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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.

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.

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.

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.

The student-managed investment fund (SMIF) program at California State University, Long Beach (CSULB), was launched in 1995 with one portfolio worth $50,000. In the two decades since then, the program has grown to include three portfolios with a combined value of more than $700,000, managed on behalf of three different clients. The purpose of this paper is to describe the creation, evolution and growth of the program including the development of the new quantitative approach and its subsequent implementation. The paper also discusses the ongoing organizational, educational and investment-management challenges associated with the program.

The paper includes a description of the development and evolution of the program along with a discussion of the investment results for one of its three portfolios.

The paper finds: the new quantitative approach implemented in the program is effective as insurance against “black swan” events; and SMIF-type programs can provide learning experiences both for students and faculty members.

The paper explains the practical application of the new quantitative approach as well as the educational benefits of a SMIF-type program.

The paper provides insight into the structure of CSULB’s SMIF program and discusses a unique quantitative approach to asset allocation and security selection.

In recent years, student-managed investment funds (SMIFs), experiential learning programs at an increasing number of universities, have attracted significant scholarly interest. In this article, we review the academic literature on this pedagogy.

We use the systematic review method to assess a sample of 85 articles published in 30 journals during the period 1975 to 2020.

Our literature review reveals four streams of research: best practices and challenges, investment management, innovation and trends and SMIFs in a research setting. We also propose future research directions, including specific gaps in the literature, a focus on innovations to traditional programs, systematic investment performance and expansion into behavioral finance issues.

We contribute a comprehensive view of the body of scholarship on SMIFs, identifying existing streams of research and future research directions that will help guide the development of SMIF research into a cohesive and productive space.

Market-based value style equity portfolios do not systematically outperform market-based growth style equity portfolios, despite considerable academic research that suggests that they should. This is an unresolved puzzle in the long lineage of work on this topic. The purpose of this paper is to question whether portfolio constituency rules employed by active growth and value equity investment managers might explain this puzzle.

The authors use the traditional research design and methodology of Fama and French (1993) to ensure comparability of results to prior research. Further, the authors adapt the return decomposition method of Keim (1999) to specifically answer the question in the research.

The authors find that restrictive constituency rules that omit the smallest, most illiquid stocks improve the performance of both value and growth stock portfolios. However, the authors find the impact of constituency rule restrictions on portfolio returns to be asymmetric with respect to value and growth in the small-cap investment space. Growth portfolios benefit from these changes more than value portfolios. Consistent with prior research, the authors find that value and growth style portfolios constructed from more liquid equities to be void of a statistically significant value-minus-growth return premium. The authors suggest these results might go a long way in explaining why market-based growth fund returns generally equal those of their value fund counterparts over time.

The research question central to the research, the value equity premium, has been investigated by researchers around the world over the last 20 years. The 20 year lineage of global published research on the value equity premium does, however, contain several unresolved questions. The paper specifically asks why the premium, long observed in global equity market returns, does not appear in market-based passive or active equity portfolios. This puzzle exists at the heart of the origins of the return premium itself and has serious implications for investment practitioners. If the matter cannot be reconciled, then market participants might rightly view the entire 20 year lineage of published research as irrelevant. The paper is one of few that has now extended the long lineage of research to its application in real markets.

This study aims to analyze the returns obtained from companies with strong growth potential (growth stocks) and the returns from companies with quite low stock prices, but with high value (value stocks).

The sample comprises monthly data, from January 2002 to December 2016, from seven countries, Germany, France, Switzerland, the UK, Portugal, the USA and Japan. The authors have used linear regression models for three different periods, the pre-crisis, subprime crisis and post-crisis period.

The results point out that the performance of value and growth stocks differs from different periods surrounding the global financial crisis. In fact, for six countries, value stocks outperformed growth stocks in the period that precedes the subprime crisis and during the crisis, this tendency remained only for France, Portugal and Japan. This trend changed in the period following the crisis. The results also show that investor sentiment has a robust significance in value and growth stock returns, mostly in the period before the crisis, highlighting that the investor sentiment is more significant in the moments that the value stocks outperformed.

As far as the authors know, this is the first work that, taking into account the future research lines of Capaul et al. (1993), investigates whether the results obtained by those authors remain current, meeting the authors’ challenge and covering the gap of recent studies on the performance of value and growth stocks. Besides, the authors have introduced a new country, heavily punished by both the global financial crisis and the sovereign debt crisis to understand whether there are significant differences in investment styles and whether this is related to the different economies. Also, in this context, the authors were pioneers in adding investor sentiment as an exogenous variable in the influence of stock returns.

The purpose of this paper is to present a review of the student managed investment fund at the School of Business, University of Connecticut.

The authors trace the history and growth of the fund and identify the special features and dimensions that have contributed to its success.

The operation of the fund is a constantly evolving program and the authors discuss the important changes and improvements made in the program since its inception in the early 2000s in response to growth in the number of finance majors, new career opportunities in the field of investments and most importantly, the strength of capital markets and the development of new instruments in the capital markets. The authors also discuss the common features of over 300 student funds in the USA. The authors close with a discussion of the limitations and constraints the fund advisors at, and possibly, at other schools, face in the management and administration of the fund, and also what developments and adjustments the authors expect to see in these funds in the future.

The authors combine extensive analyses of fund history and performance. The authors also provide some suggestions for the future direction and priorities for student funds.

Investment markets are becoming less rather than more efficient. The author argues that this is because qualitative analysis depends on individuals who are not objective but rely on value judgements which are sometimes successful and sometimes not. The results also depend on the particular individuals remaining within the organisation. The alternative is quantitative value management, which depends far more on independent number‐crunching and computer analysis.

Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.

This study aims to compare the fundamental indexation (FI) portfolio vis-à-vis the cap-weighted index (CWI). It also explored the return-generating attributes of the FI portfolios.

This study extracted relevant data from the Centre for Monitoring Indian Economy’s Prowess database from March 1996 to March 2017 from a sample of National Stock Exchange (NSE) 500 companies. The FI portfolios were constructed with First_50 and Next_50 stocks using the latest and five years of trailing average aggregations. Further, the regression technique was used to identify the return-generating attributes of FI portfolios.

It was found that the FI portfolios based on First_50 and Next_50 stocks outperformed the CWI (i.e. NSE_First_50 and NSE_Next_50) in the Indian capital market, and between the two, the FI portfolios based on Next_50 stocks were superior to the FI portfolios based on First_50 stocks. The cross-sectional superiority of FI portfolios is obvious if they are sorted according to four fundamentals, namely, total income, sales, operating cash flows and profit before depreciation interest tax and amortisation. The return-generating process of FI portfolios is well-explained by market premium followed by value premium and investment premium.

This study may enable portfolio managers and investors to measure FI portfolios’ superiority in the Indian capital market and identify the return-generating attributes of FI portfolios so that the loadings can be switched amongst different priced factors for higher yield. Further, this study extends the FI literature, providing evidence from one of the world’s fastest-growing economies.

To the best of the knowledge, this is amongst the first few studies to explore the performance of FI portfolios vis-à-vis CWIs in India, and to use Fama and French (2015) asset pricing models to understand the return-generating attributes of FI portfolios. It is also novel in the sense that it considers the FI portfolios for a longer duration, predating 1997 and coinciding with the inception of CWIs, namely, NSE_First_50 (inception: 1995) and NSE_Next_50 (inception: 1996), reducing the apprehensions of data-snooping biases.

Although it has often been studied in finance research, the relationship between dividend yields and stock returns remains an unresolved issue, especially in the Korean stock market. When firms continue to pay non-decreasing dividends for three or five years, they may establish a dividend reputation, which could affect this relationship. The author found firms that pay more dividends, larger firms, older firms, more profitable firms, less leveraged firms, firms with less volatile returns, firms with foreign holdings of more than 5%, and firms with more concentrated ownership build dividend reputations. The author also found that the relationship between dividend yields and future stock returns depends on a firm’s dividend reputation. The evidence shows that when firms with higher yields have dividend reputations, they produce higher future returns, whereas there is no significant relationship between yields and returns for firms with no reputation. These results are inconsistent with the findings of studies that use developed market data. In addition, when larger firms with higher growth potential and firms with less concentrated ownership have dividend reputations, future returns are higher.