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SunTrust MBA Investment Fund

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MBA students taking MBA 522 and MBA 590J manage an equity and bond portfolio using $100,000 donated by SunTrust.

Portfolio Background

The portfolio is managed using an "enhanced" indexing approach for the Dow Jones Industrial Average. All investment decisions are made by the student investment teams.

The steps of this approach are:

  1. Identify stocks in the Dow 30 for analysis.
  2. Identify substitute stocks that are in the same or similar industries.
  3. Perform rigorous security analysis on both the Dow and substitute stocks.
  4. Recommend relative long or short positions in either stock.

Rationale for the "enhanced" index approach

Benchmarking against an index and then holding a subset of the index involves making both explicit and implicit investment choices. The explicit investment choices are those stocks which have been selected for the portfolio. The implicit choices are those stocks that are in the index but are not in the portfolio. In effect, the portfolio is short those stocks. An enhanced index approach allows us to explicitly choose which stocks to have in the portfolio and also explicitly choose which stocks to be short. Furthermore our portfolio should have a similar risk profile to that of the benchmark.