Student Investment
Management (SIM)
Fund
Annual Report
June 2015
Fisher College of Business (FCOB)
The Student Investment Management (SIM)
Program
Contact Information:
The Ohio State University
Max M. Fisher College of Business
Department of Finance
700 Fisher Hall
2100 Neil Avenue
Columbus, OH 43210
www.fisher.osu.edu/fin/courses/sim
www.buckeyefunds.com
Report By:
Erika Meschkat, SIM Graduate Associate
FCOB-sim@osu.edu
1
Acknowledgements
The SIM Fund family would like to thank:
Gary Foust & Jason Stein – Analysts,
STRS Ohio
SIM Class Director & Instructor
Dr. Kewei Hou – SIM Director and FCOB
Professor
Donors
Royce West – SIM class Lecturer
The Rosenfield Family and Frank
Bettendorf Group – donors, for offering
scholarships that support the SIM Program
SIM Class Guest Speakers
Bhavik Kothari – Analyst, Diamond Hill
Investments
SIM & Endowment Fund
Management
John Lane – CIO, The Ohio State University
Gary Leimbach, Natalie Darner, Tarek
Ahmed and Josh Smith – Controller’s
Office, for managing the SIM Fund and all
University endowment funds
Dan Roberts – Chief Economist, STRS Ohio
Matt Sheridan – Senior Lecturer in Finance
Ken Chee – Portfolio Manager, STRS Ohio
2
Table of Contents
History of the Student Investment Management (SIM) Program .... 4
SIM Program Objectives and Philosophy ........................ ................. 5
SIM Program Investment Process ..................................................... 6
SIM Program Performance: SIM vs. S&P 500 ................................... 8
Appendices
SIM Fund Holdings – June 30, 2015 ................................................. 12
SIM Fund BUY Transactions – July 1, 2014 to June 30, 2015......... 13
SIM Fund SELL Transactions – July 1, 2014 to June 30, 2015 ....... 14
SIM Fund Dividends Received – July 1, 2014 to June 30, 2015 ....... 16
SIM Fund Net Interest Received – July 1, 2014 to June 30, 2015 ... 17
SIM Fund Management Fees – July 1, 2014 to June 30, 2015 ......... 17
Rosenfield Family Prizes for Excellence in Security Analysis .......... 17
SIM Portfolio Investment Methodology – June 2015 ........................ 18
3
History of the Student Investment Management (SIM) Program
Following an initial what-if “paper dollar” experiment that lasted approximately one year, a
team of students in 1990 developed a proposal for managing an actual endowment fund. The
team made a presentation before the Investment Committee of the University Trustees. On
the basis of the proposal and favorable results during the trial period, the student team was
awarded a $5 million equity account. A burst of media attention followed the initial press
release, including a spot on the NBC morning show, Today. Coverage of the first anniversary
of the Program was even more intense upon the announcement that the student account had
earned 20% or $1 million while the S&P 500 index had only returned 13.5%. Incredibly,
students eclipsed their high returns the second year with a return of 25% or $1.5 million.
From its inception and through its continuing evolution, The Ohio State University’s (OSU)
SIM Program has been an integrated effort by many individuals and groups. The SIM class is
the heart of the Program, but there is much support offered from the following:
University Trustees: University Trustees proposed the project, monitored its early
development, and approved the final plan. In addition, the Board continues to supervise both
the investment and academic merits of the Program.
University Administration: The SIM class was hired as an equity manager subject to the
same conditions and limitations that apply to any other equity manager for the University
Endowment with one notable exception: The Office of Investments serves as the formal
manager of the account. To date, the office has been able to follow the advice provided by the
SIM class. Should the need arise, The Office of Investments has the authority to override
decisions or to take independent actions. This arrangement allows the SIM Program to avoid
potential legal problems regarding fiduciary responsibility. It also eliminates logistical
problems due to the academic calendar (vacations, turnover of student managers, etc.). Other
University offices are involved with the SIM Program as well, including University
Communications, which helps coordinate media relations.
Fisher College of Business: Fiscal responsibility for the management of the program rests
with the Dean’s office. The Office of External Affairs also assists with program publicity,
media and alumni relations, investment management, special events and biannual visits to
financial capitals.
Securities Industry: Support from the greater investment community has been extensive.
Over time, the SIM Program has found increasingly more effective channels for this support,
which now include summer internships, guest speakers for the SIM class, state-of-the-art
investment information services, and reasonably priced trade and service commissions. The
SIM Program would like to express its gratitude to the Frank Bettendorf Group of Morgan
Stanley, who invites two Fisher College of Business MBA candidates as finalists for the
Morgan Stanley Scholarship.
4
SIM Program Objectives and Philosophy
The Ohio State University SIM Program combines traditional academic objectives with the
practical demands of hands on investment management. The trustees, administration, and
faculty view the Program as a unique opportunity for delivering high quality, pragmatic
education in an area of considerable interest to students and employers alike.
The SIM Program has three primary objectives:



To achieve a total return in excess of our benchmark, the S&P 500 index,
To preserve and maintain the real purchasing power of the fund, and
To enhance the educational experience of the students by providing them an
opportunity to apply the investment management skills and knowledge learned
in the classroom
Outside the classroom, the SIM Program concentrates on establishing and maintaining ties
with the investment community which, in turn, enhances public relations for both the Fisher
College of Business and The Ohio State University. Each semester, the Program aims to
sponsor student trips to major U.S. and international financial markets, such as New York,
Chicago, and Hong Kong. While on these trips, the SIM students meet with professionals,
often Fisher or OSU alumni, in the investment industry.
From an academic perspective, the SIM Program focuses on developing the students’
understanding of the securities market, specifically, and the financial markets, in general. To
do so, different analytical valuation tools are presented, developed, and hopefully mastered
throughout the class term. The valuation techniques are supplemented by theoretical
material, as well as the real world application and interaction with the SIM fund. In this way
a more complete understanding of investment theory and portfolio development is accessible
to the SIM students. Ultimately, the SIM students become active portfolio managers of the
fund. Each SIM student is responsible for a part of the portfolio in the following way:




Each student is assigned one security from the existing SIM fund. The student
analyst gives current event updates on his or her security in every class session.
The class as a whole is further divided into market sector groups, which are then
responsible for researching and analyzing that specific market sector. Periodic
reports are delivered to the class outlining overall trends and recent
developments.
Furthermore, students are charged with researching potential security additions
or replacements of the current fund securities.
The culmination of the security and market sector analysis results in class
presentations on portfolio rebalancing among sectors and also buy/hold/sell stock
recommendations. The entire class then votes on the recommended actions
based on the presented information and persuasiveness of the students.
5
The Rosenfield Prize: Thanks to a generous donation from OSU alumni Jack and Dan
Rosenfield, the SIM Program maintains a rewarding process in which the SIM students are
required to prepare an investment report on their assigned stocks in the SIM fund. Each
semester, two prizes are awarded: $2,500 for winner and $1,000 for the runner-up. The
students also gain a competitive advantage in security analysis for any future internship or
full-time employment opportunities.
SIM Director and Professor, Kewei Hou, with Summer 2014 Rosenfield Prize Winner,
F. Seton Staley
SIM Program Investment Process
The investing philosophy of the SIM Program is based on a value investing approach,
specifically that fundamental analysis can be used to identify attractively priced securities in
the market. Because markets are inefficient in the short term, the market price of the
security can experience volatility around the “intrinsic value” of the security. Fundamental
analysis plays a role in determining the intrinsic value and then comparing that to how the
security is currently priced in the market. Stocks that are priced lower than the intrinsic
value are examined as potential additions to the SIM fund, while stocks that are priced higher
than the intrinsic value are not. The alignment of the SIM Program with this intrinsic value
philosophy causes the fund to be focused on large-cap value stocks with an eye towards
portfolio risk diversification as well.
In the classroom, students become active portfolio managers of the SIM Fund. They are
divided into market sector groups. Sector groups review the prior class sector presentations
and complete a detailed update. The groups present their sector outlooks to the class with
6
emphasis on business, economic, financial, and valuation analyses. The presentation ends
with a recommendation to overweight, market-weight, or underweight the SIM Fund’s
position relative to the S&P 500.
Following the sector round of presentations, each sector group assesses their current SIM
Fund holdings and evaluates alternative companies within the sector as possible additions.
Finally, the group makes another class presentation, in which they recommend buy, sell, or
hold for SIM Fund holdings or buy for securities outside of the SIM fund. The only
requirement for security additions is that the new stock(s) must be within the group’s
assigned market sector. After this round of presentations, a final class discussion and vote
takes place. The class engages in a group decision-making process and a majority rule applies
to the vote. The aggregate buys and sells are finalized, and trade orders get sent out to the
brokers.
To facilitate continuity, all market sector and security specific presentations are uploaded to
the SIM website under the “Class Info” section (www.fisher.osu.edu/fin/courses/sim or
www.buckeyefunds.com). Current students, as well as former and prospective students,
professors, SIM friends, and the general public, can review past class presentations on the
website. The individual investment reports of the Rosenfield Prize winners and runner-ups
are also available on the website.
7
SIM Program Performance: SIM versus S&P 500
The benchmark for the SIM fund is the S&P 500 Index. For the fiscal year ending June 30,
2015, the SIM portfolio’s net return was -0.33% compared to +7.42% for the S&P 500
benchmark. Figure 1 shows the relative performance of both for the fiscal year ending June
30, 2015. Figure 2 shows an overall 10-year relative performance.
Figure 1: SIM versus S&P 500 - Relative Performance - July 1, 2014 to June 30, 2015
Figure 2: SIM versus S&P 500 - Relative Performance - July 1, 2005 to June 30, 2015
8
Figure 3 shows the relative returns of the SIM Fund and the S&P 500 benchmark for different
time periods, including the last fiscal year, 3-year, 5-year, 10-year, and since inception time
intervals.
FY 2015 Return
S&P 500
SIM (Net of fees)
7.42%
-0.33%
3-Year
Return
17.31%
15.04%
5-Year 10-Year 15-Year Since Inception
Return Return Return (2/13/90)
17.34%
7.89%
5.35%
9.77%
13.67%
5.67%
2.43%
7.68%
Figure 3: SIM versus S&P 500 - Annualized Portfolio Return
Figure 4 gives an overview of the SIM portfolio as of June 30, 2015 and June 30, 2014. The
market value of the fund was $10.09m in 2013. Mid June 2014, the funding level of the SIM
Fund was pareds back by $3.0m, which explains the drop in total net assets. The number of
portfolio holdings decreased from 35 to 28.
Inception Date
Total Net Assets
Number of Equity Positions
Average Market Capitalization
Average Weighted Market Capitalization
Average P/E Ratio
Average P/B Ratio
Average Dividend Yield
30-Jun-15
2/13/1990
$10,086,585.50
28
$90,574.40
$96,036.34
19.4
3.68
1.81%
30-Jun-14
2/13/1990
$13,053,014.28
35
$86,813.00
$110,555.33
18.52
2.78
1.48%
Figure 4: SIM Fund Overview - June 30, 2015 versus June 30, 2014
As of fiscal year ending June 30, 2015, the SIM Fund was overweight relative to the S&P 500
in Financials, Health Care, Information Technology, and Telecommunication Services and
Utilities, while underweight in Consumer Discretionary, Consumer Staples, Energy,
Industrials, and Materials. The cash position in the SIM Fund represents 3.18% of the total
portfolio value. Figure 5 shows the sector weights in comparison to the benchmark. Figure 6
gives an overview of selected risk measures for the SIM Fund.
9
Sector Allocation
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
SIM
S&P 500
12.61%
8.39%
7.37%
17.76%
16.16%
9.41%
20.79%
2.25%
2.88%
3.00%
12.80%
9.43%
7.78%
16.63%
15.42%
10.09%
19.63%
3.13%
2.27%
2.82%
Figure 5: SIM versus S&P 500 - Sector Allocations - June 30, 2015
Risk Measures
Standard Deviation
SIM Fund
S&P 500
Sharpe Ratio
SIM Fund
S&P 500
Fiscal Year 3-Year 5-Year 10-Year
Since
Inception
10.73%
9.57%
9.91%
8.65%
14.26%
12.04%
16.76%
14.76%
16.97%
14.52%
-0.27
0.50
1.26
1.69
0.82
1.25
0.22
0.41
0.36
0.54
Figure 6: SIM versus S&P 500 - Risk Measures
Figure 7 shows the performance of the fund compared to the S&P 500 for each particular
month of the 2015 fiscal year. The SIM Fund was able to outperform its benchmark five
months out of the trailing twelve month period.
10
Monthly Returns
8.00%
7.04%
6.07%
6.00%
4.00%
SIM
S&P 500
4.00%
3.47%
2.44% 2.69%
1.94%
2.00%
1.11%
0.96%
1.29%
0.26%
0.00%
-0.03%
-0.25%
-2.00%
-1.12%
-1.38%
-1.40%
-1.15%
-1.68%
-1.88%
-1.74% -1.94%
-2.33%
-3.00%
-4.00%
-4.61%
-6.00%
Figure 7: SIM versus S&P 500 - Monthly Return Comparisons - July 1, 2014 to June 30, 2015
At the end of the 2015 fiscal year, the ten largest holidngs of the SIM Fund amounted to
$4,356,425, which equals almost 45% of the Fund’s total value. The largest holding was Eaton
Corp Pic with a market value of $479,173, equaling 4.93% of the SIM Fund.
Security
Ticker
Eaton Corp Pic
Citigroup Inc.
Vantiv
Molson Coors Brewing
Co
Wells Fargo &
Company
Fluor Corp.
Keycorp
Aetna Inc.
Gilead Sciences Inc.
Google Inc.
ETN
C
VNTV
Market
Value
$479,173
$469,540
$443,004
TAP
$439,803
4.53%
WFC
$438,672
4.52%
FLR
KEY
AET
GILD
GOOG
Total:
$434,682
$420,560
$418,069
$413,292
$399,630
$4,356,425
4.48%
4.33%
4.30%
4.26%
4.11%
44.85%
SIM Fund %
Figure 8: SIM Fund Top Ten Holdings - June 30, 2015
11
4.93%
4.83%
4.56%
Appendix 1: SIM Fund Holdings – June 30, 2015
Ticker
Security
AES
AES Corp/The
ATVI
Activision Blizzard Inc
AET
Aetna Inc.
AAPL
Apple Inc.
CVX
Chevron Corp.
C
Citigroup Inc.
CMCSA
Comcast Corp.
COP
Conocophilips
DTV
DirecTV
ETN
Eaton Corp Plc
EMC
EMC Corp
ECL
Ecolab Inc
FLR
Fluor Corp.
GILD
Gilead Sciences Inc.
GOOGL
Google Inc.
HOG
Harley Davidson
KEY
Keycorp
MCK
Mckesson Corp
KORS Michael Kors Holdings Limited
TAP
Molson Coors Brewing Co
QCOM
Qualcomm Inc.
SCI Service Corp International/US
STI
Suntrust Banks Inc
TCK
Teck Resources Ltd.
TEVA Teva Pharmaceutical Industries
VNTV
Vantiv Inc.
VZ
Verizon Communications Inc
WFC
Wells Fargo & Company
WFM
Whole Foods Market Inc
Quantity Unit Cost
22,000
8,400
3,280
2,400
3,600
8,500
3,500
6,000
2,700
7,100
14,200
1,000
8,200
3,530
740
5,400
28,000
1,520
3,300
6,300
4,740
10,900
9,200
10,620
6,700
11,600
6,000
7,800
9,500
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
12
14.36
23.29
68.05
46.63
88.48
52.58
41.95
79.89
48.88
70.58
24.94
110.22
60.63
26.50
466.58
56.80
13.91
171.31
73.96
53.37
65.05
20.53
39.63
18.29
51.24
30.26
50.72
35.19
48.64
Market
Price
$
13.26
$
24.21
$
127.46
$
125.43
$
96.47
$
55.24
$
60.14
$
61.41
$
92.79
$
67.49
$
26.39
$
113.07
$
53.01
$
117.08
$
540.04
$
56.35
$
15.02
$
224.81
$
42.09
$
69.81
$
62.63
$
29.43
$
43.02
$
9.91
$
59.10
$
38.19
$
46.61
$
56.24
$
39.44
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
Market
SIM Fund %
Value
291,720
3.00%
203,364
2.09%
418,069
4.30%
301,020
3.10%
347,292
3.58%
469,540
4.83%
210,490
2.17%
368,460
3.79%
250,533
2.58%
479,179
4.93%
374,738
3.86%
113,070
1.16%
434,682
4.48%
413,292
4.26%
399,630
4.11%
304,290
3.13%
420,560
4.33%
341,711
3.52%
138,897
1.43%
439,803
4.53%
296,866
3.06%
320,787
3.30%
395,784
4.08%
105,244
1.08%
395,970
4.08%
443,004
4.56%
279,660
2.88%
438,672
4.52%
374,680
3.86%
Appendix 2: SIM Fund BUY Transactions – July 1, 2014 to June 30, 2015
BUY
Ticker
Security
SUMMER TERM
Trade Date: July 23, 2014
Unit
Cost
Quantity
Total Cost
Settlement Date: July 28, 2014
COP
ConocoPhillips
4,000
$
AES
AES Corporation
9000
PCP
Precision Castparts Corp
200
EMN
Eastman Chemical Co
100
$
88.00 $
(8,805.25)
ECL
Ecolab Inc
1000
$
110.17 $
(110,215.00)
ATVI
Activision Blizzard
6,100
$
23.26 $
(142,165.99)
EMC
EMC Corp
3500
$
28.69 $
(100,573.90)
VZ
Verizon Communications Inc.
5,000
$
51.05 $
(255,478.00)
KEY
Keycorp
8500
$
13.65 $
(116,440.65)
STI
SunTrust Banks, Inc.
6,000
$
38.16 $
(229,246.80)
WFC
Wells Fargo & Company
270
$
51.52 $
(13,922.98)
Ticker
Security
FALL SEMESTER
Quantity
Trade Date: December 3, 2014
KORS
Michael Kors Holding
AES
AES Corp/The
ETN
TCK
86.26 $
(345,223.20)
$
15.19 $
(137,121.30)
$
253.44 $
(50,698.52)
Unit
Cost
Total Cost
Settlement Date: December 8, 2014
3000
$75.04
$
(225,261.60)
13000
$13.70
$
(178,705.80)
Eaton Corporation
3000
$70.08
$
(210,398.70)
Teck Resources Ltd.
6400
$15.52
$
(99,675.52)
VZ
Verizon Communications Inc
1000
$48.81
$
(48,860.30)
WFC
Wells Fargo & Company
500
$54.27
$
(27,158.30)
TEVA
Teva Pharmaceutical Industries
2500
$57.35
$
(143,501.75)
Quantity
Unit
Cost
Ticker
Security
SPRING SEMESTER
Trade Date: May 4, 2015
Total Cost
Settlement Date: May 7, 2015
ETN
Eaton Corp
4100
70.8632
$
(290,744.12)
FLR
Fluor Corp.
4200
$58.74
$
(246,910.02)
ATVI
Activision Blizzard Inc
2300
$23.20
$
(53,473.39)
QCOM
Qualcomm Inc.
1500
$69.33
$
(104,062.50)
KEY
Keycorp
4000
$14.61
$
(58,627.60)
STI
Suntrust Banks Inc
3200
$42.24
$
(135,337.28)
SCI
Service Corp International/US
1900
$27.70
$
(52,725.00)
KORS
Michael Kors Holdings Limited
300
$62.68
$
(18,818.01)
HOG
Harley Davidson Inc.
5400
$56.75
$
(306,720.00)
CMCSA
Comcast Corp.
200
$58.84
$
(11,777.76)
WFM
Whole Foods Market
9500
$48.59
$
(462,080.00)
CVX
Chevron Corp.
200
$108.30
$
(21,670.00)
COP
Conocophilips
2000
$67.01
$
(134,118.60)
13
Appendix 3: SIM Fund SELL Transactions – July 1, 2014 to June 30, 2015
SELL
Ticker
Security
SUMMER TERM
Trade Date: July 23, 2014
Quantity
Unit Cost
Total Cost
Settlement Date: July 28, 2014
ANF
Abercrombie & Fitch Co
1600
$38.61
$
61,700.87
CMCSA
Comcast Corp.
1500
$54.50
$
81,677.99
DTV
DirecTV
1100
$86.63
$
95,232.92
SCI
Service Corp International/US
3300
$20.39
$
67,134.04
TUMI
Tumi Holdings Inc.
2500
$20.01
$
49,910.64
KO
Coca-Cola Co/The
1500
$40.76
$
61,069.19
TAP
Molson Coors Brewing Co
3700
$72.51
$
268,094.96
CVX
Chevron Corp.
1100
$133.28
$
146,545.80
MRO
Marathon Oil Corp
10000
$40.59
$
405,423.02
NOV
National Oilwell Varco Inc
500
$85.99
$
42,970.79
DNOW
Now INC/DE
750
$33.46
$
25,059.19
NRG
NRG Energy Inc.
2150
$31.78
$
68,225.72
XEL
XCEL Energy Inc.
4000
$31.57
$
126,091.60
FLR
Fluor Corp.
3000
$78.22
$
234,490.11
MOS
Mosaic Company/The
3500
$47.42
$
165,786.78
TCK
Teck Resources Ltd.
480
$23.82
$
11,411.60
AAPL
Apple Inc.
2000
$97.31
$
194,523.09
GPN
Global Payments Inc
5200
$74.02
$
384,645.37
GOOGL
Google Inc.
250
$606.46
$
151,599.22
GOOG
Google Inc.
290
$597.25
$
173,182.72
QCOM
Qualcomm Inc.
1110
$81.80
$
90,744.04
VNTV
Vantiv Inc.
180
$34.35
$
6,174.35
T
At&t Inc
10000
$35.94
$
358,900.05
COF
Capital One Financial Corp
3000
$82.17
$
246,339.85
C
Citigroup Inc.
680
$50.35
$
34,206.57
JPM
JPMorgan Chase & Co
2340
$59.12
$
138,229.87
AET
Aetna Inc.
1480
$84.54
$
125,036.36
GILD
Gilead Sciences Inc.
3620
$89.66
$
324,373.78
MCK
Mckesson Corp
630
$190.59
$
120,035.21
TEVA
Teva Pharmaceutical Industries
2000
$54.95
$
109,790.97
Quantity
Unit Cost
Ticker
Security
FALL SEMESTER
Trade Date: December 3, 2014
Total Cost
Settlement Date: December 8, 2014
ANF
Abercrombie & Fitch Co.
9400
$29.11
$
273,189.91
TUMI
TUMI HOLDINGS INC.
7500
$21.87
$
163,647.13
KO
COCA-COLA
500
$43.96
$
21,952.01
NRG
NRG Energy Inc.
6350
$29.42
$
186,496.64
EMN
Eastman Chemical Co
1200
$84.14
$
100,900.49
C
Citigroup Inc.
320
$54.65
$
17,472.73
AET
Aetna Inc.
840
$89.15
$
74,841.01
MCK
Mckesson Corp
350
$210.98
$
73,823.17
14
Ticker
Security
SPRING SEMESTER
Trade Date: May 4, 2015
Quantity
Unit Cost
Total Cost
Settlement Date: May 7, 2015
AAPL
Apple Inc
2600
128.9151
$
335,043.09
VNTV
Vantiv Inc
2400
$40.56
$
97,217.17
C
Citigroup Inc
500
$54.18
$
27,066.00
JPM
JP Morgan Chase & Co.
7160
$64.68
$
462,745.14
WFC
Wells Fargo & Co
700
$55.62
$
38,896.25
TEVA
Teva Pharmaceuticals
1300
$62.01
$
80,549.51
KO
Coca-Cola Co/The
11000
$40.89
$
449,259.22
NOV
National Oilwell Varco Inc
2500
$54.84
$
136,961.73
PCP
Precision Castparts Corp
1800
$208.87
$
375,875.20
15
Appendix 4: SIM Fund Dividends Received – July 1, 2014 to June 30, 2015
Date
Total Net Amount
COCA-COLA CO/THE
EASTMAN CHEMICAL CO
MCKESSON CORP
FLUOR CORP
TECK RESOURCES LTD
XCEL ENERGY INC
COMCAST CORP
EMC CORP/MA
AETNA INC
JPMORGAN CHASE & CO
AT&T INC
APPLE INC
AES CORP/THE
NRG ENERGY INC
CITIGROUP INC
Company
7/1/2014
7/1/2014
7/1/2014
7/2/2014
7/2/2014
7/21/2014
7/23/2014
7/23/2014
7/25/2014
7/31/2014
8/1/2014
8/14/2014
8/15/2014
8/15/2014
8/22/2014
$3,965
$385
$600
$1,470
$1,981
$1,200
$1,080
$1,231
$1,260
$3,800
$4,600
$2,350
$450
$889
$93
WELLS FARGO & CO
9/2/2014
$2,800
9/4/2014
9/10/2014
9/10/2014
9/15/2014
9/15/2014
9/15/2014
9/24/2014
9/26/2014
9/29/2014
9/30/2014
10/1/2014
10/1/2014
10/1/2014
10/2/2014
10/15/2014
10/22/2014
10/23/2014
10/31/2014
10/31/2014
11/3/2014
11/13/2014
11/17/2014
11/17/2014
11/26/2014
12/1/2014
12/1/2014
12/2/2014
12/10/2014
12/10/2014
12/15/2014
12/15/2014
12/15/2014
12/15/2014
12/18/2014
12/19/2014
12/29/2014
$1,884
$1,880
$3,638
$1,560
$2,331
$1,200
$1,361
$1,150
$54
$810
$3,508
$420
$449
$840
$275
$743
$1,633
$927
$2,864
$2,750
$2,350
$450
$889
$93
$2,920
$2,800
$1,744
$1,880
$3,638
$3,508
$1,560
$2,331
$1,200
$1,361
$1,150
$54
TEVA PHARMACEUTICAL
ABERCROMBIE & FITCH CO
CHEVRON CORP
KEYCORP
MOLSON COORS BREWING CO
SUNTRUST BANKS INC
QUALCOMM INC
NATIONAL OILWELL VARCO
PRECISION CASTPARTS CORP
SERVICE CORP
COCA-COLA CO/THE
EASTMAN CHEMICAL CO
MCKESSON CORP
FLUOR CORP
ECOLAB INC
COMCAST CORP
EMC CORP/MA
AETNA INC
JPMORGAN CHASE & CO
VERIZON COMMUNICATIONS
APPLE INC
AES CORP/THE
NRG ENERGY INC
CITIGROUP INC
CONOCOPHILLIPS
WELLS FARGO & CO
TEVA PHARMACEUTICAL
ABERCROMBIE & FITCH CO
CHEVRON CORP
COCA-COLA CO/THE
KEYCORP
MOLSON COORS BREWING CO
SUNTRUST BANKS INC
QUALCOMM INC
NATIONAL OILWELL VARCO
PRECISION CASTPARTS CORP
Company
SERVICE CORP
MCKESSON CORP
TECK RESOURCES LTD
FLUOR CORP
ECOLAB INC
EMC CORP/MA
COMCAST CORP
AETNA INC
JPMORGAN CHASE & CO
VERIZON COMMUNICATIONS
APPLE INC
AES CORP/THE
CITIGROUP INC
CONOCOPHILLIPS
WELLS FARGO & CO
TEVA PHARMACEUTICAL
CHEVRON CORP
KEYCORP
MOLSON COORS BREWING CO
SUNTRUST BANKS INC
EATON CORP PLC
QUALCOMM INC
NATIONAL OILWELL VARCO
PRECISION CASTPARTS CORP
SERVICE CORP
COCA-COLA CO/THE
MCKESSON CORP
FLUOR CORP
ECOLAB INC
COMCAST CORP
EMC CORP/MA
AETNA INC
JPMORGAN CHASE & CO
VERIZON COMMUNICATIONS
ACTIVISION BLIZZARD INC
APPLE INC
AES CORP/VA
EATON CORP PLC
CITIGROUP INC
CONOCOPHILLIPS
WELLS FARGO & CO
TEVA PHARMACEUTICAL
TEVA PHARMACEUTICAL
TEVA PHARMACEUTICAL
CHEVRON CORP
HARLEY-DAVIDSON INC
KEYCORP
MOLSON COORS BREWING CO
SUNTRUST BANKS INC
QUALCOMM INC
GILEAD SCIENCES INC
SERVICE CORP
INTERNATIONAL/US
16
Date
Total Net Amount
12/31/2014
1/2/2015
1/2/2015
1/5/2015
1/15/2015
1/23/2015
1/28/2015
1/30/2015
2/2/2015
2/2/2015
2/12/2015
2/17/2015
2/27/2015
3/2/2015
3/2/2015
3/3/2015
3/10/2015
3/13/2015
3/16/2015
3/16/2015
3/20/2015
3/25/2015
3/27/2015
3/30/2015
3/31/2015
4/1/2015
4/1/2015
4/2/2015
4/15/2015
4/22/2015
4/23/2015
4/24/2015
4/30/2015
5/1/2015
5/13/2015
5/14/2015
5/15/2015
5/22/2015
5/22/2015
6/1/2015
6/1/2015
6/4/2015
6/4/2015
6/4/2015
6/10/2015
6/12/2015
6/15/2015
6/15/2015
6/15/2015
6/24/2015
6/29/2015
$810
$449
$4,075
$840
$330
$1,633
$743
$820
$2,864
$3,300
$2,350
$2,200
$90
$2,920
$2,975
$2,764
$3,638
$1,560
$2,583
$1,200
$1,650
$1,361
$1,150
$54
$900
$3,630
$365
$840
$330
$825
$1,633
$820
$2,864
$3,300
$1,403
$1,248
$2,200
$1,650
$425
$4,380
$2,925
$2,278
($2,278)
$2,278
$3,852
$1,674
$2,100
$2,583
$2,208
$2,275.20
$1,517.90
6/30/2015
$1,090.00
Appendix 5: SIM Fund Net Interest Received – July 1, 2014 to June 30, 2015
Date
Total Amount
Dreyfus Cash Management
7/1/2014
$4.20
8/1/2014
$9.31
9/1/2014
$1.73
10/1/2014
$2.01
11/1/2014
$2.44
12/1/2014
$2.62
1/1/2015
$2.76
2/1/2015
$3.00
3/1/2015
$2.97
4/1/2015
$3.72
5/1/2015
$4.86
6/1/2015
$8.76
Appendix 6: SIM Fund Management Fees – July 1, 2014 to June 30, 2015
Date
Portfolio Value
Fee
Dreyfus Cash Management Fund
9/30/2014 $10,012,738.67 $ 25,012.18
12/31/2014 $10,033,888.15 $ 25,066.01
3/31/2015 $10,072,646.59 $ 25,159.04
6/30/2015 $10,086,585.80 $ 25,216.46
Appendix 6: Rosenfield Family Prizes for Excellence in Security Analysis – July 1,
2014 to June 30, 2015
Date
Winner
SIM Security
Runner-Up
SIM Security2
Summer
2014
F. Seton Staley
Teva
Mike Rantilla
KeyCorp
Autumn
2014
Alex Fullerton
EMC
Hao Lu
GILD
Spring
2015
Mehdi
Mirsaneh
QCOM
Luxi Nie
GILD
17
Appendix 6: SIM Portfolio Methodology – June 2015
Portfolio Objective
The Student Investment Management (SIM) portfolio seeks to achieve long-term returns
greater than the S&P 500 benchmark.
Portfolio Philosophy
The SIM portfolio applies rigorous valuation methods to find attractive equity investment
opportunities. The portfolio team has a long-term (infinite) time horizon.
Asset Allocation
The portfolio will attempt to be fully invested in equities, with cash holdings less than 5%
of the portfolio.
Sector Selection
The SIM portfolio will remain nearly sector neutral, with sector allocation of +/- 100bps
vs. the benchmark S&P 500. Rebalancing will occur at the end of each semester.
Stock Selection
The stock selection universe will be sourced from the S&P 500 Index and will primarily be
comprised of large market capitalization stocks. The primary driver of stock selection is
Discounted Cash Flow (DCF) analysis, which adjusts for differences in accounting
methodologies across various sectors and industries, additionally incorporating varying levels
of risk through the discount rate. The team seeks to determine the underlying value of the
company, with the goal of buying stocks that trade at a discount to intrinsic value. The team
will also use other valuation techniques, including P/E, P/B, P/S, EV/EBITDA, and sum-ofparts as secondary valuation measures to determine which stocks are attractively priced.
Additionally, because the fund will remain nearly sector neutral, the class will use relative
valuation to find stocks within a sector that are less expensive than their peers.
Risk Controls/ Portfolio Characteristics
The portfolio will be concentrated in nature, typically holding between 30 and 50 long stock
positions and have a large cap risk profile. No single security position will be greater than 5%
of the portfolio. In order to mitigate risk, the portfolio will remain nearly sector neutral vs. the
S&P 500, with sector allocation of +/- 100bps relative to the benchmark. The portfolio will be
rebalanced at the end of each semester to bring sector/stock bets back into the aforementioned
ranges. In the event the portfolio appreciates above the threshold, it will be sold down to $10
million when trades are executed at the end of each semester.
18