Undergraduate Student Investment Management Fund Semi-Annual Presentation Friday, May 1,

Meet The Fund: Student Investment Management Fund Introduction Research Implementation Performance Dividend Month Premium Performance Momentum Andrew Farber Rob McCoach Sam Wilson Andy Paulus Kean Thomas Carter Wendt Karina Rodriguez Rachel Bradley Loris LlazaniKyle Anderson Ivan Tang Ryan Pitt Julian Aziz Ryan Berns Iskandar Pashayev Alex Green Stephen Bergauer 2

SIM Fund Goals Learn Practical experience Fiduciary responsibility Quantitative portfolio based on academic research Refine strategy throughout semester Process improvements Introduction Research Implementation Performance Dividend Month Premium Performance Momentum 3

Introduction Research Implementation Performance Dividend Month Premium Performance Momentum Allocation Dividend Premium Strategy (60%) Weighting Justification: Lower volatility compared to Momentum US Momentum / Int’l Momentum (40%) Weighting Justification: Aggregate portfolio weight of 40% allows for a 50/50 split between Int’l Momentum and US Momentum securities Charter constraint: 25% Int’l exposure Int’l exposure with ADRs Expected upward drift in Momentum weights due to higher expected returns 4

Dividend Month Premium Implementation Performance Improvements Momentum Introduction Research Dividend Month Premium 5

Dividend Month Premium – Theory/Overview Key finding: Abnormal returns exist in all three periods (A/D, Interim, X/D) Cash demand creates upward pricing pressure Arbitrageurs unable to offset increased demand Hartzmark & Solomon Dividend Timeline (2012) Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 6

Portfolio Schedule Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 7

Security Universe Security Type: Common Stock Minimum Market Cap: > $1.2 Billion 30 Day Avg. Volume: > 8,000 Country of Incorporation: US Price: > $5.00 Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 8

Spring Improvements Automated security selection process utilizing Python Dividend announcement date forecasts for duration of current year’s SIM Fund Investment Policy screens Weekly Rebalancing Purchase filters based on negative momentum & corporate events Refined A/D prediction Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 9

Change in A/D Prediction Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 10

Momentum Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 11

Momentum Theory “Stocks that have done well in the past continue to do well in the future” Support for theory has been found in both academia and practice Introduction Research Implementation Performance Dividend Month Premium Improvements Momentum 12

Portfolio Universe Country of Domicile: US Security Type: Common Stock Sector: Exclude Financials Mkt Cap: >$1.2 Billion Price 1 Day Ago: > $ d Avg. Volume: > 10,000 Exclude IPOs Within 3 Years Security Type: ADR Sector: Exclude Financials Mkt Cap: >$1.2 Billion Price 1 Day Ago: > $ d Avg. Volume: > 10,000 Exclude IPOs Within 3 years Country: Exclude Japan US Equity Universe Int’l ADR Universe Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 13

Security Selection Choose top 15 from both US and ADR universes (for a total of 30 securities) based on (t-12) to (t-1) monthly returns Perform analysis to ensure that: No selected securities have major threats to share value No more than 20% exposure to a foreign country or industry Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 14

Portfolio Timing Minimum holding period of one month Rebalance monthly to incorporate new data Upon rebalance, repeating winners are kept until the cumulative value of the particular security reaches 2.25% of the total portfolio Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 15

Spring Improvements Automation: Utilized Python to write code that automatically outputs a list of the top 15 securities in both the ADR and US stock universes Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 16

Performance Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 17

Total Portfolio Returns Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 18

Total Portfolio Market Cap Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 19

Dividend Premium Returns Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 20

Dividend Premium Market Cap Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 21

Dividend Premium Sector Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 22

US Momentum Returns Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 23

US Momentum Market Cap Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 24

US Momentum Sector Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 25

Int’l Momentum Returns Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 26

Int’l Momentum Market Cap Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 27

Int’l Momentum Country Holdings Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 28

Overall Spring Improvements Implemented trade checklist Three teams of two members Follow guidelines to look for errors Sign off and send trades Knowledge transfer Shared python code Switched duties Better communication More involvement Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum 29

Recap/Takeaways Introduction ResearchImplementation Performance Dividend Month Premium Improvements Momentum Cash management Implementation of strategies Process improvement Teamwork Communication Leadership Thoughts about dividend premium 30

Questions? 31