Student Managed Fund
Investment Process Presentation
Arnone-Lerer Social Responsibility Fund
Undergraduate Students
Business Cycle
Dan Urbanowicz
Andrew Kolb
Business Cycle Analysis
• Define Stages of the Business Cycle
• Identify Current Stage
• Identify Industries that Historically Perform Well
• Monitor Economy for Change in Stage
Define Stages of Business Cycle
• 5-Stage Overall Cycle
• Stages Last 6-18 Months
• Based Upon Various Govt. Economic Data
• All Data Signals Transition; “Not Timing Market”
Five Stages of Business Cycle
• Ease-Off
– Slowing of Recovery
• Plunge
– Negative Growth
• Revival 1
– Beginning of Recovery
• Revival 2
– Solid Recovery
• Accelerate
– Growing Too Fast
Identify Current Stage (Stats.)
• Money Supply
• Consumer Price Index (CPI)
• Producer Price Index (PPI)
• Components of GDP
• Unemployment Claims
• Industrial Production
• Non-Farm Payrolls
• Weekly Hours Worked
• Housing Starts
Where We Are…
• Ease-Off: period where Fed is tightening to control
inflationary pressures by slowing growth of economy
– Traditional Indicators:
• Industrial Production growth rate declines
• Initial Unemployment Claims increase
• Non-Farm Payrolls growth rate declines
– Additional Indicators:
• Weekly Hours Worked decline
• Housing Starts decline
• GDP Growth rate declines
• PPI & CPI growth increasing slightly
• Monetary Base growth rate declines
Ease-Off - Outperformers
• Biotechnology
• Tobacco
• Health Care Equip/ Supp
• Pharmaceuticals
• Airlines
• Food & Staples Retailing
• Software
• Commercial Banks
• Health Care Providers
• IT Services
• Electric Utilities
• Computer & Peripherals
• Aerospace & Defense
• Construction/Engineer
• Gas Utilities
Monitor Economy
• Attend Weekly QInsight Conference Calls
• Monitor Govt. Statistics for Change in Stage
– Peak in Federal Funds Rate
– Increase in Monetary Base
– Bias of Fed from Tightening to Stimulating
Social Responsibility
Drew Robinson
Kristin DiFabio
Jen Ziomek
Value & Integrity Superior to Profit
• Assimilation of intellectual and moral
perspective in every area of academic study
and life
• As a University, continue the rich tradition of
Catholic Social Teaching and the guidance it
provides
• Consideration for stakeholders and not just
stockholders
Why Invest in Soc. Res. Company
• To answer the question of whether social
screening carries an inherent financial “cost”
• Avoid investments in companies that we believe
are detrimental to society
• Reward companies for being leaders among
their peers in the corporate world
• Prove that a comparable return on investments
can be achieved
Steps to Investing
1.) Evaluated the Catholic Bishop’s Statement
2.) Chose and ranked our criteria based on past
evaluations and our own additions
3.) Ran IWFinancial for Social Responsibility
rankings
Catholics Bishop’s Statement
• Comprehensive set of policies
• Faithful, competent and socially responsible
stewardship
• Draws the values, directions and criteria from:
– Gospel
– Universal church teaching
– Conference statements
Summary of Rankings
Example – Starbucks (SBUX)
Security Analysis
Colin Darretta
Denis Craig
Security Selection
• Securities with Strong Fundamentals
• Securities with Managed Debt
• Securities with Strong Valuation Characteristics
• Two Separate Round of Analysis
Round 1 – Fundamental Analysis
• Input Templates Created
• Balance Sheets, Income Statements, Cash
Flow Statements Scoured for Data
• The data was then formulated and output into
information that would indicate the
fundamental strength or weakness of company
Round 1 – Output Summary
Company Name:
Ticker Symbol:
XYZ Corp.
Analysis Summary
XYZ
Jun05
Dec04
Dec03
3 Yr.
Tr
en
d
Net Profit Margin
3.11%
2.14%
4.89%
Down
8.29
Total Asset Turnover
0.426
0.440
0.439
Down
0.36
Equity Multiplier
3.612
3.592
3.425
Up
2.76
Return On Equity
4.78%
3.39%
7.36%
Down
14.07
Return On Assets
1.32%
0.94%
2.15%
Down
2.8
25.77%
24.52%
24.66%
Up
34.96
Current Ratio
0.947
1.086
0.748
Up
0.99
Quick Ratio
0.947
1.086
0.748
Up
0.56
Price to Earnings
Current P/E:
26.4125
Implied P/E:
27.74841438
Current Stock Price:
21.13
Implied Stock Price:
22.1987315
Value Assessment:
DuPont Ratios
Profitability Ratios
Fair
% Over/Undervalued:
4.81%
Gross Profit Margin
Altman Z-Score
Jun05
Liquidity Ratios
0.939305117
Dec04
0.971151693
Dec03
0.978900999
3 Year Average
Bond Rating
Indust
r
y
0.96311927
BBB-
Debt Management
Ratios
LT Debt/Total Assets
0.384
0.427
0.396
Down
0.51
Times Interest Earned
1.938
1.672
2.019
Down
5.68
Fundamental Analysis
• Securities were eliminated through Round 1 for
various reasons:
– P/E ratios that were considerably higher than
industry averages
– Low Bond Ratings
– DuPont Ratios that demonstrated weakness
•Negative Trends
•Significantly below Industry Averages
– Unhealthy Altman Z-Scores
•Manufacturing – Below 1.81
•Non-Manufacturing – Below 1.10
Round 2 – Security Valuation
• The refined pool of securities was then further
examined
• Individual valuations were performed on each
of the securities
– We were looking for where value was derived from
(operating vs. non-operating)
– Present Value of Future Cash-Flows to the Firm
– Book Value of Debt and Preferred Stock
– Market Value of Equity – Per Share
Round 2 – Output Summary
Valuation Summary for:
XYZ, Corporation
% of Firm's Total Value
Present Value of FCFF in High Growth =
315.1065704
0.014760463
Present Value of Terminal Value of Firm =
21002.65493
0.983822449
Value of Operating Assets of the Firm =
21317.7615
0.998582913
Value of Cash, Marketable Securities, & Non Operating Assets =
30.252
0.001417087
Value of Firm =
21348.0135
1
Book Value of Outstanding Debt =
6.071
Book Value of Preferred Stock =
0
Market Value of Equity =
21341.9425
Market Value of Equity/Share =
1330.04752
Security Valuation
• Over-Valued Securities eliminated based on:
– Low Present Values of FCFF
– Low Terminal Value of Firm (Discounted to PV)
– Unusual Balance of Firm Value between operating
and non-operating assets
Final Security Selection
• The stocks that passed both rounds were then
re-examined in comparison with one another
and ranked
• Securities made it into the portfolio process by
demonstrating strong fundamentals and
relatively undervalued pricing
PSMP Portfolio Analysis
Kristin DiFabio
PMSP Software
• Portfolio Optimizer
• Uses a Lower Partial Moment Heuristic to
determine portfolio allocations
• Used industry returns as a basis for analysis
• Began with 50 companies
• Used the Nawrocki LPM Heuristic to find a set
of optimal portfolios
PMSP Sample
PMSP Software (cont.)
• Once we selected our optimal portfolio, we
determined which stock’s allocations were out
of compliance with our investment guidelines
• We adjusted these allocations through several
iterations until coming up with our optimal
portfolio
Summary
• Investment Value $116,630
– Biotech
– Construction
– Finance
– Healthcare
– Restaurants
– Software
– Utilities
10.0%
5.0%
18.4%
24.9%
12.5%
12.5%
16.7%
Portfolio
Company
Ticker
Weight, %
Price, $
ABI
5.00
24.84
234.76
5,831.50
Invitrogen
IVGN
5.00
63.39
91.99
5,831.50
KB Homes
KBH
5.00
64.74
90.08
5,831.50
Countrywide
CFC
5.00
31.09
187.57
5,831.50
American Express
AXP
5.00
49.50
117.81
5,831.50
Bank of America
BAC
2.10
43.60
56.18
2,449.23
Sky Financial
SKYF
2.10
27.90
87.79
2,449.23
PNC
PNC
2.10
59.96
40.85
2,449.23
MRBK
2.10
56.10
43.66
2,449.23
Baxter
BAX
4.17
37.33
130.28
4,863.47
St. Jude Medical
STJ
4.16
48.42
100.20
4,851.81
Medtronic
MDT
4.16
55.96
86.70
4,851.81
Applera
Mercantile
Shares
$
Portfolio (cont.)
Company
Ticker
Weight, %
Price, $
Covance
CVD
4.16
47.88
101.33
4,851.81
Pharmaceutical Product Dvlpmt
PPDI
4.16
57.10
84.97
4,851.81
Quest Diagnostics
DGX
4.16
47.44
102.27
4,851.81
McDonald's Corp
MCD
3.66
32.31
132.12
4,268.66
Applebee's International Inc
APPB
3.27
22.28
171.18
3,813.80
Starbucks Corp
SBUX
3.16
28.20
130.69
3,685.51
JBX
2.41
29.86
94.13
2,810.78
Adobe
ADBE
4.16
32.49
149.33
4,851.81
Microsoft
MSFT
4.16
25.85
187.69
4,851.81
Sybase
SY
4.16
22.45
216.12
4,851.81
Edison International
EIX
4.16
43.56
111.38
4,851.81
Entergy Corp.
ETR
4.16
68.37
70.96
4,851.81
Sempra
SRE
4.16
43.61
111.25
4,851.81
AGL Resources
ATG
4.17
34.67
140.28
4,863.47
Jack In The Box Inc
Total
100.00
Shares
$
116,630
Technical Analysis
Ryan Doyle
Goals
• Action on current positions
• Enhance entry and exit points
• Appropriate profit targets and stop losses
• Find significant technical changes to current
holdings
• Document and analyze past recommendations
for accuracy to determine value of technical
analysis
Group Structure
• 6 analyst monitoring approximately 7-10
securities each
• Spreadsheet includes data such as RSI,
projected profit/loss targets, alerts, and
recommended actions
• PowerPoint presentation is designed to propose
recommendations to changes in portfolio to be
discussed and voted on in class
Methodology
• Long term support and resistant trends
• RSI analysis to determine if security is
overbought or oversold
• Chart moving averages
• Project relevant profit targets and stop losses
based on these trends
• Recommend action based purely on chart
• Report to class any charts of significance and
vote on action after discussing fundamentals
Methodology (cont.)
• Profit Target at 28.5
• RSI is still very high while ABI trades at the top of the
channel
• Example of recommendation to reduce holdings
Entry and Exit
Sonic
• Recommendation: Buy
Comcast
• Recommendation: Sell
Technical Analysis Spreadsheet
Arnone-Lerer SRI Fund
Analyst
Colin Darretta
Dennis Craig
James Keller
Dennis Craig
Ryan Doyle
Kevin Silvestri
Ryan Doyle
Kevin Silvestri
Ryan Doyle
Dennis Craig
Dan Urbanowicz
Colin Darretta
Ryan Doyle
Company Name
Adobe Systems Inc
AGL Resources Inc
American Express Co
Applebees International Inc
Applera Corp-Applied Biosystems Group
Bank of America Corp
Baxter International
Countrywide Financial Corp
Covance Inc
Dean Foods Co
Edison International
Entergy Corp
Invitrogen Corp
Action
Ticker
ADBE
ATG
AXP
APPB
ABI
BAC
BAX
CFC
CVD
DF
EIX
ETR
IVGN
Current Price Avg Cost/Share Shares Gain/Loss RSI Profit Target (E)
35.56
32.87
145
8% 61.06
40
34.02
34.99
174
-3% 51
39.83
51.26
49.26
116
4% 67.33
53.48
22.91
22.4
167
2% 47.45
27.5
27.48
24.89
114
10% 76.53
28.5
46.18
45.38
130
2% 71.33
47
38.82
36.62
130
6% 57.93
44
34.89
30.65
186
14% 66.41
38
49.9
48.13
99
4% 45.87
58.9
38.84
34.89
57
11% 65.25
41
46.21
43.57
136
6% 55.80
55
71.05
68.34
69
4% 47.89
84
66.98
63.54
90
5% 35.36
90
% Profit Alert
21.69% Hold
13.83% Hold
8.57% Hold
22.77% Hold
14.50% Hold
3.57% Hold
20.15% Hold
23.98% Hold
22.38% Hold
17.51% Hold
26.23% Hold
22.91% Hold
41.64% Hold
Recommende
Stop Loss (E) % Loss Alert Strategy d Action
28 -14.82% Hold Hold
1
33.45 -4.40% Hold Hold
3
47.2 -4.18% Hold Hold
3
20 -10.71% Hold Hold
3
24.88 -0.04% Hold Hold
1
44 -3.04% Hold Hold
3
35.5 -3.06% Hold Hold
4
34 10.93% Hold Hold
3
44 -8.58% Hold Hold
4
35.25 1.03% Hold Hold
3
40.5 -7.05% Hold Hold
4
65 -4.89% Hold Hold
3
55 -13.44% Hold Hold
4
Example of Successful Analysis
Price of SKYF with Sell Recommendation
29.8
29.6
29.4
29.2
29
28.8
11
/2
1/
11 2 00
5
/2
3/
11 2 00
5
/2
5/
20
11
05
/2
7/
11 2 00
5
/2
9/
2
12 005
/1
/2
12 0 05
/3
/2
00
12
5
/5
/2
00
5
28.6
Current Price of SKYF
Summary
• Provide technical analysis of all current
holdings and recommended securities
• Provide an additional point of view for class
discussion
• Provide statistical performance report on
recommendations based on technical analysis
Compliance
Chris Auffenberg
George Coleman Fund
• 50% International Investment
– Maximum initial investment in one country limited
to 25% of total international investment
– Rebalance investment to 25% when it reaches 30%
• 50% Domestic Investment
– Maximum initial investment limited per sector to
20% of total domestic investment
– Rebalance investment back to 20% when it reaches
25%
George Coleman Fund
International Investments
ISHARES INC MSCI
AUSTRIA FUND
ISHARES INC MSCI
AUSTRL IDX
ISHARES INC MSCI
SPAIN IND
ISHARES INC MSCI UK
INDEX
ISHARES INC MSCI
JAPAN INDX
ISHARES INC MSCI
SWITZRLND
ISHARES INC MSCI
BRAZIL FR
ISHARES INC MSCI SO
KOREA
George Coleman Fund
Domestic Investments
VANGUARD SECTOR INDEX
FUNDS VNGRD CN STP VP
ISHARES TR INDEX FUND
DJUS HLTHCR SCT
ISHARES TR INDEX FUND
DJUS FNL SERVICE CP
SELECT SECTOR SPDR TR
ENERGY
SELECT SECTOR SPDR TR
FINANCIAL
ISHARES TR INDEX FUND
DJUS RLESTT IDX
ISHARES TR INDEX FUND
NSDQ BIOTECH FUND
SELECT SECTOR SPDR TR
TECHNOLOGY
Arnone-Lerer SRI Fund
• Individual Securities
– Maximum initial investment of 5% of total value
– Rebalancing back to 5% when security reaches 7%
• Industries
– Maximum initial investment of 12.5% in companies
in same industry
– Rebalancing back to 12.5% when industry reaches
17.5% of total portfolio value
Arnone-Lerer SRI Fund
Restaurants
Allocation By Industry
Packaged Foods
Healthcare Equipment
Healthcare Providers
Biotechnology
Money Center Banks
Regional Banks
Consumer Finance
Systems Software
Electric Utilities
Gas Utilities
Cash
George Coleman Fund
Graduate Students
Coleman Domestic ETF
Tom Whitley
Ease-Off Outperformers
• Ease-Off industry groups that historically outperform
the S&P 500 Index on a risk/return basis:
•
•
•
•
•
•
•
•
•
Health Care Equip/Supp
Biotechnology
Health Care Dist/Service
Drug Retail
Electric Utilities
Restaurants
Homebuilding
Consumer Finance
System Software
•
•
•
•
•
•
•
•
•
Food Distributors
Agricultural Products
Broadcasting/Cable TV
Gas Utilities
Banks, Regional, & Div.
Movies & Entertainment
Life/Health Insurance
Computer Hardware
General Merchandise
Industries to Look At
• Financial
• Real Estate
• Energy
• Utilities
• Materials/Construction
• Healthcare/Biotech
• Technology
• Consumer Staples
Financial Industry
• Looking for:
– Commercial Banks: have underperformed investment banks
recently, expect trend to change
– Low insurance exposure: because of hurricanes, we want to
avoid most insurance
– Diversification among financial industry sectors
Real Estate Industry
• Looking for:
– Investment in large, diversified REITS
•Office vs. Shopping vs. Residential
– Diversification into other real estate securities
Energy Industry
• Looking for:
– Exposure to industry leaders (oil and natural gas)
– Diversification into other aspects of the energy
industry (drilling, equipment, etc.)
Utilities Industry
• Looking for:
– Investment in large utility companies
– Broad exposure to industry
Healthcare/Biotech Industries
• Looking for:
– Funds that offer exposure across both healthcare
and biotech companies
– Investment in multiple sectors (medical devices,
pharmaceuticals, etc.)
Technology Industry
• Looking for:
– Diverse set of companies (hardware, internet,
wireless, etc.)
– Funds with little overlap (common in technology
ETFs)
Consumer Staples
• Looking for:
– Broadly diversified fund that has exposure to
multiple sectors where consumers purchase goods
Chosen ETFs
• iShares Dow Jones US Financial Services (IYG)
• Select Sector SPDR (XLF)
– Large bank exposures (>67%)
– Little insurance exposure (with exception of AIG)
• iShares Dow Jones US Real Estate (IYR)
– Large, diverse REITS
– Invest in both REITS and Real Estate Operating Companies (REOCs)
• Energy Select Sector SPDR (XLE)
– Highly diversified, yet large exposure to industry leaders (Exxon,
Chevron, ConcoPhilips)
• iShares Dow Jones US Utility (IDU)
– 50% of holding in 8 to 10 largest utility companies
♦ Sold 12/12
Chosen ETFs (cont.)
• iShares Dow Jones US Healthcare (IYH)
• iShares NASDAQ BioTech Index Fund (IBB)
– Healthcare and Biotech exposure through both ETFs
– Investments in devices, pharmaceuticals, therapies, etc.
• Select Sector SPDR – Technology (XLK)
• iShares Goldman Sachs Semiconductor (IGW)
– No overlap in top 10 holdings (>50%)
– Investments in industry leaders (Microsoft, Intel, Motorola, etc.)
• Vanguard Consumer Staples VIPERs
– Very broad exposure (P&G, Pepsi, Wal-Mart, Kimberly-Clark, etc.)
Coleman International ETF
Celine Nguyen
Matt Ravis
Economic Factors
•
•
•
•
Real GDP growth trend
Inflation
Currency/Exchange rate trend
Unemployment
Performance
•Top 3 Holdings performance
•Historic Performance of Fund
– 3 month return
– Year to Date return
– 1 year return vs. Pacific/Asia ex-Japan (EPP)
– 3 year return vs. Pacific/Asia ex-Japan (EPP)
– 5 year return vs. Pacific/Asia ex-Japan (EPP)
•Rank in comparison to their regions
MSCI South Korea Index Fund
• The iShares MSCI South Korea Index Fund seeks to
provide investment results that correspond generally
to the price and yield performance of publicly traded
securities in the aggregate in the South Korean
market, as measured by the MSCI Korea Index.
•Total Net Assets $819,578,000
•Shares Outstanding 22,200,000
•Beta 1.25
•Price $42.85
Economic Factors
• Consistent GDP growth rate
• Contained inflation
• Unemployment below 4% for past 4 years
• Recovered well from Asian Currency Crisis of
1998
• Invested majority in Semiconductors and Banks
Revival 1
Revival 2
Historic Performance
EWY
Return
since Jan 1,
2005 to
Inception
3 Yr
Return
(EPP)*
3 Yr
Return
35.77%
32.34%
16.38%
(EPP)*
5 Yr Return
5 Yr Return
*EPP refers to the iShares MSCI Pacific/Asia ex-Japan Index
28.33%
1.89%
MSCI South Korea Index Fund
South Korea - Top 3 Holdings
Relative Performance
3 Mo
Return
YTD
Return
1 Yr Return
3 Yr Return
Singapore
4.25%
10.72%
19.29%
24.14%
Index
4.36%
9.69%
17.42%
23.23%
Taiwan
(4.67%)
(2.92)
9.94%
16.21%
Index
(4.13%)
(2.12%)
10.91%
17.27%
South Korea
21.38%
34.15%
55.37%
29.66%
Index
21.97%
36.07%
57.84%
32.36%
Malaysia
6.21%
4.11%
11.32%
15.11%
Index
6.48%
4.63%
12.02%
16.23%
S&P/TOP IX 150
Index Fund (ITF)
19.90%
12.09%
26.01%
17.20%
Index
19.16%
13.85%
27.19%
17.67%
Current Holdings
• Austria
• Australia
• Brazil
• Japan
• Netherlands
• Singapore
• South Korea
• Spain
• Switzerland
• United Kingdom
Currency Exposure of iShares
Robert Brooks
Currency Exposures
• Euro
• British Pound
• Swiss Franc
• Japanese Yen
• South Korean Won
• Australian Dollar
• Brazilian Real
USD = Local Equity Return + Currency Return
Currency Exposure
• iSHARES traded in USD, and invested in Foreign
Equity Markets (some ADRs).
• International ETFs expose US investors to both
local equity returns and foreign currency risks.
• Changes in Exchange Rates have a direct impact
on fund performance.
• Added diversification beyond pure equity returns.
Impact of Strong or Weak USD
•A weakening USD adds to the returns
of an investor
– A weaker USD implies a stronger foreign currency, thus
enhancing fund returns
•A strengthening USD subtracts from
the returns of an investor
– Equity holdings denominated in the foreign currency are now
worth less in USD terms
Expectations for 1st Quarter
• Fed will raise rates to 4.5% to 4.75%
– Rates will peak in February or March
– Once rates peak the USD may begin to weaken
– Would assist plunge returns for domestic market
• European Central Bank already has raised
rates
– The move by the ECB to raise interest rates will give the Euro a boost
• United States is expected to confront Japan
over weakness of the Yen
– With pressure from the US to strengthen currency, and
– US rates peaking
– The Yen should appreciate against the USD
Implications for ETF’s
• A Weakening U.S. dollar & strengthening Euro
and Yen will give the international ETFs an
added bounce
• The US Dollar hit a two-year high vs the Euro on
Nov. 16 at $1.16
Portfolio Style Analysis
William Elder
Portfolio Risk/Return Analysis
• In addition to portfolio selection, we used the
Portfolio Management Software Package
(PMSP) to measure portfolio returns on a risk
adjusted basis.
• To this end, we examined factors such as
standard deviation, return-to-variance, returnto-semivariance, and return-to-lower partial
moment(s).
Modern Portfolio Theory Statistics
• The annual return of the Arnone-Lerer fund has been
commendable compared to the various benchmarks
listed here, particularly the Domini Index, and has
excelled on a risk-adjusted basis.
• The annual return of the Coleman fund has lagged
behind many of the established benchmarks for the
fund, but has been positive by all measures on a riskadjusted basis.
• Please refer to the MPT Statistics handout for
detailed information.
Portfolio Style Analysis
• As part of our portfolio management process, it is to
the SMF class’ advantage to know the general style
composition of our portfolio.
• To this end, a modified Markowitz Optimization
program was used to perform Sharpe Style analysis on
the portfolio.
• This program is able to look at the returns on various
benchmarks and the fund itself to determine our style
composition.
Arnone-Lerer Fund Style
Arnone-Lerer Style Analysis Parfait Chart (250 day moving average)
100%
30 Day T-Bill
80%
Nikkei
Large Value
Russell
Large Growth
Russell
60%
Small Value
Russell
Small Growth
Russell
40%
MSCI EAFE
MSCI Europe
20%
MSCI Pacific ExJapan
0%
50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89
Nth Week End Since Initial Investment
• The parfait chart is based on a 250 day (50 week) moving average of the Arnone-Lerer fund’s position
• The pink region represents the large cash position for the summer after stop-loss levels were met.
• The fund operates mainly as Small Cap Value (orange region) and Large Cap Growth (blue region)
George Coleman Fund Style
George Coleman Style Analysis Parfait Chart (100 day moving average)
100%
30 Day T-Bill
Nikkei
80%
Large Value Russell
Large Growth
Russell
60%
Small Value Russell
Small Growth
Russell
40%
MSCI EAFE
MSCI Emerging
Markets
MSCI Europe
20%
MSCI Pacific ExJapan
0%
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
Nth Week End Since Initial Investment
• The parfait chart is based on a 100 day (20 week) moving average of the G. Coleman fund’s position
• The fund operates mainly as Large Cap Value (blue-gray region) and European (light purple region)
•Recent investments in Japan & Emerging Markets will slowly arise due to moving average component.
Fund Performance
Adam James
John Strzalka
Financial Performance
Villanova Student Managed Fund Performance Results:
Composite Performance, March 1, 2004 through December 12, 2005
Year
Total Return
(%)
Benchmark Return
(%)*
Number of
Portfolios
Composite
Dispersion
(%)
Total Assets at
End of Period
Percentage
of Assets
Total Assets
(%)
3/2004 - 3/2005
7.84
4.83*
1
5.98
$105,950.89
100
100
3/2005 12/12/2005
10.92
8.50
2
8.44
$203,433.08
100
100
The Villanova Student Managed Fund (SMF) has prepared and presented this report in compliance with the Global
Investment Performance Standards (GIPS)
Notes:
1. The Villanova SMF is currently a balanced portfolio, split 75/25 amongst domestic and international equities. The
SMF is an investment group affiliated with the Villanova University Endowment.
2. The benchmark: 75 percent Standard and Poors 500; 25 percent iShares MSCI EAFE Index Fund (EFA). *The 3/043/05 benchmark is based on 100 percent Standard and Poors 500.
3. Valuations are computed in USD.
4. The dispersion of annual returns is measured by the standard deviation across asset-weighted portfolio returns
represented within the Composite for the full year
5. Performance results are presented before management and custodial fees but after all trading commissions.
6. This composite was created in March, 2004 and modified in March 2005. No alteration of composites as presented
here has occurred because of changes in personnel or other reasons at any other time.
7. Past performance is not indicative of future results
Arnone-Lerer Fund
3/05 - 12/12/05
3/04 - 3/05
Gain/Loss
$17,382.70
$7,700.89
Initial Investment
$105,950.89
$98,250.00
Return
16.41%
7.84%
25.53% Return Since Inception
•
Key Transactions
–
–
–
–
–
–
–
QLogic- loss -$1321.75
Renal Care Group- gain $1254.79
Toro Co- gain $1115.71
UGI Corp- gain $1703.59
Valero Energy- gain $1184.75
Winnebago Industries- gain $1193.65
Western Gas Resources- gain $1440.75
George Coleman Fund
3/05 - 12/12/05
Gain/Loss
$4,174.02
Initial Investment
$76,942.86
Return
5.42%
•Initial Investments 3/4/05: European, Asian,
Mexican, Biotech, Financial, Consumer Goods, Real
Estate ETFs
•Fund went unmanaged throughout the summer
months, relying on stop-losses.
Questions