영문목차
Introduction=xi
Acknowledgments=xiii
About the Authors=xvii
Chapter 1. Investment Philosophy and Process=1
The Student-Managed Investment Fund as an Investment Management Firm=2
Investment Philosophy and Process=4
Investment Philosophy=6
Scope of an Investment Philosophy=6
Statement of Beliefs=7
Statement of Opportunities=7
Statement of Ability=8
Statement of Value=9
Examples of Investment Philosophy=10
Investment Process=14
Examples of Investment Process=20
Internal and External Uses of the Investment Philosophy and Process=23
Appendix A. Common Investment Strategy Classifications=30
Appendix B. The Role of Investment Philosophy in Evaluating Investment Managers : A Consultant's Perspective on Distinguishing Alpha from Noise=32
What Is an Investment Philosophy?=33
How Does Analysis of a Manager's Investment Philosophy Aid in Distinguishing Alpha from Noise?=34
Common Ways of Failing the Investment Philosophy Test=35
Uncommon Ways of Passing the Investment Philosophy Test=37
Concluding Thoughts : Implications for Managers and Consultants=38
Endnotes=39
References=40
Chapter 2. Organization=41
Organizational Structure=42
Oversight=44
Roles and Responsibilities=46
Student-Managed Investment Fund as a For-Credit Course or a Volunteer Student Organization=51
Challenges to a Student-Managed Investment Fund=56
Personnel Recruiting and Turnover=57
Academic Calendar=65
Fund Structure=67
Appendix : Operating Guidelines for Philip M. Dorr and Alumni Endowed Investment Fund=71
Baylor University―Hankamer School of Business=71
Chapter 3. Security Selection=77
Quantitative Analysis=79
Security Analysis=85
Company Analysis=86
A Good Company Versus a Good Investment=87
Valuation=88
Dividend Discount Model=88
Steps to Using the Multistage Dividend Discount Model=90
Discounted Cash Flow Model=93
Steps to Using the Multistage Discounted Cash Flow Model=94
Free Cash Flow to Equity Model=98
Steps to Using the Free Cash Flow to Equity Model=99
Valuation Using Earnings=99
Steps to Using the Earnings Model=100
Market Valuation Measures=100
Price-to-Earnings=101
Price-to-Sales=102
Price-to-Cash Flow=103
Security Analysis Application=104
Example : Texas Christian University's Educational Investment Fund=104
Valuation=104
Checks and Balances=106
DDM and FCFE Models : An Illustration=106
Potential Variations=109
Appendix : Cutting Through the Hype=112
The Role of Analysts=112
Resources and Bibliography=130
Chapter 4. Portfolio Construction=133
Portfolio Weights and Returns=134
Relative Returns and Active Weights=135
Expected Returns=142
Total Risk of a Portfolio=145
Tracking Error and Relative Risk=152
Tracking Error and Relative Risk Using Active Weights=159
Portfolio Optimization=161
Minimize Total Risk=162
Minimize Tracking Error=168
Maximize Sharpe Ratio=170
Maximize Information Ratio=172
Trading and Rebalancing=172
Practical Considerations=173
Chapter 5. Presentations=179
Internal Presentations=180
General Presentation Style and Delivery Guidelines=186
External Presentations=240
Chapter 6. Performance Evaluation=269
Performance Calculation=270
Performance Reporting=295
Performance Analysis=300
Performance Attribution=300
Performance Attribution Examples=304
Performance Attribution Commentary and Interpretation=307
Performance Attribution Complexities=312
Trading and Rebalancing Effects=312
Attribution over Multiple Periods=314
Geometric Attribution vs. Arithmetic Attribution=315
Returns-Based Performance Analysis=316
Single Factor Model=317
Average Returns in the Single Factor Model=318
Analysis of Portfolio Risk in the Single Factor Model=320
Multifactor Models=321
Fama-French 3-Factor Model=322
Style Analysis Using a Multifactor Returns Model=323
Example of Returns-Based Attribution Using the Fama-French 3-Factor Model=326
Beyond the Fama-French 3-Factor Model=332
Risk-Adjusted Return and Reward-to-Risk Measures=332
Transactions Cost Analysis=334
Chapter 7. Tools=337
Primary Data Sources=338
Other Information and Data Sources=344
Web Portals, Search Engines, and Business News=364
Brokers and Financial Service Providers=372
Index Providers=373
Licensed Services=373
Chapter 8. Forums, Symposiums, and Competitions=407
Texas Investment Portfolio Symposium (TIPS)=408
Overview=408
History=409
Portfolio Managers Finals Competition=412
The CFA Institute Global Investment Research Challenge=423
History and Growth of the CFA Institute Global Investment Research Challenge=423
Investment Research Challenge―Texas (2010-2011)=424
R.I.S.E. : Redefining Investment Strategy Education=425
TVA Investment Challenge=429
Overview=429
History=429
Structure=430
Investment Guidelines=431
University Investment Manager Guidelines=431
Trading Process=434
Performance=435
Performance Awards=435
Future=435
The Cornell-Fidelity MBA Stock Pitch Competition=436
What Happens at the MBA Stock Pitch Competition?=436
Chapter 9. The Present and Future of Student-Managed Portfolios=439
The Role of Security Trading Rooms in Business Schools=440
Why a Trading Room?=440
How to Develop These Rooms=441
Equipment and Data=442
The Impact of Trading Rooms on the Stakeholders=443
Summary and Conclusions=444
Student-Managed Investment Funds : An International Perspective=448
Previous Studies=449
The Survey=450
The Growth and Size of Programs=451
SMIFs Versus Professionally Managed Funds=454
Funding Sources and Organizational Structure=455
Student Participation=456
Faculty and Professional Involvement=457
Investment Activity=458
Comparisons of US and Foreign Funds=460
Benefits to the University Community=460
Recent Developments=461
Conclusion=464
References=464
Index=467