Undergraduate Student Investment Management Fund
Final Presentation
Friday April 25th, 2014
1
Undergraduate SIM Fund
Student Investment Management Fund
Fund MembersFund Managers Fund Analysts
Dakota Boyd(Senior)
Clayton Jenners(Senior)
Adrian Reiter(Senior)
Andrew Farber(Senior)
Dylan King(Senior)
Tro Panosian(Junior)
Jasmine Anglen(Junior)
Logan Hurst(Senior)
Paul Farington(Senior)
Sean Gormley(Senior)
Alex Green(Junior)
Alasandro Fenston(Senior)
Vikas Bhagavatula(Senior)
Justin Eastman(Junior)
Marcus Schafer(Senior)
Kyle Heck(Senior)
Undergraduate SIM Fund
Student Investment Management Fund
1. Introduction
2. Performance
3. Holdings & Attribution
4. Concluding Thoughts
3
Undergraduate SIM Fund
Student Investment Management Fund
Presentation Overview
Introduction
4
Undergraduate SIM Fund
Student Investment Management Fund
• Learn
• Maintain fiduciary standards for assets under management
o Risk/return profile
o Manage trade-offs
Diversification and idiosyncratic risk
Understanding implementation
5
Undergraduate SIM Fund
Student Investment Management Fund
Success Metrics
• Look back period of three years
o “Opportunistic” vs. “routine” traders
o Four week holding period
o Investing in top 10 companies with the most net buyers
• Developed more automated implementation
• Constructed a more informative signal
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Undergraduate SIM Fund
Student Investment Management Fund
Insider Strategy (80%)
Insider Strategy (80%) – Classifying Insiders
Su M T W Th F Sa Su M T W Th F Sa Su M T W Th F Sa
X = Routine Trader
2013 20142012
April
7
X
X XX
X
X
X = Opportunistic Trader
Undergraduate SIM Fund
Student Investment Management Fund
8
Week 5
WMB
GBL
TROW
ARCC
CKH
SREV
VTR
LUK
FBP
ENS
Week 4
GMCR
HMSY
LEG
SPG
WEC
KMT
PPS
MOG-A
NCT
OKE
Insider Strategy (80%) – Constituent Portfolios
Week 1
VRX
ABM
ACN
COV
ED
DVA
PCYC
ERIE
T
BRC
Week 3
BCOR
MDLZ
Y
SSS
AYR
FICO
EOG
SANM
ANDE
GPN
Week 2
AYR
SNV
RDN
MOG-A
FAST
NLY
RLI
HTS
CDE
PXD
Undergraduate SIM Fund
Student Investment Management Fund
May ‘14 Buy July ‘14 Sell
Hold
Apr. ‘14 Buy June ‘14 Sell
Hold
Momentum Strategy (20%)• International diversification
• Past winners outperform past losers
• Two rolling constituent portfolios
o Two month holding period
• Repeat signals trigger repeat buys
• Purchase top decile
o Dynamic universe
o Expanded universe in December ‘13 from 14 to be in range of 22 or 23
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Undergraduate SIM Fund
Student Investment Management Fund
Apr. ‘13 Mar. ‘14
Calculate returns Reversal
Apr. ‘14
Performance
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Undergraduate SIM Fund
Student Investment Management Fund
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Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Returns Benchmark Returns
Insider 5.59% 4.51% (Russell 3000) N/A
Int’l MOM 3.49% 2.85% (MSCI ex US) 3.06% (BKADR)
Aggregate 5.37% 4.51% (Russell 3000) 4.24% (Custom)
Portfolio Performance
As of April 17, 2014
(4.0)
(2.0)
0.0
2.0
4.0
6.0
8.0
10.0
12.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Return
Insider Russell 3000
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Performance Difference
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Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Insider vs. Russell 3000
As of April 17, 2014
Since Inception
Insider Russell 3000
Return
Total Return 5.59 4.51
Mean Return (Annualized) 21.46 17.07
Mean Excess Return (Annualized) 3.75 na
Risk
Std. Dev. (Annualized) 13.35 11.96
(10.0)
(5.0)
0.0
5.0
10.0
15.0
20.0
25.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Returns
Int'l MOM iShares MSCI ACWX Index Fund (ACWX US)
(10.0)
(5.0)
0.0
5.0
10.0
15.0
20.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Performance Difference
13
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Momentum vs. ACWX
As of April 17, 2014
Since Inception
Int'l MOM MSCI ex US
Return
Total Return 3.49 2.85
Mean Return (Annualized) 18.54 10.69
Mean Excess Return (Annualized) 7.10 na
Risk
Std. Dev. (Annualized) 28.22 10.27
(10.0)
(5.0)
0.0
5.0
10.0
15.0
20.0
25.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Returns
Int'l MOM BNYMellonADR (BKADR)
(5.0)
0.0
5.0
10.0
15.0
20.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Performance Difference
14
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Momentum vs. BKADR
As of April 17, 2014
Since Inception
Int'l MOM BKADR
Return
Total Return 3.49 3.06
Mean Return (Annualized) 18.54 11.97
Mean Excess Return (Annualized) 5.87 na
Risk
Std. Dev. (Annualized) 28.22 13.24
(4.0)
(2.0)
0.0
2.0
4.0
6.0
8.0
10.0
12.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Returns
SIMF Total Portfolio Russell 3000
(2.00)
(1.00)
0.00
1.00
2.00
3.00
4.00
5.00
6.00
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Performance Difference
15
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Total vs. Russell 3000
As of April 17, 2014
Since Inception
SIMF Total Russell 3000
Return
Total Return 5.37 4.51
Mean Return (Annualized) 18.41 17.07
Risk
Std. Dev. (Annualized) 18.75 11.96
(4.0)
(2.0)
0.0
2.0
4.0
6.0
8.0
10.0
12.0
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Returns
SIMF Total Portfolio SIMF Custom Benchmark w/ ACWX
(2.00)
(1.00)
0.00
1.00
2.00
3.00
4.00
5.00
6.00
11/17/2013 12/12/2013 1/6/2014 1/31/2014 2/25/2014 3/22/2014 4/16/2014
%
Performance Difference
16
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Total vs. Custom (ACWX)
As of April 17, 2014
Since Inception
SIMF TotalCustom
Benchmark
Return
Total Return 5.37 4.24
Mean Return (Annualized) 18.41 16.02
Risk
Std. Dev. (Annualized) 18.75 11.77
Holdings and Attribution
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Undergraduate SIM Fund
Student Investment Management Fund
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Undergraduate SIM Fund
Student Investment Management Fund
Insider Market Cap Holdings and Attribution
Insider Portfolio
Large Cap Mid Cap Small Cap
IWV: Russell 3000
Attribution Analysis
Market Cap Security Selection
Large Cap -0.12% 2.38%
Mid Cap -0.06% -0.52%
Small Cap -0.55% -0.06%
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Undergraduate SIM Fund
Student Investment Management Fund
Insider Sector Holdings and Attribution
Insider Portfolio
Cons. Disc. Cons. Stap. Energy Financials Health Care
Industrials Info Tech. Materials Telecom Utilities
IWV: Russell 3000Attribution Analysis
Sector Security Selection
Cons. Disc. 0.09% -1.15%
Cons. Stap. -0.15% 1.00%
Energy -0.24% 1.37%
Financials 0.22% 0.15%
Health Care 0.53% -0.46%
Industrials 0.12% -0.52%
Info Tech. 0.23% 0.45%
Materials -0.02% -0.20%
Telecom -0.04% -0.03%
Utilities -0.27% -0.01%
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Undergraduate SIM Fund
Student Investment Management Fund
ADR Momentum Market Cap Holdings and Attribution
ADR Momentum Portfolio
Large Cap Mid Cap Small Cap
ACWX: MSCI ex US
Attribution Analysis
Market Cap Security Selection
Large Cap -0.05% 1.83%
Mid Cap -0.04% 1.85%
Small Cap -2.57% 0.63%
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Undergraduate SIM Fund
Student Investment Management Fund
ADR Momentum Sector Holdings and Attribution
ADR Momentum Portfolio
Cons. Disc. Cons. Stap. Energy FinancialsHealth Care Industrials Info. Tech. MaterialsTelecom Utilities
ACWX: MSCI ex USAttribution Analysis
Sector Security Selection
Cons. Disc. 0.01% 1.84%
Cons. Stap. 0.11% 0.00%
Energy -0.15% 1.47%
Financials 0.05% -0.78%
Health Care -0.19% -0.52%
Industrials -0.07% 0.08%
Info. Tech. 1.20% 0.05%
Materials 0.12% 0.00%
Telecom -0.19% -1.31%
Utilities -0.11% 0.00%
Undergraduate SIM Fund
Student Investment Management Fund
ADR Momentum Region Holdings and AttributionADR Momentum Top Ten Country
Holdings
China Argentina
Japan Ireland
France Taiwan
Finland Hong Kong
United Kingdom Italy
ACWX: MSCI ex US Top Ten Country Holdings
Japan United Kingdom
France Switzerland
Germany Canada
Australia South Korea
Netherlands Hong Kong
Attribution Analysis
Country
Security
Selection
China -0.51 1.88
Argentina 1.00 0.00
Japan -0.15 -0.49
Ireland 0.24 -0.41
France 0.04 0.04
Taiwan 0.20 0.72
Finland -0.27 -0.16
Hong Kong -0.16 1.08
United
Kingdom 0.17 -0.45
Italy 0.21 0.20
22
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Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Market Cap Holdings and Attribution
Attribution Analysis
Market Cap Security Selection
Large Cap -0.11% 2.27%
Mid Cap -0.06% -0.05%
Small Cap -0.95% 0.08%
Total Portfolio
Large Cap Mid Cap Small Cap
80% IWV & 20% ACWX
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Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Sector Holdings and Allocation
Total Portfolio
Cons. Disc. Cons. Stap. Energy Financials Health Care
Industrials Info Tech. Materials Telecom Utilities
80% IWV & 20% ACWXAttribution Analysis
Sector Security Selection
Cons. Disc. 0.07% -0.55%
Cons. Stap. -0.10% 0.80%
Energy -0.22% 1.39%
Financials 0.19% -0.04%
Health Care 0.39% -0.47%
Industrials 0.08% -0.40%
Info Tech. 0.42% 0.37%
Materials 0.01% -0.16%
Telecom -0.07% -0.29%
Utilities -0.24% -0.01%
Concluding Thoughts
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Undergraduate SIM Fund
Student Investment Management Fund
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Undergraduate SIM Fund
Student Investment Management Fund
Insider Strategy – Signal Strength
27
Undergraduate SIM Fund
Student Investment Management Fund
Case Study•Viropharma acquired by Shire
•Announced on November 8th
•Viropharma was purchased in the Insider Strategy• January 15th at $49.97 per share
•Viropharma acquired January 23rd
•$50.00 cash tender
•Shire was purchased in the Momentum Strategy•February 6th at $153.33 per share
•Shire was sold March 31st
•$147.72 per share
• Learn
• Maintain fiduciary standards for assets under management
o Risk/return profile
o Manage trade-offs
Diversification and idiosyncratic risk
Understanding implementation
28
Undergraduate SIM Fund
Student Investment Management Fund
Success Metrics
Questions?
29
Undergraduate SIM Fund
Student Investment Management Fund
Appendix
30
Undergraduate SIM Fund
Student Investment Management Fund
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Undergraduate SIM Fund
Student Investment Management Fund
Insider Strategy – Signal Strength
32
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Insider L-S vs. Russell 3000
As of April 17, 2014
(10.0)
(5.0)
0.0
5.0
10.0
15.0
11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014
%
Returns
Int'l MOM LS Equal Weight ADR
(5.0)
(3.0)
(1.0)
1.0
3.0
5.0
7.0
9.0
11.0
13.0
15.0
4/17/20143/11/20141/31/201412/25/201311/18/2013
%
Performance Difference
33
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Momentum L-S vs. Equal ADR
As of April 17, 2014
(3.0)
(2.0)
(1.0)
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014
%
Returns
SIMF Total Portfolio L-S Russell 3000
(5.00)
(3.00)
(1.00)
1.00
3.00
5.00
7.00
4/17/20143/11/20141/31/201412/25/201311/18/2013
%
Performance Difference
34
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Total L-S vs. Russell 3000
As of April 17, 2014
(4.0)
(2.0)
0.0
2.0
4.0
6.0
8.0
11/18/2013 12/13/2013 1/7/2014 2/1/2014 2/26/2014 3/23/2014 4/17/2014
%
Returns
SIMF Total Portfolio L-S Custom Benchmark w/ Eq. Wt. ADR
(5.00)
(3.00)
(1.00)
1.00
3.00
5.00
7.00
4/17/20143/11/20141/31/201412/25/201311/18/2013
%
Performance Difference
35
Undergraduate SIM Fund
Student Investment Management Fund
Portfolio Performance – Total L-S vs. Custom (Eq. Wt. ADR)
As of April 17, 2014