Student Managed Portfolio
Fall 2015 (Q3) Portfolio Update Inside this issue:
Target Allocations
Using historical prices for the GICS
sectors and Excel’s Solver to produce
the minimum portfolio coefficient of
variation (i.e. risk), the SMP determined
new target portfolio sector weightings.
The outputted weightings were then
used in a survival analysis using a MCMC
approach.
During the upcoming
quarters the SMP aims to realign its
portfolio from its current allocation to
these target allocations. Compared to
the S&P 500 allocations, this would
result in the SMP overweighting the
consumer discretionary, consumer
staples, health care, and utilities sectors
and under-weighting the financial,
industrial, materials, telecommunications sectors.
Moving Towards ESG
Geometric Av erage Annual
Since
Quarter
1 Y ear
SMP
-7.71%
-7.45%
S&P 500
-6.94%
-2.65%
NYSE Comp
-9.31%
-8.44%
IW D
-8.43%
-4.61%
Weight
T
AT&T Inc.
3.14%
TRV
Travelers Companies Inc
2.90%
MCK
McKesson Corporation
2.69%
CMCSA
Comcast Corporation
2.48%
WM
Waste Management, Inc.
2.46%
UNH
UnitedHealth Group Inc
2.36%
MSFT
Microsoft Corporation
2.25%
SYNA
Synaptics, Incorporated
2.16%
EFII
Electronics For Imaging, Inc.
2.14%
HRS
Harris Corporation
2.13%
Holding Period Retrun
Company Name
assets have been reallocated, the SMP
may raise the bar and eliminate
holdings at high risk for environmental
and social criteria.
P erformance Metrics
Largest Holdings
Ticker
 Summary of historical
performance
 Sector Allocation
 Meet the Analysts!
Over the coming quarters, the SMP is
looking towards investing responsibly
and sustainably by weeding out the
securities
at
high
risk
in
environmental, social and corporate
governance areas. To start, the SMP
plans on employing a “3-Strike Rule,”
which would eliminate the securities
at high risk for all three criteria. Once
assets are
5 Y ear
1/2000
9.39%
9.34%
2.89%
10.05%
10.97%
2.06%
5.90%
6.12%
2.58%
11.36%
12.07%
5.67%
3 Y ear
5.0%
3.0%
1.0%
-1.0%
-3.0%
-5.0%
-7.0%
-9.0%
-11.0%
-13.0%
SMP
S&P 500
Russell 1000 Value
NYSE Composite
Events:
Jacob Clark (below left) manned the SMP
recruitment table at COB Open House
7/31/15.
Guest lecturer Barneto Pascal (below right),
incoming Dean at Université de Bordeaux,
presented on the intricacies of international
accounting systems 7/29/15.
Meet the Analysts!
Biggest Winners
Jacob Clark - Intermediate Analyst
Ticker
Qtrly Return
Jacob is a senior at Northern Illinois University studying Finance.
Company Name
In addition to being a part of the Student Managed Portfolio,
RAI
18.59%
Reynolds American, Inc.
Jacob serves as President of the Finance Student Advisory Board
16.89%
and Vice President of Financial Management Association. This GOOG Google Inc
summer he plans to intern at Wintrust in order to further his FNFG First Niagara Financial Group Inc.
8.16%
passion for finance. During his free time he enjoys watching
WTR Aqua America Inc
8.08%
basketball, traveling, and film.
SYY
7.92%
Thomas Falato - Intermediate Analyst
SYSCO Corporation
Tom is a senior Finance student at Northern Illinois University.
He is involved on campus with the Investment Association, and
Biggest Losers
also serves as Vice President of Finance for Pi Sigma Epsilon, a Ticker
Qtrly Return
Company Name
nationally recognized business fraternity. In his free time, Tom
HUN
Huntsman Corporation
-56.14%
enjoys reading and managing his personal portfolio. After
-43.99%
graduating in May 2016, he plans to use skills gained throughout ATW Atwood Oceanics, Inc.
SID
Companhia Siderurgica Nacional (ADR)
-41.82%
his education to pursue a career as an investment analyst.
Jeffrey Fitzgerald - Intermediate Analyst
CG
The Carlyle Group LP
-40.32%
While working for his family’s manufacturing business since
ESV
-36.78%
ENSCO PLC
high school, senior finance major Jeffrey discovered his
passion
for investing
activities.
After graduation,
he will an
pursue
for investing
activities.
After graduation,
he will pursue
investment banking internship at Sikich LLP and then hopefully
an
investment
banking
internship
at Sikich
LLPheand
obtain
a financial
management
position
where
canhopefully
continue to have a positive impact in the realm of finance.
afterwards obtain a financial management position where he
continue to have a positi
Upcoming Events
Portfolio can
Subtractions
Strayer Education (STRA): Sold all 50 shares
on 8/11/2015.
10/12/2015: SMP recruitment table at
the NIU Open House.
11/10/2015: Select SMP analysts will
present to the NIU Foundation.
Natural Resource Partners (NRP): Sold all
204 shares on 8/11/2015.
10/19/2015: SMP recruitment visits to
finance core classes.
11/14/2015: SMP recruitment table at
the NIU Open House.
Intrepid Potash (IPI): Sold all 150 shares on
8/11/2015.
11/4/2015: Guest speaker and NIU
Finance Alumni Jeffrey Kilrea, Group
Head and Managing Director of CIT
Sponsor Finance, will share his
experiences in private debt and equity
with FINA 445/446.
All of the above sales were triggered by the
firms’ market capitalizations falling to less
than $1 billion.
Contact Info
Dr. Gina Nicolosi
gnicolos@niu.edu
(815) 753-6391
http://www.cob.niu.edu/fina/smp.s
html