The above graph shows the change in the value of $10,000 invested in both the SIM portfolio and the S&P 500 from February 13, 1990 (inception) to June 30, 2008.  The value of $10,000 invested in the SIM portfolio would be $51,322.47 (net capital gains plus dividends), whereas the same value invested in the S&P 500 would end with a value of $57,081.40 (dividends re-invested).

The SIM portfolio net return was -11.99% during the fiscal year ending June 30, 2008 and outperformed the benchmark S&P 500 portfolio by 113 basis points.  Throughout the past three, five, and ten years the SIM portfolio has consistently performed better than the S&P 500, succeeding by 149, 73, and 139 basis points respectively during that time period.

Table 1: Portfolio Returns

Table 2: Portfolio Overview as on June 30, 2008

As per the table above, the market value of the SIM portfolio as of June 30, 2008 was $22.8 million.  The total asset value includes a 2.11% allocation in cash as of fiscal year end. The portfolio comprised mainly large capitalization, US-based companies; non-S&P 500 international exposure during the year decreased to 5.68% as of June 30, 2008 down from 12.2% in 2007.  The portfolio also increased its overall holdings to 36 stocks during the year from 32 at fiscal year end 2007. 

Although fiscal year 2008 was a rough year for equities, students selected a few very impressive securities.  The total gain from positive performing stocks was $2,608,936.  Weatherford International leads the list of top performing securities by gaining $433,005 which accounts for 17% of the gain for all positive performing securities.  It is followed by Peabody Energy which gained $317,580 and accounts for 12% of the gain from positive stocks.

Table 3: Top 5 Performing Securities

In contrast to the best performing securities listed in Table 3, the worst performing securities of the fiscal year amounted to $5,562,817 in losses.  The loss leader is Wellpoint which lost $567,352 and accounts for 10% of the losses on negative performing securities.  Bank of America is the second largest loser of the SIM portfolio after posting a loss of $484,599 which accounts for 9% of the total negative stocks.

Table 4: Bottom 5 Performing Securities

As of fiscal year end, the SIM Portfolio was overweight in the Consumer Discretionary and Information Technology sectors relative to the S&P 500 by 221 and 214 basis points respectively. Conversely, the largest underweight sectors relative to the benchmark were Energy at -345 basis points and Industrials at -296 basis points.

Figure 1: Sector Allocation versus the Benchmark as of June 30, 2008

Table 5: Total Returns and Risk Metrics for SIM and S&P 500 Portfolios

In the last ten years the SIM portfolio earned an annualized net return of 4.27% versus 2.88% for the S&P 500 over the same period. The superior performance persists on a risk-adjusted basis. This is reflected in the slightly higher Sharpe ratio of 0.28 for the SIM portfolio as against a corresponding 0.19 for the S&P 500. 

The SIM portfolio also outperformed the S&P 500 on an absolute basis during the last five and three year periods.  The SIM portfolio achieved annualized five-year and three-year returns of 8.31% and 5.90%, respectively, which compares favorably to 7.58% and 4.41% for the S&P 500.  Again, the Sharpe ratio is relatively higher for the SIM portfolio over both time periods, so that the added risk taken by the portfolio resulted in higher returns for the periods.

The figure below shows the SIM portfolio outperformed in seven of the twelve months on a net basis relative to the S&P 500. 

Figure 2: Monthly Return Comparison

At the end of the fiscal year the ten largest holdings of the SIM portfolio amounted to $10,627,685 and represented 46.55% of the total value.  The largest holding was Weatherford International which had a market value of $1,512,495 and it symbolized 6.63% of the total value of the SIM fund.

Table 6: Top Ten Holdings of the SIM portfolio as of June 30, 2008: