Cayuga Fund up nearly 20 percent in 2003

Student Managed Fund Nears $3 Million in Asset Value

The Johnson Graduate School of Management at Cornell University and the managers of the Cayuga MBA Fund are pleased to announce that the student-run investment fund saw a return in 2003 of 19.19 percent. The Cayuga MBA Fund, housed at the Johnson School's Parker Center, is one of the largest student managed hedge funds in the world, boasts an asset value close to $3 million. Founded as an S&P 500 index-tilted fund in 1998, it now follows a market-neutral investment strategy, designed to provide positive returns to investors independent of the overall market direction.

"The goal of the Cayuga Fund has always been to provide our investors with a competitive rate of risk-adjusted return and to enhance the educational and professional opportunities of Johnson School students through experiential learning," said Lakshmi Bhojraj, director of operations at the Parker Center. "We are pleased with our performance in 2003, especially when taking into account our market-neutral strategy, and our low volatility, which, at 7.8%, was less than half that of the S&P 500."

The Fund's investment approach is clear: to maximize expected returns while maintaining low volatility through a diversified portfolio of equity securities that meet the quantitative and fundamental specifications adopted by its twenty-four student managers. After managers prepare and present investment ideas that cover key economic sectors in the S&P 500, investment can be made only after a two-thirds majority is achieved in a formal vote. Sophisticated risk-management software is used to ensure the final portfolio exhibits low overall risk and minimal market exposure. Faculty advisors and Investment Committee members (typically alumni of the Johnson School working as portfolio managers or research analysts) aid in research and deliberations.

"As Fund managers, we are making real life, real-time investment decisions that affect the Fund's value and our clients' investments. None of the managers take this responsibility lightly and we learn new information about the market and its indicators every day and with every investment," said Alison Reichert, MBA Candidate '04. "The experience we have with the Fund prepares us for our next job and our career. This is incredible hands-on learning that is really hard to find anywhere else."

Ultimate fiduciary responsibility for the Fund's assets and operations rests with The Board of Directors, consisting of a faculty advisor and two outside board members. The Board appoints an Investment Committee to oversee the investment decisions of the Fund and each student's stock recommendation must be approved by two Investment Committee members before it is implemented. An advisory council, consisting of distinguished members of the investment and academic community, also provide dialogue and input into the management of the Fund.

The Parker Center at the Johnson School is a financial resource center dedicated to the creation and dissemination of leading-edge research relevant to investment managers. Its mission is to support the educational goals of the Johnson Graduate School of Management by establishing a world-class facility for integrating cutting-edge investment research, innovative teaching material, and real-time data feeds.

The Johnson School is Cornell's graduate school of management. Founded in 1946, and located at the center of one of the world's top research institutions-the largest in the Ivy League-the school's programs include MBA and doctoral degrees, an executive MBA, and a variety of customized executive education programs.