
19.1%16.6%
13.6%
31.9%
19.6%19.8%20.9%
0.5%2.9%
6.2%8.0%
-20%
-10%
0%
10%
20%
30%
40%
CSGM
OPFE
EATANF
TJXHDI
BUDM
SFT
FOSL
MAT
PAYX
Equities
Re
turn
s
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Forward ExpectationsForward Expectations
• Market Outlook– Historical Return– Value of Dollar– Inflation– GDP
• Risks– Credit Risk (S/T vs. L/T)– Unemployment– Budget Deficit
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ConclusionConclusion
• Retrospection
• Self-Analysis
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Thank YouThank You
• The Foundation
• The Advisory Board
• Faculty – Patrick Terrion, Professor Ghosh, Steering
Committee
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QUESTIONS?QUESTIONS?