UNIVERSITY OF UNIVERSITY OF CONNECTICUT Student CONNECTICUT Student

Managed FundManaged Fund

March 11, 2004March 11, 2004

Undergraduate PortfolioUndergraduate PortfolioTimothy

BlaisPatrick Mastan

Emeka Okafor

Kristen Candella

Daniel McCarthy

Todd Shrier

Edmund Chung

Philip Odackal

Timothy Sweeney

Julia Yelevich George Kruglov

MissionMission

• 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 ObjectivesPortfolio Objectives

• Outperform the S&P 500 index

• Develop a well-diversified portfolio

• Invest consistently with market forecast

Industry Selection

Quantitative Analysis

Qualitative Analysis

Valuation Models

Portfolio MonitoringRe-optimization

Stop Loss/Review Analysis

Stock Selection ProcessStock Selection Process

Portfolio

Discussion

Group Vote

ValueValue

4-Sep-03 8-Dec-03 24-Feb-04

Total Portfolio $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

S&P 500 $1,027.97 $1,069.30 $1,142.17

Performance Performance

PeriodReturn

on SMF

Return on 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

15.43%

9.53%

6.81%

11.11%

0%

5%

10%

15%

20%

(09/04/03-02/24/04) (12/08/04-02/24/04)Period

Ret

urn

Return on SMF

Return on S&P

Risk Assessment Risk Assessment (As of 12/8/03)(As of 12/8/03)

SymbolBeta 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 PerformanceRisk Adjusted Performance(12/8/03-02/24/04)(12/8/03-02/24/04)

  Return on Portfolio(Rp)

Return onS&P (Rsp)

Risk FreeRate (Rfr)

(12/8/03-02/24/04) 9.53% 6.81%  3.28%

Excess Return (Rp-Rfr) 6.25% 3.53%

Risk(Weighted Average Beta)

0.827 15-yr

T-Bond

Treynor Index

7.56% 3.53%(12/8/03)

T=[(Rp-Rfr)/B]  

Attribution AnalysisAttribution Analysis

• Allocation Effect

• Selection Effect

Sector Allocation Effect Sector Allocation Effect (12/8/03-2/06/04)(12/8/03-2/06/04)

Sector SMF S&P 500

Sector return

(12/8/03-02/6/04)

Excess returns S&P Sector

-**Overall S&P

Sector allocationContribution

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

**S&P performance from 12/08/2004-02/06/2004 was 6.87%

Security Selection EffectSecurity Selection Effect(12/08/03-02/06/04)(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 HoldingsCurrent Holdings

Company NameCurrent 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)

CSG9%

PFE9%

EAT4%

ANF10%

TJX8%

HDI8%

BUD5%

MSFT9%

FOSL9%

MAT9%

PAYX6%

S&P5006%

MO 8%

Holdings ReturnsHoldings Returns(As of 2/24/04)

-12.8%

19.1%16.6%

13.6%

31.9%

19.6%19.8%20.9%

0.5%2.9%

6.2%8.0%

-20%

-10%

0%

10%

20%

30%

40%

CSGM

OPFE

EATANF

TJXHDI

BUDM

SFT

FOSL

MAT

PAYX

Equities

Re

turn

s

Forward ExpectationsForward Expectations

• Market Outlook– Historical Return– Value of Dollar– Inflation– GDP

• Risks– Credit Risk (S/T vs. L/T)– Unemployment– Budget Deficit

ConclusionConclusion

• Retrospection

• Self-Analysis

Thank YouThank You

• The Foundation

• The Advisory Board

• Faculty – Patrick Terrion, Professor Ghosh, Steering

Committee

QUESTIONS?QUESTIONS?