ASAM 2019-2020 Syllabus

FEMBA 457: Fieldwork in Investment Management

Ivo Welch

March 30, 2019

ASAM is a 10-unit course which requires continual commitment for six quarters in order to meet GAP and AMR requirements. (The exact distribution of credit units over quarters will be determined by the registrar.) Students organize into four teams to manage real money in the Anderson Student Asset Management (ASAM) Fellowship.

This year, the class meeting time was every Monday, 6:30-9:30pm. I (the instructor Ivo Welch) am flexible in moving the class to a different time slot from Fall to Spring by majority consent of the enrolled students (preceding Spring quarter). In particular, we are considering 7:00pm-10pm starting Sep 2019.

The class uses google groups for 2019 and 2020 to communicate even when not meeting.


All students should send the instructor a 1-page biography at the outset of the course.

All Students

Asam Roles

Each team nominates one of its members to hold class-wide office. The team representatives will be elected each into one of the following four positions by the entire class, in this order:

  1. President
    responsible for the agenda and the annual report. keeps attendance records.
  2. VP External
    responsible for guest speakers and coordinating company visits.
  3. VP Internal
    responsible for recruiting coordination, website. Also functions as corporate secretary.
  4. VP Finance
    responsible for 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 the president for the 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. also coordinates with VP Finance for entire class.
  3. Team Operations
    organizes team site visits and joins with the other team operation chiefs on social events and recruitment. Also coordinates with class’s VP External and VP Internal.

All team members must participate in the development of their strategies.

All members must give class presentations both about their strategy and about team progress on a quarterly basis.

All team members must assist with the broader roles required of the team and ASAM officers.


My office hours are before and after class meetings. (Check with me. I may go for dinner at Ackerman and ask you to join me instead of meeting in my office.) Each team should arrange to meet privately with me at least once per quarter. I want to get to know each student and understand the group dynamics. My contact info is

  1. 206-3849

My role is primarily as a coach and not as an officer (much less as an executive or an enforcer) in this course. I am here to help, although I can also cut bad players. And I am assigning grades. But I am not running the show.

Attendance And Absence Policy

The two mandatory fixed-time attendance categories are

Absence Policy: Students can be absent for four sessions without grade penalty. They are expected to take advantage of this absence policy only when they really need to be absent. For every two absences above these four sessions, the grade will be reduced by 0.333 (e.g., from an A to an A-). Miss 7 classes, and the highest grade possible is an A-. Miss 9 classes, and the highest grade possible is a B+.

Regular but not time-fixed mandatory attendance is


ASAM investment strategies must be primarily quantitative and back-tested by the students. However, they need not be novel. They can be based on strategies that have already been reported in the academic literature.

Investment Constraints

My predecessor, Mark Grinblatt, tried to find out our exact fund sources and investment covenants. Alas, these seem to have been lost in the mists of time.

At the moment, we know that ASAM can invest long in equities.

ASAM has never shorted stocks or traded derivatives.

If there is interest:

Trading in pink-sheet or other esoteric and/or illiquid securities is not permitted.


Trading activity has to be approved by the instructor. Please be aware of trading costs—not just brokerage fees.

Important Questions To Contemplate:

We can also try again whether we can do the following:

Readings And Assignments

Academic Readings With Writeup

Most reading will need to take place in the first two quarters of this course. The instructor may assign more miscellaneous readings from the research literature (and/or textbooks) from time to time.

The first writing assignment, 5-10 pages, is to summarize and analyze one read academic paper due by December 4. It is due at the end of Fall Quarter (December). Students should also be prepared to present this to the class.



  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.


  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.


Anderson does not want to turn students into professional programmers. However, we do want every student to have basic programming skills. This means every student must have the ability to read computer code, write small code snippets, and make small changes. These skills are important not just for finance, but for many tasks and goals that students will encounter during their professional careers.

Students need to divide into programmers and non-programmers. In the first quarter, programmers will have an easier life than non-programmers:

The instructor is not a resource for writing and diagnosing code.

The recommended computer languages are all free: python, R, and possibly Julia. It is easiest if the class agrees on one language.

In addition to self-programming, I would also like students to check out and other useful online tools. At the end of the first (Spring) quarter, each student should have written up a 1-2 page summary of what they have found useful. This will be shared with all other students. Let’s see who writes the best list of pointers.

Company Visits

Oral Presentations

Asam Annual Report



Year 1 Spring (Old Cohort: 18:30-21:00; New Cohort: 19:00-21:30)

This quarter is dedicated to facilitating a coordinated handover from the outgoing cohort to the incoming cohort, to planning of the class, to teaching/learning programming (Python or R), to data (CRSP and Compustat) expertise acquisition, and the basic theory of portfolio strategies.

Months Focus

Download all CRSP and Compustat. Familiarize yourself with special codes (eg. missing), data content, organization, etc. Write some tests (e.g., all returns > -1.0).
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.

Typical schedule is:

S1 Syllabus and Methods. Goals. Matching tentative incoming teams to outgoing teams
S2 Guest speaker. Transition meetings (Teams, officers, etc.)
S3 Python or R. CRSP, Compustat. Transition meetings
S4 Fama-Macbeth. Transition meetings
S5 Fama-French. Alpha. Elections. Final Team Arrangements
S6 Other Finance Prep. Annual Report Due
S7 Teams 1 and 2 present strategy. Discuss possible future strategies
S8 Guest Speaker.
S9 Teams 3 and 4 present strategy. Evaluations due from both outgoing and incoming class

Year 1 Summer (Not In Residence)

By popular demand, the class does not meet physically during the summer months unless we have at least 2/3 of the class available for an August session. Every student is required to check the google groups every other day.

This quarter is dedicated to data programming, academic literature reading, all with coordination and engagement via our google group.

Students must check the google group site at random intervals (think drug-testing); and (b) hand in required homeworks and milestones. At the beginning of Fall quarter, we will have a short quiz to confirm that each student put in the requisite effort during the summer. Students who are not full participants throughout the course, including the summer, will be dropped.

Months Focus

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.
Write programs to investigate your own trading strategies, and investigate buy-and-hold performance. Required group reports by Aug 15..
learn how to use Fama-French time-series techniques to evaluate the performance of a portfolio.
learn how to use Fama-Macbeth cross-sectional techniques to evaluate the viability of a signal

In addition, read more papers and start discussing what strategies to pursue.

Year 1 Fall (TBD or 18:30-21:00):

This quarter is dedicated primarily to the selection of the investment strategies.

Months Focus

First (and more) strategies considered and analyzed.
Strategy settled. Transaction cost assessments.
Optimal inception time determination—pre Jan 1? at Jan 1? Jan 7?

Around December-January (depending on back tests): Strategy switchover.

Typical schedule is:

S1 Teams meet: Develop the strategy
S2 Teams meet: Instructor meets with strategy heads
S3 Teams meet: Develop the strategy
S4 Teams meet: Develop the strategy
S5 Guest Speaker
S6 Teams meet: prepare to launch trades
S7 Teams meet and discuss initial trades with full class.
S8 Guest Speaker
S9 Team 1 & 2 present.
S10 Teams 3 & 4 present. Plan recruiting. Fall major paper due.

Year 1 Winter (TBD or 18:30-21:00):

This quarter is dedicated to analysis of running strategies and plans for the next incoming class.

Months Focus

Strategy is running
Execution and Transaction cost analysis. Analysis of events.
First Risk and Attribution Analysis. Market Hedge?

Typical schedule is:

S1 Guest Speaker
S3 Teams 1 & 2 present. Mixer for Recruiting
S4 Teams 3 & 4 present
S5 Guest Speaker.
S6 Select 2019-20 class
S8 Welch meets with teams
S9 Guest Speaker
S10 Teams Meet. Preliminary assignment of incoming to outgoing teams

Year 2 Spring (TBD or 18:30-21:00):

Months Focus

Second Risk and Attribution Analysis. Event Analysis. Rebalance?
Monitoring portfolio. Evaluating lessons learned.

Ideally, one non-graduating student from each group tries to remain available and in contact over the summer and fall.

Typical schedule is:

S1 Discuss syllabus and methods. New class welcome mixer. Match incoming with outgoing teams
S2 Guest speaker. Transition meetings between old and new class.
S3 Transition meetings between old and new class
S4 Transition meetings between old and new class
S5 Officer elections. Spring major paper Due.
S6 Teams 1 & 2 present strategy.
S7 Guest Speaker. Annual Report Due.
S8 Teams 3 & 4 present strategy.