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A new quantitative approach for the management of a student‐managed investment fund

A new quantitative approach for the management of a student‐managed investment fund Purpose – The purpose of this study is to develop an investment strategy designed both to enable student‐managed investment fund (SMIF) students to more quickly build out their portfolio at the beginning of the academic year and to give them some exposure to quantitative approaches to investment management. Design/methodology/approach – This study uses data and software that would be readily available to typical SMIF students to develop both an asset‐allocation model and a security‐selection model that can be described as a long‐flat (or synthetic protective put) equity strategy with a momentum‐based style‐rotation overlay. Findings – Over the time period since the requisite style‐based ETFs began trading, the composite strategy would have outperformed the S&P 500 index during both market downturns and market upturns, providing better than market returns at lower than market levels of risk. Originality/value – The key innovation of this paper is the development of a quantitative investment strategy tailored specifically to meet both the educational and the portfolio management needs of SMIF students; a secondary innovation is the demonstration of the efficacy of a style‐rotation strategy, in contrast to the more typical sector/industry‐rotation type of strategy. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

A new quantitative approach for the management of a student‐managed investment fund

Peter A. Ammermann; L.R. Runyon; Reuben Conceicao
Managerial Finance , Volume 37 (7): 12 – Jun 14, 2011
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References (4)

Publisher
Emerald Publishing
Copyright
Copyright © 2011 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074351111140261
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this study is to develop an investment strategy designed both to enable student‐managed investment fund (SMIF) students to more quickly build out their portfolio at the beginning of the academic year and to give them some exposure to quantitative approaches to investment management. Design/methodology/approach – This study uses data and software that would be readily available to typical SMIF students to develop both an asset‐allocation model and a security‐selection model that can be described as a long‐flat (or synthetic protective put) equity strategy with a momentum‐based style‐rotation overlay. Findings – Over the time period since the requisite style‐based ETFs began trading, the composite strategy would have outperformed the S&P 500 index during both market downturns and market upturns, providing better than market returns at lower than market levels of risk. Originality/value – The key innovation of this paper is the development of a quantitative investment strategy tailored specifically to meet both the educational and the portfolio management needs of SMIF students; a secondary innovation is the demonstration of the efficacy of a style‐rotation strategy, in contrast to the more typical sector/industry‐rotation type of strategy.

Journal

Managerial Finance – Emerald Publishing

Published: Jun 14, 2011

Keywords: Student‐managed investment fund; Quantitative investment management; Long‐flat strategy; Style‐rotation strategy; Students; Investment funds; Quantitative methods

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