Student Investment Management Fund
Max M. Fisher College of Business – The Ohio State University
2008 Annual Report
0
A Message from the SIM Director
I am very pleased to report another successful year for The Ohio State University’s
SIM program, my 8th as director. The 135 students that have participated in the
program this year have gained much wisdom and guidance from adjunct professors,
Royce West and Chris Henneforth, who very ably lead the class. Our student manager,
Matt Falk, did a marvelous job for the program and smoothly handed off his duties to
Jonathan Stone before taking up his position at MetLife. An important innovation this
year was the launch of our new contract with M2 Marketing LLC, led by Fisher alumni
Ryan Miller and Megan McCabe, to help with outreach activities mainly through our
website. Finally, I am ever grateful to the continued support of the OSU Treasurer’s
office, my colleagues in the Department of Finance and Dean’s office, Chuck Webb,
the wonderful friend and benefactor of the investments professorship I hold, Jack and
Dan Rosenfield, who generously sponsor our quarterly prize for the best analyst
report, and the many SIM alumni who freely offer to help out with Fisher’s investment
management program in any way they can. Go Bucks!
G. Andrew Karolyi
Outlook from the SIM Student Manager
I am honored and very excited about the opportunity to take on the duties of student manager
for the SIM program. As the nation’s largest student managed equity fund we have the ability
to showcase the talents of the students who partake in the program. One of my goals for the
year is to increase awareness about the program among those outside of The Ohio State
University and our supportive alumni base. A tradition that will continue is the quarterly trip
to either Chicago or New York to allow students to peer into the day to day operations of a
mixture of investment roles. We are appreciative of Jim Miller and Caroline Su in the Office of
External Affairs for arranging the meetings. Also this year, some students who participate in
the SIM program will attend the Redefining Investment Strategy Education (RISE) Symposium
to learn and discuss pertinent issues facing investment professionals. I look forward serving as
the student manager for the SIM program and with the help of all of those associated with the
program we can have an excellent year.
Jonathan Stone
1
TABLE OF CONTENTS
A Message from the SIM Director and Student Manager ……………………………..
1
History of SIM ……………………………………………………………………………...
3
Objectives & Philosophy of the Fund ……………………………………………………
4
Investment Process ………………………………………………………………………...
5
Performance for the Fiscal Year Ending June 30, 2008 ………………………………....
6
Acknowledgments …………………………………………………………………………
10
APPENDICES
Appendix I:
Portfolio Holdings as of June 30, 2008
Appendix II:
Purchase Transactions from July 1, 2007 to June 30, 2008
Appendix III:
Sale Transactions from July 1, 2007 to June 30, 2008
Appendix IV:
Statement of dividends received during the period July 1, 2007 to June 30, 2008
Appendix V:
Statement of interest received during the period July 1, 2007 to June 30, 2008
Appendix VI:
Statement of management fees during the period July 1, 2007 to June 30, 2008
Appendix VII:
Rosenfield Prize for Excellence in Security Analysis, July 1, 2007 to June 30, 2008
2
STUDENT INVESTMENT MANAGEMENT FUND HISTORY
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 the Treasurer
serves as the formal manager of the account. Thus far, the
Treasurer has been able to follow all of the advice
provided by the student management team. However,
should the need arise, the Treasurer 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.)
Jack Rosenfield (center) congratulates recent winners of the Rosenfield
Family Prize for Excellence in Security Analysis, Steve Bright (far left),
Greg Strouse (back left), & Chris Pribisko (far right), along with SIM
instructor Royce West (front left) and Andrew Karolyi (back right).
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 relations, investment management firm visits and special events.
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.
3
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 and New York, where
they meet with professionals in the securities and
investments industry.
I
In addition, 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 fulltime employment opportunities in a variety of fields in
finance.
(Dan (left) & Jack (right) Rosenfield award Sok Gun Song (center) a prize for
his winning report on Alcoa during winter quarter 2004.
From an academic perspective, the Student Investment Management Program (SIM) 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 balanced 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. During the class,
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 also responsible for researching a new stock 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.
4
INVESTMENT PROCESS
The investment strategy of the SIM program is based on the philosophy that the market is 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, marketweight, 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 will make a final
class presentation, in which they recommend specific
stock actions. They may recommend holding the
current positions, liquidating stocks, or adding new
stocks to the SIM portfolio within their sector. After a
final round of discussions and 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.
SIM class enjoys a visit to the floor of the Chicago Board of Options
Exchange during August 2008
To facilitate continuity, all presentations and individual stock reports are uploaded on the class website and students
review prior class presentations and reports prior to beginning their own analysis. Further, each June, a second-year
MBA student is appointed as the SIM graduate associate (GA) for one year. The SIM GA is responsible for preparing
reports for the Office of the Treasurer, monitoring computer labs, answering questions, and making presentations to each
new class on previous portfolios and strategies.
5
PERFORMANCE
The SIM portfolio net return was -11.99% during the fiscal year ending June 30, 2008 and outperformed the benchmark
S&P 500 portfolio by 113 basis points. Throughout the past three, five, and ten years the SIM portfolio has consistently
performed better than the S&P 500, succeeding by 149, 73, and 139 basis points respectively during that time period.
Table 1: Portfolio Returns
Annualized
Returns
SIM (net of fees)
Return for fiscal year
3 Years
5 Years
10 Years
5.90%
8.31%
4.27%
(2/13/90)
8.73%
(July 2007 – June 2008)
-11.99%
Since Inception
S&P 500
-13.12%
4.41%
7.58%
2.88%
9.89%
Wilshire 5000
-12.53%
5.02%
8.73%
3.59%
10.25%
Table 2: Portfolio Overview as on June 30, 2008
Inception Date
February 13, 1990
Total Net Assets
$22,828,316
Number of Equity Positions
36
Average Cap Size
$63.611 Billion
Average P/E Ratio
14.50
Average P/B Ratio
4.05
Average Dividend Yield
2.27%
Portfolio Beta
1.00
As per the table above, the market value of the SIM portfolio as of June 30, 2008 was $22.8 million. The total asset value
includes a 2.11% allocation in cash as of fiscal year end. The portfolio comprised mainly large capitalization, US-based
companies; non-S&P 500 international exposure during the year decreased to 5.68% as of June 30, 2008 down from 12.2%
in 2007. The portfolio also increased its overall holdings to 36 stocks during the year from 32 at fiscal year end 2007.
Although fiscal year 2008 was a rough year for equities, students selected a few very impressive securities. The total gain
from positive performing stocks was $2,608,936. Weatherford International leads the list of top performing securities by
gaining $433,005 which accounts for 17% of the gain for all positive performing securities. It is followed by Peabody
Energy which gained $317,580 and accounts for 12% of the gain from positive stocks.
Table 3: Top 5 Performing Securities
Total Gain % of Total Return on Positive Stocks Security 17% Weatherford Intl $433,005 $317,580 12% Peabody Energy Corp $253,902 10% Apple Inc. 9% Berkshire Hathaway Inc ‐ CL A $247,775 $164,281 6% Wal‐Mart ‐‐‐‐‐ ‐‐‐‐‐ $1,416,544 54% Total Contribution of Top 5 ‐‐‐‐‐ ‐‐‐‐‐ $2,608,936 100% Total Positive Stocks Gain 6
In contrast to the best performing securities listed in Table 3, the worst performing securities of the fiscal year amounted
to $5,562,817 in losses. The loss leader is Wellpoint which lost $567,352 and accounts for 10% of the losses on negative
performing securities. Bank of America is the second largest loser of the SIM portfolio after posting a loss of $484,599
which accounts for 9% of the total negative stocks.
Table 4: Bottom 5 Performing Securities
Total Loss Security Wellpoint ($567,352) Bank of America Corp ($484,599) Oshkosh Truck ($435,875) General Electric ($307,095) Citigroup ($307,628) ‐‐‐‐‐ Total Contribution of Bottom 5 ($2,102,549)
‐‐‐‐‐ Total Negative Stocks Loss ($5,562,817)
% of Total Return on Negative Stocks
10% 9% 8% 6% 6% ‐‐‐‐‐ 38% ‐‐‐‐‐ 100% As of fiscal year end, the SIM Portfolio was overweight in the Consumer Discretionary and Information Technology
sectors relative to the S&P 500 by 221 and 214 basis points respectively. Conversely, the largest underweight sectors
relative to the benchmark were Energy at -345 basis points and Industrials at -296 basis points.
Figure 1: Sector Allocation versus the Benchmark as of June 30, 2008
Sector Weighting as of June 30, 2008
S&P 500
C
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In
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SIM
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on
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er
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is
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tio
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ry
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S
ta
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es
20.00%
18.00%
16.00%
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
7
Table 5: Total Returns and Risk Metrics for SIM and S&P 500 Portfolios
1-year
3-year
S&P
SIM
500
5-year
S&P
SIM
500
10-year
S&P
SIM
500
Since Inception
S&P
SIM
500
SIM
S&P
500
Gross of Fees
-11.55%
-13.12%
Net of Fees
-11.99%
5.90%
8.31%
4.27%
8.73%
0.16%
0.11%
0.05%
0.12%
-0.07%
Annualized Total
Returns
Alpha (Net of Fees)
6.43%
4.41%
8.85%
7.58%
4.79%
2.88%
9.26%
9.89%
Measures of Risk
Standard Deviation
14.71%
13.83%
11.20%
10.24%
9.97%
9.46%
17.43%
14.96%
16.32%
Beta
1.036
1.053
1.012
1.095
1.012
Tracking Error (σε)
3.51%
3.12%
2.86%
5.94%
8.42%
2
R
0.943
Sharpe Ratio
-0.79
Information Ratio
0.45
0.922
-0.95
0.918
0.57
0.43
0.89
0.65
0.884
0.80
0.44
13.80%
0.734
0.28
0.19
0.32
0.57
0.72
-0.07
In the last ten years the SIM portfolio earned an annualized net return of 4.27% versus 2.88% for the S&P 500 over the
same period. The superior performance persists on a risk-adjusted basis. This is reflected in the slightly higher Sharpe
ratio of 0.28 for the SIM portfolio as against a corresponding 0.19 for the S&P 500.
The SIM portfolio also outperformed the S&P 500 on an absolute basis during the last five and three year periods. The
SIM portfolio achieved annualized five-year and three-year returns of 8.31% and 5.90%, respectively, which compares
favorably to 7.58% and 4.41% for the S&P 500. Again, the Sharpe ratio is relatively higher for the SIM portfolio over both
time periods, so that the added risk taken by the portfolio resulted in higher returns for the periods.
The figure below shows the SIM portfolio outperformed in seven of the twelve months on a net basis relative to the S&P
500.
Figure 2: Monthly Return Comparison
Monthly Returns Comparison FY 2008
8.0%
6.0%
5.26%
3.34%
4.0%
2.53%
1.97%
1.75%
2.0%
Total Return (Gross)
0.12%
0.0%
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
-2.0%
-4.0%
Mar
Apr
May
Jun
-1.53%
-3.15%
-3.30%
-6.0%
SIM Returns
-8.0%
S&P 500
-3.35%
-4.97%
-10.0%
-9.88%
-12.0%
8
At the end of the fiscal year the ten largest holdings of the SIM portfolio amounted to $10,627,685 and represented 46.55%
of the total value. The largest holding was Weatherford International which had a market value of $1,512,495 and it
symbolized 6.63% of the total value of the SIM fund.
Table 6: Top Ten Holdings of the SIM portfolio as of June 30, 2008:
#
Security
Ticker
Market Value
% of Portfolio
Weatherford
WFT
$1,512,495
6.63%
Johnson & Johnson
JNJ
$1,138,818
4.99%
Intel
INTC
$1,129,848
4.95%
4
Abercrombie & Fitch
ANF
$1,059,292
4.64%
5
Hewlett-Packard
HPQ
$1,056,619
4.63%
6
Microsoft
MSFT
$1,009,617
4.42%
7
Best Buy
BBY
$966,240
4.23%
8
Goldman Sachs
GS
$961,950
4.21%
9
Wellpoint
WLP
$905,540
3.97%
ConocoPhillips
COP
$887,266
3.89%
Total
$10,627,685
46.55%
1
2
3
10
Figure 3: Dollar value of $10,000 invested in SIM and S&P 500
Value of US$ 10,000 invested 2/13/90
$80,000
$70,000
$60,000
$50,000
$40,000
$30,000
$20,000
SIM Inception
S&P 500 Inception
$10,000
$0
Fe
9
b-
0
b
Fe
-9
1
b
Fe
2
-9
Fe
9
b-
3
b
Fe
-9
4
b
Fe
-9
5
Fe
96
b-
bFe
97
b
Fe
-9
8
Fe
99
b-
bFe
00
b
Fe
-0
1
Fe
0
b-
2
bFe
03
b
Fe
-0
4
Fe
0
b-
5
bFe
06
b
Fe
7
-0
Fe
0
b-
8
The above 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, 2008. The value of $10,000 invested in the SIM portfolio would be $51,322.47 (net
capital gains plus dividends), whereas the same value invested in the S&P 500 would end with a value of $57,081.40
(dividends re-invested).
9
ACKNOWLEDGEMENTS
Professor Andrew Karolyi is the director of the SIM program. Royce West and Chris Henneforth were the instructors
during the fiscal year.
The program depends on the assistance received from the personnel at the Treasurer’s Office and Treasurer Tom Johnson.
Al Rodack, Tim Michel and Gary Leimbach have made numerous presentations to the class, while other staff members of
the Treasurer’s Office and local brokerage firms have helped this program succeed.
Matthew Falk was the SIM Graduate Assistant for the academic year ended June 30, 2008.
Jonathan Stone prepared this annual report, under the supervision of Professor Andrew Karolyi.
10
Appendix I:
Holdings as of June 30, 2008
Quantity
Security
Unit Cost
Total Cost
Market
Price
Market Value
Percentage
of Assets
Div
Yield
16,900
Abercrombie & Fitch Co.
73.08
$1,235,054.15
62.68
$1,059,292.00
4.64%
1.205
14,800
American Movil SA
41.04
$607,399.31
52.75
$780,700.00
3.42%
3.730
BP PLC – ADR
64.62
$478,170.24
69.57
$514,818.00
2.26%
4.029
Bank of America Corp
48.72
$1,115,653.05
23.87
$546,623.00
2.39%
5.645
109,449.23
$766,144.62
120,750.00
$845,250.00
3.70%
0.000
Best Buy
48.18
$1,175,637.98
39.60
$966,240.00
4.23%
1.049
6,000
Boeing Co.
78.04
$468,244.20
65.72
$394,320.00
1.73%
4.029
8,800
Cardinal Health Inc
56.50
$497,199.12
51.58
$453,904.00
1.99%
1.675
2,300
Cleveland Cliffs
103.29
$237,576.89
119.19
$274,137.00
1.20%
0.281
9,400
ConocoPhillips
90.84
$853,892.24
94.39
$887,266.00
3.89%
3.784
9,600
Colgate-Palmolive Co.
66.48
$638,220.92
69.10
$663,360.00
2.91%
1.990
9,500
DOW Chem Co.
37.59
$357,143.00
34.91
$331,645.00
1.45%
4.158
Duke Energy Holding Corp
18.12
$489,221.10
17.38
$469,260.00
2.06%
0.436
300
FPL Corp. Com.
61.29
$18,388.38
65.58
$19,674.00
0.09%
2.480
29,500
General Electric
36.18
$1,067,337.64
26.69
$787,355.00
3.45%
3.841
9,000
Gilead Sciences Inc
56.79
$511,076.70
52.95
$476,550.00
2.09%
3.841
5,500
Goldman Sachs
203.30
$1,118,137.04
174.90
$961,950.00
4.21%
0.793
23,900
Hewlett Packard
47.20
$1,128,060.88
44.21
$1,056,619.00
4.63%
1.313
52,600
Intel Corp
22.07
$1,160,964.98
21.48
$1,129,848.00
4.95%
2.124
International Paper Co
26.92
$247,653.88
23.30
$214,360.00
0.94%
1.313
17,700
Johnson & Johnson
60.42
$1,069,457.58
64.34
$1,138,818.00
4.99%
2.554
15,400
Kraft Foods Inc
31.98
$492,550.52
28.45
$438,130.00
1.92%
3.350
14,300
Merrill Lynch
45.28
$647,544.37
31.71
$453,453.00
1.99%
3.187
36,700
Microsoft
27.76
$1,018,757.92
27.51
$1,009,617.00
4.42%
1.518
Mosaic Co
129.86
$259,726.00
144.70
$289,400.00
1.27%
3.096
7,400
22,900
7
24,400
27,000
9,200
2,000
Berkshire Hathaway Inc - CL A
54,000
Motorola
10.11
$545,756.40
7.34
$396,360.00
1.74%
2.143
25,500
NCR Corp
26.69
$680,495.55
25.20
$642,600.00
2.81%
0.000
16,000
Oshkosh Truck
48.18
$770,915.20
20.69
$331,040.00
1.45%
0.989
13,500
Pepsico Inc.
70.67
$953,992.35
63.59
$858,465.00
3.76%
2.196
4.90
$503,705.79
3.93
$404,397.00
1.77%
0.324
Rockwell Automation
54.27
$434,146.40
43.73
$349,840.00
1.53%
1.981
300
Sandisk Corp.
23.34
$7,002.00
18.70
$5,610.00
0.02%
0.000
36,200
Sara Lee Corp
13.74
$497,496.60
12.25
$443,450.00
1.94%
3.737
30,500
Weatherford Intl
27.32
$833,330.00
49.59
$1,512,495.00
6.63%
0.000
19,000
Wellpoint
69.65
$1,323,362.79
47.66
$905,540.00
3.97%
0.000
Whirlpool Corp
70.64
$381,477.06
61.73
$333,342.00
1.46%
1.584
102,900
8,000
5,400
Qwest Communications
11
Appendix II:
Purchase Transactions from July 1, 2007 to June 30, 2008
Trade
Settlement
Stock
Quantity
Price
Amount
Summer Quarter
15-Aug-07
20-Aug-07
Abercrombie and Fitch
13,500
74.37870
1,004,112.45
15-Aug-07
20-Aug-07
Coach
6,500
44.44880
288,917.20
15-Aug-07
20-Aug-07
Colgate
7,900
66.23370
523,246.23
15-Aug-07
20-Aug-07
British Petroleum
14,800
64.56760
955,600.48
35,000
32.78590
1,147,506.50
6,100
46.93070
286,277.27
15-Aug-07
20-Aug-07
Robert Half International
15-Aug-07
20-Aug-07
Hewlett Packard
15-Aug-07
20-Aug-07
Intel
6,700
23.73000
158,991.00
15-Aug-07
20-Aug-07
Microsoft
2,600
28.62000
74,412.00
15-Aug-07
20-Aug-07
Citigroup
10,500
46.20000
485,100.00
15-Aug-07
20-Aug-07
iStar Financial
20,000
33.86160
677,232.00
15-Aug-07
20-Aug-07
Johnson & Johnson
4,100
61.22920
251,039.72
Fall Quarter
29-Nov-07
4-Dec-07
Best Buy
15,000
50.34300
755,145.00
29-Nov-07
4-Dec-07
Wal-Mart
15,500
47.64620
738,516.10
29-Nov-07
4-Dec-07
Weatherford Intl
7,500
63.64040
477,303.00
29-Nov-07
4-Dec-07
Public Service Enterprise
6,200
95.66260
593,108.12
29-Nov-07
4-Dec-07
Oshkosh Truck
16,000
48.13220
770,115.20
29-Nov-07
4-Dec-07
Alcoa
16,800
36.45180
612,390.24
29-Nov-07
4-Dec-07
Goldman Sachs
800
226.81370
181,450.96
29-Nov-07
4-Dec-07
Wellpoint
6,000
83.87060
503,223.60
29-Nov-07
4-Dec-07
Int'l Business Machines
7,000
107.21390
750,497.30
Winter Quarter
6-Mar-08
11-Mar-08
Best Buy
6-Mar-08
11-Mar-08
Pepsico, Inc.
4,000
42.39600
169,584.00
13,500
70.61610
953,317.35
6-Mar-08
11-Mar-08
Weatherford Intl New
5,000
71.08040
355,402.00
6-Mar-08
11-Mar-08
FPL Group Inc.
9,500
61.24460
581,823.70
6-Mar-08
11-Mar-08
Dow Chemical
9,500
37.54400
356,668.00
6-Mar-08
11-Mar-08
Apple Inc.
4,300
127.21300
547,015.90
6-Mar-08
11-Mar-08
Sandisk CP
21,000
23.28680
489,022.80
6-Mar-08
11-Mar-08
Motorola Inc.
54,000
10.05660
543,056.40
17,700
35.18730
622,815.21
3,000
36.72830
110,184.90
6-Mar-08
11-Mar-08
AT&T Inc.
6-Mar-08
11-Mar-08
Bank of America CP
6-Mar-08
11-Mar-08
Merrill Lynch
11,000
46.51170
511,628.70
6-Mar-08
11-Mar-08
WellPoint Inc.
1,500
70.80330
106,204.95
6-Mar-08
11-Mar-08
Rockwell Automation
8,000
54.21830
433,746.40
Spring Quarter
4-Jun-08
9-Jun-08
Abercrombie & Fitch
3,400
68.33000
232,322.00
4-Jun-08
9-Jun-08
Best Buy
5,400
46.33000
250,182.00
4-Jun-08
9-Jun-08
Whirlpool Corp
5,400
71.44000
385,776.00
4-Jun-08
9-Jun-08
Kraft Foods Inc
15,400
31.90000
491,260.00
4-Jun-08
9-Jun-08
Sara Lee Corp
36,200
13.69000
495,578.00
4-Jun-08
9-Jun-08
ConocoPhillips
9,400
91.10000
856,340.00
5,500
44.87000
246,785.00
27,000
18.12000
489,240.00
4-Jun-08
9-Jun-08
Weatherford Intl Ltd
4-Jun-08
9-Jun-08
Duke Energy
12
Appendix II (cont.):
Purchase Transactions from July 1, 2007 to June 30, 2008
4-Jun-08
9-Jun-08
Boeing Co
6,000
78.47000
470,820.00
4-Jun-08
9-Jun-08
Cleveland-Cliffs Inc
2,300
104.19000
239,637.00
4-Jun-08
9-Jun-08
International Paper Co
9,200
26.92990
247,755.08
4-Jun-08
9-Jun-08
The Mosaic Co
2,000
129.86000
259,720.00
4-Jun-08
9-Jun-08
Hewlett-Packard Co
23,900
46.88000
1,120,432.00
4-Jun-08
9-Jun-08
NCR Corporation
25,500
26.61000
678,555.00
4-Jun-08
9-Jun-08
America Movil-ADR
4,200
57.30500
240,681.00
4-Jun-08
9-Jun-08
Qwest Communications Intl
102,900
4.78000
491,862.00
4-Jun-08
9-Jun-08
Merrill Lynch & Co
3,300
41.26000
136,158.00
4-Jun-08
9-Jun-08
Cardinal Health
8,800
56.32000
495,616.00
4-Jun-08
9-Jun-08
Gilead Sciences Inc
9,000
56.73000
510,570.00
4-Jun-08
9-Jun-08
Wellpoint Inc
2,200
55.02000
121,044.00
Total
13
25,474,987.76
Appendix III:
Sell Transactions from July 1, 2007 to June 30, 2008
Trade
Settlement
Stock
Quantity
Price
Amount
Summer Quarter
15-Aug-07
20-Aug-07
Nike
6,900
54.87
378,603.00
13,500
48.78
658,594.80
7,400
84.05
621,970.00
15-Aug-07
20-Aug-07
Anheuser-Busch
15-Aug-07
20-Aug-07
Exxon Mobil
15-Aug-07
20-Aug-07
Schlumberger
10,000
88.67
886,650.00
15-Aug-07
20-Aug-07
NN Inc
20,000
9.19
183,709.44
15-Aug-07
20-Aug-07
Akamai
192,601.00
15-Aug-07
20-Aug-07
Sprint Nextel
15-Aug-07
20-Aug-07
Bank of America
15-Aug-07
20-Aug-07
15-Aug-07
20-Aug-07
6,000
32.10
14,600
19.00
277,382.48
8,000
48.77
390,130.00
JP Morgan
25,800
44.08
1,137,264.00
Genentech
7,000
73.54
514,763.90
Fall Quarter
29-Nov-07
4-Dec-07
Coach
20,500
35.63
730,386.30
29-Nov-07
4-Dec-07
Carnival Cruise Lines
12,000
44.59
535,045.20
29-Nov-07
4-Dec-07
Colgate-Palmolive
3,200
79.86
255,567.04
29-Nov-07
4-Dec-07
Patriot Coal
1,040
34.17
35,532.43
29-Nov-07
4-Dec-07
CPFL Energia
10,100
59.66
602,566.00
29-Nov-07
4-Dec-07
Robert Half Int'l
35,000
25.97
908,897.50
29-Nov-07
4-Dec-07
DOW Chemical
14,900
41.37
616,432.37
29-Nov-07
4-Dec-07
Citigroup
19,600
32.08
628,713.12
29-Nov-07
4-Dec-07
Cardinal Health
10,500
59.85
628,433.40
29-Nov-07
4-Dec-07
Microsoft
7,600
33.63
255,588.00
Winter Quarter
6-Mar-08
11-Mar-08
Altria Group Inc.
13,600
74.18
1,008,823.52
6-Mar-08
11-Mar-08
Public Service Enterprise
12,400
45.12
559,546.28
6-Mar-08
11-Mar-08
FedEx Corp
4,700
89.32
419,802.12
6-Mar-08
11-Mar-08
Greif Inc.
8,800
67.73
596,038.96
6-Mar-08
11-Mar-08
Hewlett-Packard Co.
26,500
48.44
1,283,630.85
6-Mar-08
11-Mar-08
America Movil S.A.B.
5,300
59.09
313,166.40
6-Mar-08
11-Mar-08
Berkshire Hathaway Inc.
6
137,616.67
825,700.00
6-Mar-08
11-Mar-08
Johnson & Johnson
3,800
63.09
239,724.90
6-Mar-08
11-Mar-08
Teva Pharmaceutical
7,000
49.11
343,793.80
Limited Brands Inc
23,400
19.11
447,174.00
15,500
57.55
892,025.00
7,400
68.25
505,050.00
10,400
75.32
783,328.00
Spring Quarter
4-Jun-08
9-Jun-08
4-Jun-08
9-Jun-08
Wal-Mart Stores Inc
4-Jun-08
9-Jun-08
BP PLC-Spons ADR
4-Jun-08
9-Jun-08
Peabody Energy Corp
4-Jun-08
9-Jun-08
FPL Group Inc
9,200
65.50
602,600.00
4-Jun-08
9-Jun-08
FedEx Corp
4,600
91.67
421,682.00
4-Jun-08
9-Jun-08
Alcoa Inc
16,800
39.66
666,288.00
4-Jun-08
9-Jun-08
Apple Inc
4,300
186.26
800,918.00
4-Jun-08
9-Jun-08
IBM Corp
7,000
127.89
895,230.00
4-Jun-08
9-Jun-08
Sandisk Corp
20,700
28.60
592,020.00
4-Jun-08
9-Jun-08
AT&T
17,700
38.25
677,025.00
4-Jun-08
9-Jun-08
I Star Financial Inc
20,000
18.79
375,800.00
4-Jun-08
9-Jun-08
Teva Pharmaceutical SP-ADR
24,200
44.50
1,076,900.00
Total
14
24,765,096.81
Appendix IV:
Dividends received during the period July 1, 2007 to June 30, 2008
Payment Date
7/2/2007
7/2/2007
7/2/2007
7/5/2007
7/6/2007
7/9/2007
7/10/2007
7/16/2007
7/25/2007
7/27/2007
7/27/2007
7/30/2007
7/31/2007
8/6/2007
8/15/2007
8/24/2007
8/30/2007
9/4/2007
9/4/2007
9/6/2007
9/10/2007
9/10/2007
9/11/2007
9/11/2007
9/13/2007
9/14/2007
9/14/2007
9/14/2007
9/14/2007
9/25/2007
9/28/2007
10/1/2007
10/1/2007
10/3/2007
10/9/2007
10/10/2007
10/15/2007
10/25/2007
10/29/2007
10/30/2007
11/13/2007
11/15/2007
11/21/2007
11/23/2007
11/26/2007
11/28/2007
12/3/2007
12/3/2007
12/11/2007
12/13/2007
12/14/2007
12/14/2007
12/14/2007
12/18/2007
12/28/2007
Security
FedEx Corp
Greif Inc - CL A
Nike Inc
Hewlett-Packard Co.
Schlumberger Ltd.
Infosys Technologies
Altria Group Inc.
Cardinal Health, Inc.
General Electric Co.
Suez-ADR
Suez-ADR
Dow Chemical Co.
J.P. Morgan, Chase
America Movil
Colgate Palmolive
Citigroup, Inc.
Goldman Sachs
Intel Corp.
Peabody Energy Corp
TEVA Pharmaceutical
Anheuser-Busch
Exxon Mobil Corp.
Johnson & Johnson
Johnson & Johnson
Microsoft Corp.
Carnival Corp
Johnson & Johnson
Limited Brands
Robert Half
Abercrombie & Fitch
Bank of America
FedEx Corp
Greif Inc - CL A
Hewlett-Packard Co.
CPFL Energia ADR
Altria Group Inc.
Cardinal Health, Inc.
General Electric Co.
iStar Financial
Dow Chemical Co.
America Movil
Colgate Palmolive
Citigroup, Inc.
Peabody Energy Corp
Goldman Sachs
TEVA Pharmaceutical
BP PLC
Intel Corp.
Johnson & Johnson
Microsoft Corp.
Carnival Corp
Limited Brands
Robert Half
Abercrombie & Fitch
Bank of America
15
Amount
930.00
2,464.00
1,276.50
1,632.00
1,750.00
3,429.65
9,384.00
1,260.00
8,260.00
(5,320.84)
6,258.00
6,258.00
9,804.00
5,776.47
1,764.00
4,914.00
1,645.00
5,163.75
624.00
2,500.68
4,455.00
2,590.00
8,922.50
(8,922.50)
4,170.00
4,200.00
8,923.79
3,510.00
3,500.00
2,362.50
12,736.00
930.00
2,464.00
2,120.00
28,726.31
10,200.00
1,260.00
8,260.00
16,500.00
6,258.00
29,677.99
4,608.00
10,584.00
624.00
1,645.00
2,620.80
9,612.60
5,917.50
8,922.50
4,873.00
4,800.00
3,510.00
3,500.00
2,362.50
12,736.00
Appendix IV (cont.):
Dividends received during the period July 1, 2007 to June 30, 2008
12/31/2007
12/31/2007
1/2/2008
1/2/2008
1/2/2008
1/2/2008
1/10/2008
1/14/2008
1/25/2008
1/30/2008
2/15/2008
2/25/2008
2/25/2008
2/28/2008
3/3/2008
3/4/2008
3/10/2008
3/13/2008
3/13/2008
3/14/2008
3/18/2008
3/28/2008
3/31/2008
4/1/2008
4/7/2008
4/15/2008
4/25/2008
4/29/2008
4/30/2008
4/30/2008
5/1/2008
5/14/2008
5/15/2008
5/23/2008
5/27/2008
5/28/2008
5/29/2008
6/1/2008
6/2/2008
6/2/2008
6/5/2008
6/9/2008
6/10/2008
6/10/2008
6/12/2008
6/13/2008
6/16/2008
6/17/2008
6/27/2008
6/30/2008
iStar Financial
Public SVC Enterprise up
FedEx Corp
Greif Inc - CL A
Hewlett-Packard Co.
Wal-Mart Stores, Inc.
Altria Group Inc.
iStar Financial
General Electric Co.
Best Buy Co.
Colgate Palmolive
Alcoa, Inc.
Oshkosh Truck Corp
Goldman Sachs
Intel Corp.
Peabody Energy Corp
BP PLC
Microsoft Corp.
TEVA Pharmaceutical
Limited Brands
Abercrombie & Fitch
Bank of America
Public SVC Enterprise
FedEx Corp
Wal-Mart Stores, Inc.
Motorola Inc.
General Electric Co.
Suez-ADR
Dow Chemical Co.
iStar Financial
AT&T
Best Buy Co.
Colgate Palmolive
Oshkosh Truck Corp
Alcoa, Inc.
Merrill Lynch
Goldman Sachs
Intel Corp.
Rockwell Automation
Wal-Mart Stores, Inc.
TEVA Pharmaceutical
BP PLC
IBM Corp
Johnson & Johnson
Microsoft Corp.
Limited Brands
FPL Group, Inc.
Abercrombie & Fitch
Bank of America
Pepsico, Inc.
Total
16
17,400.00
3,627.00
930.00
2,464.00
2,120.00
3,410.00
10,200.00
5,000.00
9,145.00
1,950.00
3,456.00
2,856.00
1,600.00
1,925.00
6,706.50
624.00
12,010.20
4,037.00
3,174.28
3,510.00
2,362.50
12,736.00
3,999.00
460.00
3,681.25
2,700.00
9,145.00
1,180.56
3,990.00
17,400.00
7,080.00
2,470.00
3,840.00
1,600.00
2,856.00
3,850.00
1,925.00
7,364.00
2,320.00
3,681.25
2,723.71
12,010.20
3,500.00
8,142.00
4,037.00
3,510.00
4,227.50
2,362.50
14,656.00
5,737.50
----604,279.67
Appendix V:
Net interest received during the period July 1, 2007 to June 30, 2008
Date
Security
Amount
Jul-07
SSGA Gov't Fund Money Market
2,688.51
Aug-07
SSGA Gov't Fund Money Market
3,033.60
Sep-07
SSGA Gov't Fund Money Market
2,133.91
Oct-07
SSGA Gov't Fund Money Market
609.86
Nov-07
SSGA Gov't Fund Money Market
886.53
Dec-07
SSGA Gov't Fund Money Market
1,064.42
Jan-08
SSGA Gov't Fund Money Market
621.80
Feb-08
SSGA Gov't Fund Money Market
756.32
Mar-08
SSGA Gov't Fund Money Market
649.95
Apr-08
SSGA Gov't Fund Money Market
365.10
May-08
SSGA Gov't Fund Money Market
236.98
Jun-08
SSGA Gov't Fund Money Market
315.03
-------
Total
Appendix VI:
$13,362.01
Statement of management fees during the period July 1, 2007 to June 30, 2008
Date
Portfolio Value
30-Sep-07
26,078,306.71
32,597.88
31-Dec-07
26,093,479.85
32,616.85
31-Mar-08
23,599,960.59
29,499.95
30-Jun-08
22,828,316.06
28,535.40
-------
Total
Appendix VII:
Fee
$123,250.08
Rosenfield Prize for Excellence in Security Analysis, July 1, 2007 to June 30, 2008
Quarter
Winners and Reports
Winner: Robert Blake (Anheuser Busch)
Runner up: Adam Roberston (Abercrombie & Fitch)
Winner: Mark Probst (American Electric Power)
Fall 2007
Runner up: Ken Melick (Oshkosh)
Winner: Evan Harding (Motorola)
Winter 2008
Runner up: Stephen Soung (Rockwell)
Winner: John Evans (ConocoPhillips)
Spring 2008
Runner up: Nate Palmer (Berkshire Hathaway)
Summer 2007
Participating judges: Aaron Monroe, James Armstrong, Jack Rosenfield, Dan Rosenfield, Chris Henneforth,
Bhavik Kothari, Aasim Khwaja, Rafael Canario, Shawn Browning, Matt Falk, Jeff Oakley, Lewis Tracy, John
Farrell, and Jeremy Sell.
17