Performance of the AIM Funds Since Inception of the Program
Marquette
University Applied Investment Management (AIM) program was established in 2005.
Since then the students have managed approximately $2 million of Marquette’s
endowment fund.
·
In
September 2005 the AIM Small Capitalization Equity Fund was established with
the Russell 2000 Index serving as the benchmark.
·
In
January 2006 the AIM Fixed Income Fund was created with the Barclays US Aggregate
Bond Index selected as the benchmark.
·
In
September 2008 the AIM International Equity Fund was established with the
S&P ADR Index chosen as the benchmark. Since then a second benchmark (Russell
Global ex US Index) has also be utilized to monitor the relative performance of
the fund.
The
management of the three funds --- which includes the weekly AIM equity pitches ---
has always been one of the main highlights of the AIM program. The opportunity
for students to actively manage domestic and international equity and
fixed-income portfolios has been an important part of Marquette AIM program’s
experiential learning since its inception.
Given
that the program celebrated its 10th anniversary in 2015 it is fair
to ask how the AIM funds have fared. The following table provides key
performance metrics for each fund since their inception.
As the
table reveals, like many active investment managers, the past decade has been
challenging were compared to passive investing. Portfolio managers had to
navigate through the Financial Crisis of 2007-2009, the European Debt Crisis of
2011, the collapse of oil prices in 2014-2015, and poor performance from the
BRICs and other emerging economies – in addition to the imposition of major new
regulatory controls (i.e. Dodd-Frank and Basel III).
The AIM Small
Cap Fund has weathered the storm quite well. While the annual average returns
are below the Russell 2000 Index, the fund has performed in the top half of all
actively managed small cap funds during this period. Despite relatively high transactions
costs given the size of the portfolio, the student-managers have generated an overall
Sharpe Ratio of .26 – which is slightly below the Index’s .32 measure.
The AIM
Fixed Income Fund has performed slightly ahead of its benchmark during the
period beginning in January 2006 – with an average annual return of 5.0% versus
4.8% for the Barclay US Aggregate Bond Index. The higher relatively return was
generated with slightly more risk – as measured by the standard deviation of
monthly returns. The student-managers employ ETFs to implement the strategy and
given the embedded costs within ETFs – and the commissions paid – the positive net
excess returns is a strong outcome.
Finally,
the AIM International Equity Fund has been the most challenging portfolio. The AIM
students have to study and analyze non-US securities; a task that this
challenging given the different regulatory and accounting conventions used in
other countries. Despite this, the
student-managers of the International Fund since inception have matched the
S&P ADR Index and slightly underperformed the Russell Global Ex US Index.
Again given the relative high transactions costs, the students have posted
returns in the top half of all international equity managers during the period.
Despite a strong overweight in the emerging market sector – which has performed
well below the developed markets – the AIM International Fund has held its own.
In
summary, the student-managers of the AIM program portfolios have had a
remarkable learning experience and have generated respectable returns. The
current and future AIM students look forward to the opportunity to manage a
portion of Marquette’s endowment in a professional, prudent manner.
Performance of Marquette AIM Funds v. Benchmarks (Since
Inception)
|
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Time Period (9/30/2005 - 12/31/2015)
|
Annual Return (Geometric Average)
|
Standard Deviation
|
Sharpe Ratio
|
||
Marquette AIM Small Cap Equity
|
6.0%
|
18.4%
|
0.26
|
||
Russell 2000 TR USD
|
7.4%
|
19.2%
|
0.32
|
||
Time Period (1/28/2006 - 12/31/2015)
|
Annual Return (Geometric Average)
|
Standard Deviation
|
Sharpe Ratio
|
||
Marquette AIM Fixed Income
|
5.0%
|
3.7%
|
1.00
|
||
Barclays US Agg Bond TR USD
|
4.8%
|
3.2%
|
1.11
|
||
Time Period (9/28/2008 - 12/31/2015)
|
Annual Return (Geometric Average)
|
Standard Deviation
|
Sharpe Ratio
|
||
Marquette AIM Intl Equity
|
4.3%
|
20.5%
|
0.15
|
||
S&P ADR TR USD
|
4.3%
|
20.7%
|
0.15
|
||
Russell Global Ex US TR USD
|
6.4%
|
20.2%
|
0.26
|
||
