Trading and Money Management in a Student-Managed Portfolio is a hands-on textbook for student-managed investment funds (SMIFs). The book presents the applied material that textbooks on portfolios and investments always overlook. Its focus on "how-to" questions summarizes the disciplines and skills necessary for trading. Covering equities, hedge funds and derivatives, and fixed income, it captures the breadth and detail necessary for developing and executing trading strategies.
Developed specifically for SMIF courses, the book features calculations, examples, and software that help you move from talking about markets to taking positions in them.
Key Features
- Methodically summarizes the disciplines and skills necessary for trading
- Teaches you to build a ranking model for securities and write a research report for a sell-side firm
- Covers equities, fixed income, derivatives, and hedge funds
Introduction
Acknowledgments
About the Authors
Chapter 1. Investment Philosophy and Process
The Student-Managed Investment Fund as an Investment Management Firm
Investment Philosophy and Process
Investment Philosophy
Examples of Investment Philosophy
Investment Process
Examples of Investment Process
Internal and External Uses of the Investment Philosophy and Process
Appendix A: Common Investment Strategy Classifications
Appendix B The Role of Investment Philosophy in Evaluating Investment Managers: A Consultant’s Perspective on Distinguishing Alpha from Noise
References
Chapter 2. Organization
Organizational Structure
Oversight
Roles and Responsibilities
Student-Managed Investment Fund as a For-Credit Course or a Volunteer Student Organization
Challenges to a Student-Managed Investment Fund
Fund Structure
Appendix: Operating Guidelines for Philip M. Dorr and Alumni Endowed Investment Fund
Chapter 3. Security Selection
Quantitative Analysis
Security Analysis
Company Analysis
A Good Company Versus a Good Investment
Valuation
Dividend Discount Model
Discounted Cash Flow Model
Free Cash Flow to Equity Model
Valuation Using Earnings
Market Valuation Measures
Security Analysis Application
Example: Texas Christian University’s Educational Investment Fund
Appendix: Cutting through the Hype
Resources and Bibliography
Chapter 4. Portfolio Construction
Portfolio Weights and Returns
Expected Returns
Total Risk of a Portfolio
Tracking Error and Relative Risk
Tracking Error and Relative Risk Using Active Weights
Portfolio Optimization
Minimize Total Risk
Minimize Tracking Error
Maximize Sharpe Ratio
Maximize Information Ratio
Trading and Rebalancing
Practical Considerations
Chapter 5. Presentations
Internal Presentations
General Presentation Style and Delivery Guidelines
External Presentations
Chapter 6. Performance Evaluation
Performance Calculation
Performance Reporting
Performance Analysis
Performance Attribution
Performance Attribution Examples
Performance Attribution Commentary and Interpretation
Performance Attribution Complexities
Returns-Based Performance Analysis
Risk-Adjusted Return and Reward-to-Risk Measures
Transactions Cost Analysis
Chapter 7. Tools
Primary Data Sources
Other Information and Data Sources
Web Portals, Search Engines, and Business News
Brokers and Financial Service Providers
Index Providers
Licensed Services
Chapter 8. Forums, Symposiums, and Competitions
Texas Investment Portfolio Symposium (TIPS)
The CFA Institute Global Investment Research Challenge
R.I.S.E.: Redefining Investment Strategy Education
TVA Investment Challenge
The Cornell-Fidelity MBA Stock Pitch Competition
Chapter 9. The Present and Future of Student-Managed Portfolios
The Role of Security Trading Rooms in Business Schools
Student-Managed Investment Funds: An International Perspective
References
Index
- Danthine & Donaldson. Intermediate Financial Theory, 2nd ed. 9780123693808. 2005. 392 pp.
- Neftci. Principles of Financial Engineering, 2nd ed. 9780123735744. 2009. 696 pp.
- Shefrin. A Behavioral Approach to Asset Pricing, 2nd ed. 9780123743565. 2008. 618 pp.
Primary audience: undergraduates and graduate (MBA) students taking classes associated with student managed investment funds. Secondary audience: MBA students studying asset management and portfolio management.
