Global Asset Allocation and Stock Selection
Asset Management Teams and Research Initiatives: 2003
Group Code:
Consistent Performance Asset Management
Growth vs. Value Trading Strategies
Growth and Value are two fundamental investment approaches that have been the subject of significant research. By combining the two styles, one can help to reduce portfolio volatility because each has outperformed the other at different phases of the business cycle. We identify the characteristics that affect the impact relative performance
HTML Presentation
Powerpoint slides
Word document
Main spreadsheet
Small cap spreadsheet
Mid cap spreadsheet
large cap spreadsheet
Large cap 2 spreadsheet
Group Code:
Snoop Data Dogg
Evaluating Market Risk Factors in Positive and Negative World Markets
We evaluate whether or not country market risk factors can be better
explained by parsing the data between positive and negative world returns.
Furthermore, we believe that the investment decision making process is enhanced
if country market risk factors are interpreted outside of a normal distribution.
That is, skewness (a measure of the degree of asymmetry) is an important factor
in evaluating country market risk factors.
Powerpoint slides
Word Document
HTML Document
Group Code:
CamShaft Investors (CSI)
Equity Trading Strategy based on Stochastic Oscillator
Buy and sell trading signals are generated using a metric describing the
price level at which a particular equity or index closes relative to its
recent trading range. The method relies primarily on the idea of
predictable momentum -- specifically that stocks in uptrends/downtrends
tend to close near the highs/lows of their trading ranges.
Powerpoint slides
HTML Document
Supplementary Excel results
Group Code:
Prudent Devils
Using Sector Valuations to Forecast Market Returns: A Contrarian View
It is widely accepted by most practitioners that the stock market is a
discounting mechanism. Indeed, advocates of market efficiency would argue
that stock prices incorporate all publicly available information and reflect
investor expectations. In our view, these expectations are often misguided,
suggesting that the market may be mispriced. It follows that if we can
accurately identify periods of irrational exuberance and despair, we should
be able to outperform the market by taking a contrarian view. In this paper,
we use individual sector valuations as a proxy for investor sentiment. We
then forecast 1-year returns for the S&P 500 based on our proprietary sector
valuation model.
Powerpoint slides
Group Code:
Bankruptcy International
Project Title
Three or four sentence abstract
Powerpoint slides
Group Code:
Alpha Asset Management
Project Title
Three or four sentence abstract
Powerpoint slides
Word Document
Supplementary Excel results
Class of 2003 email