Interim Report Student Managed Fund MBA class of 2004 March 11, 2004
Jun 19, 2015
2. MBA Fund Managers
3. Agenda
4. Investment Philosophy
5. Investment Approach Sector Allocation Constant Portfolio Performance Monitoring
Investment Criteria 6. Investment Criteria Quantitative & qualitative factors checked across industries Economic Profit Debt/Equity Beta
Retention Ratio Gross MarginInsider Trading Free Cash Flow/Net Income Institutional Ownership Growth in EPS Corporate Governance ROIC Company Market Share ROE Industry Growth ROA Qualitative Quantitative 7. Qualitative Investment Criteria - Portfolio 5/8 6/9 6/13 6/12 Corporate Governance -0.30% 0.01% -0.5% 7.70% Insider Trading 83.38% 65.50% 67.44% 95% Institutional Ownership High Low Medium Medium Medium High Low High High Medium High High
3.38% 12.00% 17.62% 2.29% Company Market Share 18.5% 12.7% 27.20% 19.42% Industry Growth INTU JEC EBAY OCR 8. Quantitative Investment Criteria - Portfolio 1.20 0.95 1.55 0.85 Beta 0.01 0 0.02 0.68 Debt/Equity 1.56 0.73 1.03 1.30 FCF/NI 96.86% 34.53% 84.6% 28.30% EPS Growth 159M 49M 62M 15M Economic Profit 7.81% 8.12% 8.74% 6.80% Cost of Capital 14.55% 13.10% 10.18% 7.37% ROIC 14.70% 16.35% 10.50% 13.12% ROE 10.27% 7.86% 9.10% 6.18% ROA INTU JEC EBAY OCR 9. Portfolio Monitoring - Sell Criteria
10. SMF Holdings 12/26/03 Our sector allocation closely tracks the S&P500 with exceptions based on economic outlook HEALTHCARE29.28% CONSUMER DISCRETIONARY31.46% 5.89% ZMH 5.77% UNH 5.27% OCR 6.56% GILD 5.78% HSIC 5.00% YCC 4.42% WSM 5.85% HOTT 5.86% MAT 6.12% EBAY 4.21% ALV Equity Weight Ticker 11. SMF Holdings 12/26/03 Our sector allocation closely tracks the S&P500 with exceptions based on economic outlook CONSUMER STAPLES5.97% FINANCIALS5.38% INDUSTRIALS9.15% INFORMATION TECHNOLOGY18.77% 5.38% WFC 5.97% MO 4.17% FDC 3.36% COGN 5.56% MSFT 5.62% CD 3.53% JEC 5.68% INTU Equity Weight Ticker 12. SMF Holdings - Adjustments
13. SMF Holdings 02/17/04 * SOLD -9.27% $8,712 $47.86 200 JEC 0.26% $12,949 $30.75 420 INTC 8.63% $16,505 $66.06 230 HSIC 6.82% $16,159 $27.43 550 HOTT 8.85% $17,412 $53.32 300 GILD 22.55% $17,997 $56.49 260 EBAY 8.92% $16,051 $21.05 700 CD 16.53% $11,337 $32.43 300 ALV* 12.35% $11,312 $35.96 280 FDC -13.39% $9,042 $34.80 300 COGN* -4.48% $14,370 $51.87 290 INTU HPR Market Value (02/17/04) Purchase Price Quantity Ticker 14. SMF Holdings 02/17/04 4.64% $14,480 $55.23 250 WFC -3.9% $14,403 $33.84 350 WSM 2.35% $14,180 $27.71 500 YCC 11.27% $17,848 $69.74 230 ZMH 6.15% $16,518 $51.87 300 MO -0.97% $15,770 $19.19 830 MAT 10.88% $16,657 $54.63 275 UNH 1.98% $14,900 $26.56 550 MSFT 6.7% $9,729 $42.41 215 NEM 26.03% $16,328 $36.93 350 OCR HPR Market Value (02/17/04) Purchase Price Quantity Ticker 15. SMF Holdings Performance Period: Sep 4, 2003 Feb 17, 200421.87% 20.19% Treynor Index 2.93 2.67 Sharpe Ratio 7.46% 7.67% Annualized Standard Deviation 1.00 1.014 Beta 24.97% 23.47% Annualized Return 11.96% 11.28% Return S&P 500 SMF 16. Attribution Analysis
17. Sector Allocation Effect LEGEND Wa i-- MBA Wts As ofDec 26 2003 Wp i-- S&P Wts as of Dec 26 2003 Rp i-- S&P Sector returns {12/26 to 2/17} Rp -- S&P Overall Return {12/26 to 2/17} {(Wa i- Wp i )* (Rp i- Rp)} -- Sector Allocation Effect -0.6328% Sector Allocation Effect 0.0615% -2.1540% -2.85% Utilities -0.2587% 7.6488% -3.38% Telecomm Services 0.1565% -5.1317% -3.05% Materials -0.0089% -0.8548% 1.04% IT 0.0441% -2.4278% -1.82% Industrials 0.1780% 1.1151% 15.97% Health Care -0.3433% 2.2509% -15.25% Financials -0.0510% 0.8799% -5.79% Energy 0.0203% -0.4047% -5.03% Consumer Staples -0.4314% -2.1386% 20.17% Consumer Disc. {(Wai - Wpi)* (Rpi - Rp)} Rpi - Rp Wai - Wpi Sectors 18. Equity Selection Effect LEGEND Wa i-- MBA Wts As ofDec 26 2003 Ra i--MBA SMF Sector Returns {12/26 to 2/17} Rp i-- S&P Sector returns {12/26 to 2/17} Rp -- S&P Overall Return {12/26 to 2/17} {(Wa i- Wp i )* (Rp i- Rp)} -- Sector Allocation Effect Total Value Added = Sector Allocation Effect + Equity Selection Effect = - 2.48% -1.85% Selection Effect 0.00% -3.421% 0.00% Utilities 0.00% -13.224% 0.00% Telecomm Services 0.00% 6.726% 0.00% Materials -1.47% -7.833% 18.77% IT -0.27% -2.932% 9.15% Industrials 0.22% 0.757% 29.28% Health Care -0.47% -8.724% 5.38% Financials 0.00% -6.455% 0.00% Energy -0.14% -2.375% 5.97% Consumer Staples 0.27% 0.873% 31.46% Consumer Disc. Wai * Rai - Rpi R ai- R pi Wai Sectors 19. Attribution Analysis
20. Retrospection and Self-Analysis
21. Outlook
22. Impact
23. Activity Update As of Mar 05, 2004
24. Thank you
25.