Portfolio Management Project
Group 7:
Roni Arjang
Jeff Fogel
Barrington Edwards
Zabel Momdjian
Finance 437, Section 23057
Spring 2003
Contents
Style of Fund 3
Description
Investment Objectives
Return Requirements
Risk Tolerance
Constraints 4
Liquidity
Time Horizon
Tax Considerations
Legal
Unique Circumstances
Economic Analysis 5
Asset Allocation 8
Performance 9
Investment Strategies & Selection 10
Monitoring & Rebalancing 11
Conclusions 14
References 16
Appendix and Attachments 16
2
Style of Fund
Description
The fund seeks to provide reasonable high current income and maximum long-term total return
while incurring less market risk than a pure equity fund. Our portfolio combines elements of an
aggressive growth fund in order to maximize our profits, and an income or blend fund in order to
minimize risk. There is a strong emphasis on capital appreciation because of the time horizon
and the risks involved. The key in reducing the unsystematic risk is by creating a diversified
portfolio. Therefore, we created a diversified portfolio across several major sectors. As a group
of young money hungry investors, we have been seeking to increase our investments immensely
by taking many risks within certain limits. We attempted to purchase various investments in order
to obtain the highest intrinsic value for our portfolio.
Investment Objectives
1. Return Requirement
Based on the Consumer Price Index over the previous one-year period, there has been 2% in
excess of inflation. The total return of our portfolio, which continued to show strong growth within
the short time horizon, included dividends, interest, capital appreciation, and overall less
transaction costs as well as management fees. The funds annual management fees are
approximately 1% of the average net asset value for the entire year. Where as current inflation,
as measured by the US Consumer Price Index, is approximately 2%.
2. Risk Tolerance
Considering our short time horizon of only 2 months, it was apparent in order to increase our
investments immensely we need to be aggressive and take certain risks. Even though the stock
market appeared to be at a volatile stage because of inflation, interest rates, and War, we still
decided to pursue various aggressive strategies. As young investors we all had a high level of
risk tolerance, however by creating a diversified portfolio we minimized our risks and reduced the
level of volatility that could have impacted our portfolio negatively. Due to the immense liquidity
needs, our fund required an above average amount of cash and short-term investments. Overall,
our level of risk was between medium and high.
3
Constraints
Liquidity
Because of our company’s risk adverse nature we maintained at least 31% of our assets in cash.
There were not any special circumstances that prevented us from investing in any illiquid assets
such as Real Estate or Artwork other than the fact that it was out side the scope of this project.
Time horizon
From 6 February 2003 to 11 April 2003, a period over which are only 46 trading sessions,
represented our most limiting constraint. Our goal, HPR > 2% for all invested assets within this
narrow trading period mandated vigorous asset management such that speculative gain
comprised a large part of our strategy. Throughout the time horizon, while our motivation was not
to plunge blindly into the market, we favored risky action to no action: better to swing hard at a
low fastball than to let it fly past when you’ve only got one chance at bat!
Tax Considerations
Our investment company realizes that any capital gain on any non-exempt asset is subject to
federal tax laws. Long-term capital gains on investments held over one year may be taxed
between 10%-20%. Short-term capital gains are considered ordinary income and may be taxed
at a higher income tax rate. Therefore, while the investor’s best interest to hold profitable
securities longer than one year, our time constraint demanded less passivity, with the associated
capital gains tax.
Legal and Regulatory
SEC guidelines represent the only conditions under which our management of assets is bound.
This means that we will pursue any and all profitable opportunities that are not inconsistent with
SEC rules.
Unique Circumstances
On March 20th 2003, the United States declared War on Iraq. In the days leading up to the war,
the stock market was apprehensive to the thought of long term investing in the U.S. economy. It
all depended on whether or not the War on Iraq would last longer than expected or suffer large
fatalities, which would determine if the U.S. economy would spiral into a deep recession. But as
the U.S. war started, the market actually rose; the Down Jones Industrial Average jumped 8.43%
4
from the week before and the price on crude Oil dropped from $38 to $29. This was an indication
of investors’ expectations that the war would have a favorable outcome. And indeed it did, lasting
only a couple of weeks the U.S. economy came out of the Iraq conflict with only minor cuts and
bruises.
Economic Analysis
MARKET EVENT ANALYSIS
Two indexes were used in doing the market analysis, these were: The S&P500 Index and
NASDAQ.
WEEK 1: 2/06 – 2/07
During the first week S&P500 was at 838.15 points and towards the end of the week it closed at
829.69 points. This means that S&P500 went down –8.46 points. NASDAQ was at 1,301.73
points and then went down to 1,282.47 points at the end of the week, a drop of –19.26 points.
WEEK 2: 2/10 – 2/14
At the beginning of the second week S&P500 closed at 835.97 points, and at the end of the week
it went down to 834.89 points, a drop of –1.08 points. NASDAQ closed at 1296.68 points at the
beginning of the week and then went up and closed at 1,310.17 points at the end of the second
week; a rise of +13.49 points.
WEEK 3: 2/17 – 2/21
During the beginning of the third week the S&P500 closed at 851.17, at the end of the third week
it went down and closed at 848.17 points; a decline of -3.00 points. At the beginning of this week
NASDAQ closed at 1,346.54 points and then it increased to 1,349.02 points, an increase of
+2.48 points.
WEEK 4: 2/24 – 2/28
At the beginning of the forth week the S&P500 closed at 832.58 points, at the end of this week it
went up and closed at 841.15 points; a rise of +8.57 points. At the beginning of the week
NASDAQ closed at 1,322.38 points and at the end of the week it closed at 1,337.52 points, an
increase of +15.14 points.
Anxiety over the possible war weighted on Wall Street. Worries about Iraq have largely eclipsed
other economic news in recent weeks, and are expected to keep the market on edge.
5
WEEK 5: 3/03 – 3/07
During the fifth week the S&P500 closed at 834.81 on the first day of this week, and at the end of
the week it closed at 828.89 points; it went down by –5.92 points. At the beginning of the week
NASDAQ closed at 1320.29 points and then went down to 1305.29 points at the end of the fifth
week; a decline of –15.00 points in one week.
Stocks continue to slip day-by-day because war is on its way with almost 200,000 troops poised
to invade Iraq and some intelligence analysts saying the initial attack could come as soon as this
weekend. Because of this, consumer confidence is at a 9-year-low, suggesting heightened fear
of terrorism. Companies are stalling on business expenditure decisions, and investors are selling
stocks.
WEEK 6: 3/10 – 3/14
At the beginning of the sixth week the SAP500 closed at 807.48 points, and then towards the end
of the week it went up and closed at 833.27 points; an increase of +25.79 points. During the
beginning of this week the NASDAQ closed at 1,278.37 points and then went up and closed at
1,340.33 points at the end of the week; a rise of +61.96 points.
Even though the S&P500 and NASDAQ ended up positive at the end of the week, stocks ended
mostly flat after talk from the White House which persuaded investors that a war in Iraq is
imminent even without broad international backing. Wall Streets flat finish on Friday was from
Thursday’s rally from hopes for a short war in Iraq, or no war at all.
WEEK 7: 3/17 – 3/21
During week seven S&P500 closed at 862.79 points at the beginning of the week, and then it
went up to 895.79 point at the end of the week; a rise of +33.00 points. The NASDAQ closed at
1,392.27 point at the beginning of the week, and then went up and closed at 1,421.84 points at
the end of the week; NASDAQ went up by +29.57 points.
Shares on Wall Street were set to head lower on Monday in light volume as fears of an imminent
US-led war in Iraq kept investors at large. However, as war with Iraq intensified on Friday, stock
prices went sharply higher because this seemed to ease doubts about the course of action and
allowed investors to begin looking past the war’s eventual end. Stocks rose strongly when it was
thought that the war would end swiftly; and, rumors that Saddam was dead sent investors pouring
their cash into stocks.
WEEK 8: 3/24 – 3/28
During week number eight, both S&p500 and NASDAQ went down. At the beginning of this week
S&P500 closed at 864.23 points, and towards the end of the week it went down and closed at
860.50 points; a decline of –3.73 points. NASDAQ closed at 1,369.78 points at the beginning of
the week, and then slightly went down to 1369.60 point at the end; a minimal decline of –0.18
points.
6
On Monday stocks plunged on fears of long war. Many investors chose to cash in profits
following a stunning eight-day rally by Dow and S&P500 index. Dow Jones Industrials gave back
more than 300 points following its best week in two decades with its worst day of the year.
Gainers included defense companies on expectations of greater demand for their products.
WEEK 9: 3/31 – 4/04
During the ninth week both S&P500 and NASDAQ had increased. At the beginning of the week
S&P500 closed at 848.18 points, and at the end of this week it has risen to 878.85 points; an
increase of +30.67 points. NASDAQ closed at 1,341.17 points at the beginning of the week, and
then went up and closed at 1,383.51 points; a rise of +42.34 points.
A warning from the Iraqi government that it might take nonconventional action against U.S. forces
who had seized the capital’s main airport worried stock investors, who largely shrugged off a
large drop in March’s payrolls.
WEEK 10: 4/07 – 4/11
During the tenth and last week of trading, both S&P500 and NASDAQ had declined from the
previous week. At the beginning of this week S&P500 closed at 879.93 points, and towards the
end of the week it went down and closed at 868.30 points; a decline of
-11.63 points. At the beginning of this week, NASDAQ closed at 1,389.51 points and by the end
of the week it closed at 1,358.85 points; down by –30.66 points.
Wall Street was set to soar at the opening of Monday, amid perceptions that the U.S.-led war
against Iraq is entering its final phase after troops entered central Baghdad.
The market had discounted success in Iraq ahead of time. Initial enthusiasm had waned, and
investors were wrestling with the economy’s poor health and consumer confidence. Companies
had been hesitant to increase capital spending, which is the cornerstone of economic growth.
At the closing of Friday, investors deemed the worst of the fighting to be over and drew comfort
from the upbeat economic news. Even though at this time there was a sharp rise in consumer
confidence the stocks were hurt because many dealers had expected an even bigger increase
then there was.
7
Asset Allocation
General Allocation By Class
Asset Value Percent Asset Value Percent
Equity $217,112.75 42.99% Stocks (US) 209,812.75 41.54%
Debt 28,597.40 5.66% Stocks (Foreign) 7,300.00 1.45%
Cash 259,410.34 51.36% Mutual Fund 28,597.40 5.66%
Cash 259,410.34 51.36%
Equity Debt Cash Stocks (US) Stocks (Foreign)
Mutual Fund Cash
43% 41.54%
51% 51.36%
1.45%
6%
5.66%
Allocation by Specific Holdings
Cash 51.24%
QQQ 10.20%
MRK 5.48%
MMM 5.70%
FNM 5.48%
MRO 3.89%
HD 2.57%
FDX 2.28%
G 0.63%
LAB 1.80%
NDN 0.84%
NOK 1.45%
PG 1.68%
PRULX 6.76%
100.00%
8
Allocation by Sector
Sector Value Percent
Industry
Conglomerates $28,708.56 5.68%
3M $28,708.56 5.68%
Consumer, Noncyclical 11,664.59 2.31%
Personal&Hosehold Products
Gillette 3,190.59 0.63%
Procter&Gamble 8,474.00 1.68%
Energy 19,584.00 3.88%
Oil and Gas
Marathon Oil 19,584.00 3.88%
Financial 18,100.00 7.26%
Investment Services
LaBranche & Co. 9,050.00 1.79%
Consumer Financial Services
Fannie Mae 27,604.00 5.46%
Technology 7,300.00 1.45%
Communications Equipment
Nokia ADR 7,300.00 1.45%
Health Care 33,529.10 6.64%
Major Drugs
Merck 33,529.10 6.64%
Services
Retail (Specialty)
$.99 Only Stores 4,210.50 0.83%
Retail (Home Improvement)
Home Depot 12,950.00 2.56%
Transportation 11,492.00 2.28%
Air Courier
Fedex Corp. 11,492.00 2.28% 166,092.75 32.88%
Other 339,027.74 67.12%
Mutual Funds
T. Rowe Price US Treasury Long Term 28,597.40 5.66%
Stock Trust (ETP)
Nasdaq-100 51,020.00 10.10%
Cash 259,410.34 51.36% 339,027.74 67.12%
Total: $505,120.49 100.00%
Performance
YTD
(as of 4/18/03)
Portfolio Fin437 3.12%
S&P 500 1.56%
9
Investment Strategies and Selection of Securities
Fundamental security analysis reveals a domain of intermediate to long-term investment
possibilities, not a domain of possible short-term gains in price appreciation, which depend largely
on aggressive speculation. While technical strategies are dangerous and often doubtful as to their
validity, they can provide guidelines which, when moderated with prudent and fundamental
financial principles, often produce desired results in the way of successful price predictions. To
accomplish this, we’ve chosen to employ technical (aggressive) strategies with which to manage
assets that have been initially selected according to criteria reflecting established principles from
fundamental analysis.
This combined strategy –aggressive management of passively selected assets -- allows for broad
parameters, unique to our fund, and under which a solid and well-diversified portfolio of securities
is chosen and aggressively managed without the level of risk typical of funds that depend only on
price speculation for short-term gains. The Intrinsic value of an asset, while relegated somewhat
behind timing and speculation strategies, is not supplanted by, but rather combined with,
aggressive but disciplined price speculation. Our selection of assets is according to 10 general
criteria that reflect fundamental principles:
1. For all equity investments, each of the last 2-years’
- Rate of earnings increase ≥ 20%
- ROE ≥ 15%
- Sales rate (for the last 3 quarters) increasing
2. Net income for last quarter up at least 20%
3. Stock price ≥ $12/share
4. Sell all holdings for which loss equals or exceeds cost by 8%.
5. Buy only in sectors or industries that show an increasing trend as indicated by sustained volume
increases.
6. Management ownership of stock
7. Improving after tax profit margins,
8. Earnings, ROE, and sales growth are preferred to P/E as indicators.
9. Stock repurchases greater than 7%, or new management warrant purchase considerations.
10. For mutual funds: no-load, passively managed, with beta less than 1.02.
11. Diversification across sectors.
The result is aggressive management of mostly low risk assets –a style designed to achieve our
goal of superior returns within a short time horizon. Most equity holdings (74%) fall within a low
risk category defined as any security having a value for beta less one. A large cash balance
(50.7%) was maintained for two reasons: low stock-market performance and the possibility of
foreign funds flowing into U.S. dollars after the war in Iraq. High to medium risk securities
constitute the remainder such that our target proportions were as follows:
10
Security Beta Percent of Portfolio Period Return (2/6/03 –4/11/03)
LabRanche 2.24 1.79 % -7.46
Nokia 2.04 1.45 .14
.$99 cent stores 1.46 .83 19.97
Home Depot 1.37 2.56 19.69
Nasdaq-100 Trust 1 10.1 -2.62
FedEx .79 2.28 1.52
Marathon Oil .72 3.88 -.21
3M .53 5.68 2.72
Gillette .47 .63 6.54
Merck .46 6.64 1.31
Fannie Mae .26 5.46 4.66
T-Rowe Price (Long US Treasury) 0.00 5.66 -1.06
Procter & Gamble 0.00 1.68 -.24
Cash 51.36
Portfolio Monitoring and Rebalancing
After initial selection based on the criteria discussed above, all assets were subdivided evenly;
50% of the value of each holding was designated for aggressive speculation while the other half
was reserved for holding over the time entire time horizon horizon. But we disposed entirely of
those few assets for which price declines were decreasing at an increasing rate for a
predetermined time limit of 10 days, or when depreciation in price exceeded 10% of cost.
A decision to sell was also based on an increasing rate of price increase of at least 50%
persisting for five or more days. Conversely, a decision to either increase an existing position or
purchase a new asset was based on a sustained price appreciation of 50%, with the rate of
change increasing, over at least 10 days. Certain anticipatory decisions based on favorable
company news or economic events outside the stock exchange were also made and occasionally
would supersede the more rigid monitoring rules. Our purchase of Marathon oil on news of the
war in Iraq is an example.
A flaw in this algorithm, however, is indicated by the retention of certain assets for which prices,
on average, had been decreasing at a decreasing rate; such assets produced negative holding
period returns without falling in value by more the drop-off 10% of cost. Our retention of
LaBranche Investment Services and T. Rowe Price U.S. Treasury fund are examples.
The general rebalancing formula was based on 50%, cash 40% equity, and 10% debt.
Accordingly, $200,000 was allocated stocks, $50,000 to bonds, and the remaining $250,000 was
kept out of the market and held as cash. These proportions were roughly maintained by either
11
buying (selling) a security for which a price decrease (increase) brought the value below (above)
the appropriate weight. Similar sub-weights were assigned to individual assets within the three
classes and maintained according to the same procedure. So, are rebalancing method
represented a composition of several functions: (1) a 50-40-10 ratio of cash-equity-debt; (2) equal
division of each equity asset between a holding base and a speculative base; (3) closing of any
position for which a loss exceeds 10% of that positions cost; (4) purchase of assets showing an
increasing rate of price increase over 10 days and exceeding 50%, on average, over that period.
This uncomplicated rebalancing formula was chosen for several reasons. First, it has the
advantage of simplicity and flexibility; it can be applied with minimal calculations to any
combination of different assets and under all market conditions. Second, the formula is
responsive and quickly gives unequivocal results. Rapidity and understandability are essential to
portfolio management when constrained by a short time horizon and outweigh any advantages in
using more sophisticated analyses that require involved and time consuming calculations. Market
efficiency in the classical (Markowitz or Sharpe) was rejected in favor of a more responsive and
practical asset allocation strategy.
While more complex models produce proportional asset allocation weights that depend on
minimizing the covariance among all assets of a portfolio, the composition and management style
of our portfolio produce equivalent or superior returns. Diversification across major sectors with
stocks whose distribution of betas is roughly 50% greater than 1 and 50% less than 1 will protect
against unsystematic risk, while attentive management will protest against systematic risk.
A weekly evaluation, a summary of which appears below, was used to approximate the
magnitude and direction of any deviations from our established weights.
12
Weekley Activity
Values gross of $25 Commission Fee for equity trades. A negative value indicates an initial short position or a sale.
Security Price Shares 2/3 - 2/7 2/10 - 2/14 2/17 - 2/21 2/24 - 2/28 3/3 - 3/7 3/10 - 3/14 3/17 - 3/21 3/24 - 3/28 3/31 - 4/4
AOL/Time Warner $11.06 -100 -1081
10.96 100 1121
Citigroup 33.74 100 3399
34.51 -100 3426
Fannie Mae 65.81 750 49382.5
68.80 -350 -24055
FedEx Corp. 51.52 750 38665
50.95 572 -29118.4
56.10 200 11245
51.39 -178 -9122.42
FSAGX 23.43 1920.61 45000
20.89 -57.44 -1200
19.27 -1863.16 -35903
Gilette 28.66 200 5757
30.44 481 14666.64
31.17 580 -18053.6
Home Depot 21.59 500 10820
International Game Tech. 76.31 25 1932.75
78.95 120 9499
79.13 -145 -11448.85
LabRanche 19.51 500 9780
VWINX 19.43 2135.87 41500
19.66 -2135.87 -41991.25
PRULX 12.28 2442.99 30000
12.42 81.15 1008
12.16 -8.14 -99
MMM 126.86 141 17936.96
133.47 25 10035.25
NDN 28.23 150
13
QQQ 24.65 1200 29605 -32015
26.70 -1200
26.16 2000 52345
PALM 10.05 -2000 -20075
9.72 2000
PG 83.69 100 8394
88.10 -80 -7023
87.57 1000 87595
89.80 -600 -53855
89.78 -165
89.01 -160
Maathon Oil 22.32 50 1141
22.97 2000 45965
23.40 -1200 -28055
Merck 54.62 1000 54645
55.56 -395
Verizon 34.88 -100 -3463
35.65 100 3590
NOK (x-div 3/28, $.25) 14.53 1700 24726
15.04 -1200 -18023
Conclusions
The desire for constant action irrespective of underlying conditions is responsible for most losses
in any portfolio strategy; portfolio management is not a job in which the investor is working for
wages and must take home some money, or realize gains, everyday. A passive but structured
and attentive management style is therefore superior to an active or aggressive strategy.
But successful price speculation, given a narrow time horizon, excludes total passivity and
demands regular monitoring and rebalancing, which in turn is not a function daily price
movements, for this ignores general principals that determine price behavior. Instead of placing
bets on what the next few quotations might be, the investor should anticipate the direction of the
entire market or some segment: If the market is bearish, for example, then don’t act bullish!
Hence, speculative gains depend mostly on the main movements of the market, not on the
individual price fluctuations
14
Therefore, it is not within changes of an individual stock price that determines the behavior of that
stock; this is a fallacy according to which gamblers, not investors, try to play the market. The
market as a whole must be evaluated.
“Price momentum” of individual stocks then, is a statistical illusion; it is appropriate only for short-
term speculations (one month or even a few days). A passive strategy will outperform
aggressive or speculative strategies in the long run.
It is impossible to predict prices. For any price quote, there are just as many buyers, who believe
that the price will increase, as sellers, who anticipate a price decrease. It is not reasonable to
suppose that one group knows more about the future that the other, and so, as their opinions
about price fluctuations diverge, the aggregate of traders in the market at any instant in time
should expect that the probability of a correct prediction is zero. (In other words, my
observations over the last 4 months have shown that it is equally likely for a price to increase or
decrease.)
Insider manipulation must be responsible for some of Wall Street’s biggest losses. I’ve seen
certain stocks, LAB, for example, just prior to a sharp dive, fluctuate for weeks within a tight range
on low trading volume but with the average rate of change increasing, implying a large number of
small investors going long on that stock. It is my conjecture that large brokerages and others with
significant holdings manipulate prices in this way just long enough to get customers in and then
wipe them out.
Large transactions are a necessary condition of profitable price speculation. A one point, several
assets we held enjoyed a $5/share or better price gain over a three-week period (FedEx and 99
Cents only Stores). But the dollar gain to our portfolio from selling these holdings was less than
spectacular since it was limited to a small number of shares. Instead of, say, selling 80 shares for
a $5/share gain ($400), we should have been in the position to sell 20000, for a total gain of
$100000.
As ranking in the top 4 groups, we were able to play the market as a true experienced investor
who knew went to come out and when not to. We continued buying different securities and
allocated our assets in different investments such as bonds, stocks, and mutual funds to reduce
15
our risks and increase our total return. However, as we became more knowledgeable in our
investing we realized that by diversifying we have not alleviated our entire risk factor because
systematic risk (market risk) still exists. We gained an understanding that systematic risk is the
only risk that we have no control over because the market can be affected by various
uncontrollable factors such as War, inflation, depression, recession, and interest rates. These
are all factors that can cause an individual’s portfolio to decline immensely. Therefore, by
investing in stocks, bonds, and mutual funds we took upon these unavoidable risks in order to
increase our total return substantially.
References
Historical price and Balance Sheet data provided by Yahoo.com
Daily Prices from The Wall Street Journal
Weekly Market Analysis constructed from various sources: The Wall Street Journal, Yahoo.com, and
the Los Angeles Times, each for the relevant dates.
Appendix
Balance Sheet
For Year Ended 2002 ($Millions) HD NOK FNM NDN FDX G MRK PG MRO MMM LAB
Assets 30011.00 25369.20 887515.00 439.90 13812.00 9863.00 47561.20 40776.00 17812.00 15329.00 1912.8
Liabilities 10209.00 9838.00 871227.00 43.30 7267.00 7603.00 29360.70 27070.00 12730.00 9336.00 923.1
Equity 19802.00 15531.20 16288.00 396.60 6545.00 2260.00 18200.50 13706.00 5082.00 5993.00 989.70
P/E (TTM) 17.55 20.35 13.74 36.10 22.72 27.62 17.79 25.64 13.42 26.03 16.76
Beta: 1.37 2.04 0.26 1.46 0.79 0.47 0.46 0.00 0.72 0.53 2.24
Ratios
Leverage
Assets/Equity(TTM) 1.52 1.63 54.49 1.11 2.11 4.36 2.61 2.98 3.50 2.56 1.93
LT.Debt/LT.Equity (MRQ) 0.07 0.01 0.07 0.00 0.22 1.09 0.27 0.78 0.87 0.36 NMF
Tot.Debt/Tot.Equity(MRQ) 0.07 0.04 NMF 0.00 0.29 1.62 0.47 1.01 0.90 0.56 NMF
Liquidly
CrntRatio (MRQ) 1.48 1.91 NMF 6.38 1.04 1.09 1.20 1.12 1.22 1.36 NMF
Quick(MRQ) 0.28 1.66 NMF 4.11 0.80 0.66 0.84 0.67 0.64 0.71 NMF
Working Cap.(TTM) 3882.00 9976.00 NMF 206.50 723.00 309.00 2458.70 (538.00) 820.00 1602.00 NMF
Operating Efficiency
ROE (TTM), % 18.82 26.56 34.37 16.85 11.75 51.73 39.16 36.16 10.75 31.73 6.51
ROA (TTM).% 12.24 15.41 0.64 15.13 5.55 12.11 11.84 11.84 3.11 13.59 5.76
Total asset T/O(TTM) 1.95 1.30 NMF 1.83 1.56 1.01 1.01 1.84 1.09 NMF
Profitability (%)
G/M (TTM) 31.09 38.91 NMF 40.14 26.55 58.46 48.61 48.61 11.25 47.98 NMF
Operating Margin(TTM) 10.01 16.51 11.43 12.68 6.32 21.40 17.86 17.86 4.31 16.68 30.45
16
Overview of Performance – Selected Holdings
Citigroup Fannie Mae FedEx
Transaction History Transaction History Transaction History
Buy Sell Price Buy Sell Price Buy Sell Price
3/14 100.00 $ 33.74 3/25 750 65.81
3/18 100.00 34.51 4/4 350 68.80 2/11 750 51.52
2/24 572 50.95
3/18 178 51.39
3/14-3/18 2/3/-4/11 4/4 200 56.10
3/25 - 4/11 2/3 - 4/11
AvgPrice 34.2267 34.1941
MaxPrice 34.7300 37.6100 AvgPrice 67.1936 64.6841 2/11-3/18 4/4-4/11 2/3/-4/11
MinPrice 33.7500 31.4200 MaxPrice 69.0100 69.0100
Spread 0.9800 6.1900 MinPrice 65.3500 58.9300 AvgPrice 50.8164 56.2050 52.9588
PricStDv 0.4905 1.8570 Spread 3.6600 10.0800 MaxPrice 52.3500 57.4600 57.4600
Avg%Chg. 1.3204 PricStDv 1.0479 2.2567 MinPrice 49.0000 55.6100 49.0000
Av%Ret 1.4424 Avg%Chg. 0.3261 0.1088 Spread 3.3500 1.8500 8.4600
$Gain/Share 1.4600 Av%Ret 2.1024 PricStDv 0.9223 0.6501 2.6158
$Gain/Share 3.0200 Avg%Chg. -0.0071 0.4108 0.1857
HPR: Avg$Cng -0.0100 0.2300 0.0935
Av%Ret -1.3657 0.1872
$Gain/Share -17.5900 0.6300
HPR: 11.28%
Gillette Home Depot International Game Tech.
Transaction History Transaction History
Transaction History
Avg.Price
Buy Sell Price Net Comsn. Avg.Price
Buy Sell Price Net Comsn.
2/6 200 28.66 Buy Sell Price
2/24 481 30.44 29.924
3/14 580 31.17 2/24 25 76.31
2/6 500 21.59
3/3 120 78.95 78.5012
3/14 145 79.13
2/6-2/23 2/24-4/11 2/3-4/11
2/6-4/11 2/3-4/11 2/24-3/2 3/3-3/14 3/3-4/11
AvgPrice 29.2536 31.1577 30.6110
MaxPrice 30.5400 32.3500 32.3500 AvgPrice 23.4937 23.3573 AvgPrice 76.8180 76.9500 78.8212
MinPrice 28.0800 29.8400 28.0800 MaxPrice 78.5800 78.9800 87.2000
MaxPrice 26.4300 26.4300
Spread 2.4600 2.5100 4.2700
MinPrice 75.0700 74.8000 74.0700
PricStDv 0.8287 0.5875 1.0746 MinPrice 20.7000 20.7000
Avg%Chg. 0.5130 0.1058 0.1486 Spread 3.5100 4.1800 13.1300
Spread 5.7300 5.7300
Avg$Cng 0.1491 0.0300 0.0425 PricStDv 1.3485 1.2858 3.3371
Av%Ret 2.0713 4.0538 PricStDv 1.7474 1.7761
Avg%Chg. 0.5973 0.1622 0.0354
$Gain/Share 6.5300 43.1870 Avg%Chg. 0.4486 0.4234 Avg$Cng 0.4560 -0.0570 0.0158
HPR:
Avg$Cng 0.0998 0.0942 Av%Ret 0.6657 -1.9760
Av%Ret 8.8175 $Gain/Share 2.5400 -15.5120
$Gain/Share 87.5700 HPR: 2.25%
HPR: 19.96%
18
Merck 3M NASDAQ 100 Trust
Transaction History Transaction History Transaction History
Avg.Price Avg.Price
Buy Sell Price Buy Sell Price Net Comsn. Buy Sell Price Net Comsn.
2/24 141 126.86 2/27 1200 24.65
3/25 1000 54.62 4/4 75 133.47 129.1551 3/20 1200 26.70
4/11 395 55.56 3/25 2000 26.16
2/24-4/3 4/4-4/11 2/3-4/11
3/25-4/11 2/3-4/11
AvgPrice 127.6234 132.8867 127.2614 2/27-3/20 3/25-4/11 2/3-4/11
AvgPrice 55.80 53.95 MaxPrice 134.3700 133.9800 134.3700
MaxPrice 57.20 57.20 MinPrice 121.0100 131.6100 121.0100 AvgPrice 25.1906 25.9929 25.2157
MinPrice 54.47 50.77 Spread 13.3600 2.3700 13.3600 MaxPrice 26.9300 26.5600 27.1700
Spread 2.73 6.43 PricStDv 3.8688 0.8119 4.0529 MinPrice 23.8000 25.2500 23.8000
PricStDv 0.82 1.76 Avg%Chg. 0.1439 0.1393 0.1366 Spread 3.1300 1.3100 3.3700
Avg%Chg. 0.11 -0.01 Avg$Cng 0.1724 0.1767 0.1650 PricStDv 1.0612 0.4340 0.9824
Avg$Cng 0.06 -0.01 Av%Ret 0.6018 4.0739 Avg%Chg. 0.6534 -0.1332 0.1013
Av%Ret 2.16 $Gain/Share 22.1400 22.3894 Avg$Cng 0.1613 -0.0379 0.0213
Total $ Gain/Share 44.5294 Av%Ret 2.1932 5.1627
$Gain/Share 16.49
$Gain/Share 8.6500 18.8000
HPR: (%) 8.3164 -2.4847
19
Procter Gamble Labranche & Co. S&P 500
Transaction History Transaction History 920.00
Avg.Price
900.00
Buy Sell Price Buy Sell Price
3/14 100 83.69 3/18 500 19.51 880.00
3/20 80 88.10 860.00
3/25 1000 87.57 87.49 3/18-4/11 2/3-4/11 840.00
4/3 600 89.80
820.00
AvgPrice 18.8547 19.4037
3/14-3/24 3/25-4/11 MaxPrice 20.8500 24.3000 800.00
HPR: (%) 4.62 1.86 MinPrice 17.3900 15.5100 780.00
AvgPrice 86.8429 89.1871 Spread 3.4600 8.7900 1/19 2/8 2/28 3/20 4/9 4/29
MaxPrice 88.9000 90.1500 PricStDv 1.1922 2.1024
MinPrice 83.4000 88.0200 Avg%Chg. -0.0138 -0.5202
Spread 5.5000 2.1300 Avg$Cng -0.0132 -0.1292 For 1 Share Purchased 2/6
PricStDv 1.8687 0.6382 Av%Ret -3.3586 Price Vs. Date
Avg%Chg. 0.8225 0.1343 $Gain/Share -12.4500 RSQ: PvsDate 0.4638837
Avg$Cng 1.0586 0.1171
Av%Ret 3.7673 1.9398 Mean 847.836
$Gain/Share 22.0700 23.7600 Standard Error 3.477
Median 843.140
Standard Deviation 23.580
Sample Variance 555.999
Kurtosis -0.950
Skewness -0.015
Range 95.060
Minimum 800.730
Maximum 895.790
Avg %Ret 1.18%
20
Market Comparison For Time Horizon
2/10 - 2/17 - 2/24 - 3/10 - 3/17 - 3/24 -
2/3 - 2/7 2/14 2/21 2/28 3/3 - 3/7 3/14 3/21 3/28 3/31 - 4/4 4/7 - 4/11
Market Value Week End
Down Jones Industry Average 0 1 2 3 4 5 6 7 8 9 10
Close 8,053.81 7864.23 7908.8 8018.11 7891.08 7740.03 7859.71 8521.97 8145.77 8277.15 8203.41
Change previous week -189.58 44.57 109.31 -127.03 -151.05 119.68 662.26 -376.20 131.38 -73.74
Percentage Change -2.35% 0.57% 1.38% -1.58% -1.91% 1.55% 8.43% -4.41% 1.61% -0.89%
P/E Ratio
Earning yield
Dividend Yield
Market Value Week End
S & P 500 0 1 2 3 4 5 6 7 8 9 10
Close 855.7 829.69 834.89 848.17 841.15 828.89 833.27 895.79 863.5 878.85 868.3
Change previous week -26.01 5.2 13.28 -7.02 -12.26 4.38 62.52 -32.29 15.35 -10.55
Percentage Change -3.04% 0.63% 1.59% -0.83% -1.46% 0.53% 7.50% -3.60% 1.78% -1.20%
P/E Ratio
Earning yield
Dividend Yield
Market Value Week End
2/3 - 2/7 2/10 - 2/14 2/17 - 2/21 2/24 - 2/28 3/3 - 3/7 3/10 - 3/14 3/17 - 3/21 3/24 - 3/28 3/31 - 4/4 4/7 - 4/11
Cash Balance 500,000.00 483,423.00 403,258.00 328,258.00 293,234.75 283,744.65 325,970.10 319,421.52 156,945.87 231,598.62
(Purchase)/Sale (16,577.00) (80,165.00) (75,000.00) (35,023.25) (9,499.00) 42,195.45 (6,548.58) (162,905.75) 74,652.75 27,152.00
Dividend/ Interest 8.9 30 430.1
Net Cash 483,423.00 403,258.00 328,258.00 293,234.75 283,744.65 325,970.10 319,421.52 156,945.87 231,598.62 258,750.62
21
Sector Performance For Selected Dates
BasicMaterials ConsCyc ConsNonCyc Energy Financial HealthCare Industrial Technology Telecomm
2/5 -0.25 -0.25 -0.49 -0.96 -0.67 -0.58 -0.15 -0.46 -0.47
2/7
2/14
2/21
2/28 0.10 0.94 -0.42 0.31 0.27 0.40 0.29 1.48 -0.41
3/3 -0.63 -1.01 -0.73 0.61 -0.60 -0.79 -0.49 -1.58 -0.32
3/4 -2.20 -2.74 -1.23 -0.47 -1.36 -1.25 -1.63 -1.20 -1.51
3/5 0.32 0.80 -0.44 1.10 1.10 1.37 0.53 0.93 0.91
3/7
3/11 -0.78 -1.09 0.74 -0.57 -1.46 -1.03 -1.40 -0.39 -1.01
3/12 0.20 0.29 0.60 -1.56 -0.17 0.35 0.66 0.95 2.11
3/13 4.46 4.46 1.91 0.83 3.91 1.53 3.48 5.44 4.79
3/14 0.83 0.22 0.12 -0.17 0.29 -0.90 0.93 -0.13 1.18
3/21 3.68 3.34 2.04 -0.33 2.43 2.48 3.02 1.40 1.82
3/24 -4.00 -4.59 -2.76 -1.77 -3.28 -2.88 -3.60 -4.23 -3.86
3/25 0.61 1.87 0.54 1.12 0.66 2.17 0.86 1.30 1.45
3/26 -0.81 -0.37 -0.42 -0.04 -0.37 -1.15 -0.86 -0.57 0.53
3/27 -1.33 -0.19 0.19 0.86 -0.44 0.58 -0.24 -0.71 -0.46
4/4
4/9 -1.49 -1.29 -0.66 UNCH -1.30 -1.25 -1.50 -2.33 -1.95
4/10 0.35 1.19 0.31 1.10 0.66 -0.08 0.39 0.65 0.65
4/11 -0.10 -0.56 0.31 -0.70 0.02 -0.55 -0.24 -0.58 -0.89
sum -1.04 1.02 -0.39 -0.64 -0.31 -1.58 0.05 -0.03 2.56
av -0.06 0.06 -0.02 -0.04 -0.02 -0.09 0.00 0.00 0.15
std 1.96 2.10 1.12 0.94 1.60 1.40 1.67 2.04 1.92
22
Risk Analysis (Using beta)
S&P500 1.00 0.0156 Beta Return
Beta Return
FDX 0.80 0.0200 Mean 1.038 Mean 0.032
FNM 0.30 0.0760 Standard Error 0.205 Standard Error 0.026
G 0.50 0.0400 Median 0.800 Median 0.025
HD 1.30 0.2650 Mode 0.500 Mode 0.020
LAB 2.20 -0.1570 Standard Deviation 0.740 Standard Deviation 0.093
MMM 0.50 0.0040 Sample Variance 0.548 Sample Variance 0.009
MRK 0.50 0.0200 Kurtosis -1.042 Kurtosis 3.924
MRO 0.70 0.0140 Skewness 0.509 Skewness 0.630
NDN 1.50 0.0540 Range 2.200 Range 0.422
NOK 2.00 0.0730 Minimum 0.000 Minimum -0.157
PG 0.00 0.0250 Maximum 2.200 Maximum 0.265
PRULX 2.20 -0.0600 Sum 13.500 Sum 0.419
QQQ 1.00 0.0450 Count 13.000 Count 13.000
IGT 0.50
Slope -0.0327839
TotalRet 0.4190
23