FAME EXECUTIVE
COURSES IN FINANCE
Updated:
February 12, 2013
Professor Russ Wermers
Copyright 2013 R. Wermers
1. Powerpoint (these roughly correspond to daily coverage, but the coverage might be different in a given year; for example, "Day 1" and part of "Day 2" might be covered on the first day of a given class.
A. Day 1
Solving for the Efficient Frontier
Grinblatt and Titman "Performance Evaluation" Chapter
B. Day 2
Wermers (2006) "Performance Evaluation with Portfolio Holdings Infomration"
C. Day 3
Daniel, Naveen, Jeff Coles, and Federico Nardari (2004)
Jiang, George, Tong Yao, and Tong Yu (2007)
D. Day 4
Christopherson, Ferson, and Turner (1999)
E. Day 5
Carhart, Carpenter, Lynch, and Musto (2002)
Brown, Goetzmann, Ibbotson, and Ross (1992)
3. Portfolio Game (PEVA Version 4.0)
4. Portfolio Game (PEVA Version 5.0)
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Instructions for Assignment:
Objective: to better understand performance evaluation and attribution techniques by viewing them applied to a known investment strategy (yours!).
Deliverables: a Powerpoint presentation of 8 slides, maximum, due January 15th. You should bring your presentation on a USB drive, and be ready to present it to the class. 10 minutes maximum, and all group members should speak. Please, also, bring a hardcopy to be submitted to Professor Wermers just before your presentation.
Guidelines for presentation: you should roughly try to present information on the following. You can copy graphs or data from the program to help build the presentation, but the important point is to INTERPRET the results and explain why the performance evaluation measures are coming out the way they are. For instance, "The Jensen measure using the equal-weighted benchmark is positive, but the Jensen measure using the value-weighted benchmark is insignificantly different from zero for our strategy at the end of the game. We believe this is the case because our strategy was closer to value-weighted, and large-cap stocks outperformed small-cap stocks during the game. Thus, the equal-weighted benchmark exhibits Type 1 error by labeling us as 'skilled'."
A. What was your strategy--what types of stocks did you prefer? Did you short any stocks? How much?
B. How did you weight stocks with your strategy?
C. Is there any research paper that discusses your strategy? What does it say to expect from the strategy?
D. Present the results of the different performance measures on your portfolio. Discuss them, especially focusing on the INTERPRETATION.
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Game Passwords ('password' Protected [backwards])
4. "Performance Evaluation with Portfolio Holdings Information" (by Russ Wermers)