Spring-1 Plan
- Handover (Receiver)
- Learn how to program (Python, perhaps R)
- *Mentor one another learning.*
- Some Speakers
- Role Selection
- Annual Meeting
Summer Plan
- Learn how to program (Python, perhaps R)
- Learn about and download finance equity data sets (CRSP, Compustat)
- *Mentor one another learning.*
Fall Plan
(Busiest Quarter * 2)
(Busiest Quarter * 2)
2022: Classroom is D310
- Learn about portfolio formation and portfolio returns
- Learn about finance backtesting and performance evaluation methods (Fama-Macbeth; Black-Jensen-Scholes/Fama-French)
- Read about finance strategies
- Select, design, and backtest your own strategy
- Incept your strategy (around the turn of the calendar year)
Winter Plan
- Strategy Monitoring
- Evaluation
- Industry Speakers
- Selection of Successors
- PLUS ASAM website, based on some CMS (Drupal, WordPress, Joomla, MS). Login. Hosted elsewhere (for sequestered security and non-bureaucratic approvals)
- Public: Posting of Current Members, with CVs and (ideally) Picts. Ideally, member-controlled.
- Public: Short Posting of Bases for Current Investment Holdings
- Public: Posting of Current Investment Holdings, ideally with nightly and since-incept rates of returns, plus current value.
- Public: Posting of all Past Investment Reports
- Public: Posting of ASAM Application Process
- Public: Names of ASAM Alumni by Year
- Public: Names of Past Class Speakers by Year
- Public: Python Resources. Other useful Resources.
- Private (Log-In Only): External Speaker List, Upcoming
- Private (Log-In Only): Important URLs: Chats, GDrive, etc.
- Private (Log-In Only): Posting of Members by Year
- Private (Log-In Only): Long-Term Membership Directory (Alumni, etc.)
- Private (Log-In Only): Admin Access, Transfer to Next Class.
Spring-2 Plan
- Handover (Sender)
- Industry Speakers
- Final Report
- Annual Meeting
Earlier Slides
I will update the following slides as the quarter progresses and move them up.
Portfolio Updates and Reporting
Pfio Ret, (C) Ken French:
- annual: umd-ann.csv
> t(subset(d, d>1990)) yyyy 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 umd 14.56 3.47 23.72 3.14 18.07 6.39 11.5 23.14 35.18 15.37 4.44 25.69 -24.48 -0.42 14.81 yyyy 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 umd -7.84 22.06 13.56 -83.16 6.85 7.16 1.28 7.5 1.01 20.64 -21.38 4.62 9.74 -1.8 7.79 > iaw$summary(subset(d, d>1990)) nok pctna mean sd tstat 0% 10% 50% 90% pmost yyyy 30 -1 2005.50 8.803 1247.76 1991 1993.900 2005.50 2017.1 2020.00 umd 30 -1 5.42 21.001 1.41 -83.16 -9.194 7.33 23.2 35.18
- monthly: umd-mo.csv