Sunday, February 26, 2006

College kids thrash the S&P

A portfolio run by students at Villanova, though less than two years old, has smacked the S&P 500 around pretty nicely.

Villanova's Arnone-Lehrer SRI Fund runs real money and has significantly outperformed the S&P 500 since it was launched in March 2004. Overseen by Professor David Nawrocki, the fund is up a total of 25.35 percent since inception, using data through November 25, 2005, with the S&P returning 16.21 percent over the same period. The Domini Index, often used as a proxy for SRI, was up 14.17 percent during that time. The Arnone-Lehrer SRI Fund is run by a team of 16 undergraduate students, with input from three additional students in the university's MBA program, using business cycle and portfolio theory work pioneered by Nawrocki and suitability screening software from IW Financial.
The students are using a top-down value approach with a sector rotation, social responsibility combo. The professor thinks that the social and governance screens add as much as 100 basis points per year.

The article does not say how much money the students manage in this portfolio of 50-70 stocks and it would be interesting to see if there methodology holds up when scaled. Nonetheless, way to go!

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