W. P. Carey School of Business Undergraduate Fund Semi-Annual Meeting April 29 th, 2011 1
Today s Agenda Team ti Review of Strategy Portfolio Performance s 2
Team Fund Manager Fundamental Analysts Tyler Rives Tom Bochenko Vincent Mendez Quantitative Analysts Rob Hill Michael Cohn Dan Tram Jay Joshi Ryan Detlaff Steven Kutos 3
Review of 4
Mean Variance Optimizer i Constrained MVO Data FI Ex-US US 5
Black Litterman Model FI Ex-US US Fundamental Analysis Black- Litterman Data Sector Weights 6
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40.00% Performance Graph Undergraduate 35.00% 30.00% 25.00% VDE XLY VDC VDE XLF VHT 20.00% Total Retu urn 15.00% 10.00% 00% VDC VHT SIMF XLY VIS VIS XLK XLU VFWIX IPE SHY 5.00% VFWIX XLB XLB CASH SIMF 0.00% 00% SHY -1.00% 4.00% 9.00% 14.00% 19.00% -5.00% Standard Deviation 8
18.00% SIMF Performance 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% "SIMF" "Custom Benchmark" "Russell 3000" 4.00% 2.00% 0.00% 10/6/2010 11/04/2010 12/03/2010 01/05/2011 02/04/2011 03/08/2011 04/06/2011 9-2.00%
Performance vs. benchmarks table w/ volatility Return Annualized Return Volatility Sharpe SIMF 10.12% 12% 19.87% 12.1% 1%.56 Custom Benchmark 10.7% 21.1% 12.5%.59 Russell 3000 19.5% 31.7% 14.7%.82 MSCI World 11.8% 24.47% 14.4%.64 10
Holdings Sector Ticker Original Weight Consumer XLY 9.8% Discretionary Con Staples VDC 12.6% Energy VDE 80% 8.0% Financials XLF 3.5% Healthcare VHT 9.6% Industrials VIS 2.6% Technology XLK 12.6% Utilities XLU 3.4% Ex-Us VFWIX 21.3% TIPS IPE 15.7% 11
Rbl Rebalancing Eliminating i Drift Dift Turnover Change in asset allocation 12
Holdings Sector Ticker Original Weight Current Weight Change Consumer XLY 9.8% 6.81% -2.99% Discretionary Con Staples VDC 12.6% 3.75% -8.86% Energy VDE 80% 8.0% 9.78% 1.78% Financials XLF 3.5% 13.58% 10.08% Healthcare VHT 9.6% 5.22% -4.38% Industrials VIS 2.6% 7.76% 5.16% Technology XLK 12.6% 14.06% 1.46% Utilities XLU 34% 3.4% 0.00% 00% -3.40% Ex-Us VFWIX 21.3% 25.00% 3.7% TIPS IPE 15.7% 0.00% -15.7% 1-3 yr Treasury SHY 0% 12.14% 12.14% 13
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Without Geographic Constraints 14 Portfolio Performance 12 s Total Ret turn Perce entage 10 8 6 4 2 SIMF SIMF NO GEO CONSTRAINT 0 10/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011-2 SIMF No Geographical Constraints Return 19.87% 23.33% 33% Volatility 12.09% 13.19% Sharpe Ratio 0.564 0.635 15
14 Without Constraints Portfolio Performance 12 10 s Total Return Percentage 8 6 4 2 SIMF Unconstrained Portfolio 0 10/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011-2 SIMF No Constraints Return 19.87% 20.47% Volatility 12.09% 11.39% Sharpe Ratio 0.564 0.598 16
14 Without Rebalancing Portfolio Performance 12 10 s tage tal Return Percent 8 6 4 Tot 2 SIMF Drifting Portfolio 0 10/2010 11/2010 12/2010 1/2011 2/2011 3/2011 4/2011-2 SIMF Drifting SIMF Return 19.9% 21.0% Volatility 12.1% 11.7% Sharpe 0.56 0.60 17
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Mthd Methods of Portfolio Construction ti Portfolio Analysis Turnover, Rebalancing, Monitoring Tools 19
Planning 20
planning Bloomberg Statistics and probability Basic portfolios Videos, readings, etc Fully trained dbf before summer 21
Recruiting i Class visits, iit emails postings Application to interview process Trade offs when selecting applicants 22
Bio on new managers Michael Cohn Sophomore, Finance & Mathematics major Worked as a research assistant for the W. P. Carey School of Business and interned with Merrill Lynch's WM division. Run an online trading card business that has generated over $140,000 in revenue with a 28% cumulative profit margin Steven Kutos Junior, Finance & Statistics major Worked on a long/short pan European equity hedge fund last summer and spent the prior summer at LGT Capital Management as a summer intern. Co leading the Investment Banking Industry Scholar program and have been a quantitative analyst for the Student Investment Management this year. 23
Aaron Baker New Members Finance & Mathematics (Statistics) Honors Study Abroad in Paris, France Ajay G. Finance & Economics Working, Self-Employed Jenna Hoppe Finance & Accounting (minor in Economics) Interning with Vanguard Jonathan Lozano Finance Undecided Kenneth hqian Mathematics, Finance & Economics Interning with Humana at Louisville ill Michael Ham Finance & Management (Entrepreneurship) Interning with E&Y in Risk Management Rima Reddy Finance & Mathematics (Statistics) Interning with Goldman Sachs (Operations) 24