FIN 4600: Portfolio Management
FIN 4600: Portfolio Management |
|||||||
|
|
|
|
|
|
|
|
This is the home page for FIN 4600: Securities Analysis and Portfolio Management. I will be posting occasional news and trading results on this page, so check it frequently.
2 May 2005 - The winners of this semester's Stock-Trak contest are....
Place |
Name |
Bonus Points |
1 |
Kristin Ohmart | 5 |
2 |
Curt Quint | 4 |
3 |
Troy Klasse | 3 |
4 (tie) |
Benjamin Douglas, Anthony Pacenta | 1.5 each |
Stock-Trak Rules (PDF version)
The Stock-Trak, Inc. Home Page
Stock-Trak Write-up Guidelines
FIN 3600 Links - This Web page is designed for my FIN 3600 classes, but you will find the links useful.
Microsoft's Excel Viewer - This will be useful to those without a copy of Excel who wish to view the spreadsheet files here.
Note: to download any of these files you should click on the link and then choose to "Save to Disk" if you receive a message from your browser. You may find that the file opens automatically if you have Excel 97 or later on your PC.
If you need to use a prior version of Excel, open the spreadsheet in Excel 2002 (in the lab) and then choose File Save As and select the appropriate format.
Asset Allocation Questionnaire - This Excel workbook presents you with a questionnaire (15 questions) designed to gauge your risk tolerance. After answering the questions, you can get a report with a suggested asset allocation. Please let me know if you have problems using it. You mght also look at the Java asset allocators at SmartMoney.com and Dinkytown.net.
Sample Risk and Return Calculations - This worksheet shows returns from several mutual over a 6-year period, and the various risk/return calculations that we have discussed in class. You should use these data to calculate (by hand!) these measures as practice for the exam.
Efficient Frontier as the Correlation Changes - This workbook shows, graphically, how the risk/return tradeoff improves as the correlation declines.
Fama's Return Decomposition - This is the spreadsheet that will be used to analyze the performance of your Stock-Trak portfolios.
Calculating Betas in Excel Using Stock Prices From the Web - This file demonstrates how to calculate betas using stock prices obtained from a Web site. It shows how to calculate the monthly returns, the beta, and how to chart the Characteristic Line.
Target Beta Spreadsheet - This worksheet demonstrates how to use the Solver in Excel to find a set of weights which will make your portfolio beta equal to the target beta. You will have to alter the worksheet for your own portfolio. Instructions are given at the top of the worksheet.
Beta Step-by-Step - This Excel worksheet shows the steps needed to calculate beta by hand. This method is not the one you would use to calculate betas in a spreadsheet (for that see Betacalc.xls).
Calculating Adjusted Betas - This Excel worksheet shows how to calculate adjusted betas like Value Line and Merrill Lynch.
Betacalc.xls - This Excel worksheet demonstrates how to calculate betas in Excel.
Leveraged Portfolio Betas - This worksheet shows how the portfolio beta varies with the amount of margin that you use.
FameFncs.xls - This is a set of macros from Financial Analysis with Microsoft Excel. You may occasionally find them useful.
Risk Arbitrage - This spreadsheet takes you step by step the calculation of the gain on a risk arbitrage. I use data from the VRSN/NSOL deal that was announced on 7 March 2000. This file is now updated to cover the changing premium over a 24 hour period.
Practice Risk and Return Calculations -- This file contains monthly data on the S&P 500 and four other stocks as well as calculations of various risk and return measures. I know that its tedious to do some of these calculations by hand, but you should at least try a few of them.
Performance Evaluation - This PowerPoint file covers the risk-adjusted performance measures we will discuss in class. Here's the additive attribution model Excel file that is illustrated in this PowerPoint file. Here is an Excel worksheet that provides some practice for calculating risk-adjusted performance measures.
Efficient Frontiers - This Excel file contains the efficient frontier data and results that we used in class. You will also need to have FameFncs.xls to calculate the expected returns and standard deviation of the portfolios.
Coin Toss Stock Charts - This workbook uses a "coin toss" metaphor for creating randomly generated stock price charts. It is meant primarily to show that the same patterns (trends, head and shoulders, etc.) that can be seen in real charts can also be seen in simple randomly generated data. Does it prove that markets are efficient? Of course not, but it should make technical analysts think twice.
Weak Form Efficiency Tests - This file contains a few weak form market efficiency tests on daily and weekly data.
Unit Value (NAV) Method - This Excel file shows how to properly calculate your portfolio return when there are cash additions and withdrawals.
Bond Valuation Notes - These notes are for Chapter 12 in your textbook. They cover bond valuation (on a payment date and between payment dates), term structure of interest rates (yield curve), duration, and convexity.
Duration and Convexity Calculator - This Excel worksheet demonstrates the calculation of duration and convexity. It also calculates the price change (for a selected yield change) predicted by duration and convexity (each and total). You can change all of the bond's features and see the results.