Student Investment
Management (SIM) Fund
Annual Report June 2012
___________________________
Max M. Fisher College of
Business
The Ohio State University
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
sim@fisher.osu.edu
1 Acknowledgements:
The SIM Fund family would like to thank:
Dr. Kewei Hou – SIM Director and FCOB
The Rosenfield Family and Frank
Bettendorf Group – donors, for offering
Professor
scholarships that support the SIM Program
Adam Robertson – SIM class Lecturer
Royce West – SIM class Lecturer
Gary Leimbach, Natalie Darner, and
Richard Adams – Controller’s Office, for
SIM Class Guest Speakers
Ankita Agarwal – former SIM GA
managing the SIM Fund and all University
endowment funds
Jonathan Hook and Scott Adams – The
Caroline Su – Director of Development, for
Office of Investments
planning the SIM trips every quarter
(semester)
Fisher and OSU Alumni Hosts:
Hosts in Chicago
May 2012
Hosts in Chicago
February 2012
Mark Ibanez
Mike Harrington
J. Brian Mullen
VP, Global Real Assets
JPMorgan Asset
Management
President
Oak Ridge Investments
Managing Director
Coady Diemar Partners
Patrick Kempton
Bruce Heyman
Tim Gallagher
Managing Director
Goldman Sachs Private
Wealth Management
Managing Director
Morgan Stanley
Don Yannias
Retired Manager
Neuberger Berman
Principal
Prudential Mortgage
Capital Company
Karl Frey
Managing Director
Mesirow Financial
President
Boker Investment
Management
Rob McVicker
Karl Frey
EVP and Sr. Portfolio
Manager
Managing Director
Mesirow Financial
Brian King
Industrial/Financial
Analyst
Oak Ridge Investments
Mikus Kins
Executive Director,
Business Development
AlphaMetrix
Hosts in New York
August 2011
Chicago Board Options
Exchange
Peter York
Managing Director
JPMorgan
2 Norman Pessin
Elizabeth Mily
Managing Director of
Global M&A
Barclays
Bloomberg
Dennis Shibiko
Executive Director
JPMorgan Alternative
Investments
Goldman Sachs
Table of Contents:
History of the Student Investment Management (SIM) Program …….. 4
SIM Program Objectives and Philosophy .………………………………… 5
SIM Program Investment Process …..……………………………………… 7
SIM Program Performance: SIM vs. S&P 500 ……….…………………… 8
Appendices:
SIM Fund Holdings – June 30, 2012 ……………………………………… 12
SIM Fund BUY Transactions – July 1, 2011 to June 30, 2012 ……….. 13
SIM Fund SELL Transactions – July 1, 2011 to June 30, 2012 .……... 15
SIM Fund Dividends Received – July 1, 2011 to June 30, 2012 ……… 17
SIM Fund Net Interest Received – July 1, 2011 to June 30, 2012 ..….. 19
SIM Fund Management Fees – July 1, 2011 to June 30, 2012 ….…….. 19
Rosenfield Family Prizes for Excellence in Security Analysis ………… 19
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, OSU’s 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. So far, 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, quarterly 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 quarterly visits to
New York and Chicago.
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 invited three 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
SIM class trip to Chicago – CBOE – Winter 2009
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. The Program sponsors quarterly student
trips to major U.S. financial markets, such as New York, Chicago, and even Hong Kong.
While on these trips, the SIM students meet with professionals, often Fisher or OSU alumni,
in the investment industry.
5 From an academic perspective, the SIM Program focuses on developing the students’
understandings 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
by 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.
The Rosenfield Prize: Thanks to a generous donation from OSU alumni Jack and Dan
Rosenfield, the SIM Program continues a quarterly (semester) in which the SIM students are
required to prepare an investment report on their assigned stocks in the SIM fund. Each
quarter (semester), two prizes are awarded: $2,000 for winner and $500 for the runner-up.
The students also gain a competitive advantage in security analysis for any future internship
or full-time employment opportunities.
Professor Hou (left) with Autumn 2010 Rosenfield Prize winner David Clark-Joseph (right)
6 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
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.buckeeyefunds.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,
2012, the SIM portfolio’s net return was -1.73 % compared to +5.84 % for the S&P 500
benchmark. Figure 1 shows the relative performance of both for the fiscal year ending June
30, 2012. Figure 2 shows an overall 10-year relative performance.
Relative Performance -­‐ TTM 115 110 105 100 95 SIM 90 S&P 500 Total Return 85 80 Figure 1: SIM versus S&P 500 -­‐ Relative Performance -­‐ July 1, 2011 to June 30, 2012
Relative Performance -­‐ 10-­‐Year 200.00 180.00 160.00 140.00 SIM 120.00 S&P 500 Total Return 100.00 80.00 Figure 2: SIM versus S&P 500 -­‐ Relative Performance -­‐ July 1, 2003 to June 30, 2012 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.
S&P 500
SIM (Net
of fees)
FY 2012
Return
3-Year
Return
5-Year
Return
10-Year
Return
15-Year
Return
Since
Inception
(2/13/90)
5.45 %
-1.00 %
16.40 %
7.12 %
0.22 %
-4.03 %
5.33 %
3.49 %
4.77 %
3.76 %
8.80 %
6.75 %
Figure 3: SIM versus S&P 500 -­‐ Annualized Portfolio Return
Figure 4 gives an overview of the SIM portfolio as of June 30, 2012 and June 30, 2011. The
market value of the fund was $21.6m in 2011. In September, the funding level of the SIM
Fund was cut back by $9.0m, which explains the drastic drop in total net assets. The number
of portfolio holdings increased from 28 to 31.
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
June 30, 2012
June 30, 2011
February 13, 1990
$ 11,576,852.73
31
$ 86,616.45
February 13, 1990
$ 21,660,115.27
28
$ 78,507.93
$ 95,443.37
$ 88,520.49
12.09
46.71
1.56 %
13.53
3.11
1.41 %
Figure 4: SIM Fund Overview -­‐ June 30, 2012 versus June 30, 2011 9 As of fiscal year ending June 30, 2012, the SIM Fund was overweight relative to the S&P 500
in Consumer Staples, Health Care, Information Technology, and Utilites, while underweight
in Consumer Discretionary, Energy, Financials, Industrials, Materials, and
Telecommunication Services. The cash position in the SIM Fund represents 4.38% of the total
portfolio value. Figure 5 shows the sector weights in comparison to the benchmark.
Sector Allocations 22% 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% S&P 500 SIM Figure 5: SIM versus S&P 500 -­‐ Sector Allocations -­‐ June 30, 2012 Figure 6 gives an overview of selected risk measures for the SIM Fund.
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
5.98 %
5.25 %
5.27 %
4.65 %
6.29 %
5.54 %
5.08%
4.57 %
5.12%
4.37 %
0.2575
0.8119
-0.6904
-1.2986
0.2936
0.7720
1.4495
2.0052
-1.3083
-0.4230
Figure 6: SIM versus S&P 500 -­‐ Risk Measures 10 Figure 7 shows the performance of the fund compared to the S&P 500 for each particular
month of the 2012 fiscal year. The SIM Fund was able to outperform its benchmark in five out
the trailing twelve month period.
Monthly Returns 15.00% 11.54% 10.93% 10.00% 4.57% 4.48% 5.00% 5.85% 4.32% 4.12% 3.13% 3.29% 1.92% 1.71% 1.02% -­‐0.63% 0.06% SIM 0.00% S&P500 -­‐0.22% -­‐5.00% -­‐1.67% -­‐3.05% -­‐6.20% -­‐2.56% -­‐5.43% -­‐6.01% -­‐7.03% -­‐10.00% -­‐7.91% -­‐8.81% Figure 7: SIM versus S&P 500 -­‐ Monthly Return Comparisons -­‐ July 1, 2011 to June 30, 2012 At the end of the 2011 fiscal year, the ten largest holidngs of the SIM Fund amounted to
$4,758,991, which equals just over 40% of the Fund’s total value. The largest holding was
CVS Caremark Corp. with a market value of $542,068, equaling 4.68% of the SIM Fund.
Security
Ticker
Market Value
SIM Fund %
CVS Caremark Corp.
Chevron Corp.
Corning Inc.
Apple Inc.
Wal-Mart Stores Inc.
DIRECTV
JPMorgan Chase & Co.
Gilead Sciences Inc.
Google Inc.
Intel Corp.
CVS
CVX
GLW
AAPL
WMT
DTV
JPM
GILD
GOOG
INTC
Total:
$ 542,068
$ 516,950
$ 502,977
$ 461,360
$ 460,152
$ 458,908
$ 457,344
$ 456,392
$ 452,455
$ 450,385
$ 4,758,991
4.68 %
4.47 %
4.34 %
3.99 %
3.97 %
3.96 %
3.95 %
3.94 %
3.91 %
3.89 %
41.11 %
Figure 8: SIM Fund Top Ten Holdings -­‐ June 30, 2012
11 Appendix 1: SIM Fund Holdings – June 30, 2012
Ticker
Security
Quantity
Unit Cost
Market Price
Market Value
SIM Fund %
ALB
AAPL
BAC
Albemarle Corp.
Apple Inc.
Bank of America
Corp.
Caterpillar Inc.
Chevron Corp.
Cliffs Natural
Resources Inc.
Coach, Inc.
Corning Inc.
CVS Caremark
Corp.
Danaher Corp.
DIRECTV
EOG Resources, Inc.
General Motors Co.
Gilead Sciences Inc.
Google Inc.
Hewlett-Packard Co.
Intel Corp.
JPMorgan Chase &
Co.
Lincoln National
Corp.
Nabors Industries
Ltd.
NII Holdings Inc.
NRG Energy, Inc.
Oracle Corp.
Pfizer Inc.
Philip Morris
International, Inc.
Schlumberger Ltd.
Teva
Pharmaceutical
Industries Ltd.
Wal-Mart Stores
Inc.
Waste Management,
Inc.
WellPoint Inc.
Wells Fargo & Co.
1,800
790
49,500
$ 60.79
$ 250.25
$ 7.18
$ 59.64
$ 584.00
$ 8.18
$ 107,352.00
$ 461,360.00
$ 404,910.00
0.93 %
3.99 %
3.50 %
4,700
4,900
7,800
$ 110.28
$ 78.99
$ 64.73
$ 84.91
$ 105.50
$ 49.29
$ 399,077.00
$ 516,950.00
$ 384,462.00
3.45 %
4.47 %
3.32 %
4,800
38,900
11,600
$ 63.79
$ 16.77
$ 28.77
$ 58.48
$ 12.93
$ 46.73
$ 280,704.00
$ 502,977.00
$ 542,068.00
2.42 %
4.34 %
4.68 %
4,800
9,400
2,200
21,500
8,900
780
16,000
16,900
12,800
$ 50.53
$ 47.18
$ 94.59
$ 29.54
$ 46.35
$ 587.20
$ 40.58
$ 21.72
$ 40.06
$ 52.08
$ 48.82
$ 90.11
$ 19.72
$ 51.28
$ 580.07
$ 20.11
$ 26.65
$ 35.73
$ 249,984.00
$ 458,908.00
$ 198,242.00
$ 423,980.00
$ 456,392.00
$ 452,454.60
$ 321,760.00
$ 450,385.00
$ 457,344.00
2.16 %
3.96 %
1.71 %
3.66 %
3.94 %
3.91 %
2.78 %
3.89 %
3.95 %
13,400
$22.51
$21.87
$ 293,058.00
2.53 %
20,800
$ 18.56
$ 14.40
$ 299,520.00
2.59 %
19,000
25,200
7,800
13,900
4,250
$ 16.68
$ 16.88
$ 30.12
$ 18.17
$ 68.07
$ 10.23
$ 17.36
$ 29.70
$ 23.00
$ 87.26
$ 194,370.00
$ 437,472.00
$ 231,660.00
$ 319,700.00
$ 370,855.00
1.68 %
3.78 %
2.00 %
2.76 %
3.20 %
1,900
8,900
$ 76.17
$ 50.26
$ 64.91
$ 39.44
$ 123,329.00
$ 351,016.00
1.07 %
3.03 %
6,600
$ 51.21
$ 69.72
$ 460,152.00
3.97 %
10,000
$ 32.30
$ 33.40
$ 334,000.00
2.89 %
6,400
5,100
$ 64.52
$ 29.49
$ 63.79
$ 33.44
$ 408,256.00
$ 170,544.00
3.53 %
1.47 %
CAT
CVX
CLF
COH
GLW
CVS
DHR
DTV
EOG
GM
GILD
GOOG
HPQ
INTC
JPM
LNC
NBR
NIHD
NRG
ORCL
PFE
PM
SLB
TEVA
WMT
WM
WLP
WFC
12 Appendix 2: SIM Fund BUY Transactions – July 1, 2011 to June 30, 2012
Ticker
SUMMER
AMT
AMGN
T
COP
GOOG
IP
LNC
PFE
PM
WFC
Security
Quantity
TERM
Trade Date: August 26, 2011
American Tower Corp.
7,500
Amgen Inc.
10,000
AT&T, Inc.
15,000
ConocoPhillips
9,500
Google Inc.
100
International Paper Co.
2,000
Lincoln National Corp.
10,000
Pfizer Inc.
27,500
Philip Morris International,
4,100
Inc.
Wells Fargo & Co.
4,000
FALL TERM
Trade Date: December 6, 2011
AMGN
Amgen Inc.
900
BAC
Bank of America Corp.
20,000
GLW
Corning Inc.
3,600
CCK
Crown Holdings Inc.
5,500
DHR
Danaher Corp.
1,300
FLS
Flowserve Corp.
500
GM
General Motors Co.
4,600
GOOG
Google Inc.
80
JPM
JPMorgan Chase & Co.
1,800
MA
Mastercard Inc.
16,800
NIHD
NII Holdings Inc.
9,000
PPL
PPL Corp.
8,400
PEG
Public Service Enterprise
8,500
Group Inc.
TEVA
Teva Pharmaceutical
1,400
Industries Ltd.
UTX
United Technologies Corp.
12,600
XEL
Xcel Energy Inc.
5,800
WINTER TERM
Trade Date: March
BAC
Bank of America Corp.
CAT
Caterpillar Inc.
CLF
Cliffs Natural Resources Inc.
GLW
Corning Inc.
DTV
DIRECTV
EXPR
Express Inc.
GM
General Motors Co.
GILD
Gilead Sciences Inc.
GOOG
Google Inc.
HPQ
Hewlett-Packard Co.
NBR
Nabors Industries Ltd.
NRG
NRG Energy, Inc.
9, 2012
18,000
4,700
7,800
12,900
9,400
12,000
3,100
8,900
100
4,700
14,800
25,200
Unit Cost
Total Cost
SECID
Settlement Date: August 31, 2011
$ 48.88
029912201
$ 52.80
031162100
$ 28.53
00206R102
$ 63.76
20825C104
$ 514.61
38259P508
$ 24.49
460146103
$ 18.50
534187109
$ 17.82
717081103
$ 67.97
718172109
$ 23.93
949746101
Settlement Date: December 9, 2011
$ 57.60
031162100
$ 5.91
060505104
$ 13.63
219350105
$ 33.32
228368106
$ 47.51
235851102
$ 103.80
34354P105
$ 21.53
37045V100
$ 621.02
38259P508
$ 33.18
46625H100
$ 370.25
57636Q104
$ 22.27
62913F201
$ 29.86
69351T106
$ 32.08
744573106
$ 40.08
881624209
$ 75.79
$ 26.12
913017109
98389B100
Settlement Date: March 14, 2012
$ 8.21
060505104
$ 110.28
149123101
$ 64.73
18683K101
$ 13.50
219350105
$ 47.18
25490A101
$ 25.84
30219E103
$ 25.67
37045V100
$ 46.35
375558103
$ 610.03
38259P508
$ 24.51
428236103
$ 20.46
G6359F103
$ 16.88
629377508
13 ORCL
PFE
SLB
TEVA
WLP
Oracle Corp.
Pfizer Inc.
Schlumberger Ltd.
Teva Pharmaceutical
Industries Ltd.
WellPoint Inc.
7,800
2,200
2,900
700
$ 30.12
$ 21.73
$ 76.17
$ 44.83
68389X105
717081103
806857108
881624209
6,400
$ 64.52
94973V107
SPRING TERM
Trade Date: June 6, 2012
ALB
Albemarle Corp.
1,800
BAC
Bank of America Corp.
11,500
CVX
Chevron Corp.
400
COH
Coach, Inc.
4,800
EOG
EOG Resources Inc.
2,200
NBR
Nabors Industries Ltd.
6,000
NIHD
NII Holdings Inc.
10,000
WM
Waste Management, Inc.
10,000
Settlement Date: June 11, 2012
$ 60.79
$ 7.78
$ 98.70
$ 63.79
$ 94.60
$ 13.86
$ 11.66
$ 32.30
14 012653101
060505104
166764100
189754104
26875P101
G6359F103
62913F201
94106L109
Appendix 3: SIM Fund SELL Transactions – July 1, 2011 to June 30, 2012
Ticker
SUMMER
AAPL
BBY
CVX
JNJ
MDT
MET
NIHD
Security
Quantity
TERM
Trade Date: August 26, 2011
Apple Inc.
650
Best Buy Co. Inc.
4,000
Chevron Corp.
1,500
Johnson & Johnson
1,500
Medtronic, Inc.
13,500
MetLife, Inc.
17,000
NII Holdings Inc.
16,800
Unit Cost
Total Cost
SECID
Settlement Date: August 31, 2011
$ 372.01
037833100
$ 23.81
086516101
$ 93.61
166764100
$ 62.83
478160104
$ 33.02
585055106
$ 30.59
59156R108
$ 34.71
62913F201
MID-TERM
Trade Date: September 14, 2011
AMT
American Tower Corp.
3,500
T
AT&T, Inc.
7,200
AMGN
Amgen Inc.
4,800
AAPL
Apple Inc.
1,150
BBY
Best Buy Co. Inc.
7,600
CVS
CVS Caremark Corp.
10,700
CVX
Chevron Corp.
4,100
CMCSA
Comcast Corp.
14,500
COP
ConocoPhillips
4,500
GLW
Corning Inc.
20,600
DHR
Danaher Corp.
6,000
FLS
Flowserve Corp.
3,300
GM
General Motors Co.
12,700
GOOG
Google Inc.
600
HPQ
Hewlett-Packard Co.
10,400
INTC
Intel Corp.
15,500
IP
International Paper Co.
11,700
JPM
JPMorgan Chase & Co.
10,000
JNJ
Johnson & Johnson
6,200
LNC
Lincoln National Corp.
12,300
MA
Mastercard Inc.
1,200
MUR
Murphy Oil Corp.
3,400
PFE
Pfizer Inc.
13,200
PM
Philip Morris International,
5,600
Inc.
PEG
Public Service Enterprise
7,500
Group Inc.
TEVA
Teva Pharmaceutical
6,300
Industries Ltd.
RIG
Transocean Ltd.
5,600
UTX
United Technologies Corp.
3,800
WMT
Wal-Mart Stores Inc.
7,975
WFC
Wells Fargo & Co.
16,300
Settlement Date: September 19, 2011
$ 53.00
029912201
$ 28.07
00206R102
$ 54.52
031162100
$ 389.16
037833100
$ 23.30
086516101
$ 36.47
126650100
$ 96.25
166764100
$ 21.84
20030N101
$ 65.02
20825C104
$ 13.63
219350105
$ 44.11
235851102
$ 86.37
34354P105
$ 21.94
37045V100
$ 529.08
38259P508
$ 22.74
428236103
$ 20.87
458140100
$ 26.58
460146103
$ 32.23
46625H100
$ 63.37
478160104
$ 17.85
534187109
$ 331.89
57636Q104
$ 51.02
626717102
$ 18.15
717081103
$ 67.76
718172109
FALL TERM
Trade Date: December 6, 2011
BBY
Best Buy Co. Inc.
8,400
Settlement Date: December 9, 2011
$ 28.33
086516101
15 $ 33.26
744573106
$ 37.78
881624209
$ 57.29
$ 72.57
$ 51.92
$ 24.15
H8817H100
913017109
931142103
949746101
IP
MA
PM
PEG
UTX
International Paper Co.
Mastercard Inc.
Philip Morris International,
Inc.
Public Service Enterprise
Group Inc.
United Technologies Corp.
WINTER TERM
Trade Date: March
AMT
American Tower Corp.
T
AT&T, Inc.
AMGN
Amgen Inc.
AAPL
Apple Inc.
CMCSA
Comcast Corp.
CCK
Crown Holdings Inc.
FLS
Flowserve Corp.
IP
International Paper Co.
JNJ
Johnson & Johnson
MA
Mastercard Inc.
MUR
Murphy Oil Corp.
PPL
PPL Corp.
RIG
Transocean Ltd.
UTX
United Technologies Corp.
WMT
Wal-Mart Stores Inc.
WFC
Wells Fargo & Co.
XEL
Xcel Energy Inc.
6,500
17,000
1,000
$ 28.41
$ 372.27
$ 75.17
460146103
57636Q104
718172109
16,800
$ 32.60
744573106
13,500
$ 76.81
913017109
9, 2012
4,000
7,800
6,100
220
16,000
5,500
4,200
6,300
6,700
1,200
3,600
8,400
6,000
3,300
2,100
3,900
5,800
Settlement Date: March 14, 2012
$ 58.99
029912201
$ 31.01
00206R102
$ 67.92
031162100
$ 545.81
037833100
$ 29.66
20030N101
$ 36.28
228368106
$ 115.82
34354P105
$ 35.38
460146103
$ 64.83
478160104
$ 415.82
57636Q104
$ 60.66
626717102
$ 28.07
69351T106
$ 54.02
H8817H100
$ 83.43
913017109
$ 60.03
931142103
$ 31.65
949746101
$ 26.51
98389B100
SPRING TERM
Trade Date: June 6, 2012
AAPL
Apple Inc.
190
COP
ConocoPhillips
5,000
DHR
Danaher Corp.
3,100
EXPR
Express Inc.
12,000
PFE
Pfizer Inc.
2,600
PM
Philip Morris International,
750
Inc.
PSX
Phillips 66
2,500
SLB
Schlumberger Ltd.
1,000
WFC
Wells Fargo & Co.
8,700
Settlement Date: June 11, 2012
$ 572.77
$ 52.88
$ 50.86
$ 18.56
$ 21.71
$ 82.03
$ 31.10
$ 64.36
$ 30.77
16 037833100
20825C104
235851102
30219E103
717081103
718172109
718546104
806857108
949746101
Appendix 4: SIM Fund Dividends Received – July 1, 2011 to June 30, 2012
Date
Dividend
Shares
Total Amount
10/14/11 $ 0.32
3,700
$ 1,184
1/13/12
$ 0.32
4,200
$ 1,344
HPQ – Hewlett-Packard Co.
7/6/11
$ 0.12
21,700 $ 2,604
10/5/11
$ 0.12
21,700 $ 2,604
1/4/12
$ 0.12
11,300 $ 1,356
4/4/12
$ 0.12
16,000 $ 1,920
INTC – Intel Corp.
9/1/11
$ 0.21
32,400 $ 6,804
12/1/11
$ 0.21
16,900 $ 3,549
3/1/12
$ 0.21
16,900 $ 3,549
6/1/12
$ 0.21
16,900 $ 3,549
IP – International Paper Co.
9/15/11
$ 0.2625 22,500 $ 5,906.25
12/15/11 $ 0.2625 12,800 $ 3,360
3/15/12
$ 0.2625 6,300
$ 1653.75
JPM – JPMorgan Chase & Co.
8/1/11
$ 0.25
21,000 $ 5,250
10/31/11 $ 0.25
11,000 $ 2,750
1/31/12
$ 0.25
12,800 $ 3,200
4/30/12
$ 0.30
12,800 $ 3,840
JNJ – Johnson & Johnson
9/13/11
$ 0.57
14,400 $ 8,208
12/13/11 $ 0.57
6,700
$ 3,819
3/13/12
$ 0.57
6,700
$ 3,819
LNC – Lincoln National Corp.
8/1/11
$ 0.05
15,700 $ 785
11/1/11
$ 0.05
13,400 $ 670
2/1/12
$ 0.08
13,400 $ 1,072
5/1/12
$ 0.08
13,400 $ 1,072
MA – Mastercard Inc.
8/9/11
$ 0.15
2,600
$ 390
11/9/11
$ 0.15
1,400
$ 210
2/9/12
$ 0.15
1,200
$ 180
MDT – Medtronic, Inc.
7/29/11
$ 0.2425 13,500 $ 3,273.75
MUR – Murphy Oil Corp.
9/1/11
$ 0.275
7,000
$ 1,925
12/1/11
$ 0.275
3,600
$ 990
3/1/12
$ 0.275
3,600
$ 990
ORCL – Oracle Corp.
5/2/12
$ 0.06
7,800
$ 468
PPL – PPL Corp.
1/3/12
$ 0.35
8,400
$ 2,940
4/2/12
$0.36
8,400
$ 3,024
PFE – Pfizer Inc.
12/6/11
$ 0.2
14,300 $2,860
T – AT&T
11/1/11
$ 0.43
7,800
$ 3,354
2/1/12
$ 0.44
7,800
$ 3,354
AMGN – Amgen Inc.
12/8/11
$ 0.28
5,200
$ 1,456
3/7/12
$ 0.36
6,100
$ 2,196
BAC – Bank of America Corp.
3/23/12
$ 0.01
20,000 $ 200
6/22//12 $ 0.01
38,000 $ 380
BBY – Best Buy Co. Inc.
7/26/11
$ 0.15
20,000 $ 3,000
10/25/11 $ 0.16
8,400
$ 1,344
CVS – CVS Caremark Corp.
8/2/11
$ 0.125
22,300 $ 2,787.50
11/1/11
$ 0.125
11,600 $ 1,450
2/2/12
$ 0.1625 11,600 $ 1,885
5/3/12
$ 0.1625 11,600 $ 1,885
CAT – Caterpillar Inc.
5/21/12
$ 0.46
4,700
$ 2,162
CVX – Chevron Corp.
9/12/11
$ 0.78
10,000 $ 7,800
12/12/11 $ 0.81
4,400
$ 3,564
3/12/12
$ 0.81
4,400
$ 3,564
6/11/12
$ 0.90
4,400
$ 3,960
CLF - Cliffs Natural Resources Inc.
6/1/12
$ 0.625
7,800
$ 4,875
CMCSA – Comcast Corp.
7/27/11
$ 0.1125 30,500 $ 3,431.25
10/26/11 $ 0.1125 16,000 $ 1,800
1/25/12
$ 0.1125 16,000 $ 1,800
COP – ConocoPhillips
12/1/11
$ 0.66
5,000
$ 3,300
3/1/12
$ 0.66
5,000
$ 3,300
6/1/12
$ 0.66
5,000
$ 3,300
GLW – Corning Inc.
9/30/11
$ 0.05
43,000 $ 2,150
12/16/11 $ 0.075
22,400 $ 1,680
3/30/12
$ 0.075
26,000 $ 1,950
6/29/12
$ 0.075
38,900 $ 2917.50
DHR – Danaher Corp.
7/29/11
$ 0.02
12,600 $ 252
10/28/11 $ 0.025
6,600
$ 165
1/27/12
$ 0.025
7,900
$ 197.50
4/27/12
$ 0.025
7,900
$ 197.50
FLS – Flowserve Corp.
7/14/11
$ 0.32
7,000
$ 2,240
17 3/6/12
$ 0.22
14,300 $ 3,146
6/5/12
$ 0.22
16,500 $ 3,630
PM – Philip Morris International Inc.
7/11/11
$ 0.64
7,500
$ 4,800
10/11/11 $ 0.77
6,000
$ 4,620
1/10/12
$ 0.77
5,000
$ 3,850
4/12/12
$ 0.77
5,000
$ 3,850
PEG – Public Service Enterprise Group
Inc.
9/30/11
$ 0.3425 15,800 $ 5,411.50
TEVA – Teva Pharmaceutical Industries
Ltd.
8/25/11
$ 0.231
13,100 $ 3,025.39
12/7/11
$ 0.215
6,800
$ 1,461.18
3/13/12
$ 0.263
8,200
$ 2,156.18
6/4/12
$ 0.261
8,900
$ 2,326.18
RIG – Transocean Ltd.
9/21/11
$ 0.79
11,600 $ 9,164
12/21/11 $ 0.79
6,000
$ 4,740
3/21/12
$ 0.79
6,000
$ 4,740
UTX – United Technologies Corp.
9/12/11
$ 0.48
8,000
$ 3,840
12/12/11 $ 0.48
4,200
$ 2,016
3/12/12
$ 0.48
3,300
$ 1,584
WMT – Wal-Mart Stores Inc.
9/6/11
$ 0.365
16,675 $ 6,086.38
1/3/12
$ 0.365
8,700
$ 3,175.50
4/4/12
$ 0.3975 8,700
$ 3,458.25
6/4/12
$ 0.3975 6,600
$ 2,623.50
WLP – WellPoint Inc.
6/25/12
$ 0.2875 6,400
$ 1,840
WFC – Wells Fargo & Co.
9/1/11
$ 0.12
30,000 $ 3,600
12/1/11
$ 0.12
17,700 $ 2,124
3/1/12
$ 0.12
17,700 $ 2,124
3/30/12
$ 0.10
13,800 $ 1,380
6/1/12
$ 0.22
13,800 $ 3,036
XEL – Xcel Energy Inc.
1/20/12
$ 0.26
5,800
$ 1,508
18 Appendix 5: SIM Fund Net Interest Received – July 1, 2011 to June 30, 2012
Date
Total Amount
Dreyfus Cash Management Fund
7/5/11
$ 89.87
8/2/11
$ 60.42
9/2/11
$ 14.57
10/4/11
$ 9.33
11/2/11
$ 18.08
12/2/11
$ 18.41
1/4/12
$ 43.26
2/2/12
$ 16.58
3/2/12
$ 25.62
4/3/12
$ 40.43
5/2/12
$ 34.17
6/4/12
$ 37.86
Appendix 6: SIM Fund Management Fees – July 1, 2011 to June 30, 2012
Date
Portfolio Value
Fee Amount
Dreyfus Cash Management Fund
9/30/2011
$ 9,768,737.09
$ 12,198.53
12/31/2011 $ 11,112,139.38
$ 27,739.92
3/31/2012
$ 12,685,232.44
$ 31,681.96
6/30/2012
$ 11,570,190.73
$ 28,925.48
Appendix 6: Rosenfield Family Prizes for Excellence in Security Analysis – July 1,
2011 to June 30, 2012
Date
Winner
SIM Security
Runner-Up
SIM Security
Summer 2011
Kelsey Palmer
Logan Smyth
Autumn 2011
Edouard Sevil
Winter 2012
Joshua Plader
UTX – United
Technologies Corp.
LNC – Lincoln
National Corp.
PPL – PPL Corp.
Spring 2012
Daniel
Krikorian
LVS – Las Vegas
Sands Corp.
BAC – Bank of
America Corp.
JPM – JPMorgan
Chase & Co.
WM – Waste
Management
Shazia Sultana
Geno Frissora
Julie Heigel
19 NBR – Nabors
Industries Ltd.