Adding Value in Student Managed Funds: Benchmark and Sector Selection

Journal of Trading, Forthcoming

Posted: 6 Nov 2017

See all articles by J. Christopher Hughen

J. Christopher Hughen

University of Denver - Daniels College of Business

Jean-Philippe Tremblay

Daniels College of Business, University of Denver

Jack Strauss

University of Denver - Daniels College of Business

Date Written: November 3, 2017

Abstract

Student managed portfolios offer a practical learning environment but often miss opportunities for outperformance. We provide several recommendations for structuring fund trades to enhance the pedagogical experience for the students in addition to generating alpha. A strategy that targets mid cap stocks offers favorable risk-return characteristics and focuses on a market capitalization category that receives relatively less attention from professional money managers. Furthermore, a formal sector allocation strategy provides an additional source of portfolio outperformance when utilizing a metric that is robust to differences in companies across sectors. We document the high relative return dispersion among sectors in mid cap stocks and show that EV/EBITDA is a consistently effective ratio in both identifying undervalued and overvalued stocks.

Keywords: Student Managed Fund, Benchmark Selection, Sector Allocation, EV/EBITDA

JEL Classification: G11, G12, G17

Suggested Citation

Hughen, John Christopher and Tremblay, Jean-Philippe and Strauss, Jack, Adding Value in Student Managed Funds: Benchmark and Sector Selection (November 3, 2017). Journal of Trading, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3064530

John Christopher Hughen (Contact Author)

University of Denver - Daniels College of Business ( email )

2101 S. University Blvd
Denver, CO 80208-8951
United States
303-803-6171 (Phone)

HOME PAGE: http://www.hughen.com

Jean-Philippe Tremblay

Daniels College of Business, University of Denver ( email )

2101 S. University Blvd.
Denver, CO 80208-8921
United States

Jack Strauss

University of Denver - Daniels College of Business ( email )

2101 S. University Blvd.
Denver, CO 80208
United States

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