Student Investment Management Fund

0

Student Investment Management Fund Max M. Fisher College of Business – The Ohio State University

2008 Annual Report

1

A Message from the SIM Director I am very pleased to report another successful year for The Ohio State University’s SIM program, my 8th as director. The 135 students that have participated in the program this year have gained much wisdom and guidance from adjunct professors, Royce West and Chris Henneforth, who very ably lead the class. Our student manager, Matt Falk, did a marvelous job for the program and smoothly handed off his duties to Jonathan Stone before taking up his position at MetLife. An important innovation this year was the launch of our new contract with M2 Marketing LLC, led by Fisher alumni Ryan Miller and Megan McCabe, to help with outreach activities mainly through our website. Finally, I am ever grateful to the continued support of the OSU Treasurer’s office, my colleagues in the Department of Finance and Dean’s office, Chuck Webb, the wonderful friend and benefactor of the investments professorship I hold, Jack and Dan Rosenfield, who generously sponsor our quarterly prize for the best analyst report, and the many SIM alumni who freely offer to help out with Fisher’s investment management program in any way they can. Go Bucks! G. Andrew Karolyi

Outlook from the SIM Student Manager

I am honored and very excited about the opportunity to take on the duties of student manager for the SIM program. As the nation’s largest student managed equity fund we have the ability to showcase the talents of the students who partake in the program. One of my goals for the year is to increase awareness about the program among those outside of The Ohio State University and our supportive alumni base. A tradition that will continue is the quarterly trip to either Chicago or New York to allow students to peer into the day to day operations of a mixture of investment roles. We are appreciative of Jim Miller and Caroline Su in the Office of External Affairs for arranging the meetings. Also this year, some students who participate in the SIM program will attend the Redefining Investment Strategy Education (RISE) Symposium to learn and discuss pertinent issues facing investment professionals. I look forward serving as the student manager for the SIM program and with the help of all of those associated with the program we can have an excellent year. Jonathan Stone

2

TABLE OF CONTENTS

A Message from the SIM Director and Student Manager …………………………….. 1 History of SIM ……………………………………………………………………………... 3

Objectives & Philosophy of the Fund …………………………………………………… 4

Investment Process ………………………………………………………………………... 5 Performance for the Fiscal Year Ending June 30, 2008 ……………………………….... 6

Acknowledgments ………………………………………………………………………… 10

APPENDICES

Appendix I: Portfolio Holdings as of June 30, 2008 Appendix II: Purchase Transactions from July 1, 2007 to June 30, 2008 Appendix III: Sale Transactions from July 1, 2007 to June 30, 2008 Appendix IV: Statement of dividends received during the period July 1, 2007 to June 30, 2008 Appendix V: Statement of interest received during the period July 1, 2007 to June 30, 2008 Appendix VI: Statement of management fees during the period July 1, 2007 to June 30, 2008 Appendix VII: Rosenfield Prize for Excellence in Security Analysis, July 1, 2007 to June 30, 2008

3

STUDENT INVESTMENT MANAGEMENT FUND HISTORY

Following an initial "paper dollar" experiment that lasted roughly one year, a team of students in 1990 developed a proposal for managing actual endowment funds and made a formal presentation before the Investment Committee of the University Trustees. On the basis of the proposal and favorable results during the trial period, the student team was awarded a $5 million equity account. A burst of media attention followed the initial press release, including a spot on the NBC show, Today. Coverage of the first anniversary of the program was even more intense upon the announcement that the student account had earned 20% or $1 million while the market in general had only returned 13.5% as measured by the S&P 500 index. Students battered their own mark by posting a 25% return ($1.5 million) during the second year of the program.

From its inception and through its continuing evolution, The Ohio State University SIM program has been an integrated effort of many individuals and groups. The student management team is at the hub of the network, but there are essential ties to and support from the following:

University Trustees University Trustees proposed the project, monitored its early development, and approved the final plan. In addition, the Board continues to supervise both the investment and academic merits of the program.

University Administration The student team was hired as an equity manager subject to the same conditions and limitations that apply to any other equity manager for the University Endowment with one notable exception; the Office of the Treasurer serves as the formal manager of the account. Thus far, the Treasurer has been able to follow all of the advice provided by the student management team. However, should the need arise, the Treasurer has the authority to override decisions or to take independent action. This arrangement allows the SIM program to avoid potential legal problems with fiduciary responsibility. It also eliminates technical problems due to the academic calendar (vacations, quarterly turnover of managers, etc.)

Jack Rosenfield (center) congratulates recent winners of the Rosenfield Family Prize for Excellence in Security Analysis, Steve Bright (far left), Greg Strouse (back left), & Chris Pribisko (far right), along with SIM instructor Royce West (front left) and Andrew Karolyi (back right).

Other University offices are involved with the SIM program as well including University Communications which helps coordinate media relations.

Fisher College of Business Fiscal responsibility for the management of the program rests with the Dean's office. The Office of External Affairs also assists with program publicity, media relations, investment management firm visits and special events.

Securities Industry Support from the securities industry has been extensive. It is difficult to acknowledge the many offers of help. Over time, we have found increasingly more effective channels for this support which now includes summer internships, speakers, and state-of-the-art investment information services, as well as economical commissions for trades and services.

4

OBJECTIVES AND PHILOSOPHY The Ohio State University Student Investment Management Program (SIM) combines traditional academic objectives with the practical demands of hands on investment management. The trustees, administration, and faculty view the program as a unique opportunity for delivering high quality practical education in an area of considerable interest to students and employers alike.

The SIM Program has three primary objectives: • To achieve a total return in excess of the Standard and Poor’s (S&P) 500 Index; • To preserve and maintain the real purchasing power of the fund; • To enhance the educational experience of the students, by providing them an opportunity to apply the

investment management skills and knowledge they have acquired. Outside the classroom, the SIM Program concentrates on establishing and maintaining ties with the business community, which, in turn, enhances public relations for both the Fisher College of Business and The Ohio State University. The program sponsors quarterly student trips to major U.S. financial centers, such as Chicago and New York, where they meet with professionals in the securities and investments industry.

I

In addition, thanks to a generous donation from OSU alumni Jack and Dan Rosenfield, the SIM program continued a quarterly competition in which the participants are required to prepare a security analysis report on a publicly-traded stock in the SIM investment universe. Each quarter two prizes are awarded: $2000 for the best report and $500 for the second best report. Apart from the prize money, the students benefit by gaining a competitive advantage for internship and full-time employment opportunities in a variety of fields in finance.

(Dan (left) & Jack (right) Rosenfield award Sok Gun Song (center) a prize for his winning report on Alcoa during winter quarter 2004.

From an academic perspective, the Student Investment Management Program (SIM) focuses on developing the students' understanding of the institutional structure and fundamental concepts of asset valuation in financial markets. To do so, analytical tools are developed to study the valuation of different types of securities. Furthermore, theoretical material and real world applications are balanced to give the students an understanding of investment theory and portfolio development. In the classroom, the students become active portfolio managers of the SIM Portfolio. During the class, each student acts as a security analyst as follows:

• Each student is assigned one stock from the existing SIM portfolio. The student analysts give updates during each class meeting on the current events and activities affecting their firm.

• The class is further divided into market sector groups, which are responsible for researching and analyzing that specific market sector; periodic reports are delivered to the class outlining overall trends, recent developments and specific stock recommendations.

• Each member of the class is also responsible for researching a new stock that may be added to the portfolio at the end of the quarter. The analyst prepares a written report and makes an oral presentation to the class.

5

INVESTMENT PROCESS The investment strategy of the SIM program is based on the philosophy that the market is inefficient in the short term and that fundamental analysis can be used to identify attractive securities to purchase. The structure of the SIM program necessitates a focus on large-cap stocks, with an emphasis on portfolio diversification to manage risk. In the classroom, the students become active portfolio managers of the SIM Portfolio. They are divided into groups and each group is assigned the responsibility of covering one or two related sectors, as well as, the overall economy. Sector groups review the prior class sector presentations and complete a detailed assessment of current information. The groups present their sector outlooks to the class and recommend an overweight, market-weight, or underweight position in their sectors. Each group then assesses the current SIM portfolio holdings in their sectors and evaluates alternative companies within their sectors. Finally the group will make a final class presentation, in which they recommend specific stock actions. They may recommend holding the current positions, liquidating stocks, or adding new stocks to the SIM portfolio within their sector. After a final round of discussions and voting, the buys and sells for the quarter are finalized and orders are sent to the brokers. The class engages in a group decision-making process and a majority-vote rule applies.

SIM class enjoys a visit to the floor of the Chicago Board of Options Exchange during August 2008

To facilitate continuity, all presentations and individual stock reports are uploaded on the class website and students review prior class presentations and reports prior to beginning their own analysis. Further, each June, a second-year MBA student is appointed as the SIM graduate associate (GA) for one year. The SIM GA is responsible for preparing reports for the Office of the Treasurer, monitoring computer labs, answering questions, and making presentations to each new class on previous portfolios and strategies.

6

PERFORMANCE The SIM portfolio net return was -11.99% during the fiscal year ending June 30, 2008 and outperformed the benchmark S&P 500 portfolio by 113 basis points. Throughout the past three, five, and ten years the SIM portfolio has consistently performed better than the S&P 500, succeeding by 149, 73, and 139 basis points respectively during that time period. Table 1: Portfolio Returns

Return for fiscal year Since Inception Annualized Returns (July 2007 – June 2008)

3 Years 5 Years 10 Years

(2/13/90) SIM (net of fees) -11.99% 5.90% 8.31% 4.27% 8.73%

S&P 500 -13.12% 4.41% 7.58% 2.88% 9.89%

Wilshire 5000 -12.53% 5.02% 8.73% 3.59% 10.25%

Table 2: Portfolio Overview as on June 30, 2008 As per the table above, the market value of the SIM portfolio as of June 30, 2008 was $22.8 million. The total asset value includes a 2.11% allocation in cash as of fiscal year end. The portfolio comprised mainly large capitalization, US-based companies; non-S&P 500 international exposure during the year decreased to 5.68% as of June 30, 2008 down from 12.2% in 2007. The portfolio also increased its overall holdings to 36 stocks during the year from 32 at fiscal year end 2007. Although fiscal year 2008 was a rough year for equities, students selected a few very impressive securities. The total gain from positive performing stocks was $2,608,936. Weatherford International leads the list of top performing securities by gaining $433,005 which accounts for 17% of the gain for all positive performing securities. It is followed by Peabody Energy which gained $317,580 and accounts for 12% of the gain from positive stocks. Table 3: Top 5 Performing Securities Security  Total Gain  % of Total Return on Positive Stocks 

Weatherford Intl  $433,005  17% 

Peabody Energy Corp  $317,580  12% 

Apple Inc.  $253,902  10% 

Berkshire Hathaway Inc ‐ CL A  $247,775  9% 

Wal‐Mart  $164,281  6% 

   ‐‐‐‐‐  ‐‐‐‐‐ 

Total Contribution of Top 5  $1,416,544  54% 

   ‐‐‐‐‐  ‐‐‐‐‐ 

Total Positive Stocks Gain  $2,608,936  100% 

Inception Date February 13, 1990

Total Net Assets $22,828,316

Number of Equity Positions 36

Average Cap Size $63.611 Billion

Average P/E Ratio 14.50

Average P/B Ratio 4.05

Average Dividend Yield 2.27%

Portfolio Beta 1.00

7

In contrast to the best performing securities listed in Table 3, the worst performing securities of the fiscal year amounted to $5,562,817 in losses. The loss leader is Wellpoint which lost $567,352 and accounts for 10% of the losses on negative performing securities. Bank of America is the second largest loser of the SIM portfolio after posting a loss of $484,599 which accounts for 9% of the total negative stocks. Table 4: Bottom 5 Performing Securities Security  Total Loss  % of Total Return on Negative Stocks

Wellpoint  ($567,352)  10% Bank of America Corp  ($484,599)  9% Oshkosh Truck  ($435,875)  8% General Electric  ($307,095)  6% Citigroup  ($307,628)  6%    ‐‐‐‐‐  ‐‐‐‐‐ 

Total Contribution of Bottom 5  ($2,102,549) 38%    ‐‐‐‐‐  ‐‐‐‐‐ 

Total Negative Stocks Loss  ($5,562,817) 100%  As of fiscal year end, the SIM Portfolio was overweight in the Consumer Discretionary and Information Technology sectors relative to the S&P 500 by 221 and 214 basis points respectively. Conversely, the largest underweight sectors relative to the benchmark were Energy at -345 basis points and Industrials at -296 basis points. Figure 1: Sector Allocation versus the Benchmark as of June 30, 2008

Sector Weighting as of June 30, 2008

0.00%2.00%4.00%6.00%8.00%

10.00%12.00%14.00%16.00%18.00%20.00%

Consu

mer Disc

retion

ary

Consu

mer Stap

les

Energy

Financ

ials

Health

Care

Indus

trials

Inform

ation

Techn

ology

Materia

ls

Teleco

mmunica

tion S

ervice

s

Utilitie

s

S&P 500SIM

8

Table 5: Total Returns and Risk Metrics for SIM and S&P 500 Portfolios

In the last ten years the SIM portfolio earned an annualized net return of 4.27% versus 2.88% for the S&P 500 over the same period. The superior performance persists on a risk-adjusted basis. This is reflected in the slightly higher Sharpe ratio of 0.28 for the SIM portfolio as against a corresponding 0.19 for the S&P 500. The SIM portfolio also outperformed the S&P 500 on an absolute basis during the last five and three year periods. The SIM portfolio achieved annualized five-year and three-year returns of 8.31% and 5.90%, respectively, which compares favorably to 7.58% and 4.41% for the S&P 500. Again, the Sharpe ratio is relatively higher for the SIM portfolio over both time periods, so that the added risk taken by the portfolio resulted in higher returns for the periods. The figure below shows the SIM portfolio outperformed in seven of the twelve months on a net basis relative to the S&P 500. Figure 2: Monthly Return Comparison

Monthly Returns Comparison FY 2008

-3.15%

1.75%2.53%

-3.30%

-4.97%

-3.35%

-1.53%

5.26%

1.97%

-9.88%

0.12%

3.34%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Tota

l Ret

urn

(Gro

ss)

SIM Returns

S&P 500

1-year 3-year 5-year 10-year Since Inception

SIM S&P 500 SIM

S&P 500 SIM

S&P 500 SIM

S&P 500 SIM

S&P 500

Annualized Total Returns

Gross of Fees -11.55% -13.12% 6.43% 4.41% 8.85% 7.58% 4.79% 2.88% 9.26% 9.89%

Net of Fees -11.99% 5.90% 8.31% 4.27% 8.73%

Alpha (Net of Fees) 0.16% 0.11% 0.05% 0.12% -0.07%

Measures of Risk

Standard Deviation 14.71% 13.83% 11.20% 10.24% 9.97% 9.46% 17.43% 14.96% 16.32% 13.80%

Beta 1.036 1.053 1.012 1.095 1.012

Tracking Error (σε) 3.51% 3.12% 2.86% 5.94% 8.42%

R2 0.943 0.922 0.918 0.884 0.734

Sharpe Ratio -0.79 -0.95 0.57 0.43 0.89 0.80 0.28 0.19 0.57 0.72

Information Ratio 0.45 0.65 0.44 0.32 -0.07

9

At the end of the fiscal year the ten largest holdings of the SIM portfolio amounted to $10,627,685 and represented 46.55% of the total value. The largest holding was Weatherford International which had a market value of $1,512,495 and it symbolized 6.63% of the total value of the SIM fund. Table 6: Top Ten Holdings of the SIM portfolio as of June 30, 2008:

# Security Ticker Market Value % of Portfolio

1 Weatherford WFT $1,512,495 6.63%

2 Johnson & Johnson JNJ $1,138,818 4.99%

3 Intel INTC $1,129,848 4.95%

4 Abercrombie & Fitch ANF $1,059,292 4.64%

5 Hewlett-Packard HPQ $1,056,619 4.63%

6 Microsoft MSFT $1,009,617 4.42%

7 Best Buy BBY $966,240 4.23%

8 Goldman Sachs GS $961,950 4.21%

9 Wellpoint WLP $905,540 3.97%

10 ConocoPhillips COP $887,266 3.89%

Total $10,627,685 46.55% Figure 3: Dollar value of $10,000 invested in SIM and S&P 500

Value of US$ 10,000 invested 2/13/90

$0

$10,000

$20,000

$30,000

$40,000

$50,000

$60,000

$70,000

$80,000

Feb-90

Feb-91

Feb-92

Feb-93

Feb-94

Feb-95

Feb-96

Feb-97

Feb-98

Feb-99

Feb-00

Feb-01

Feb-02

Feb-03

Feb-04

Feb-05

Feb-06

Feb-07

Feb-08

SIM InceptionS&P 500 Inception

The above graph shows the change in the value of $10,000 invested in both the SIM portfolio and the S&P 500 from February 13, 1990 (inception) to June 30, 2008. The value of $10,000 invested in the SIM portfolio would be $51,322.47 (net capital gains plus dividends), whereas the same value invested in the S&P 500 would end with a value of $57,081.40 (dividends re-invested).

10

ACKNOWLEDGEMENTS Professor Andrew Karolyi is the director of the SIM program. Royce West and Chris Henneforth were the instructors during the fiscal year. The program depends on the assistance received from the personnel at the Treasurer’s Office and Treasurer Tom Johnson. Al Rodack, Tim Michel and Gary Leimbach have made numerous presentations to the class, while other staff members of the Treasurer’s Office and local brokerage firms have helped this program succeed. Matthew Falk was the SIM Graduate Assistant for the academic year ended June 30, 2008. Jonathan Stone prepared this annual report, under the supervision of Professor Andrew Karolyi.

11

Appendix I: Holdings as of June 30, 2008

Quantity Security Unit Cost Total Cost Market Price Market Value

Percentage of Assets

Div Yield

16,900 Abercrombie & Fitch Co. 73.08 $1,235,054.15 62.68 $1,059,292.00 4.64% 1.205

14,800 American Movil SA 41.04 $607,399.31 52.75 $780,700.00 3.42% 3.730

7,400 BP PLC – ADR 64.62 $478,170.24 69.57 $514,818.00 2.26% 4.029

22,900 Bank of America Corp 48.72 $1,115,653.05 23.87 $546,623.00 2.39% 5.645

7 Berkshire Hathaway Inc - CL A 109,449.23 $766,144.62 120,750.00 $845,250.00 3.70% 0.000

24,400 Best Buy 48.18 $1,175,637.98 39.60 $966,240.00 4.23% 1.049

6,000 Boeing Co. 78.04 $468,244.20 65.72 $394,320.00 1.73% 4.029

8,800 Cardinal Health Inc 56.50 $497,199.12 51.58 $453,904.00 1.99% 1.675

2,300 Cleveland Cliffs 103.29 $237,576.89 119.19 $274,137.00 1.20% 0.281

9,400 ConocoPhillips 90.84 $853,892.24 94.39 $887,266.00 3.89% 3.784

9,600 Colgate-Palmolive Co. 66.48 $638,220.92 69.10 $663,360.00 2.91% 1.990

9,500 DOW Chem Co. 37.59 $357,143.00 34.91 $331,645.00 1.45% 4.158

27,000 Duke Energy Holding Corp 18.12 $489,221.10 17.38 $469,260.00 2.06% 0.436

300 FPL Corp. Com. 61.29 $18,388.38 65.58 $19,674.00 0.09% 2.480

29,500 General Electric 36.18 $1,067,337.64 26.69 $787,355.00 3.45% 3.841

9,000 Gilead Sciences Inc 56.79 $511,076.70 52.95 $476,550.00 2.09% 3.841

5,500 Goldman Sachs 203.30 $1,118,137.04 174.90 $961,950.00 4.21% 0.793

23,900 Hewlett Packard 47.20 $1,128,060.88 44.21 $1,056,619.00 4.63% 1.313

52,600 Intel Corp 22.07 $1,160,964.98 21.48 $1,129,848.00 4.95% 2.124

9,200 International Paper Co 26.92 $247,653.88 23.30 $214,360.00 0.94% 1.313

17,700 Johnson & Johnson 60.42 $1,069,457.58 64.34 $1,138,818.00 4.99% 2.554

15,400 Kraft Foods Inc 31.98 $492,550.52 28.45 $438,130.00 1.92% 3.350

14,300 Merrill Lynch 45.28 $647,544.37 31.71 $453,453.00 1.99% 3.187

36,700 Microsoft 27.76 $1,018,757.92 27.51 $1,009,617.00 4.42% 1.518

2,000 Mosaic Co 129.86 $259,726.00 144.70 $289,400.00 1.27% 3.096

54,000 Motorola 10.11 $545,756.40 7.34 $396,360.00 1.74% 2.143

25,500 NCR Corp 26.69 $680,495.55 25.20 $642,600.00 2.81% 0.000

16,000 Oshkosh Truck 48.18 $770,915.20 20.69 $331,040.00 1.45% 0.989

13,500 Pepsico Inc. 70.67 $953,992.35 63.59 $858,465.00 3.76% 2.196

102,900 Qwest Communications 4.90 $503,705.79 3.93 $404,397.00 1.77% 0.324

8,000 Rockwell Automation 54.27 $434,146.40 43.73 $349,840.00 1.53% 1.981

300 Sandisk Corp. 23.34 $7,002.00 18.70 $5,610.00 0.02% 0.000

36,200 Sara Lee Corp 13.74 $497,496.60 12.25 $443,450.00 1.94% 3.737

30,500 Weatherford Intl 27.32 $833,330.00 49.59 $1,512,495.00 6.63% 0.000

19,000 Wellpoint 69.65 $1,323,362.79 47.66 $905,540.00 3.97% 0.000

5,400 Whirlpool Corp 70.64 $381,477.06 61.73 $333,342.00 1.46% 1.584

12

Appendix II: Purchase Transactions from July 1, 2007 to June 30, 2008

Trade Settlement Stock Quantity Price Amount

Summer Quarter

15-Aug-07 20-Aug-07 Abercrombie and Fitch 13,500 74.37870 1,004,112.45

15-Aug-07 20-Aug-07 Coach 6,500 44.44880 288,917.20

15-Aug-07 20-Aug-07 Colgate 7,900 66.23370 523,246.23

15-Aug-07 20-Aug-07 British Petroleum 14,800 64.56760 955,600.48

15-Aug-07 20-Aug-07 Robert Half International 35,000 32.78590 1,147,506.50

15-Aug-07 20-Aug-07 Hewlett Packard 6,100 46.93070 286,277.27

15-Aug-07 20-Aug-07 Intel 6,700 23.73000 158,991.00

15-Aug-07 20-Aug-07 Microsoft 2,600 28.62000 74,412.00

15-Aug-07 20-Aug-07 Citigroup 10,500 46.20000 485,100.00

15-Aug-07 20-Aug-07 iStar Financial 20,000 33.86160 677,232.00

15-Aug-07 20-Aug-07 Johnson & Johnson 4,100 61.22920 251,039.72

Fall Quarter

29-Nov-07 4-Dec-07 Best Buy 15,000 50.34300 755,145.00

29-Nov-07 4-Dec-07 Wal-Mart 15,500 47.64620 738,516.10

29-Nov-07 4-Dec-07 Weatherford Intl 7,500 63.64040 477,303.00

29-Nov-07 4-Dec-07 Public Service Enterprise 6,200 95.66260 593,108.12

29-Nov-07 4-Dec-07 Oshkosh Truck 16,000 48.13220 770,115.20

29-Nov-07 4-Dec-07 Alcoa 16,800 36.45180 612,390.24

29-Nov-07 4-Dec-07 Goldman Sachs 800 226.81370 181,450.96

29-Nov-07 4-Dec-07 Wellpoint 6,000 83.87060 503,223.60

29-Nov-07 4-Dec-07 Int'l Business Machines 7,000 107.21390 750,497.30

Winter Quarter

6-Mar-08 11-Mar-08 Best Buy 4,000 42.39600 169,584.00

6-Mar-08 11-Mar-08 Pepsico, Inc. 13,500 70.61610 953,317.35

6-Mar-08 11-Mar-08 Weatherford Intl New 5,000 71.08040 355,402.00

6-Mar-08 11-Mar-08 FPL Group Inc. 9,500 61.24460 581,823.70

6-Mar-08 11-Mar-08 Dow Chemical 9,500 37.54400 356,668.00

6-Mar-08 11-Mar-08 Apple Inc. 4,300 127.21300 547,015.90

6-Mar-08 11-Mar-08 Sandisk CP 21,000 23.28680 489,022.80

6-Mar-08 11-Mar-08 Motorola Inc. 54,000 10.05660 543,056.40

6-Mar-08 11-Mar-08 AT&T Inc. 17,700 35.18730 622,815.21

6-Mar-08 11-Mar-08 Bank of America CP 3,000 36.72830 110,184.90

6-Mar-08 11-Mar-08 Merrill Lynch 11,000 46.51170 511,628.70

6-Mar-08 11-Mar-08 WellPoint Inc. 1,500 70.80330 106,204.95

6-Mar-08 11-Mar-08 Rockwell Automation 8,000 54.21830 433,746.40

Spring Quarter

4-Jun-08 9-Jun-08 Abercrombie & Fitch 3,400 68.33000 232,322.00

4-Jun-08 9-Jun-08 Best Buy 5,400 46.33000 250,182.00

4-Jun-08 9-Jun-08 Whirlpool Corp 5,400 71.44000 385,776.00

4-Jun-08 9-Jun-08 Kraft Foods Inc 15,400 31.90000 491,260.00

4-Jun-08 9-Jun-08 Sara Lee Corp 36,200 13.69000 495,578.00

4-Jun-08 9-Jun-08 ConocoPhillips 9,400 91.10000 856,340.00

4-Jun-08 9-Jun-08 Weatherford Intl Ltd 5,500 44.87000 246,785.00

4-Jun-08 9-Jun-08 Duke Energy 27,000 18.12000 489,240.00

13

Appendix II (cont.): Purchase Transactions from July 1, 2007 to June 30, 2008

4-Jun-08 9-Jun-08 Boeing Co 6,000 78.47000 470,820.00

4-Jun-08 9-Jun-08 Cleveland-Cliffs Inc 2,300 104.19000 239,637.00

4-Jun-08 9-Jun-08 International Paper Co 9,200 26.92990 247,755.08

4-Jun-08 9-Jun-08 The Mosaic Co 2,000 129.86000 259,720.00

4-Jun-08 9-Jun-08 Hewlett-Packard Co 23,900 46.88000 1,120,432.00

4-Jun-08 9-Jun-08 NCR Corporation 25,500 26.61000 678,555.00

4-Jun-08 9-Jun-08 America Movil-ADR 4,200 57.30500 240,681.00

4-Jun-08 9-Jun-08 Qwest Communications Intl 102,900 4.78000 491,862.00

4-Jun-08 9-Jun-08 Merrill Lynch & Co 3,300 41.26000 136,158.00

4-Jun-08 9-Jun-08 Cardinal Health 8,800 56.32000 495,616.00

4-Jun-08 9-Jun-08 Gilead Sciences Inc 9,000 56.73000 510,570.00

4-Jun-08 9-Jun-08 Wellpoint Inc 2,200 55.02000 121,044.00

Total 25,474,987.76

14

Appendix III: Sell Transactions from July 1, 2007 to June 30, 2008

Trade Settlement Stock Quantity Price Amount

Summer Quarter

15-Aug-07 20-Aug-07 Nike 6,900 54.87 378,603.00

15-Aug-07 20-Aug-07 Anheuser-Busch 13,500 48.78 658,594.80

15-Aug-07 20-Aug-07 Exxon Mobil 7,400 84.05 621,970.00

15-Aug-07 20-Aug-07 Schlumberger 10,000 88.67 886,650.00

15-Aug-07 20-Aug-07 NN Inc 20,000 9.19 183,709.44

15-Aug-07 20-Aug-07 Akamai 6,000 32.10 192,601.00

15-Aug-07 20-Aug-07 Sprint Nextel 14,600 19.00 277,382.48

15-Aug-07 20-Aug-07 Bank of America 8,000 48.77 390,130.00

15-Aug-07 20-Aug-07 JP Morgan 25,800 44.08 1,137,264.00

15-Aug-07 20-Aug-07 Genentech 7,000 73.54 514,763.90

Fall Quarter

29-Nov-07 4-Dec-07 Coach 20,500 35.63 730,386.30

29-Nov-07 4-Dec-07 Carnival Cruise Lines 12,000 44.59 535,045.20

29-Nov-07 4-Dec-07 Colgate-Palmolive 3,200 79.86 255,567.04

29-Nov-07 4-Dec-07 Patriot Coal 1,040 34.17 35,532.43

29-Nov-07 4-Dec-07 CPFL Energia 10,100 59.66 602,566.00

29-Nov-07 4-Dec-07 Robert Half Int'l 35,000 25.97 908,897.50

29-Nov-07 4-Dec-07 DOW Chemical 14,900 41.37 616,432.37

29-Nov-07 4-Dec-07 Citigroup 19,600 32.08 628,713.12

29-Nov-07 4-Dec-07 Cardinal Health 10,500 59.85 628,433.40

29-Nov-07 4-Dec-07 Microsoft 7,600 33.63 255,588.00

Winter Quarter

6-Mar-08 11-Mar-08 Altria Group Inc. 13,600 74.18 1,008,823.52

6-Mar-08 11-Mar-08 Public Service Enterprise 12,400 45.12 559,546.28

6-Mar-08 11-Mar-08 FedEx Corp 4,700 89.32 419,802.12

6-Mar-08 11-Mar-08 Greif Inc. 8,800 67.73 596,038.96

6-Mar-08 11-Mar-08 Hewlett-Packard Co. 26,500 48.44 1,283,630.85

6-Mar-08 11-Mar-08 America Movil S.A.B. 5,300 59.09 313,166.40

6-Mar-08 11-Mar-08 Berkshire Hathaway Inc. 6 137,616.67 825,700.00

6-Mar-08 11-Mar-08 Johnson & Johnson 3,800 63.09 239,724.90

6-Mar-08 11-Mar-08 Teva Pharmaceutical 7,000 49.11 343,793.80

Spring Quarter

4-Jun-08 9-Jun-08 Limited Brands Inc 23,400 19.11 447,174.00

4-Jun-08 9-Jun-08 Wal-Mart Stores Inc 15,500 57.55 892,025.00

4-Jun-08 9-Jun-08 BP PLC-Spons ADR 7,400 68.25 505,050.00

4-Jun-08 9-Jun-08 Peabody Energy Corp 10,400 75.32 783,328.00

4-Jun-08 9-Jun-08 FPL Group Inc 9,200 65.50 602,600.00

4-Jun-08 9-Jun-08 FedEx Corp 4,600 91.67 421,682.00

4-Jun-08 9-Jun-08 Alcoa Inc 16,800 39.66 666,288.00

4-Jun-08 9-Jun-08 Apple Inc 4,300 186.26 800,918.00

4-Jun-08 9-Jun-08 IBM Corp 7,000 127.89 895,230.00

4-Jun-08 9-Jun-08 Sandisk Corp 20,700 28.60 592,020.00

4-Jun-08 9-Jun-08 AT&T 17,700 38.25 677,025.00

4-Jun-08 9-Jun-08 I Star Financial Inc 20,000 18.79 375,800.00

4-Jun-08 9-Jun-08 Teva Pharmaceutical SP-ADR 24,200 44.50 1,076,900.00

Total 24,765,096.81

15

Appendix IV: Dividends received during the period July 1, 2007 to June 30, 2008

Payment Date Security Amount 7/2/2007 FedEx Corp 930.00 7/2/2007 Greif Inc - CL A 2,464.00 7/2/2007 Nike Inc 1,276.50 7/5/2007 Hewlett-Packard Co. 1,632.00 7/6/2007 Schlumberger Ltd. 1,750.00 7/9/2007 Infosys Technologies 3,429.65 7/10/2007 Altria Group Inc. 9,384.00 7/16/2007 Cardinal Health, Inc. 1,260.00 7/25/2007 General Electric Co. 8,260.00 7/27/2007 Suez-ADR (5,320.84) 7/27/2007 Suez-ADR 6,258.00 7/30/2007 Dow Chemical Co. 6,258.00 7/31/2007 J.P. Morgan, Chase 9,804.00 8/6/2007 America Movil 5,776.47 8/15/2007 Colgate Palmolive 1,764.00 8/24/2007 Citigroup, Inc. 4,914.00 8/30/2007 Goldman Sachs 1,645.00 9/4/2007 Intel Corp. 5,163.75 9/4/2007 Peabody Energy Corp 624.00 9/6/2007 TEVA Pharmaceutical 2,500.68 9/10/2007 Anheuser-Busch 4,455.00 9/10/2007 Exxon Mobil Corp. 2,590.00 9/11/2007 Johnson & Johnson 8,922.50 9/11/2007 Johnson & Johnson (8,922.50) 9/13/2007 Microsoft Corp. 4,170.00 9/14/2007 Carnival Corp 4,200.00 9/14/2007 Johnson & Johnson 8,923.79 9/14/2007 Limited Brands 3,510.00 9/14/2007 Robert Half 3,500.00 9/25/2007 Abercrombie & Fitch 2,362.50 9/28/2007 Bank of America 12,736.00 10/1/2007 FedEx Corp 930.00 10/1/2007 Greif Inc - CL A 2,464.00 10/3/2007 Hewlett-Packard Co. 2,120.00 10/9/2007 CPFL Energia ADR 28,726.31 10/10/2007 Altria Group Inc. 10,200.00 10/15/2007 Cardinal Health, Inc. 1,260.00 10/25/2007 General Electric Co. 8,260.00 10/29/2007 iStar Financial 16,500.00 10/30/2007 Dow Chemical Co. 6,258.00 11/13/2007 America Movil 29,677.99 11/15/2007 Colgate Palmolive 4,608.00 11/21/2007 Citigroup, Inc. 10,584.00 11/23/2007 Peabody Energy Corp 624.00 11/26/2007 Goldman Sachs 1,645.00 11/28/2007 TEVA Pharmaceutical 2,620.80 12/3/2007 BP PLC 9,612.60 12/3/2007 Intel Corp. 5,917.50 12/11/2007 Johnson & Johnson 8,922.50 12/13/2007 Microsoft Corp. 4,873.00 12/14/2007 Carnival Corp 4,800.00 12/14/2007 Limited Brands 3,510.00 12/14/2007 Robert Half 3,500.00 12/18/2007 Abercrombie & Fitch 2,362.50 12/28/2007 Bank of America 12,736.00

16

Appendix IV (cont.): Dividends received during the period July 1, 2007 to June 30, 2008

12/31/2007 iStar Financial 17,400.00 12/31/2007 Public SVC Enterprise up 3,627.00 1/2/2008 FedEx Corp 930.00 1/2/2008 Greif Inc - CL A 2,464.00 1/2/2008 Hewlett-Packard Co. 2,120.00 1/2/2008 Wal-Mart Stores, Inc. 3,410.00 1/10/2008 Altria Group Inc. 10,200.00 1/14/2008 iStar Financial 5,000.00 1/25/2008 General Electric Co. 9,145.00 1/30/2008 Best Buy Co. 1,950.00 2/15/2008 Colgate Palmolive 3,456.00 2/25/2008 Alcoa, Inc. 2,856.00 2/25/2008 Oshkosh Truck Corp 1,600.00 2/28/2008 Goldman Sachs 1,925.00 3/3/2008 Intel Corp. 6,706.50 3/4/2008 Peabody Energy Corp 624.00 3/10/2008 BP PLC 12,010.20 3/13/2008 Microsoft Corp. 4,037.00 3/13/2008 TEVA Pharmaceutical 3,174.28 3/14/2008 Limited Brands 3,510.00 3/18/2008 Abercrombie & Fitch 2,362.50 3/28/2008 Bank of America 12,736.00 3/31/2008 Public SVC Enterprise 3,999.00 4/1/2008 FedEx Corp 460.00 4/7/2008 Wal-Mart Stores, Inc. 3,681.25 4/15/2008 Motorola Inc. 2,700.00 4/25/2008 General Electric Co. 9,145.00 4/29/2008 Suez-ADR 1,180.56 4/30/2008 Dow Chemical Co. 3,990.00 4/30/2008 iStar Financial 17,400.00 5/1/2008 AT&T 7,080.00 5/14/2008 Best Buy Co. 2,470.00 5/15/2008 Colgate Palmolive 3,840.00 5/23/2008 Oshkosh Truck Corp 1,600.00 5/27/2008 Alcoa, Inc. 2,856.00 5/28/2008 Merrill Lynch 3,850.00 5/29/2008 Goldman Sachs 1,925.00 6/1/2008 Intel Corp. 7,364.00 6/2/2008 Rockwell Automation 2,320.00 6/2/2008 Wal-Mart Stores, Inc. 3,681.25 6/5/2008 TEVA Pharmaceutical 2,723.71 6/9/2008 BP PLC 12,010.20 6/10/2008 IBM Corp 3,500.00 6/10/2008 Johnson & Johnson 8,142.00 6/12/2008 Microsoft Corp. 4,037.00 6/13/2008 Limited Brands 3,510.00 6/16/2008 FPL Group, Inc. 4,227.50 6/17/2008 Abercrombie & Fitch 2,362.50 6/27/2008 Bank of America 14,656.00 6/30/2008 Pepsico, Inc. 5,737.50

----- Total 604,279.67

17

Appendix V: Net interest received during the period July 1, 2007 to June 30, 2008

Date Security Amount Jul-07 SSGA Gov't Fund Money Market 2,688.51

Aug-07 SSGA Gov't Fund Money Market 3,033.60 Sep-07 SSGA Gov't Fund Money Market 2,133.91 Oct-07 SSGA Gov't Fund Money Market 609.86 Nov-07 SSGA Gov't Fund Money Market 886.53 Dec-07 SSGA Gov't Fund Money Market 1,064.42 Jan-08 SSGA Gov't Fund Money Market 621.80 Feb-08 SSGA Gov't Fund Money Market 756.32 Mar-08 SSGA Gov't Fund Money Market 649.95 Apr-08 SSGA Gov't Fund Money Market 365.10 May-08 SSGA Gov't Fund Money Market 236.98 Jun-08 SSGA Gov't Fund Money Market 315.03 ------- Total $13,362.01

Appendix VI: Statement of management fees during the period July 1, 2007 to June 30, 2008

Date Portfolio Value Fee

30-Sep-07 26,078,306.71 32,597.88

31-Dec-07 26,093,479.85 32,616.85

31-Mar-08 23,599,960.59 29,499.95

30-Jun-08 22,828,316.06 28,535.40 -------

Total $123,250.08 Appendix VII: Rosenfield Prize for Excellence in Security Analysis, July 1, 2007 to June 30, 2008

Quarter Winners and Reports

Winner: Robert Blake (Anheuser Busch) Summer 2007 Runner up: Adam Roberston (Abercrombie & Fitch) Winner: Mark Probst (American Electric Power) Fall 2007 Runner up: Ken Melick (Oshkosh) Winner: Evan Harding (Motorola) Winter 2008 Runner up: Stephen Soung (Rockwell) Winner: John Evans (ConocoPhillips) Spring 2008 Runner up: Nate Palmer (Berkshire Hathaway)

Participating judges: Aaron Monroe, James Armstrong, Jack Rosenfield, Dan Rosenfield, Chris Henneforth, Bhavik Kothari, Aasim Khwaja, Rafael Canario, Shawn Browning, Matt Falk, Jeff Oakley, Lewis Tracy, John Farrell, and Jeremy Sell.