About the Fund

What we do. How we do it.

Fund Facts

>>Go to Performance

  • Inception, Apr. 14th 2010
  • Started by Prof. Richard Sloan
  • Student Managed
  • Started with $95,000
  • Highest AUM: $216,035 May '07
  • Lowest AUM: $86,051 March '03
  • Best Month: April '09, up 13%
  • Worst Month: October '08, down 23%
  • Best Year: 2003. Up 39%
  • Worst Year: 2008. Down -41%
  • Years with positive alpha (midcap):
    '01, '02, '03, '06, '09
  • Years with negative alpha (midcap):
    '00, '04, '05, '07, '08, '10
  • Years with positive alpha (SP500):
    '00 to '06, '09, '10
  • Years with negative alpha (SP500):
    '07, '08
  • Active risk - around 4%

Objective and Goals

Objective: Long-term capital appreciation
Benchmark: S&P MidCap 400 Index
Investment Focus: Stocks of mid-capitalization U.S. companies
Investment Style: Quantitative, applied to mid-cap growth and value stocks

The Fund seeks long-term appreciation of capital through a broadly diversified portfolio of equity securities within the approximate range of the market capitalization of companies constituting the S&P MidCap 400 Index.

Investment Strategies

Equity Securities The Fund’s investments are selected using a combination of quantitative techniques and fundamental research in seeking to maximize the Fund’s expected return, while maintaining risk, style, capitalization and industry characteristics similar to the S&P MidCap 400 Index. Potential stock selections are initially generated using quantitative screening techniques based on fundamental valuation, earnings quality and momentum signals. Final stock selections are made after a detailed fundamental analysis of each stock.

While the Fund invests in a blend of value and growth stocks, growth stocks are only included to the extent that they are priced attractively relative to their growth prospects. The Fund uses the BARRA U.S. Equity Model to restrict its expected tracking error (active risk) relative to the S&P MidCap 400 Index to 5% per year.and limiting transaction costs. The Fund invests, under normal circumstances, at least 90% of its total assets in a combination of equity securities and the other investment company securities described above. The Fund limits trading costs by restricting its annual turnover in such securities to a maximum of 50%.

Other Investment Companies Given its limited size, the Fund may invest in other investment companies that index the S&P MidCap 400 Index (including MidCap Standard & Poor’s Depository Receipts) in order to achieve the joint goals of minimizing active risk trading costs by restricting its annual turnover in such securities to a maximum of 50%.

Other Investments The Fund’s other investments are limited to securities that are considered cash equivalents.

Restrictions and Other Limitations
  • Investments are restricted to common stock and market capitalizations of at least $50 million.
  • Securities trade on NYSE, Amex or NASDAQ NMS security exchanges.
  • Other investment securities are limited to securities that are intended to track the S&P 400 MidCap 400 Index.
  • Investments in cash equivalents are restricted to money market funds, investing primarily in high quality money market instruments with an average maturity of 90 days or less.
  • The Fund is not permitted to borrow money from banks or other financial institutions (including margin loans).
  • The Fund is not required to immediately divest itself of any security held by The Fund simply because that security’s characteristics change while it is held by The Fund such that they no longer adhere to the above restrictions.
  • However, The Fund must divest itself of anysecurity whose characteristics change such that they violate the above restrictions continuously for a period longer than six months.
  • The Fund is obligated to maintain compliance with the University of Michigan’s investment policies, and will report any deviations from such policies promptly to the UM Chief Investment Officer.