Administrative Aspects

Spring-1 Plan
  1. Handover (Receiver)
  2. Learn how to program (Python, perhaps R)
  3. *Mentor one another learning.*
  4. Some Speakers
  5. Role Selection
  6. Annual Meeting
Summer Plan
  1. Learn how to program (Python, perhaps R)
  2. Learn about and download finance equity data sets (CRSP, Compustat)
  3. *Mentor one another learning.*
Fall Plan
(Busiest Quarter * 2)

2023: Classroom is D310

Topics Covered

  1. Learn about portfolio formation and portfolio returns
  2. Learn about finance backtesting and performance evaluation methods (Fama-Macbeth; Black-Jensen-Scholes/Fama-French)
  3. Read about finance strategies
  4. Select, design, and backtest your own strategy
  5. Incept your strategy (around the turn of the calendar year)

Topics Covered In Class

Winter Plan
  1. Strategy Monitoring
  2. Evaluation
  3. Industry Speakers
  4. Selection of Next Year's Cohort (Successors)
  5. Maintenance and Improvement of ASAM website. (asamsiteplan.txt.)
Spring-2 Plan
  1. Transition Handover to Next Cohort
  2. Industry Speakers
  3. Final Report
  4. Annual Meeting

Projects for 2023-2024

I have decided to change the ASAM course project this year from those of years past, where each group decided on its own strategy to maximize a mean.

This year, each group will be asked to maximize the daily mean return of the portfolio minus the daily standard deviation of the portfolio, both annualized, with no less than 10 stocks and no more than 30 stocks.  (This is not the Sharpe ratio, which is the mean divided by the standard deviation.)  Because the standard deviation is a lot more predictable than the mean, this means a big aspect of your strategy will have to be minimizing the standard deviation of the rate of return on your portfolio.

For example, if the average daily rate of return is 0.1% and the average standard deviation is 1%, you first annualize this (255*0.1% and sqrt(255)*1%), and your score is 25.5 - 16.0 = 9.5 percent. This is your score.

Unlike in earlier years, I plan to give some extra grade weight (about 20%) to the group that performs the best on this metric.  So, this time, you have more at stake than just your money and your pride.

Of course, you are welcome to use any variables as information to achieve the best score possible.

Course Meetings

See occasional announcements on Bruinlearn.

Per vote, ASAM is henceforth meeting on Wednesdays, 7 pm to 10 pm. The classroom has not been set yet.

Course Pass

To pass this course, everyone will have to take and pass a simple python test. If you flunk, you can take a test again --- except that your costudents will have to write yet another test, so if you flunk 5 times, they will get pissed with you.

/teaching/asam/ Last modified: