Smith MBAs Win National Asset Management Competition

A team of four Smith MBAs -- Casey Rentch, Matt Adinolfi, Kamran Shahid, and Mohammed Alam -- took home first place and $4,000 at the Second Annual Inter-MBA Asset Management Competition, held at the the Zicklin School of Business at Baruch College. Six student teams from area graduate schools participated in the seven-month competition by managing investment portfolios and issuing final reports on strategy and performance.

The competition began in November 2004 when each team was given an identical portfolio of 50 stocks. Teams were asked to articulate an investment strategy and then rebalance the portfolios each month through April 2005. In April teams were then asked to submit final reports summarizing their strategies, trades and analysis of their portfolio performance. A panel of Wall Street experts ranked the final reports. The final scores for each team consisted of their portfolio risk adjusted rate of return (60% of the score) and their final report ranking (40% of the score).

Some of the key stocks in the Smith team's portfolio included Electronic Arts, Lehman Brothers, Quest Diagnostics, and Conoco Phillips. They had a gross return of 6.920% (first place) and a Sharpe Ratio (direct measure of reward-to-risk) of .798 (first place).

"The long duration of the competition turned out to work in our advantage," said Casey Rentch, a second-year MBA student. "Our 'top-down momentum' strategy was constantly refined; we got better as the competition went along."

"We needed to look for stocks which had the potential to do better in the short term. Picking stocks for such a short time frame based on finance fundamental theoretical knowledge (which we learned from school) may not have worked. The momentum strategy worked. We just had to see how the stocks were doing for the last six months to a year, how the near future earnings looked, and select the stock based on that," said Mohammed Alam, a part-time MBA student and senior IT consultant at IBM Business Consulting Services.

"Another thing we noticed," added Alam, "was the weakest S&P sectors during the competition were financials and healthcare. Even though we were overweight in these sectors for each of the five rebalancing periods, they were our strongest performing areas because of security selection. So a sector as a whole might do bad during the competition period, but some of the stocks within those sectors might still do better."

Matt Adinolfi has some advice to students thinking about entering the competition next year: have a knowledgeable second year team member to guide the team; pick a strategy and stick to it, despite what your instincts may tell you; and with such a short investment horizon, timing is key.

Other schools participating this year's competition included Zicklin School of Business, Baruch College; Lubin School of Business, Pace University; Georgetown University; Fordham University; and Stern School of Business, NYU.

The judges were: Scott Geller, principal and director of Trading at Cramer Rosenthal McGlynn, LLC; Joseph Pignatelli, president and member of the General Partner of the Archstone Partnerships; Larry Simon, co-founder, president and CEO of Ivy Asset Management Corp; Sandra Roth (retired), former chief equity officer and senior vice president of Benefit Capital Management Corporation; and Stephen O'Connor (retired), formerly of Goldman Sachs and Morgan Stanley Dean Witter.