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Trading and Money Management in a Student-Managed Portfolio

Book Description

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.

  • 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

Table of Contents

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Copyright
  5. Introduction
  6. Acknowledgments
  7. About the Authors
  8. Chapter 1. Investment Philosophy and Process
    1. The Student-Managed Investment Fund as an Investment Management Firm
    2. Investment Philosophy and Process
    3. Investment Philosophy
    4. Examples of Investment Philosophy
    5. Investment Process
    6. Examples of Investment Process
    7. Internal and External Uses of the Investment Philosophy and Process
    8. Appendix A: Common Investment Strategy Classifications
    9. Appendix B The Role of Investment Philosophy in Evaluating Investment Managers: A Consultant’s Perspective on Distinguishing Alpha from Noise
    10. References
  9. Chapter 2. Organization
    1. Organizational Structure
    2. Oversight
    3. Roles and Responsibilities
    4. Student-Managed Investment Fund as a For-Credit Course or a Volunteer Student Organization
    5. Challenges to a Student-Managed Investment Fund
    6. Fund Structure
    7. Appendix: Operating Guidelines for Philip M. Dorr and Alumni Endowed Investment Fund
  10. Chapter 3. Security Selection
    1. Quantitative Analysis
    2. Security Analysis
    3. Company Analysis
    4. A Good Company Versus a Good Investment
    5. Valuation
    6. Dividend Discount Model
    7. Discounted Cash Flow Model
    8. Free Cash Flow to Equity Model
    9. Valuation Using Earnings
    10. Market Valuation Measures
    11. Security Analysis Application
    12. Example: Texas Christian University’s Educational Investment Fund
    13. Appendix: Cutting through the Hype
    14. Resources and Bibliography
  11. Chapter 4. Portfolio Construction
    1. Portfolio Weights and Returns
    2. Expected Returns
    3. Total Risk of a Portfolio
    4. Tracking Error and Relative Risk
    5. Tracking Error and Relative Risk Using Active Weights
    6. Portfolio Optimization
    7. Minimize Total Risk
    8. Minimize Tracking Error
    9. Maximize Sharpe Ratio
    10. Maximize Information Ratio
    11. Trading and Rebalancing
    12. Practical Considerations
  12. Chapter 5. Presentations
    1. Internal Presentations
    2. General Presentation Style and Delivery Guidelines
    3. External Presentations
  13. Chapter 6. Performance Evaluation
    1. Performance Calculation
    2. Performance Reporting
    3. Performance Analysis
    4. Performance Attribution
    5. Performance Attribution Examples
    6. Performance Attribution Commentary and Interpretation
    7. Performance Attribution Complexities
    8. Returns-Based Performance Analysis
    9. Risk-Adjusted Return and Reward-to-Risk Measures
    10. Transactions Cost Analysis
  14. Chapter 7. Tools
    1. Primary Data Sources
    2. Other Information and Data Sources
    3. Web Portals, Search Engines, and Business News
    4. Brokers and Financial Service Providers
    5. Index Providers
    6. Licensed Services
  15. Chapter 8. Forums, Symposiums, and Competitions
    1. Texas Investment Portfolio Symposium (TIPS)
    2. The CFA Institute Global Investment Research Challenge
    3. R.I.S.E.: Redefining Investment Strategy Education
    4. TVA Investment Challenge
    5. The Cornell-Fidelity MBA Stock Pitch Competition
  16. Chapter 9. The Present and Future of Student-Managed Portfolios
    1. The Role of Security Trading Rooms in Business Schools
    2. Student-Managed Investment Funds: An International Perspective
    3. References
  17. Index