Student Managed Fund

MBA Performance ReportDecember 1, 2006

MBA Managers

• Mike Amodeo• Devika

Chirayilparambu• Matt Cordeiro• Vasilios Diakogeorgiou• Samara Hollander

• Daniela Ionescu• Adam Macko• Puru Patnekar• John Salemi• Amanda Wallace

Agenda

• Investment Philosophy• Investment Process • Economic Outlook• Portfolio Strategy• Portfolio Summary • Portfolio Performance• Future Considerations• Q & A

Investment Philosophy

• Fundamental bottom-up approach• Companies with a market cap of at least $1

Billion• Invest across a diversified group of sectors• Trade at a minimum 15% perceived discount to

intrinsic value• Exhibit strong growth potential within industry• Benchmark – outperform the S&P 500 index by

5% annualized

Investing Process

Stock SelectionStock Selection

Fundamental Fundamental AnalysisAnalysis

Valuation Valuation

Sell Discipline Sell Discipline

Stock Selection

Screeners:• Yahoo! Finance• MSN Money• Reuters• MagicFormulaInvesting.com

Screen inputs:• High Sales/Earnings Growth• High Gross/Operating/Net Margins• High ROE, ROA, ROIC• Low P/E, PEG

Fundamental Analysis

Goal: To identify high quality firms

Value drivers• Gross and operating margins• Revenue and earnings ramp-up• Capital spending efficiency• R&D intensity• Free cash flow growth

Industry metrics• Retailers – same store sales• Banks – net interest margin

Valuation Analysis

• Projecting future free cash flow– Method A – use analyst estimates (S&P, Value

Line or Yahoo! Finance)– Method B – historic growth rate of cash flows

• Discount Rate – WACC– Cost of Debt – Weighted average yield to

maturity– Cost of Equity – CAPM

• Risk free rate – 10 year treasury bond• Average Return – 10.4% (Ibbotson’s Yearbook 2005)• Beta – based on analyst estimates or regression

models (or both)

Sell Discipline

• Stop loss– 15% stop loss on all positions– Prevent market volatility from stopping out

positions– Protect down-side risk

• Re-evaluation of positions– More than 15% gain– More than 10% loss– Change in business model or expectations

Macroeconomic Overview

NEUTRAL

Component SMF Outlook• Monetary Policy

– Discount Rate stable at 5.25%

• Fiscal Policy– Likely tax rate increases– Increased possibility of trade barriers

• Economic Growth– Slowing GDP

• Corporate Earnings– Decelerating into 2007

• Inflation– Unemployment increasing slightly– Core CPI at 2.5% over next 6-12 months

• Market Valuation– Current S&P 500 P/E of approximately 17

________________________________________________________________________________________________________________________________________________________________________

Overall SMF Macroeconomic Outlook

NEUTRAL

NEUTRAL

NEGATIVE

POSITIVE

NEUTRAL/NEGATIVE

NEGATIVE

Asset Allocation Strategy

Top-Down Sector Analysis(25%)

SMF Portfolio

(75%)Bottom-Up Fundamental Analysis

Sector Overview• Consumer – Staples

– Pepsi (PEP)– Altria Group (MO)– Hormel Foods (HRL)

• Consumer – Discretionary– American Eagle Outfitters

(AEOS)

• Energy– Occidental Petroleum

(OXY)– Peabody Energy (BTU)

• Financials– Bank of America (BAC)

• Healthcare– Laboratory Holdings (LH)

• Industrials– General Dynamics (GD)

• Information Technology– Oracle Corp (ORCL)

• Materials– Sherwin-Williams

(SHW)

• Telecommunications– Harris Corp (HRS)

• Utilities

SMF Current Allocation

Holdings

Allocation & Management

Total Invested in Equities

$556,706 52.05%

Cash $62,553 5.85%

Spyder $450,242 42.10%

Value of Portfolio* As of 11/25/2006

$1,069,503

Portfolio Statistics

Positions – 12Average Holding – $46,392

S&P 500MBA

Portfolio

September 25, 2006 1,326.37 $ 998,634

November 11, 2006 1,400.95 1,069,503

Portfolio Beta 1.00 0.92

Holding Period Return (HPR) 5.62% 7.10%

Standard Deviation (weekly) 2.07%

Sharpe Ratio .3647

Jensen Alpha .66%

M-Squared 1.84%

Portfolio Performance

0%1%2%3%4%5%6%7%8%

9/26

10/3

10/10

10/17

10/24

10/31 11

/711

/1411

/21

Student Managed Fund S&P 500 Index

Sector Performance

Return

S&P 500 5.62%

MBA SMF 7.10%

Excess Return

1.48%

Sector Performance

Return

Consumer Discretionary

4.58%

Consumer Staples 2.68%

Energy 2.97%

Financials 2.54%

Healthcare 1.72%

Industrials 2.97%

Materials 5.95%

Technology 8.05%

Telecom 1.48%

4.58%

2.68% 2.97%2.54%

1.72%

2.97%

5.95%

8.05%

1.48%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

Cons Disc

Cons Sta

ples

Energy

Finan

cials

Health

care

Indus

trial

s

Mat

erials IT

Telec

om

Individual Holding Performance

Holdings Total Return SectorBTU 3.22% EnergyOXY 2.72% EnergyBAC 2.54% FinancialsLH 1.72% HealthcareGD 2.97% IndustrialsSHW 5.95% MaterialsHRS 1.48% TelecomORCL 8.05% ITAEOS 4.58% Cons DiscHRL 6.12% Cons StMO 6.47% Cons StPEP -4.37% Cons St

(prices as of 11/25/2006)

Future Considerations

• Consumer staples sector will be reexamined due to its current weight in our portfolio

• Energy prices are volatile and will move upwards based on OPEC’s production cuts; current investments will be reevaluated in 2007

• Current investments in Telecommunications and Industrials are well-positioned to take advantage of industry trends

Future Considerations

• Investment in Utilities

• Portfolio beta to approach 1.00

• Investment in CT based companies

Acknowledgements

• The University of Connecticut Foundation, Inc.

• Investment Advisory Board

• Dr. Chinmoy Ghosh

Questions