Welcome to the home page of Applied Portfolio Management at the Washburn University School of Business in Topeka, Kansas. Students in BU 484 (undergraduate) and BU 979 (graduate) have been managing an equity portfolio on behalf of the Washburn Endowment Association since July 2007. Use the navigation buttons at the top of the page to read the students’ stock research reports and macroeconomic newsletter, view profiles of the students currently enrolled in the program, and read the bios of the Advisory Board members.
The portfolio’s current positions and performance through June 1, 2009 are shown in the table below.
Correlation coefficients of the weekly returns of the stocks in the portfolio are shown below from 2004-2009. Correlations greater than 0.50 are shown in bold (exclusive of the VTI and SPX indices). The energy stocks (CVX, ECA and SLB) are strongly correlated, as are DE, LOW, UTX and INTC. CVX and ECA are also strongly correlated with NUE.
We estimated our portfolio’s alpha and beta vs. the S&P 500, using weekly portfolio returns over the life of the fund, July 2007 to April 2009. During these turbulent times in financial markets, Washburn students have earned an annualized alpha of 0.5% with less volatility than the overall market (beta = 0.86).
We also estimated a feasible efficient frontier from our 14-stock portfolio, strictly based on historical data, to examine the risk and expected return of the current portfolio vs. what might have been possible 2007-2009. The results suggest that the Student Investment Fund is positioned slightly better than an equally weighted combination of our 14 securities, although a portfolio of JNJ, SLB, NUE, ECA and CVX, weighted as shown below, represents an even more efficient portfolio. It’s important to bear in mind that an analysis such as the one below is based on historical returns, volatilities and correlations -- to be truly-forward looking, we would have to have plausible forecasts of these variables.
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