Student Managed Fund Arnone-Lerer Fund Fall Presentation Andrew Hudelson

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  • Student Managed Fund Arnone-Lerer Fund Fall Presentation Andrew Hudelson
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  • Economic Analysis Social Responsibility Investment Policy & Compliance Security Analysis Portfolio Analysis Technical Analysis Trade Execution Investment Process Performance Reporting Risk Analysis Exit Strategy Marketing Non-Investment Process
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  • Economic Team Analysis Social Responsibility Filter Investment Policy & Compliance Team Security Analysis Technical Analysis Portfolio Analysis Technical Analysis Investment Policy Team Execution Team 30 (+1)Stocks November 5, 2010 537 Stocks September 16, 2010 StartFinish
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  • Student Managed Fund Economic Analysis Team Kevin Bundschuh
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  • Top Down Approach Evaluation of economic landscape Business Cycle Analysis Select top performing industries Continual monitoring of economic indicators
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  • * As of November 17, 2006 ** As of November 6, 2009 AccelerationMaturationEase OffPlungeEarly RevivalLate Revival
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  • Consumer & Producer Price Index Unemployment Data ISM Indexes Industrial Production Fed Funds Rate Consumer Sentiment Housing Data GDP Durable Goods Orders
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  • GDP turns positiveRevival of business and consumer confidenceDecrease in initial unemployment claimsContinued decrease in inflationIncrease in industrial productionHousing market bottoms
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  • * As of November 17, 2006 ** As of November 6, 2009 GDP climbs furtherInitial unemployment claims continue to fallInterest rates and inflation begin to riseHousing activity starts to gain momentum
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  • Housing market is now reaching trough Overall unemployment remains stagnant Consumer Confidence fails to gain traction Inflation at historically low levels
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  • * As of November 17, 2006 ** As of November 6, 2009 Analyzed the historical performance of ninety- five 8-digit GICS sectors during Revival One Ranked each sub-industry by annual return Selected top 36 industries according to return ranking Resulted in 537 stocks being passed on
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  • Worked closely with SR and Investment Policy team Filter sub-industries by return/semi-variance Added 10 more sub-industries
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  • Student Managed Fund Social Responsibility Team Bill Duplisea
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  • Evaluate the Catholic Bishops StatementChoose and rank our criteria Run IW Financial for Social Responsibility rankings
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  • High sensitivity on issues such as: Environment Life/Choice Tobacco Passing Score: 75 Human Rights Military Adult Entertainment Median Score: 77.5
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  • Total Stocks Received From Economics Team537 Industrial Machinery-28 Aerospace-26 Construction & Farm Machinery & Heavy Trucks-13 Electrical Components and Equipment-13 Oil and Gas Exploration and Production-13 All 28 Other Industries-84 Total Stocks Passed onto Investment Policy & Compliance Team360
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  • Student Managed Fund Investment Policy & Compliance Team Martha Duke
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  • Filter stocks from Social Responsibility Team Thorough knowledge of the Investment Policy Statement Ensure fund is in compliance with guidelines throughout the year Acting as a resource for all other teams
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  • * As of November 17, 2006 ** As of November 6, 2009 Stock Price: Must be > $10.00 Volume: Must be > 500,000 [20 day Average] Market Cap: Mid to Large Cap Companies; > $1 Billion Cash Positions must not exceed 10%
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  • All portfolio transactions must be greater than or equal to 1.5% of total portfolio at transaction. Replacement stocks will equal percentage allocated to predecessor Max Initial Investment Rebalance Sector25%35% Industry12.5%17.5% Security5%7%
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  • Student Managed Fund Security Analysis Team Stefan Shrivastava
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  • * As of November 17, 2006 ** As of November 6, 2009 Receive Stock Universe from Investment Policy and Compliance Team Coordinate effort to filter stocks using SMF Valuation Model Filter stocks based on Security Analysis Pass stock pool to Technical Analysis Team
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  • Demonstrated to class how SMF Model is used Market Insight Value Line Edgar Database Bloomberg Assigned stocks to small analyst groups based on sub-industry to run through model
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  • Altman Z-Score Forecast the probability a firm will go into bankruptcy within two years Measures financial health Balance Sheet Analysis Leverage Ratio Current Ratio Quick Ratio
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  • Manufacturing company Healthy > 2.99 Unhealthy < 1.81 Non-Manufacturing company Healthy > 2.60 Unhealthy < 1.10
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  • DuPont Ratio Analysis ROE = Profit Margin Asset Turnover Equity Multiplier XX Net Profit Sales ROE = Sales Assets Assets Equity XX
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  • Profit Margin Measurement of operating efficiency Asset Turnover Measurement of asset use efficiency Equity Multiplier Measurement of financial leverage
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  • 10 Year growth projections Future growth rates based on analyst research Invested Capital-ROIC Calculations Capitalized Operating Leases WACC Component cost of capital Enterprise Value Analyst Input and Recommendation
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  • Developed stock ranking spreadsheet Ranked stocks by industry based on analysts valuations Additional factors taken into consideration Sector and industry weightings Allocation restrictions
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  • Student Managed Fund Portfolio Analysis Team Andrew DeVizio
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  • Portfolio Optimization Process PMSP Iterative rebalancing with IP constraints Arnone-Lerer 43 stocks 31 stocks
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  • Asset Allocation Optimization Software Statistically driven Risk Metrics Can be modified depending on economic cycle Allocation outputs need to be rebalanced Iterative process in excel Must meet IP constraints
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  • Did not have enough stocks IPS constraints not met PMSP input limitations Identified problem Applied SR screen to limited pool of stocks Did not monitor 2 and 8 digit GICs weights
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  • Returned to economic analysis stage Able to add 10 industries Security Analysis Team Re-filter more stocks w/ sector weightings Technical Analysis Team Moved after Portfolio Analysis Final Result: Better allocations
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  • Student Managed Fund Technical Analysis Team Tim Decilveo
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  • Eliminate stocks based on charts (after security analysis) Unable to perform analysis Recommend stocks to be bought on limit orders Avoid good stocks at bad times
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  • Continuation/Reversal Patterns Long-term Support/Resistance Levels Moving Averages RSI Trends Volume
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  • Develop stop/loss & profit targets Minimum 2:1 profit/loss ratio
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  • Student Managed Fund Execution Team Rich Kline
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  • Derive number of shares Place limit orders and stop losses Track replacement stock allocations Technical Analysis Portfolio Analysis Transaction Execution
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  • Student Managed Fund Performance Reporting Team Mark Karagelian
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  • * As of November 17, 2006 ** As of November 6, 2009 *Since Inception: Coleman (Jan 2005) Haley Large (Nov 2006) Haley Mid (Feb 2007) Whipkey (Oct 2007)
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  • * As of November 17, 2006 ** As of November 5, 2010
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  • Since November 5, 2010
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  • Pops WLT 15.45% PLCE 15.42% NUAN 10.44% Drops ASIA -13.98% GILD -4.36% SCCO -3.72%
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  • Martha Duke
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  • Julia Barry
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  • Andrew Esposito
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  • John Steger
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  • Andrew DeVizio
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  • Tim Decilveo
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  • Student Managed Fund Risk Analy