Intro -- Student-Managed Investment Funds: Organization, Policy, and Portfolio Management -- Copyright -- Contents -- Introduction to the second edition -- Acknowledgments to the second edition -- Acknowledgments to the first edition -- About the Author -- Brian R. Bruce -- Chapter 1: Investment philosophy and process -- The student-managed investment fund as an investment management firm -- Investment philosophy and process -- Investment philosophy -- Scope of an investment philosophy -- Statement of beliefs -- Statement of opportunities -- Statement of ability -- Statement of value -- Examples of investment philosophy -- Original research to build a differentiated view -- Stress test valuation based on key stock drivers -- Collaborative dialogue drives decisions -- Portfolio construction balances reward and risk -- Investment process -- Key elements of an investment process -- Initialization -- Methods -- Implementation -- Examples of investment process -- Internal and external uses of the investment philosophy and process -- Appendix A: Common investment strategy classifications -- Appendix B -- Chapter 2: Stock selection -- Quantitative analysis -- Security analysis -- Screening parameters include: -- Company analysis -- A good company versus a good investment -- Valuation -- Dividend Discount Model -- Steps to using the multistage Dividend Discount Model -- Discounted Cash Flow model -- Steps to using the multistage discounted cash flow model -- Free Cash Flow to Equity model -- Steps to using the Free Cash Flow to Equity model -- Valuation using earnings -- Steps to using the Earnings Model -- Market valuation measures -- Price-to-earnings -- Price-to-sales -- Price-to-cash flow -- Security analysis application -- Example: Texas Christian University's Educational Investment Fund -- Valuation -- Checks and balances.

DDM and FCFE models: An illustration -- Potential variations -- Financial statement analysis -- The income statement -- The balance sheet -- Statement of cash flows -- Ratio analysis -- Liquidity ratios -- Activity ratios -- Leverage ratios -- Profitability ratios -- Market-based ratios -- DuPont analysis -- Industry analysis -- Appendix A: Ranking stocks and Z-score -- Z-score -- Appendix B: Cutting through the hype -- The role of analysts -- Buy and sell recommendations -- The analyst cycle and the critical role of analysts -- The changing nature of analyst estimates -- Effect of pro-forma versus GAAP earnings on the investor -- Earnings surprise -- History -- Measurement issues -- Earning abnormal returns from earnings surprises -- Factors affecting the strength of the earnings surprise-stock return relationship -- Observed earnings distributions -- Summary -- Accruals versus cash flows -- Accounting numbers as a measure of performance -- Accruals are sometimes not so good -- Where to look -- Accruals and earnings behavior -- Chapter 3: Investing with exchange traded funds -- What is so special about ETFs? -- ETFs versus mutual funds -- ETF asset classes and expenses -- ETF risks -- The ETF student fund and the ̀̀top-dowń́ investment approach -- Stages of analysis in a top-down fund -- Analyzing the tentative ETF portfolio holdings -- Constraints and student issues with ETF funds -- Implementing a student managed ETF fund-A detailed example -- ETF fund structure -- Detailed examples of deliverable student work products -- Summary -- Chapter 4: Portfolio construction -- Asset allocation -- Asset class selection -- Asset allocation with mean-variance optimization -- Inputs to MVO -- Estimation of parameters -- Example of optimization -- Beyond mean-variance optimization -- Scenario approach -- Geometric expected return -- Risk measures.

Markowitz 2.0 optimization -- Example: Geometric expected return-CVaR optimization -- Manager allocation -- Manager structure optimization -- Example of manager structure optimization -- Risk budgeting -- Portfolio construction at the security level -- Portfolio weights and returns -- Active returns and active weights -- Expected returns -- Total risk of a portfolio -- Tracking error and relative risk -- Portfolio optimization -- Minimize total risk -- Minimize tracking error -- Maximize Sharpe Ratio -- Maximize Information Ratio -- Practical considerations -- Appendix: Tracking error and relative risk explained -- Chapter 5: Performance evaluation -- Performance calculation -- Time-weighted returns -- Dollar-weighted returns -- An example of performance reporting -- Portfolio and performance analysis -- Performance attribution -- Arithmetic attribution -- Geometric attribution -- Details of attribution calculations -- Performance attribution examples -- Performance attribution commentary and interpretation -- Performance attribution complexities -- Attribution over multiple periods -- Holdings-based style analysis -- Returns-based performance analysis -- Single factor model -- Average returns in the single factor model -- Analysis of portfolio risk in the single factor model -- Multifactor models -- Fama-French 3-factor model -- Example of returns-based attribution using the Fama-French 3-factor model -- Beyond the Fama-French 3-factor model -- Returns-based style analysis -- Example of returns-based style analysis -- Risk-adjusted return and reward-to-risk measures -- Limitations of performance analysis -- Chapter 6: Trading algorithms -- Investment cycle -- Asset allocation -- Portfolio construction -- Implementation -- Portfolio attribution -- Electronic and algorithmic trading -- What is electronic trading? -- What is algorithmic trading?.

Algorithm trading styles -- Types of trading algorithms -- Algorithmic slicing strategies -- Transaction costs -- Commissions -- Fees and rebates -- Spread cost -- Taxes -- Delay cost -- Price appreciation -- Market impact -- Timing risk -- Opportunity cost -- Types of implementation and execution -- Agency execution -- Capital commitment (principal bid) transaction -- Trading venues -- Exchange -- Alternative trading system (ATS) -- Dark pool -- Venue pricing models -- Types of orders -- Broker dealer trading floor -- Cash desk -- Program desk -- Electronic desk -- How does the reason behind the trade influence the selection of the trading algorithm? -- Short-term alpha view -- Long-term alpha view -- Stock mispricing -- Portfolio optimization -- Portfolio rebalance -- Sector fund -- Index change -- Cash inflow -- Cash redemption -- Algorithmic decision-making process -- Portfolio manager decisions -- Order submission rules -- Transaction cost analysis (TCA) -- Pre-trade analysis -- Intraday analysis -- Post-trade analysis -- Keyword definition -- Chapter 7: Presentations -- Internal presentations -- General presentation style and delivery guidelines -- External presentations -- CFA Research Challenge presentation material -- Sections of the research report -- Executive summary -- Business description -- Industry overview and competitive positioning -- Relationship between business description and competitive positioning -- Investment summary -- Valuation -- Financial analysis -- Investment risks -- Corporate governance -- Other things to include -- Chapter 8: Tools -- Primary data sources -- Other information and data sources -- Web portals, search engines, and business news -- Brokers and financial service providers -- Index providers -- Licensed Services -- How to use Morningstar DirectSM -- ̀̀Homé́ page -- ̀̀Research Portaĺ́ page.

̀̀Snapshot́́ page -- ̀̀Industry Peeŕ́ page -- ̀̀Executive Compensatioń́ page -- ̀̀Presentation Studió́ module -- ̀̀Model Portfolió́ module -- ̀̀Valuation Ratioś́ module -- ̀̀Key Ratioś́ module -- ̀̀Portfolió́ reports -- How to use Refinitiv Eikon -- ̀̀Overvieẃ́ tab -- ̀̀Descriptioń́ tab -- ̀̀Price & -- Chartś́ tab -- ̀̀Estimateś́ tab -- ̀̀Financiaĺ́ tab -- ̀̀Derivativé́ tab -- ̀̀Event́́ tab -- ̀̀Price & -- Chart́́ tab -- ̀̀ESǴ́ tab -- ̀̀Ownership Summarý́ tab -- ̀̀Social Media Valuatioń́ tab -- How to use Bloomberg -- THE TITLE PAGE -- ̀̀DEŚ́ (Security Description) -- ̀̀MFID́́ (MiFID Descriptive Data) -- ̀̀CF́́ (Company Filings) -- ̀̀CŃ́ (Company News) -- ̀̀FÁ́ (Financial Analysis) -- ̀̀OWŃ́ (Ownership Summary) -- ̀̀CRPŔ́ (Credit Rating Profile) -- ̀̀EÉ́ (Earnings and Estimates) -- ̀̀BRĆ́ (Research Portal) -- ̀̀BÍ́ (Bloomberg Intelligence) -- ̀̀EQRV́́ (Equity Relative Valuation) -- ̀̀RV́́ (Relative Valuation) -- ̀̀GṔ́ (Line Chart) -- ̀̀GF́́ (Graph Fundamental) -- ̀̀CMAṔ́ (Company Map) -- ̀̀EVT́́ (Company Event) -- ̀̀BQ́́ (Bloomberg Quote) -- ̀̀MDḾ́ (Market Depth Monitor) -- ̀̀VWAṔ́ (Price and Volume Dashboard) -- ̀̀Banḱ́ (Broker Ranking) -- ̀̀OMOŃ́ (Option Monitor) -- Headings0004788239s9995 -- Appendix 1: Advisors guide to organization of a SMIF -- Organizational structure -- Oversight -- Roles and responsibilities -- Academic structure -- Student-managed investment fund as a for-credit course or a volunteer student organization -- Challenges to a student-managed investment fund -- Personnel recruiting and turnover -- Academic calendar -- Fund structure -- Separate accounts -- Pooled accounts -- The roll of security trading rooms in business schools -- Maximizing the use of a trading room/finance lab.

Application of the CFA Institute code of ethics and standards of professional conduct to a student managed investment fund.

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