Global Asset Allocation and Stock Selection

Asset Management Teams and Research Initiatives: 2002

Group Code: Satchmo

The Empirical Distribution of Swap Spreads and the LTCM Disaster

Group Code: Crisis Asset Management

Crisis Risk Management and Asset Allocation

We categorize major political and shocks into three categrories: International idiosyncratic, international contagion and U.S. We investigate the impact of these historical shocks on U.S. and international asset returns. From our analysis of crises such as Pearl Harbor, the Cuban Missile Crisis, JFK assassination, September 11, we are able to provide some guidance for asset allocation responses. We also offer analysis of a number of potential future crises and their potential implications on global financial management.

Powerpoint slides

Word Document

HTML Document

Supplementary Excel results

Group Code: La China Loca Asset Management

Fama-French Factors, Predictability and Asset Allocation

The original Fama-French model suggested that four factors determine expected returns: a high minus low market to book portfolio, a small minus big capitalization portfolio, the excess returns on a corporate bond and the excess return on a government bond. Our strategy is to build forecasting models for these four factors and to test to see if, given the factor loadings and forecasted premiums, we can implement a cross-sectional stock selection strategy that out performance buy-and-hold benchmarks.

Powerpoint slides

HTML presentation

Word Document

Supplementary spreadsheet