UNIVERSITY OF CONNECTICUT
Student Managed Fund
March 11, 2004
Undergraduate Portfolio
Timothy Blais
Patrick Mastan
Kristen Candella Daniel McCarthy
Edmund Chung
Philip Odackal
Julia Yelevich
Emeka Okafor
Todd Shrier
Timothy Sweeney
George Kruglov
Mission
• To employ a systematic approach
consisting of both quantitative and
qualitative fundamentals to identify
companies that possess strong growth
potential and above average return.
Portfolio Objectives
• Outperform the S&P 500 index
• Develop a well-diversified portfolio
• Invest consistently with market
forecast
Stock Selection Process
Industry Selection
Quantitative Analysis
Qualitative Analysis
Valuation Models
Discussion
Group Vote
Portfolio
Portfolio Monitoring
Re-optimization
Stop Loss/Review Analysis
Value
Total Portfolio
4-Sep-03
8-Dec-03
24-Feb-04
$200,577.00 $211,393.36 $381,532.00
Equity
$200,577.00 $209,646.53 $227,621.00
Money Market
-
$1,746.83
$3,911.00
New Funds
(Added 2/23/04)
-
-
$150,000.00
$1,027.97
$1,069.30
$1,142.17
S&P 500
Performance
Period
Return Return
on
on
SMF
S&P
Outperform
(09/04/03-02/24/04)
15.43%
11.11%
4.32%
(12/08/04-02/24/04)
9.53%
6.81%
2.72%
Performance
SMF vs. S&P 500
Return on SMF
Return on S&P
20%
Return
15%
15.43%
11.11%
9.53%
10%
6.81%
5%
0%
(09/04/03-02/24/04)
(12/08/04-02/24/04)
Period
Risk Assessment
(As of 12/8/03)
Symbol
Beta of
(12/8/04)
Percentage of
Portfolio
Weighted Average Beta
ANF
1.61
9.41%
0.152
BUD
-0.1
5.01%
-0.005
CSG
0.04
7.45%
0.003
EAT
0.34
3.81%
0.013
HDI
1.1
7.19%
0.079
MO
0.3
8.13%
0.024
MSFT
1.64
9.89%
0.162
PAYX
0.76
7.39%
0.056
PFE
0.38
10.67%
0.041
TJX
0.89
7.40%
0.066
S&P 500
1
23.64%
0.236
Portfolio Beta
0.827
*Beta as of 12/8/03 obtained from www.multexinvestor.com
Risk Adjusted Performance
(12/8/03-02/24/04)
Return on Portfolio
(Rp)
Return on
S&P (Rsp)
(12/8/03-02/24/04)
9.53%
6.81%
Excess Return (Rp-Rfr)
6.25%
3.53%
Risk
(Weighted Average Beta)
0.827
1
Treynor Index
T=[(Rp-Rfr)/B]
Risk Free
Rate (Rfr)
3.28%
5-yr
T-Bond
(12/8/03)
7.56%
3.53%
Attribution Analysis
• Allocation Effect
• Selection Effect
Sector Allocation Effect
(12/8/03-2/06/04)
Sector
Sector
return
Excess returns
S&P
Sector
**Overall S&P
Sector
allocation
Contribution
SMF
S&P 500
Information Technology
0.2192
0.1775
0.0575
-0.0112
-0.0005
Consumer Discretionary
0.4709
0.1102
0.0543
-0.0144
-0.0052
Consumer Staples
0.1684
0.1102
0.05
-0.0187
-0.0011
Health Care
0.1415
0.1364
0.089
0.0203
0.0001
Utilities
-
0.028
0.0565
-0.0122
0.0003
Financials
-
0.2091
0.0786
0.0099
-0.0021
Energy
-
0.0567
0.0898
0.0211
-0.0012
Materials
-
0.0286
0.011
-0.0577
0.0016
Industrials
-
0.1078
0.0667
-0.002
0.0002
Telecommunications Services
-
0.0355
0.1311
0.0624
-0.0022
Total
-0.0099
(12/8/0302/6/04)
**S&P performance from 12/08/2004-02/06/2004 was 6.87%
Security Selection Effect
(12/08/03-02/06/04)
Overall Return Difference = ***SMF Performance - **S&P 500 = .0070 or 70 Basis Points
Security Selection Effect = (.0070) – (-.0099) = .01693 or 169.3 Basis Points
**S&P performance from 12/08/2004-02/06/2004 was 6.87%
***SMF performance from 12/08/2004-02/06/2004 was 7.57%
Current Holdings
Company Name
Current Value
(As of 02/24//04)
Holding Period Return
(As of 02/24/04)
Cadbury Schweppes
$19,894.00
31.87%
Altria
$18,499.00
20.85%
Pfizer
$24,284.00
19.82%
Brinker
$9,182.50
19.56%
Abercrombie & Fitch
$23,584.00
19.11%
Tj Maxx
$17,617.50
16.55%
Harley Davidson
$17,537.00
13.60%
Anheuser-Busch
$10,756.00
7.99%
Microsoft
$21,227.30
6.21%
Fossil
$20,430.90
2.88%
Mattel
$20,053.44
0.48%
Paychex
$13,660.00
-12.82%
Current Holdings Allocation
(As of 02/24/04)
EAT
4%
ANF
10%
TJX
8%
HDI
8%
PFE
9%
BUD
5%
MO
8%
MSFT
9%
CSG
9%
FOSL
9%
S&P500
6%
PAYX
6%
MAT
9%
Holdings
Returns
Holdings Returns
(As of 2/24/04)
40%
31.9%
30%
Returns
20%
20.9%
19.8% 19.6%
19.1%
16.6%
13.6%
10%
8.0%
6.2%
M
SF
T
FO
SL
BU
D
I
HD
TJ
X
F
AN
T
EA
PF
E
-10%
M
O
CS
G
0%
0.5%
M
AT
PA
YX
2.9%
-12.8%
-20%
Equities
Forward Expectations
• Market Outlook
–
–
–
–
Historical Return
Value of Dollar
Inflation
GDP
• Risks
– Credit Risk (S/T vs. L/T)
– Unemployment
– Budget Deficit
Conclusion
• Retrospection
• Self-Analysis
Thank You
• The Foundation
• The Advisory Board
• Faculty
– Patrick Terrion, Professor Ghosh, Steering
Committee
QUESTIONS?