student investment fund
TRANSCRIPT
Spring Spring 20092009
Presented by:Presented by:Jason Turo, David Holt, David Barber, Jason Turo, David Holt, David Barber,
Elizabeth WaltonElizabeth Walton
Mission StatementMission Statement
The Student Investment Fund shall The Student Investment Fund shall manage University of Alaska manage University of Alaska endowed funds in a professional endowed funds in a professional manner in order to maximize risk-manner in order to maximize risk-adjusted returns and provide a adjusted returns and provide a business-world experience for UAF business-world experience for UAF studentsstudents
Academics
ExperienceSIF
19911991
1993 1995
Small cap
growth
Conservative,
protect the 100k principal
endowment
1997
Aggressive
growth (EPS
growth > 25%)
1999
Restructuring
3 distinct
portfolios (value,
growth, blend)
2001
Consolidated to 1
Portfolio, with a focus on
valuation and critical
analysis of corporate
governance
Present
History of Investment Fund ApproachesA unique learning experience
Large cap
growth
Experiential LearningExperiential Learning
Team BuildingTeam Building Collaborate with peers and professorCollaborate with peers and professor Open discussionsOpen discussions
Improves MotivationImproves Motivation Real money, real concernReal money, real concern Heavy work loadHeavy work load
Retention of MaterialRetention of Material Implementation of Material vs LectureImplementation of Material vs Lecture
Primary BenefitsPrimary Benefits
Public speakingPublic speaking Active applied learningActive applied learning TeamworkTeamwork Analytic and quantitative Analytic and quantitative
skillsskills InternshipsInternships Support UAF scholarshipsSupport UAF scholarships
Objectives & Objectives & GuidelinesGuidelines
Outperform S&P 500 on a risk-adjusted Outperform S&P 500 on a risk-adjusted basisbasis
Monitor risk exposureMonitor risk exposure
Long positions onlyLong positions only
Presentation driven: screening and Presentation driven: screening and valuationvaluation
Qualitative factorsQualitative factors Quantitative factorsQuantitative factors
Bottom Up Approach
Quantitative Industry Screening
Fundamental Analysis/Valuation
Top-DownRisk Control
UAF SIF StructureUAF SIF Structure
Class OrganizationClass Organization
Risk control and Risk control and monitoringmonitoring
Sector specialistsSector specialists
Financial screensFinancial screens Value Line, Association for Value Line, Association for
American Individual Investors American Individual Investors (AAII), and Morningstar(AAII), and Morningstar
PresentationsPresentations Company valuationsCompany valuations
Buy/sell decisionsBuy/sell decisions
Portfolio StructurePortfolio Structure
Investment StylesInvestment Styles Blend of value and growth stocksBlend of value and growth stocks
Selection CriteriaSelection Criteria Minimum $100mill market capitalizationMinimum $100mill market capitalization Liquidity requirementsLiquidity requirements Exchange listed securitiesExchange listed securities
DiversificationDiversification Across positions and sectorsAcross positions and sectors
Restricted AccessRestricted Access Holdings and research resources password protectedHoldings and research resources password protected
Sector Diversification BylawsSector Diversification Bylaws
S&P 500 Sector Allocation (%)
3/20/09 Discretion (%)
Min. % Allocation 3/20/09
Max. % Allocation 3/20/09
Consumer Discretionary 8.49+/-
10 0 18.49
Consumer Staples 13.05 +/- 10 0 23.05
Energy 13.7 +/- 10 3.70 23.70
Financials 10.25 +/- 15 0 25.25
Healthcare 15.42 +/- 10 5.42 25.42
Industrials 9.48 +/- 10 0 19.48
Technology 17.83 +/- 12.5 5.33 30.33
Basic Materials 3.29 +/- 5 0 8.29
Telecommunication 4.09 +/- 5 0 9.09
Utilities 4.4 +/- 5 0 9.40
Cash 5 +/- 10 0 15.00
Portfolio StatisticsPortfolio Statistics
Weighted Average Market Capitalization: $33.11 billionWeighted Average Market Capitalization: $33.11 billion Median Market Capitalization: $14.43 billionMedian Market Capitalization: $14.43 billion
Weighted Average Price/Earnings Ratio: 13.40 (ttm)Weighted Average Price/Earnings Ratio: 13.40 (ttm) (S&P 500=11.60)(S&P 500=11.60)
Forward Weighted Average Price/Earnings Ratio: 11.99Forward Weighted Average Price/Earnings Ratio: 11.99
Portfolio Beta: 0.91Portfolio Beta: 0.91 (Market=1.00)(Market=1.00)
Annualized Commissions as a % of Account Value
0%
1%
2%
3%
4%
5%
6%
92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08
Account Value and Annual Turnover
$100,000
$200,000
$300,000
$400,000
$500,000
$600,000
$700,000
$800,000
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 20080%
20%
40%
60%
80%
100%
120%
140%
160%
180%
200%
Tu
rno
ver
Account Value
Annual Buy & Sell Turnover
Recent BuysRecent Buys
Company Name Symbol Sector
American Science ASEI Industrials
Dolby DLB Information Tech.
Quicksilver KGS Utilities
AEROPOSTALE ARO Consumer Dis.
Freeport McMoRan FCX Basic Materials
JP Morgan Chase JPM Financial
Recent Buys
Recent SellsRecent Sells
Company Name Symbol Sector
Cabot Corporation CBT Basic Materials
Diamond Offshore Drilling DO Energy
Toronto Dominion TD Financials
Lockheed Martin LMT Industrials
Fluor FLR Industrials
Recent Sells
SIF Best Sell
SIF Best PerformersSIF Best Performers
Includes only companies we have held the entire year…
Company Name Symbol Sector
Church & Dwight CHD Consumer Staples
General Mills GIS Consumer Staples
Watson Pharmaceuticals WPI Healthcare
Colgate Palmolive CL Consumer Staples
Chattem CHTT Healthcare
SIF Best Performers
SIF Worst PerformersSIF Worst Performers
Company Name Symbol SectorBHP Billiton BHP Basic Materials
Adobe Systems Inc. ADBE Information Technology
Murphy Oil MUR Energy
Core Laboratories CLB Energy
Noble Corporation NE Energy
Includes only companies we have held the entire year…
SIF Worst Performers
Performance thru 2/28/2009Performance thru 2/28/2009
Cumulative Returns UAF Student Large Stocks Small Stocks
Investment Fund S&P 500 Russell 2000
YTD Return ** -10.9% -18.2% -22.1%
1 Year -40.1% -43.3% -43.2%
2 Year -18.5% -26.1% -29.5%
3 Year -10.8% -15.1% -18.2%
4 Year -4.3% -9.8% -10.7%
5 Year -0.4% -6.6% -6.9%
10 Year 1.2% -3.4% 1.1%
Since Inception (Apr 91) 7.2% 5.2% *
* Russell 2000 index data is not available
** Year-to-date (YTD) returns are not annualized by convention
Calendar Year Returns
Growth of $100,000: SIF & S&P 500
$100,000
$200,000
$300,000
$400,000
$500,000
$600,000
$700,000
$800,000
91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08
SIF S&P 500
Risk Adjusted PerformanceRisk Adjusted Performance
The Capital Asset Pricing Model (CAPM) explains the relationship between risk and expected return in equilibrium.
The rate of return on an actively managed portfolio in excess of what is explained by CAPM is commonly referred to alpha (α).
Alpha is a measure of added-value and is commonly used to evaluate the performance of portfolio managers.
Risk Adjusted PerformanceRisk Adjusted Performance
For the period Sept. 2002 through Feb. 2009:For the period Sept. 2002 through Feb. 2009: The UAF Student Investment Fund Alpha (The UAF Student Investment Fund Alpha (αα) was 0.4% per ) was 0.4% per
month (5.4% annualized).month (5.4% annualized). Alpha T-Statistic was 1.98, and P-Value of 5.06%. Alpha T-Statistic was 1.98, and P-Value of 5.06%. The fund’s Beta (β) was 0.91 and adjusted R-square was 79%The fund’s Beta (β) was 0.91 and adjusted R-square was 79%
For the since inception period April 1991 through For the since inception period April 1991 through Feb. 2009:Feb. 2009: The UAF Student Investment Fund Alpha (The UAF Student Investment Fund Alpha (αα) was 0.2% per ) was 0.2% per
month (2.3% annualized).month (2.3% annualized). Alpha T-Statistic was 0.65, and P-Value of 51.55%.Alpha T-Statistic was 0.65, and P-Value of 51.55%. The fund’s Beta (β) was 1.07 and adjusted R-square was 53%The fund’s Beta (β) was 1.07 and adjusted R-square was 53%
PartnershipsPartnerships
SIF Board of SIF Board of AdvisorsAdvisors Joe Beedle, Greg Joe Beedle, Greg
Krier, Tammy Krier, Tammy Weaver, and Dean Weaver, and Dean HerrmannHerrmann
CFRA & ZacksCFRA & Zacks Leveraging non-Leveraging non-
profit and profit and educational statuseducational status
APFCAPFC Internship Internship
programprogram Faculty AdvisorFaculty Advisor
Craig Wisen, CFACraig Wisen, CFA
ResourcesResources
Value LineValue Line Association for Individual Association for Individual
American Investors (AAII)American Investors (AAII) Center for Financial Center for Financial
Research and Analysis Research and Analysis (CFRA) (CFRA)
Zacks Investment Zacks Investment Research Research
Q-ChartsQ-Charts Real-Time QuotesReal-Time Quotes
E*TradeE*Trade Dedicated office, Dedicated office,
equipment, and softwareequipment, and software APFC Internship ProgramAPFC Internship Program
Questions?Questions?