The class in its current form was pioneered by Mark Grinblatt over the last few years. We will closely follow his excellent course design. Note that my first year will also be a learning experience for me. Some differences:

  • I will permit modest slow market timing with the use of an S&P500 futures overlay, not to exceed half of the portfolio's value and only used to hedge against market downturns, and with turnover no more than once a month.
  • If desired, I will permit $100,000 to be used for an earnings-announcement related trading strategy, with up to one trade per week. This needs to be carefully researched, for recent behavior, past behavior, and trading costs. This team needs to maintain approval not only from the instructor but also from the other teams.
  • I would like students not only to learn basic computer programming, but also check out
  • Summer is turning into a hybrid-style course, because of summer internships.


This 10-unit course requires continual commitment from April 2018 to June 2019 to meet GAP and AMR requirements. The exact distribution of credit units over quarters will be determined by the registrar and the faculty executive committee. Students in up to four teams will manage real money in the Anderson Student Asset Management (ASAM) Fellowship with quantitative portfolio investment strategies discovered in the academic literature and back-tested by students. The prior class (i.e. 2017-8 class) will present its four strategies used to manage funds in the 2017-18 academic years, as well as four new strategies that could be considered by the new 2018-9 class. Students in four teams will have to select a strategy by the end of May, and begin implementing the strategy by November 2017. To achieve implementation, students will have to meet frequently outside of class, consult with the instructor, be self-motivated and independently be able to resolve issues that hinder progress in implementing successful portfolio strategies. The class is partly student run and requires students with exceptional maturity and responsibility.


To enhance the real-world experience, each month will feature at least one non-student speaker, either from the faculty or from the investment management community. Each team will make at least two site visits to portfolio management houses, as well as one fall oral presentation, one winter oral presentation, and two spring oral presentations to the entire class. One spring presentation is a wrap up at the annual dinner; the other spring presentation is on the merits of a new strategy for the benefit of the incoming class. Each student will write up a 1-page summary, reviewing each site visit made within one week of the site visit, submit it to the professor, and the visiting group will present a 5-minute oral synopsis of the review to the class at a time determined by the ASAM president. Individuals may swap positions for site visits with members of another team provided it is OK'd in advance by the professor. All teams will participate in the write up of ASAM's annual report.


The instructor will assign miscellaneous readings from the research literature and textbooks from time to time. Most of this will take place over the summer and early fall. Students will be assigned to write two 5-10 page papers, one due by December 4 and the other by April 30. The Fall written assignment will be a summary and analysis of one of the assigned readings. The spring assignment will be a summary and analysis of the message of each guest speaker seen in person (excluding the May 2019 speakers).

Students who need training in programming should talk to the instructor in April on how to get such training. Such students should spend part of the summer learning a programming language (not Excel) that will facilitate investigation of large data sets, like CRSP and Compustat. Basic (not advanced) programming skills are an important part of this course. Any student with some dabbling programming background (such as Excel) can learn the necessary skills within about 3 days. Students without any background may need 1-2 weeks. These skills are not limited to financial portfolio analysis, but will help in all sorts of other processing tasks in life.

There are many Internet and within-UCLA resources to help students acquire programming skills. I like codeacademy, but other resources may be even better. Moreover, at least one of the teammates will already have some programming skills and should be of help. The instructor is not a resource for writing and diagnosing code.

The recommended computer languages are all free: python, R, and possibly Julia.


Enrollment is at the permission of the instructor and based on applications and interviews that take place in early winter preceding the start of the class. They will also involve students from the current year's class. Applicants must have a strong finance background and quantitative skills. Programming skills are highly encouraged. Students who are not full participants throughout the course will be dropped.


Mon 6:30-9:30. Students may not schedule another class at the same time.


Mon, 17:00-18:30 by (easy) appointment, and any time after class. (Check with me. I may go for dinner at Ackerman. I may ask you to join me for dinner.) Each team should arrange to meet privately with the instructor at least once per quarter.


Phone: (310) 206-3849 Email:


Our google group.

By popular demand, the summer meetings for June and July are cancelled in favor of [a] participation checks on the google group site at random intervals (think drug-testing); and [b] homeworks and milestones. There will be one meeting on August 20.

The google group participation will be particularly important if the market conditions warrant it, and are at the discretion of the instructor and of the ASAM class president.

Every student is required to check the google groups every other way.


Mandatory every Mon (optional during university holidays and finals week), as well as at 2 firm visits (field trips) per team (usually 1 fall and 1 winter) to various portfolio management houses. The optional NY City, Omaha (Buffett), and SF trips, if they take place, do not count toward this requirement. Students are expected to meet with their teams on Mon/wed indicated below as ``team meeting,'' even when team meeting is the only agenda. Students will also have to attend virtual and in-person meetings outside of class with their team members on an as-needed basis. If you are going to miss class for whatever reason, please notify me by e-mail beforehand. Students who miss more than one class per each of the 4 quarters should expect their grades to be severely penalized or be dropped from the class. There will be one apitional floating absence that can be applied to any of the four quarters.


Each team will have one of four class-wide officers, nominated by the team and the team rep will be elected to one of the following four positions by the entire class in this order:

  1. President: agenda, annual report
  2. VP External: guest speaker/firm visit coordinator
  3. VP Internal: recruiting coordinator, website, functions as corporate secretary
  4. VP Finance: budget, performance attribution, and overall risk management

The remaining three team members will have the following responsibilities as team officers:

  1. Team Strategy lead/CIO. Coordinates with President for entire class.
  2. Team Strategist/Risk Manager: provides market updates on a rotating basis with members of other teams sharing this role. This is the team's chief of performance reporting, evaluation, and risk management. Coordinates with VP Finance for entire class.
  3. Team Operations: organize team site visits, and join with the other team's operation chiefs on social events, recruitment. Coordinates with class's VP External and VP Internal.
All team members will participate in the development and give presentations both about their strategy and about team progress to the class on a quarterly basis. All team members assist with the broader roles required of the team and ASAM officers.


At the instructor's discretion. It is based on evaluation of presentations, written output, team effort and quality, participation, peer evaluation (see below), and attendance (no exams).

The way grading works will be as follows: students enroll in 457A in Spring 2018 (no grade, 2 units), 457B in Fall 2018 (no grade, 2 units), 457C in Winter 2019 (no grade, 2 units), and 457D and 596 in Spring 2018 (2+2 units). The grades will appear for 457D and 596. In total, students will receive 10 course credits and have fulfilld the AMR requirement.


Students enjoy a lot of independence in this course. This makes it difficult for the instructor to monitor free-riding. The learning experience collapses for all when there is ``free-riding'' by any team member. It is everyone's duty to prevent this. At the end of the quarter, all class members will be required to complete a confidential ``peer evaluation form'' in which each team member assesses the relative performance of the other participants in the team project described above. There will also be assessment of class officers. 2019 class members will also rate mentors from the 2018 class based on mentorship. The 2019 class will be similarly rated by the 2018 class.


Most site visits should be in the SoCal area. However, there may be visits to SF/NY, depending on availability. There also may be an opportunity for some but not all or even the majority of students to visit with Warren Buffett, usually in January, at their own expense.

  • Protocol: Business formal attire. Arrive 30 minutes early and be prepared to ask intelligent questions showing that you have done your research about the firm. Students are in effect representing UCLA Anderson during the visits.


Please sit in the first two rows with name plates. Be prepared to ask questions of outside/inside speakers. Again, do your homework because you represent UCLA to important people.


All trades have to be cleared with the instructor. Trades in illiquid securities are not permitted. Control trading costs.


To avoid multiple requests of the same speaker, please clear all speaking invitations with external relations (Al Osborne or Valerie Myers), the dean's office, and/or the Fink Center.


Spring 2018 (attended by 2017-8 & 2018-9 class) from 19:00-21:30:

4/02 Grinblatt/Welch discusses syllabus and methods. New class welcome mixer. Assignment of 2018-9 teams by 2017-8 class.
4/09 Guest speaker. Transition meetings between old and new class.
4/16 Transition meetings between old and new class
4/23 Transition meetings between old and new class
4/30 2018-9 class finalizes new teams for 2018-9 class if necessary. Elections.
5/07 Teams 1 and 2 present new strategy.
5/14 Guest Speaker. Annual Report Due.
5/21 Teams 3 and 4 present new strategy.
5/28 NO CLASS, Evaluations due from both outgoing and incoming class


Key Work Assignments

During summer, our class is primarily a hybrid on-line class.

April 2018
Download all CRSP and Compustat. Familiarize yourself with special codes (eg. missing), data content, organization, etc.
May 2018
Become a comfortable programmer in Python. (I have not tried the following, but I hear they come recommended: Codeacademy Python; Bootcamp, Coursera.) Read and write CRSP and Compustat data sets into Python, and design "unit tests." Calculate Means, Variances, and Market Betas.
June 2018
Write programs to investigate a first trading strategy. Homework: Start with a "BV/MV" strategy. Assume six months lagged availabilty. Calculate only the simpler arithmetic performance. Plot the average monthly performance based on 100 / 500 / 1000 largest stocks only. Consider time-series and subsets: last 10 years, last 30 years, last 60 years, and compare to market rate of return. Required individual report by July 7.
July 2018
Write programs to investigate your own trading strategies, and investigate buy-and-hold performance. Required group reports by Aug 15..
August-September 2018
Discuss what strategies to pursue. Transaction Cost Assessments.


  • Should we build a site to calculate the portfolio value automatically every day, using Intrinio data?
  • How much should we worry about transaction costs? How good is our execution?
  • If we had been taxable, how would our strategy differ?
  • How well do our strategies follow what we expected of it given the backtests we ran to select them?
  • Should each group reduce its own risk?
  • How good is across-industry vs. across-size diversification? (How strongly correlated are stocks in the same XXX?)
  • Consider: Should we care about average rates of return or compound rates of return?
  • What are our institutional trading permissions? Can we short futures? Is Wedbush a good broker for us?
  • Should we hedge market risk (modestly)?
  • Should we invest cash? High-dividend stocks? Low-Leverage and Low-Leverage Increasing Stocks? Should we try to trade around earnings announcement (or avoid them)?


(Write-Ups Due at the End of Fall Quarter).

You may find it useful to read over my (free) corporate Finance textbook on the web, because its first half are mostly chapters of direct relevance to this course, such as those about perfect markets, efficient markets, risk and return, benchmarking, etc.

  1. Does Academic Research Destroy Stock Return Predictability? R. David McLean and Jeffrey Pontiff, January 2016 The Journal of Finance.
  2. ...and the Cross-Section of Expected Returns, Campbell Harvey, Yang Liu, and Hequing Zhu, Review of Financial Studies, 2016, 29:1 (January): 5-68. Focus on Table 1.
  3. Fama and French, 2015, A five-factor asset pricing model.
  4. Lewellen, 2015. The Cross-section of Expected Stock Returns.
  5. Welch, 2017, Leverage- and Cash-Based Tests of Risk and Reward with Improved Identification.

I will probably keep some and change other of the following readings:

  1. Mean-Variance Analysis: There are many reasonable sources. You need only free items. Examples: Chapter 5, Grinblatt and Titman. Ivo Welch bookg were my notes for an investments text book that I ended up not writing. CorpFin Ch 8. Bodie, Kane, Marcus are good, too. Please, do not believe the CAPM. The only parts that matter are mean-variance efficiency. (To estimate market-betas, look at this.
  2. Factor Models: See Grinblatt-Titman Ch 6 and/or Bodie-Kane-Marcus.
  3. Style and Skill: Hedge Funds, Mutual Funds, and Momentum, by Mark Grinblatt, Gergana Jostova, Lubomir Petrasek, Alexander Philipov. 2017.
  4. Fama-French: Luck vs. Skill in Mutual Fund Performance.

I have not yet read and made up my mind on the following.

  1. How to Evaluate a Portfolio Manager, Mark Grinblatt, 1986/1987, Financial Markets and Portfolio Management, 1, No. 2, pp. 9-20.

Fall 2018 18:30-21:00

10/01 Teams meet: Develop the strategy
10/08 Teams meet: Welch meets with strategy heads
10/15 Teams meet: Develop the strategy
10/22 Teams meet: Develop the strategy
10/29 Guest Speaker
11/05 Teams meet: prepare to launch trades
11/12 Teams meet and discuss initial trades with full class. Execution this week.
11/19 Guest Speaker
11/26 Team 1 &2 present.
12/03 Teams 3 & 4 present. Plan recruiting. Fall major paper due.

Winter 2019 18:30-21:00

1/07 Guest Speaker
1/21 Teams 1&2 Present, Mixer for Recruiting
1/28 Teams 3 and 4 present
2/04 Guest Speaker.
2/11 Select 2019-20 class
2/25 Welch meets with strategy heads
3/04 Guest Speaker
3/11 Teams Meet. Preliminary assignment of 2019-20 teams by 2018-9 class.

Spring 2019 (attended by 2018-9 & 2019-20 class) 18:30-21:00

4/01 Discusses syllabus and methodologies. New class welcome mixer. Revise Assignment of 2019-20 teams by 2018-9 class if necessary
4/08 Guest speaker. Transition meetings between old and new class.
4/15 Transition meetings between old and new class
4/22 Transition meetings between old and new class
4/29 Officer elections. Spring major paper due.
5/06 Teams 1 and 2 present new strategy.
5/13 Guest Speaker. Annual Report Due.
5/20 Teams 3 and 4 present new strategy.