Student Invesment Management (SIM) Fund
Max M. Fisher College of Business – The Ohio State University
June 30, 2011 Annual Report
The Student Investment Management (SIM) Program
Contact Information
The Ohio State University
Fisher College of Business – Department of Finance
700 Fisher Hall
2100 Neil Avenue
Columbus, Ohio 43210
E-mail: SIM@fisher.osu.edu
WWW: http://fisher.osu.edu/fin/courses/sim
http://www.buckeyefunds.com
2
Table of Contents HISTORY OF THE STUDENT INVESTMENT MANAGEMENT PROGRAM ....................................... 4 OBJECTIVES AND PHILOSOPHY ................................................................................................... 5 INVESTMENT PROCESS ............................................................................................................... 7 PERFORMANCE: SIM VS. S&P 500 .............................................................................................. 8 ACKNOWLEDGEMENTS ............................................................................................................ 13 APPENDICES Appendix I: Holdings ‐ June 30, 2011 Appendix II: Purchase Transactions ‐ July 1, 2010 to June 30, 2011 Appendix III: Sale Transactions ‐ July 1, 2010 to June 30, 2011 Appendix IV: Dividends Received ‐ July 1, 2010 to June 30, 2011 Appendix V: Appendix VI: Appendix VII: Net Interest Received ‐ July 1, 2010 to June 30, 2011 Management Fees ‐ July 1, 2010 to June 30, 2011 Rosenfield Prize for Excellence in Security Analysis ‐ July 1, 2010 to June 30, 2011 3
HISTORY OF THE STUDENT INVESTMENT MANAGEMENT PROGRAM Following an initial "paper dollar" experiment that lasted roughly one year, a team of students in 1990 developed a proposal for managing actual endowment funds and made a formal 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 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 market in general had only returned 13.5% as measured by the S&P 500 index. Students battered their own mark by posting a 25% return ($1.5 million) during the second year of the program. From its inception and through its continuing evolution, The Ohio State University SIM program has been an integrated effort of many individuals and groups. The student management team is at the hub of the network, but there are essential ties to and support 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 student team 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. Thus far, it has been able to follow all of the advice provided by the student management team. However, if the need arise, the Office of Investments has the authority to override decisions or to take independent action. This arrangement allows the SIM program to avoid potential legal problems with fiduciary responsibility. It also eliminates technical problems due to the academic calendar (vacations, quarterly turnover of 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. As briefly mentioned in the introduction, the Office of External Affairs also assists with program publicity, media relations, investment management, special events and quarterly visits to New York and Chicago. Securities Industry Support from the securities industry has been extensive. It is difficult to acknowledge the many offers of help. Over time, we have found increasingly more effective channels for this support which now includes summer internships, speakers, and state‐of‐the‐art investment information services, as well as economical commissions for trades and services. The SIM program would like to express its gratitude to the Frank Bettendorf Group of Morgan Stanley who invited four finalists for the Morgan Stanley Scholarship (Sean Kearney, Logan Smyth, Snow Ji and Ankita Agarwal), and Professor Kewei Hou to the 2011 Memorial Tournament to listen to the presentations of senior level economists from Morgan Stanley on the economic outlook. 4
OBJECTIVES AND PHILOSOPHY The Ohio State University Student Investment Management Program (SIM) 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 practical 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 the Standard and Poor’s (S&P) 500 Index  To preserve and maintain the real purchasing power of the fund  To enhance the educational experience of the students, by providing them an opportunity to apply the investment management skills and knowledge they have acquired Outside the classroom, the SIM Program concentrates on establishing and maintaining ties with the business 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 centers, such as Chicago, New York, and even Hong Kong, where they meet with professionals in the securities and investments industry. SIM class trip to Chicago ‐ CBOE – Winter 2009 The Rosenfield Prize Thanks to a generous donation from OSU alumni Jack and Dan Rosenfield, the SIM program continued a quarterly competition in which the participants are required to prepare a security analysis report on a publicly‐traded stock in the SIM investment universe. Each quarter two prizes are awarded: $2000 for the best report and $500 for the second best report. Apart from the prize money, the students benefit by gaining a competitive advantage for internship and full‐time employment opportunities in a variety of fields in finance. 5
From an academic perspective, the Student Investment Management Program focuses on developing the students' understanding of the institutional structure and fundamental concepts of asset valuation in financial markets. To do so, analytical tools are developed to study the valuation of different types of securities. Furthermore, theoretical material and real world applications are utilized to give the students an understanding of investment theory and portfolio development. In the classroom, the students become active portfolio managers of the SIM Portfolio. Each student acts as a security analyst as follows:  Each student is assigned one stock from the existing SIM portfolio. The student analysts give updates during each class meeting on the current events and activities affecting their firm.  The class is further divided into market sector groups, which are responsible for researching and analyzing that specific market sector; periodic reports are delivered to the class outlining overall trends, recent developments and specific stock recommendations.  Each member of the class is responsible for researching stocks within their sector that may be added to the portfolio at the end of the quarter. The analyst prepares a written report and makes an oral presentation to the class. Professor Hou (left) with Autumn 2010 Rosenfield Prize winner David Clark‐Joseph (right)
6
INVESTMENT PROCESS The investment strategy of the SIM program is based on the philosophy that the markets are inefficient in the short term and that fundamental analysis can be used to identify attractive securities to purchase. The structure of the SIM program necessitates a focus on large‐cap stocks, with an emphasis on portfolio diversification to manage risk. In the classroom, the students become active portfolio managers of the SIM Portfolio. They are divided into groups and each group is assigned the responsibility of covering one or two related sectors as well as the overall economy. Sector groups review the prior class sector presentations and complete a detailed assessment of current information. The groups present their sector outlooks to the class and recommend an overweight, market‐weight, or underweight position in their sectors. Each group then assesses the current SIM portfolio holdings in their sectors and evaluates alternative companies within their sectors. Finally the group makes a final class presentation, in which they recommend specific stock actions. They can recommend holding, adding to, selling part of or completely liquidating the current positions. In addition, the student analysts can recommend buying new stocks to the SIM portfolio. The only prerequisite for the latter is that the new stock(s) must be within the group’s assigned sector. After a final round of discussions and class voting, the buys and sells for the quarter are finalized and orders are sent to the brokers. The class engages in a group decision‐making process and a majority‐vote rule applies. To facilitate continuity, all sector and stock presentations are uploaded on the SIM website under Class Info so that students can review the information prior to their own class presentations (http://fisher.osu.edu/fin/courses/sim/ or http://www.buckeyefunds.com). The individual stock reports of the Rosenfield prize winner and runner‐up are also available on the website for students to get familiar with what they are expected to deliver in their own reports. 7
PERFORMANCE: SIM vs. S&P 500 The benchmark for the Student Investment Management fund is the S&P 500 Index. For the Fiscal Year ending June 30, 2011, the SIM portfolio’s net return was 18.31% compared to ‐1.13% last year, underperforming the benchmark by 382 basis points. Exhibit 1 shows the performance of the SIM portfolio and its benchmark for the Fiscal Year 2011 and Exhibit 2 gives an overview of the performance over the last 10 years. Exhibit 1: SIM vs. S&P 500 ‐ Relative Performance ‐ July 1, 2010 to June 30, 2011
SIM
S&P 500 Total Return
130
22.13%
125
120
18.31%
115
110
105
100
95
90
Jul‐10 Aug‐10 Sep‐10 Oct‐10 Nov‐10 Dec‐10 Jan‐11 Feb‐11 Mar‐11 Apr‐11 May‐11 Jun‐11
8
Exhibit 2: SIM vs. S&P 500 ‐ Relative Performance ‐ July 1, 2002 to June 30, 2011 Exhibit 3 shows that the returns of the SIM portfolio vs. the S&P 500 Index for the different periods of time. Exhibit 3: SIM vs. S&P 500 – Annualized Portfolio Returns Return for fiscal Annualized Returns 3 Years 5 Years year 2010 26.22%
-2.24%
1.16%
SIM (net of fees) 30.69%
3.34%
2.94%
S&P 500 10 Years 15 Years Since Inception (2/13/90)
1.40%
5.51%
7.12%
2.72%
6.50%
8.95%
Exhibit 4 gives an overview of the SIM portfolio as of June 30, 2011 and June 30, 2010. The market value of the fund was $21.6 million in 2011, which was higher than the market value in 2010. The number of portfolio holdings, which comprised mainly large cap U.S. based companies, increased from 27 to 28. Exhibit 4: Portfolio Overview ‐ June 30, 2010 vs. June 30, 2009 Fiscal Year End 6/30/2011 Inception Date Total Net Assets Number of Equity Positions Average Market Cap. Average Weighted Market Cap. Average P/E Ratio Average P/B Ratio Average Dividend Yield 13‐Feb‐90 $21,660,115
28
$78,507,933,774
$88,520,485,835
13.531
3.111
1.413%
9
6/30/2010 13‐Feb‐90 $17,075,338 27 $54,657,610,108 $59,263,282,595 12.318 2.949 1.891% As of Fiscal Year End 2010, the SIM Portfolio was overweight relative to the S&P 500 in Information Technology and Telecommunication Services sectors; while the Portfolio was underweight in Health Care, Industrial, Financials, Materials, Energy, Information Technology, Utilities, Consumer Discretionary, and Consumer Staples sectors. The cash position represented 5.98% of the total portfolio value. Exhibit 5 shows the sector weights in comparison to the benchmark whereas Exhibit 6 gives an overview of selected risk measures for the portfolio. Exhibit 5 ‐ SIM vs. S&P 500 ‐ Sector Allocation ‐ June 30, 2011 Exhibit 6: SIM vs. S&P 500 ‐ Selected Risk Measures Measures of Risk Standard Deviation SIM S&P 500 Sharpe Ratio SIM S&P 500 R2 SIM Tracking Error SIM Fiscal Year 3 Years 5 Years 10 Years 18.01% 13.76% 24.23% 21.21% 1.15 1.72 ‐0.15 0.06 0.967 ‐0.05
0.02
0.978 17.59% 15.01% ‐0.08
‐0.02
0.974
5.83% 17.09%
15.82%
5.93% 20.34%
17.88%
Since Inception 0.24 0.37 0.965
5.00%
4.54%
10
0.889 8.09% Exhibit 7 shows the performance of the fund compared to the S&P 500 in each month of the Fiscal Year 2011. The SIM fund was able to outperform the S&P 500 Benchmark in six out of the twelve months on a net basis. Exhibit 7 ‐ SIM vs. S&P 500 ‐ Monthly Return Comparison ‐ FY 2011 S&P 500
14%
SIM
12.32%
12%
8.92%
10%
8% 7.01% 7.22%
6.68%
6%
3.80%
4%
2%
4.24%
0.01%
6.36%
3.35%
2.37%
0.89%
3.43%
2.96%
1.75%
1.83%
0.04%
0%
‐2%
‐1.85%
‐4%
‐6%
‐8%
‐1.13%
‐0.57%
‐1.67%
‐3.05%
‐4.51%
‐7.40%
At the end of the Fiscal Year 2011, the ten largest holdings of the SIM portfolio amounted to $8,735,536 and represented 40.33% of the fund’s total value. The largest holding was Chevron Corp, which had a market value of $1,028,400, representing 4.75% of the total value of the SIM fund. Exhibit 8: Top Ten Holdings ‐ June 30, 2011 Security Chevron Corp. Apple Inc. Johnson & Johnson Co. Wal‐Mart Stores Inc. JPMorgan Chase & Co CVS Caremark Corp. General Motors Co. Hewlett Packard Co. Mastercard Inc. Corning Inc. Total Ticker CVX AAPL JNJ WMT JPM CVS GM HPQ MA GLW Market Value $ 1,028,400 $ 1,007,010 $ 957,888 $ 886,110 $ 859,740 $ 838,034 $ 804,540 $ 789,880 $ 783,484 $ 780,450 $ 8,735,536 11
% of SIM portfolio 4.75%
4.65%
4.42%
4.09%
3.97%
3.87%
3.71%
3.65%
3.62%
3.60%
40.33%
The next graph shows the change in the value of $10,000 invested in both the SIM portfolio and the S&P 500 from February 13, 1990 (inception) to June 30, 2011. The value of $10,000 invested in the SIM portfolio would be $48,668.90 (net capital gains plus dividends), whereas the same value invested in the S&P 500 would end with a value of $62,987.44(dividends re‐invested). Exhibit 9: Value of $10,000 invested in SIM and S&P 500 SIM
S&P 500
$70,000
$60,000
$50,000
$40,000
$30,000
$20,000
$10,000
12
Feb‐12
Feb‐11
Feb‐10
Feb‐09
Feb‐08
Feb‐07
Feb‐06
Feb‐05
Feb‐04
Feb‐03
Feb‐02
Feb‐01
Feb‐00
Feb‐99
Feb‐98
Feb‐97
Feb‐96
Feb‐95
Feb‐94
Feb‐93
Feb‐92
Feb‐91
Feb‐90
$0
ACKNOWLEDGEMENTS  Professor Kewei Hou is the Director of the SIM program  Professor Royce West, Professor Chris Henneforth and Professor Adam Robertson are the instructors of the SIM class  The program depends on the assistance received from the personnel at the Ohio State University Office of Financial Services and Office of Investments. Jonathan Hook, the Chief of Investment Officer, made numerous presentations to the SIM class, while other staff members of the both offices and local brokerage firms have helped this program succeed  Vanessa Tambayong was the SIM Graduate Assistant for the academic year ended June 30, 2010 
Ankita Agarwal prepared this annual report under the supervision of Professor Kewei Hou
 Contact: OSU SIM Program 700 Fisher Hall 2100 Neil Avenue Columbus, OH 43210 SIM@fisher.osu.edu  GO BUCKEYES! 13
Appendix I: Holdings ‐ June 30, 2011 Ticker Security Quantity AAPL BBY CVX CMCSA GLW CVS DHR FLS GM GOOG HPQ INTC IP JNJ JPM Apple Inc. Best Buy Co. Chevron Corp. Comcast Corp. Corning Inc. CVS Caremark Corp. Danaher Corp. Flowserve Corp. General Motors Co. Google Inc. Hewlett Packard Co. Intel Corp. International Paper Co. Johnson & Johnson Co. JPMorgan Chase & Co Lincoln National Corporation Mastercard Inc. Medtronic, Inc. Metlife, Inc. Murphy Oil Corp. NII Holdings Inc. Philip Morris International, Inc. Public Service Enterprise Group Teva Pharmaceutical Industries Ltd. Transocean LTD United Technologies Corp Wal‐Mart Stores Inc. Wells Fargo & Company 3,000 20,000 10,000 30,500 43,000 22,300 12,600 7,000 26,500 1,100 21,700 32,400 22,500 14,400 21,000 LNC MA MDT MET MUR NIHD PM PEG TEVA RIG UTX WMT WFC Unit Cost Market Price Market Value % of assets $250.25
$39.07
$76.75
$15.87
$19.15
$28.77
$51.12
$96.27
$33.08
$584.74
$47.26
$21.72
$26.08
$60.33
$41.18
$335.67
$31.41
$102.84
$25.34
$18.15
$37.58
$52.99
$109.89
$30.36
$506.38
$36.40
$22.16
$29.82
$66.52
$40.94
$ 1,007,010.00 $ 628,200.00 $ 1,028,400.00 $ 772,870.00 $ 780,450.00 $ 838,034.00 $ 667,674.00 $ 769,230.00 $ 804,540.00 $ 557,018.00 $ 789,880.00 $ 717,984.00 $ 670,950.00 $ 957,888.00 $ 859,740.00 4.65%
2.90%
4.75%
3.57%
3.60%
3.87%
3.08%
3.55%
3.71%
2.57%
3.65%
3.31%
3.10%
4.42%
3.97%
15,700 2,600 13,500 17,000 7,000 16,800 $25.06
$244.40
$34.45
$41.71
$69.49
$30.69
$28.49
$301.34
$38.53
$43.87
$65.66
$42.38
$ 447,293.00 $ 783,484.00 $ 520,155.00 $ 745,790.00 $ 459,620.00 $ 711,984.00 2.07%
3.62%
2.40%
3.44%
2.12%
3.29%
7,500 $68.13
$66.77 $ 500,775.00 2.31%
15,800 $31.22
$32.64 $ 515,712.00 2.38%
13,100 11,600 8,000 16,675 30,000 $52.91
$74.35
$83.67
$51.21
$30.23
$48.22
$64.56
$88.51
$53.14
$28.06
2.92%
3.46%
3.27%
4.09%
3.89%
14
$ 631,682.00 $ 748,896.00 $ 708,080.00 $ 886,109.50 $ 841,800.00 Appendix II: Purchase Transactions ‐ July 1, 2010 to June 30, 2011 Trade Date Settlement Date Cusip/ Sedol Security Quantity Price Amount Summer Quarter 19‐Aug‐10 24‐Aug‐10 143658300 Carnival Corp.
9,700 $ 32.03 $ (311,148.84)
19‐Aug‐10 24‐Aug‐10 872540109 TJX Company
10,300 $ 42.02 $ (433,292.16)
19‐Aug‐10 24‐Aug‐10 126650100 CVS Caremark Corp.
28,800 $ 28.72 $ (828,624.96)
19‐Aug‐10 24‐Aug‐10 626717102 Murphy Oil Corp.
11,300 $ 55.08 $ (622,971.26)
19‐Aug‐10 24‐Aug‐10 34354P105 Flowserve Corp.
7,600 $ 96.22 $ (731,656.56)
19‐Aug‐10 24‐Aug‐10 369550108 General Dynamics
1,200 $ 60.68 $ (72,875.28)
19‐Aug‐10 24‐Aug‐10 013817101 Alcoa, Inc.
24,100 $ 10.60 $ (256,761.40)
19‐Aug‐10 24‐Aug‐10 35671D857 4,700 $ 72.24 $ (339,754.54)
19‐Aug‐10 24‐Aug‐10 037833100 Freeport‐McMoRan Copper & Gold Inc. Apple Inc.
3,500 $ 250.20 $ (875,883.05)
19‐Aug‐10 24‐Aug‐10 G54050102 Lazard, LTD
18,300 $ 31.55 $ (578,226.93)
19‐Aug‐10 24‐Aug‐10 585055106 Medtronic Inc.
5,900 $ 35.48 $ (209,627.00)
7‐Dec‐10 10‐Dec‐10 37045V100 General Motors Company
12,800 $ 34.60 $ (443,491.84)
7‐Dec‐10 10‐Dec‐10 832696405 J.M. Smucker Company 6,900 $ 64.77 $ (447,241.44)
7‐Dec‐10 10‐Dec‐10 H8817H100 Transocean Ltd.
7,300 $ 70.91 $ (518,007.27)
7‐Dec‐10 10‐Dec‐10 744573106 2,700 $ 31.33 $ (84,724.65)
7‐Dec‐10 10‐Dec‐10 883203101 Public Service Enterprise Group Textron Inc.
23,900 $ 23.27 $ (557,257.18)
7‐Dec‐10 10‐Dec‐10 460146103 13,600 $ 26.15 $ (356,340.40)
7‐Dec‐10 10‐Dec‐10 651639106 5,800 $ 62.93 $ (365,298.50)
7‐Dec‐10 10‐Dec‐10 219350105 International Paper Company Newmont Mining Corporation Corning Incorporated
38,600 $ 18.82 $ (728,254.62)
7‐Dec‐10 10‐Dec‐10 62913F201 NII Holdings Inc.
3,400 $ 41.58 $ (141,548.80)
7‐Dec‐10 10‐Dec‐10 46625H100 JP Morgan Chase
15,600 $ 39.56 $ (617,944.08)
7‐Dec‐10 10‐Dec‐10 534187109 Lincoln National Corp.
22,400 $ 25.01 $ (561,375.36)
7‐Dec‐10 10‐Dec‐10 949746101 Wells Fargo & Company 19,700 $ 28.96 $ (571,508.82)
7‐Dec‐10 10‐Dec‐10 375558103 Gilead Sciences
3,700 $ 36.87 $ (136,600.30)
7‐Dec‐10 10‐Dec‐10 585055106 Medtronic Inc.
13,000 $ 33.91 $ (441,455.30)
10‐Mar‐11 15‐Mar‐11 086516101 Best Buy Co.
10,000 $ 31.14 $ (311,926.00)
10‐Mar‐11 15‐Mar‐11 37045V100 General Motors Company
13,700 $ 31.57 $ (433,195.37)
10‐Mar‐11 15‐Mar‐11 931142103 Wal‐Mart
8,300 $ 52.63 $ (437,216.61)
10‐Mar‐11 15‐Mar‐11 166764100 Chevron
1,000 $ 99.47 $ (99,515.00)
10‐Mar‐11 15‐Mar‐11 626717102 Murphy Oil Corp.
7,000 $ 69.44 $ (486,423.00)
10‐Mar‐11 15‐Mar‐11 H8817H100 Transocean Ltd.
4,300 $ 80.04 $ (344,398.61)
10‐Mar‐11 15‐Mar‐11 235851102 Danaher Corp.
12,600 $ 51.07 $ (644,127.12)
10‐Mar‐11 15‐Mar‐11 460146103 International Paper 8,900 $ 25.85 $ (230,465.50)
Fall Quarter Winter Quarter 15
Company
10‐Mar‐11 15‐Mar‐11 219350105 Corning Incorporated
4,400 $ 21.59 $ (95,229.64)
10‐Mar‐11 15‐Mar‐11 38259P508 Google Inc.
1,100 $ 584.69 $ (643,208.50)
10‐Mar‐11 15‐Mar‐11 428236103 Hewlett Packard
2,500 $ 41.69 $ (104,355.00)
10‐Mar‐11 15‐Mar‐11 57636Q104 Mastercard Incorporated
2,600 $ 244.35 $ (635,432.20)
10‐Mar‐11 15‐Mar‐11 125581801 CIT Group Inc. 17,400 $ 43.24 $ (753,162.48)
10‐Mar‐11 15‐Mar‐11 46625H100 JP Morgan Chase
5,400 $ 45.68 $ (246,915.00)
10‐Mar‐11 15‐Mar‐11 949746101 Wells Fargo
10,300 $ 32.50 $ (335,295.90)
10‐Mar‐11 15‐Mar‐11 881624209 Teva Pharmaceutical Industries Ltd. 2,600 $ 49.53 $ (128,919.96)
6‐Jun‐11 9‐Jun‐11 59156R108 MetLife, Inc.
17,000 $ 41.66 $ (709,020.12)
6‐Jun‐11 9‐Jun‐11 718172109 7,500 $ 68.08 $ (510,978.06)
6‐Jun‐11 9‐Jun‐11 913017109 8,000 $ 83.62 $ (669,329.25)
Philip Morris International Inc United Technologies Corporation Total Buys
$ (19,050,983.86)
Spring Quarter Appendix III: Sale Transactions ‐ July 1, 2010 to June 30, 2011 Trade Date Settlement Date Cusip/ Sedol Security Quantity Price Amount Summer Quarter 19‐Aug‐10 24‐Aug‐10 251893103 DeVry, Inc.
6,400 $ 38.28 $ 244,637.78 19‐Aug‐10 24‐Aug‐10 778296103 Ross Stores Inc.
8,800 $ 50.49 $ 443,903.21 19‐Aug‐10 24‐Aug‐10 713448108 Pepsico Inc.
7,000 $ 64.55 $ 451,499.36 19‐Aug‐10 24‐Aug‐10 718172109 12,100 $ 51.74 $ 625,437.20 19‐Aug‐10 24‐Aug‐10 H5833N103 Philip Morris International Noble Corp.
14,100 $ 32.11 $ 452,096.15 19‐Aug‐10 24‐Aug‐10 118759109 2,800 $ 60.27 $ 168,619.58 19‐Aug‐10 24‐Aug‐10 688239201 Bucyrus International Inc. Oshkosh Truck Corp.
20,800 $ 26.58 $ 551,885.37 19‐Aug‐10 24‐Aug‐10 61166W101 Monsanto Co.
5,200 $ 56.96 $ 295,903.59 19‐Aug‐10 24‐Aug‐10 62886E108 NCR Corporation
40,300 $ 12.47 $ 500,618.25 19‐Aug‐10 24‐Aug‐10 743315103 Progressive Corp.
29,400 $ 19.57 $ 573,854.75 19‐Aug‐10 24‐Aug‐10 375558103 Gilead Sciences
5,000 $ 33.24 $ 165,947.69 19‐Aug‐10 24‐Aug‐10 881624209 Teva Pharmaceutical Industries Ltd. 6,000 $ 50.16 $ 300,672.91 7‐Dec‐10 10‐Dec‐10 872540109 TJX Company
10,300 $ 45.14 $ 464,409.87 7‐Dec‐10 10‐Dec‐10 742718109 Procter & Gamble
8,700 $ 62.14 $ 540,145.15 7‐Dec‐10 10‐Dec‐10 166764100 Chevron
100 $ 84.70 $ 8,465.05 7‐Dec‐10 10‐Dec‐10 626717102 Murphy Oil Corp.
11,300 $ 70.33 $ 794,117.79 7‐Dec‐10 10‐Dec‐10 118759109 Bucyrus International Inc. 12,800 $ 89.20 $ 1,141,127.58 Fall Quarter 16
7‐Dec‐10 10‐Dec‐10 34354P105 Flowserve Corp.
600 $ 112.46 $ 67,443.89 7‐Dec‐10 10‐Dec‐10 013817101 Alcoa, Inc.
24,100 $ 14.25 $ 342,112.97 7‐Dec‐10 10‐Dec‐10 35671D857 4,700 $ 111.34 $ 523,050.86 7‐Dec‐10 10‐Dec‐10 037833100 Freeport‐McMoRan Copper & Gold Inc. Apple Inc.
500 $ 320.06 $ 160,001.79 7‐Dec‐10 10‐Dec‐10 68389X105 Oracle Corp.
3,600 $ 28.75 $ 103,304.21 7‐Dec‐10 10‐Dec‐10 38141G104 Goldman Sachs
2,300 $ 162.30 $ 373,166.62 7‐Dec‐10 10‐Dec‐10 443683107 60,900 $ 12.00 $ 727,888.80 7‐Dec‐10 10‐Dec‐10 G54050102 Hudson City Bancorp Inc. Lazard, LTD
18,300 $ 37.74 $ 689,766.56 10‐Mar‐11 15‐Mar‐11 143658300 Carnival Corp.
9,700 $ 41.30 $ 400,094.02 10‐Mar‐11 15‐Mar‐11 126650100 CVS Caremark Corp.
6,500 $ 33.89 $ 219,975.27 10‐Mar‐11 15‐Mar‐11 832696405 J.M. Smucker Company 6,900 $ 70.17 $ 483,831.12 10‐Mar‐11 15‐Mar‐11 637071101 National Oilwell Varco
15,000 $ 75.07 $ 1,125,330.87 10‐Mar‐11 15‐Mar‐11 883203101 Textron Inc.
23,900 $ 27.19 $ 648,612.01 10‐Mar‐11 15‐Mar‐11 651639106 5,800 $ 51.43 $ 298,004.07 10‐Mar‐11 15‐Mar‐11 68389X105 Newmont Mining Corporation Oracle
34,200 $ 31.98 $ 1,091,961.06 10‐Mar‐11 15‐Mar‐11 38141G104 Goldman Sachs
3,700 $ 160.47 $ 593,527.80 10‐Mar‐11 15‐Mar‐11 534187109 Lincoln National Corp.
6,700 $ 30.26 $ 202,378.98 10‐Mar‐11 15‐Mar‐11 375558103 Gilead Sciences Inc.
19,600 $ 41.22 $ 806,873.36 6‐Jun‐11 9‐Jun‐11 086516101 Best Buy Co.
3,500 $ 29.07 $ 101,568.05 6‐Jun‐11 9‐Jun‐11 125581801 CIT Group Inc. 17,400 $ 42.86 $ 744,924.92 6‐Jun‐11 9‐Jun‐11 369550108 General Dynamics
12,500 $ 70.65 $ 882,436.79 6‐Jun‐11 9‐Jun‐11 458140100 Intel
9,500 $ 22.24 $ 210,810.44 6‐Jun‐11 9‐Jun‐11 585055106 Medtronic Inc.
5,400 $ 39.05 $ 210,572.73 6‐Jun‐11 9‐Jun‐11 62913F201 NII Holdings Inc.
5,800 $ 41.15 $ 238,400.35 6‐Jun‐11 9‐Jun‐11 931142103 Walmart
2,000 $ 54.21 $ 108,320.91 Winter Quarter Spring Quarter Total Sells
$ 19,077,699.73 Appendix IV: Dividends Received ‐ July 1, 2010 to June 30, 2011
Payment Date Security Amount 07/07/2010 07/08/2010 07/09/2010 07/27/2010 07/28/2010 07/30/2010 08/04/2010 Hewlett‐Packard Co. DeVry Inc. Del Philip Morris Int'l Best Buy Co. Comcast Corp Mosanto Co. Oracle Corp. $ 1,536.00 $ 640.00 $ 7,018.00 $ 1,890.00 $ 2,882.25 $ 1,378.00 $ 1,890.00 17
08/06/2010 08/16/2010 08/19/2010 08/26/2010 08/27/2010 09/01/2010 09/07/2010 09/10/2010 09/14/2010 09/24/2010 09/29/2010 09/30/2010 10/06/2010 10/14/2010 10/26/2010 10/27/2010 10/29/2010 11/01/2010 11/02/2010 11/03/2010 11/12/2010 11/15/2010 11/18/2010 11/26/2010 11/26/2010 11/30/2010 12/01/2010 12/01/2010 12/02/2010 12/07/2010 12/10/2010 12/10/2010 12/14/2010 12/17/2010 12/30/2010 12/30/2010 12/31/2010 01/03/2011 01/03/2011 01/14/2011 01/25/2011 01/26/2011 01/28/2011 01/31/2011 General Dynamics Corp Procter & Gamble Co. Bucyrus International Inc TEVA Pharmaceutical LTD ADR Hudson City Bancorp Inc. Intel Corp. Wal‐Mart Stores, Inc. Chevron Corp. Johnson & Johnson National Oilwell Varco Inc. Goldman Sachs Public SVC Enterprise Group Hewlett‐Packard Co. Flowserve Corp. Best Buy Co. Comcast Corp Medtronic, Inc. Freeport‐McMoRan Copper & Gold Inc. CVS CAREMARK CORP Oracle Corp. General Dynamics Corp Procter & Gamble Co. Bucyrus International Inc Lazard Ltd Alcoa Inc. Hudson City Bancorp Inc. Intel Corp. Murphy Oil TJX Co. TEVA Pharmaceutical LTD ADR Carnival Corp Chevron Corp. Johnson & Johnson National Oilwell Varco Inc. Goldman Sachs Hewlett‐Packard Co. Public SVC Enterprise Group Textron Inc. Wal‐Mart Stores, Inc. Flowserve Corp. Best Buy Co. Comcast Corp Medtronic, Inc. JP Morgan Chase & Co 18
$ 4,746.00 $ 4,191.66 $ 390.00 $ 3,027.91 $ 9,135.00 $ 6,599.25 $ 3,138.44 $ 6,552.00 $ 7,776.00 $ 1,500.00 $ 2,100.00 $ 4,486.75 $ 1,536.00 $ 2,204.00 $ 2,025.00 $ 2,882.25 $ 1,327.50 $ 1,410.00 $ 2,520.00 $ 1,890.00 $ 5,250.00 $ 4,191.66 $ 320.00 $ 2,287.50 $ 723.00 $ 9,135.00 $ 6,599.25 $ 3,107.50 $ 1,545.00 $ 1,996.25 $ 970.00 $ 6,552.00 $ 7,776.00 $ 1,650.00 $ 2,100.00 $ 1,536.00 $ 1,536.00 $ 478.00 $ 3,138.44 $ 2,030.00 $ 2,025.00 $ 2,882.25 $ 4,252.50 $ 780.00 02/01/2011 02/02/2011 02/04/2011 02/09/2011 03/01/2011 03/01/2011 03/01/2011 03/07/2011 03/10/2011 03/11/2011 03/15/2011 03/15/2011 03/25/2011 03/30/2011 03/31/2011 03/31/2011 03/31/2011 04/01/2011 04/04/2011 04/06/2011 04/14/2011 04/27/2011 04/29/2011 04/29/2011 05/02/2011 05/02/2011 05/03/2011 05/05/2011 05/06/2011 05/09/2011 06/01/2011 06/01/2011 06/01/2011 06/06/2011 06/07/2011 06/10/2011 06/14/2011 06/15/2011 06/15/2011 06/30/2011 06/30/2011 Lincoln National Corp. CVS CAREMARK CORP General Dynamics Corp Oracle Corp. Intel Corp. JM Smucker Co. Wells Fargo & Co. TEVA Pharmaceutical LTD ADR Chevron Corp. Carnival Corp International Paper Co. Johnson & Johnson National Oilwell Varco Inc. Goldman Sachs Corning Inc. Public SVC Enterprise Group Wells Fargo & Co. Textron Inc. Wal‐Mart Stores, Inc. Hewlett‐Packard Co. Flowserve Corp. Comcast Corp DANAHER CORP Medtronic, Inc. JP Morgan Chase & Co Lincoln National Corp. CVS CAREMARK CORP Best Buy Co. General Dynamics Corp Mastercard Inc Intel Corp. Murphy Oil Wells Fargo & Co. Wal‐Mart Stores, Inc. TEVA Pharmaceutical LTD ADR Chevron Corp. Johnson & Johnson Transocean LTD International Paper Co. Corning Inc. Public Service Enterprise Group Total $ 1,120.00 $ 3,600.00 $ 5,250.00 $ 1,710.00 $ 7,592.28 $ 3,036.00 $ 985.00 $ 2,276.54 $ 6,480.00 $ 2,425.00 $ 2,550.00 $ 7,776.00 $ 1,650.00 $ 1,295.00 $ 1,930.00 $ 5,411.50 $ 2,100.00 $ 478.00 $ 3,786.88 $ 1,736.00 $ 2,240.00 $ 3,431.25 $ 252.00 $ 4,252.50 $ 5,250.00 $ 785.00 $ 2,787.50 $ 3,525.00 $ 5,875.00 $ 390.00 $ 7,592.28 $ 1,925.00 $ 3,600.00 $ 6,816.38 $ 3,010.36 $ 7,800.00 $ 8,208.00 $ 9,164.00 $ 5,906.25 $ 2,150.00 $ 5,411.50 $ 313,093.58 19
Appendix V: Net Interest Received ‐ July 1, 2010 to June 30, 2011 Payment Date Security Amount 07/01/2010 08/01/2010 09/01/2010 10/01/2010 11/01/2010 12/01/2010 01/01/2011 02/01/2011 03/01/2011 04/01/2011 05/01/2011 06/01/2011 DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES DREYFUS CASH MGMT FUND INSTITUTIONAL SHARES Total $ 88.64 $ 171.40 $ 170.07 $ 89.42 $ 76.28 $ 66.50 $ 66.63 $ 70.17 $ 58.59 $ 57.59 $ 50.05 $ 53.63 $ 1,018.97 Appendix VI: Management Fees ‐ July 1, 2010 to June 30, 2011 Date Portfolio Value Fee 09/30/2009 12/31/2009 03/31/2010 06/30/2010 $ 19,061,561.91 $ 21,344,688.01 $ 22,057,568.02 $ 21,647,219.27 Total $ 23,826.95 $ 26,680.86 $ 27,571.96 $ 27,059.02 $ 105,138.79 Appendix VII: Rosenfield Prize for Excellence in Security Analysis ‐ July 1, 2010 to June 30, 2011 Quarter Summer 2010 Fall 2010 Winter 2011 Spring 2011 Winner Runner up Jordan Winters (Tyco International) David Clark‐Joseph (Chevron) Chris Henschen (NextEra Energy) Tracy Shoemaker (Medtronic) Brian Miller (Medtronic Inc) Brent Soller (Johnson & Johnson) Todd D. Yaross (Johnson & Johnson) Kevin Bush (Alcoa) 20