Performance Report

Student Managed Fund MBA class of 2005

April 22, 2005

2

MBA Fund Managers

Christophe Pane

Luis Prandini

Stephen Petretto

Igor Lemagic

Rajiv Iyer

Jie Wan

Ashley Martella

Yun Cai

Amit Kumar

Sampita Ray

Gabriel Joanes

3

Performance Highlights (Sept 24,2004 thru April 15,2005)

SMF PORTFOLIO

S & P 500

Portfolio Value (9/24/04) $410,918.25 1,110.11

Portfolio Value (4/15/05)$918,060.79(*

)1,142.62

Holding PeriodReturn (9/24/04 thru 4/15/05)

4.82% 2.93%

Annualized Return (%) 8.67% 5.27%

Beta 1 1

Annualized Standard Deviation

11.87% 11.19%

Sharpe Ratio** 0.37 0.09

Treynor Index** 4.43 1.02

Alpha 3.38%

*An additional $500,000 was added to the portfolio as of Jan,19 2005.

**Based on risk-free rate of

4.23%.

4

Agenda

Economic Review

Investment Philosophy &

Methodology

Portfolio Performance & Attribution Analysis

Lessons

5

• The global economy should continue to expand at a brisk pace in 2005, but has become too reliant on demand in the U.S. and is increasingly vulnerable to damage from high oil prices.

• The global economic growth this year to be 4.3%, down from 5.1% in 2004. For 2006, the IMF predicted output would rise 4.4%.

• Oil prices would average $46.50 a barrel for 2005, up 23.2% from the prior year, and $43.75 in 2006.

• U.S. growth to 3.6% for both 2005 and 2006, an increase of 0.1 percentage point for both years.

• Possibility of a jump in U.S. interest rates and a drop in U.S. consumption, sparked either by inflation fears or an abrupt reversal of foreign capital flows to the U.S.

• The U.S. current account deficit - 5.7% of GDP in 2004 - probably won't improve much over the next couple of years, despite dollar depreciation.

Economic Review

IMF Global Outlook 2005

6

• The sudden shift in mood and economic outlook – the market is riskier than thought.

• The Dow Jones Industrial Average last week recorded its steepest decline since 2003, dropping 3.6%.

• Investors finally seem to believe that high crude oil and gasoline prices are curtailing consumer spending, slowing economic growth and cutting into corporate earnings.

• Recent economic reports from the U.S. government portrayed sluggish job growth, weaker retail sales and a widening trade deficit only exacerbated by slowing American exports.

• Fed policy makers at their last meeting talked of solid economic conditions and feared that overstimulated growth could stoke inflation.

• The dollar rose in Europe as Asian stock markets slumped on signs of slower global growth.

Economic Review

U.S. Last Two Week

7

Investment Philosophy

Benchmark: S&P500 Index

Long-term (3-5 year) investment horizon

Fundamental analysis Business models Historical performance Future Prospects Valuation models

8

Top Down Approach

Blend Strategy Combination of value and growth

Multi-Cap Fund

Investment Strategy and Style

Mid Caps

5 stocks

Small Caps1 stock

Large Caps

23 stocks

Primarily investments in large-cap stocks

Number of holdings as of 02/25/05: 29

Market Capitalization

9

Investment Methodology

Sector Allocation

Valuation Models

•PEG and P/E Models•Dividend Discount Model •Free Cash Flow Model

Stock Selection

Fundamental Analysis

•Business Model Analysis•Ratio Analysis•Future Prospects

Top Down Approach

10

Management Style

Active Management Report presentation and voting

Performance Monitoring Stop Loss Measures (15%) Appreciation Reevaluation (20%) Continuous Monitoring & Dynamic Response

11

Sector Allocation (as of 04/15/2005)

Top 5 sectors:

FinancialsIndustrials

Consumer Disc.IT

Health Care

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%SMF S&P

12

Detailed Sector Allocation (as of 04/15/2005)

* Best Performeruntil 02/11

TICKERTRADE DATE

# SHARE

S

PURCHA

SE PRICE

CURRENT

PRICE

CURRENT VALUE

TOTAL %

RETURN

% OF PORTFOLIO as

of 4/15

CONSUMER DICRETIONARY

CMCSA

10/15/2004 875 $30.13 $32.45 $28,393.75 7.57% 3.10%

HET04/14/200

5 500 $71.20 $67.61 $33,805.00 -5.08% 3.68%

HPOL03/17/200

5 8000 $4.65 $4.26 $34,080.00 -8.44% 3.71%

HOT12/28/200

4 650 $58.24 $56.40 $36,660.00 -3.24% 3.99%

LGF02/11/200

5 3000 $10.42 $9.59 $28,770.00 -8.00% 3.13%

PNRA04/16/200

5 345 $56.00 $54.69 $18,868.05 -2.40% 2.06%

VIAB10/06/200

4 500 $35.21 $34.12 $17,060.00 -3.22% 1.85%

CONSUMER STAPLES

KO09/22/200

4 300 $40.46 $41.29 $12,387.00 1.88% 1.35%

SYY02/14/200

5 1000 $35.16 $35.00 $35,000.00 -0.49% 3.81%

WAG11/22/200

4 400 $37.93 $43.07 $17,228.00 13.42% 1.88%

ENERGY

APA02/22/200

5 700 $59.77 $55.57 $38,899.00 -7.06% 4.24%

PTR02/22/200

5 500 $60.20 $60.33 $30,165.00 0.13% 3.28%

VLO10/27/200

4 500 $44.00 $67.61 $33,805.00 53.52% 3.68%

XTO03/17/200

5 800 $33.50 $29.36 $23,488.00 -

12.42% 2.56%

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Detailed Sector Allocation (as of 04/15/2005)

TICKER

TRADE DATE

# SHARE

S

PURCHA

SE PRICE

CURRENT

PRICE

CURRENT VALUE

TOTAL %

RETURN

% OF PORTFOLIO as

of 4/15

FINANCIALS

AMTD02/14/200

5 1000 $11.59 $11.11 $11,110.00 -4.32% 1.21%

C10/22/200

4 500 $42.80 $45.75 $22,875.00 6.79% 2.49%

CBH12/22/200

4 1200 $30.02 $29.14 $34,968.00 -3.01% 3.80%

ING11/09/200

4 650 $28.43 $29.36 $19,084.00 3.10% 2.08%

KRB02/16/200

5 1525 $26.01 $23.45 $35,761.25 -9.89% 3.90%

HEALTHCARE

AET10/27/200

4 400 $44.71 $70.67 $28,268.00 57.90% 3.08%

IVGN02/14/200

5 550 $71.37 $70.21 $38,615.50 -1.65% 4.20%

INDUSTRIALS

DNB02/15/200

5 700 $59.91 $61.53 $43,071.00 2.67% 4.69%

MAS12/22/200

4 500 $36.46 $32.65 $16,325.00 -

10.55% 1.78%

MMM11/15/200

4 200 $82.64 $80.86 $16,172.00 -2.27% 1.76%

TYC02/23/200

5 1200 $33.57 $31.33 $37,596.00 -6.70% 4.10%

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Detailed Sector Allocation (as of 04/15/2005)

TICKER

TRADE DATE

# SHARE

S

PURCHA

SE PRICE

CURRENT

PRICE

CURRENT VALUE

TOTAL %

RETURN

% OF PORTFOLIO as

of 4/15

INFORMATION TECHNOLOGY

CSCO

12/03/2004 1000 $19.50 $17.20 $17,200.00

-11.89% 1.87%

SAP02/08/200

5 750 $39.24 $36.96 $27,720.00 -5.85% 3.02%

MATERIALS

PKX03/02/200

5 400 $52.40 $45.58 $18,232.00 -

13.07% 1.99%

UTILITIES

D 11/23/200

4 150 $66.71 $73.58 $11,037.00 10.08% 1.20%

FPL02/22/200

5 1000 $39.11 $39.94 $39,940.00 2.10% 4.35%

 

CASH         $111,477.24    

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Performance Highlights (Sept 24,2004 thru April 15,2005)

SMF PORTFOLIO

S & P 500

Portfolio Value (9/24/04) $410,918.25 1,110.11

Portfolio Value (2/11/05)$918,060.79(*

)1,142.62

Holding PeriodReturn (9/24/04 thru 4/15/05)

4.82% 2.93%

Annualized Return (%) 8.67% 5.27%

Beta 1 1

Annualized Standard Deviation

11.87% 11.19%

Sharpe Ratio** 0.37 0.09

Treynor Index** 4.43 1.02

Alpha 3.38%

*An additional $500,000 was added to the portfolio as of Jan,19 2005.

**Based on risk-free rate of

4.23%.

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Portfolio Performance AttributionPeriod: September 24, 2004 to April 15, 2005

-50

0

50

100

150

200

250

Basi

s P

oints

StockSelectionAttribution

SectorAllocationAttribution

CashPosition

Attribution

189 209

13 -33

=

+ +

17Performance Comparison – Phased (Sept 24,2004 thru April 15,2005)

*An additional $500,000 was added to the portfolio as of Jan,19 2005.

PERFORMANCE HIGHLIGHTS

Dec 2004 Feb 2005 April 2005

Portfolio Value (9/24/04)

$410,918.25 $410,918.25 $410,918.25

Portfolio Value $443,404.42 $958,082.81 $918,060.79

Holding PeriodReturn

7.91% 11.48% 4.82%

S&P Holding Period Return

7.30% 8.57% 2.93%

Alpha 5.77% 4.67% 3.38%

Beta 0.95 0.89 1.00

18Performance Comparison – Phased (Sept 24,2004 thru April 15,2005)

*An additional $500,000 was added to the portfolio as of Jan,19 2005.

Cumulative return SMF vs. S&P

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

9/24/04

10/24/04

11/24/04

12/24/041/24/05

2/24/053/24/05

SMF Portfolio S&P

Alpha0.25%

Alpha4.67%

Alpha3.38%

19Performance - Last Six Weeks

•Outperformed during upturn

•Slightly underperformed during downturn

Six Week Return

-8.00%

-7.00%

-6.00%

-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

4-Mar 11-Mar 18-Mar 25-Mar 1-Apr 8-Apr 15-Apr

Time

Ret

urn

SMF S&P

20Sector Allocation - Last Six Weeks

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Feb-05

Apr-05

•Energy and consumer discretionary took a hit amidst concerns of economic instability and falling crude oil prices•Beta in last six weeks > 1. Averages to 1 over a longer period of time

21

Lessons Learned and Takeaways

Stop losses can sometimes work against

youPFE, CACI

Have patienceMarket tends to overreact when it incorporates

new information

VLO

Stick with your strategy and convictions

Don’t get emotional about stocks

Teamwork

Don’t forget Qualitative factors and be careful with assumptions

22

Lessons learned and Takeaways (cont)

Know what drives the stock

Masco, Fedex

Accept the unexpectedPfizer, Lion’s Gate

Enjoy the opportunity while it lasts!

23

Thank you.

University of Connecticut Foundation Inc.

Investment Advisory Board

Dr. Chinmoy Ghosh

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Q & A ?