To read the full version of this content please select one of the options below:

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

Peter A. Ammermann (Department of Finance, California State University, Long Beach, California, USA)
L.R. Runyon (Department of Finance, California State University, Long Beach, California, USA)
Reuben Conceicao (Department of Finance, California State University, Long Beach, California, USA)

Managerial Finance

ISSN: 0307-4358

Article publication date: 14 June 2011

8673

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.

Keywords

Citation

Ammermann, P.A., Runyon, L.R. and Conceicao, R. (2011), "A new quantitative approach for the management of a student‐managed investment fund", Managerial Finance, Vol. 37 No. 7, pp. 624-635. https://doi.org/10.1108/03074351111140261

Publisher

:

Emerald Group Publishing Limited

Copyright © 2011, Emerald Group Publishing Limited

Related articles