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
复制标题
学生管理投资基金管理的新定量方法
DOI：
10.1108/03074351111140261
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
R. Conceição
中科院分区：
文献类型：
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作者：
Peter Ammermann;L. R. Runyon;R. Conceição
目的-本研究的目的是制定一种投资策略，旨在使学生管理投资基金（SMIF）的学生能够在学年开始时更快地建立自己的投资组合，并让他们接触到投资管理的定量方法。设计/方法/方法-本研究使用典型SMIF学生可以随时获得的数据和软件来开发资产配置模型和证券选择模型，该模型可以被描述为具有基于动量的风格旋转叠加的长期扁平（或综合保护性看跌）股票策略。研究发现：自必要的基于风格的etf开始交易以来，复合策略的表现将优于标准普尔指数。与更典型的行业/行业轮换策略相比，第二项创新是风格轮换策略的有效性。
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 SP 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.