student investment fund

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?