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Interim Report. Student Managed Fund MBA class of 2004 March 11, 2004. Anjana Radhakrishnan Christopher Bodnar Ganesh Padmanabhan Geoffrey Munger Heather Utter. MBA Fund Managers. Jessie LeBlanc Michael Appell Saipriya Menon Tanzhuo Liu Wiebke Wanner- Borchardt. Agenda.

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Interim Report

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Interim report

Interim Report

Student Managed FundMBA class of 2004March 11, 2004


Mba fund managers

Anjana Radhakrishnan

Christopher Bodnar

Ganesh Padmanabhan

Geoffrey Munger

Heather Utter

MBA Fund Managers

  • Jessie LeBlanc

  • Michael Appell

  • Saipriya Menon

  • Tanzhuo Liu

  • Wiebke Wanner- Borchardt


Agenda

Agenda

  • Investment Philosophy & Approach

  • Investment Criteria

  • Portfolio Performance

  • Attribution Analysis

  • Retrospection and Self-Analysis

  • Economic Outlook


Investment philosophy

Investment Philosophy

  • Outperform the S&P500

    • Strategic sector allocation

    • Selection of stocks with strong growth potential

    • Close monitoring of the portfolio

  • Fundamental analysis

    • Historical performance

    • Business models

    • Economic outlook for the industry

  • Valuation

    • Undervalued stocks

  • Long-term (3-5 year) investment horizon


  • Investment approach

    Investment Approach

    Sector Allocation

    Investment Criteria

    • Valuation

    • PEG and P/E Models

    • Discounted Cash Flow

    • Economic Profit

    • Fundamental Analysis

    • Historical Growth

    • Free Cash Flow

    • Profit Margin

    Constant Portfolio Performance Monitoring


    Interim report

    Investment Criteria

    Quantitative & qualitative factors checked across industries


    Qualitative investment criteria portfolio

    Qualitative Investment Criteria - Portfolio


    Quantitative investment criteria portfolio

    Quantitative Investment Criteria - Portfolio


    Portfolio monitoring sell criteria

    Portfolio Monitoring - Sell Criteria

    • Stock reaches its price objective

    • Industry-sector weighting exceeds predetermined limits

    • Risk/reward profile deteriorates

    • Earnings figures lower than estimates

    • Stop loss on all positions


    Smf holdings 12 26 03

    SMF Holdings – 12/26/03

    Our sector allocation closely tracks the S&P500 with exceptions based on economic outlook


    Smf holdings 12 26 031

    SMF Holdings – 12/26/03

    Our sector allocation closely tracks the S&P500 with exceptions based on economic outlook


    Smf holdings adjustments

    SMF Holdings - Adjustments

    • Sold COGN and ALV

    • Initiated positions in:

      • Materials: Newmont Mining (NEM)

      • IT: Intel (INTC)

    • Reviewing positions in: JEC, INTU, WSM, EBAY, and OCR

    • Seeking positions in Energy and Telecom Sectors


    Smf holdings 02 17 04

    SMF Holdings – 02/17/04

    * SOLD


    Smf holdings 02 17 041

    SMF Holdings – 02/17/04


    Smf holdings performance

    SMF Holdings – Performance

    Period: Sep 4, 2003 – Feb 17, 2004


    Attribution analysis

    Attribution Analysis

    • Analyze determinants of portfolio performance

      • Sector allocation decisions

      • Equity selection decisions

    • Sector Allocation and Equity Selection Effect Determinants

      • Sector-wise weights and returns of the Portfolio

      • Sector-wise weights and returns of the S&P 500 index

      • Overall holding period returns of the S&P500

    • Analysis Period: Dec 26, 2003 – Feb 17, 2004

      • S&P 500 holding period return: 5.58%

      • Portfolio holding period return: 3.27%

      • Total value added: -2.31%


    Sector allocation effect

    Sector Allocation Effect

    LEGEND

    Wai -- MBA Wts As of

    Dec 26 2003

    Wpi -- S&P Wts as of Dec 26 2003

    Rpi -- S&P Sector returns {12/26 to 2/17}

    Rp -- S&P Overall Return {12/26 to 2/17}

    {(Wai - Wpi)* (Rpi - Rp)} -- Sector Allocation Effect


    Equity selection effect

    Equity Selection Effect

    LEGEND

    Wai -- MBA Wts As of

    Dec 26 2003

    Rai -- MBA SMF Sector Returns {12/26 to 2/17}

    Rpi -- S&P Sector returns {12/26 to 2/17}

    Rp -- S&P Overall Return {12/26 to 2/17}

    {(Wai - Wpi)* (Rpi - Rp)} -- Sector Allocation Effect

    Total Value Added = Sector Allocation Effect + Equity Selection Effect = - 2.48%


    Attribution analysis1

    Attribution Analysis

    • Observations from Analysis

      • Impact of allocation effect more favorable than that of the selection effect

      • Review both allocation & selection strategies

      • Benefit from future investments in un-invested sectors

    • Over-weighted Sectors

      • Consumer Discretionary, Health Care, IT

    • Under-weighted Sectors

      • Consumer Staples, Financials, Industrials, Materials

    • Un-invested Sectors

      • Utilities, Energy, Telecom


    Retrospection and self analysis

    Retrospection and Self-Analysis

    • Sector Allocation

      • Use S&P 500 Sector Allocation as a guide

      • Make adjustments based on Industry Research

    • Stock Selection

      • Growth vs. Value Stocks

      • Cyclical vs. Non-Cyclical Stocks

      • Benchmark Risk

    • Underperforming Stocks

      • Sound Fundamentals vs. Poor Price Momentum

      • Hold, Add, or Sell


    Outlook

    Outlook

    • Continued economic strength

    • Growth at a more moderate pace

    • Continued stock market strength

    • Modest interest rate increase


    Impact

    Impact

    • Overweight IT and Healthcare

    • Be aware of interest rate sensitivity of holdings

    • Select stocks leveraged to the current economic environment


    Activity update as of mar 05 2004

    Activity UpdateAs of Mar 05, 2004

    • Received additional $150,000 from the Foundation

    • Initiated positions in: WAG, NXTL, CTSH

    • Stock selection process underway


    Thank you

    Thank you

    • University of Connecticut Foundation Inc.

    • Investment Advisory Board

    • Dr. Chinmoy Ghosh


    Interim report

    • Questions?


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