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Article

Adding Value in Student-Managed Funds: Benchmark and Sector Selection

J. Christopher Hughen, Jack Strauss and J.P. Tremblay
The Journal of Trading Winter 2018, 13 (1) 27-34; DOI: https://doi.org/10.3905/jot.2018.13.1.027
J. Christopher Hughen
is an associate professor of finance in the Daniels College of Business at the University of Denver in Denver, CO
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Jack Strauss
holds the Miller Chair of Applied Economics in the Daniels College of Business at the University of Denver in Denver, CO
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J.P. Tremblay
is an associate teaching professor of finance in the Daniels College of Business at the University of Denver in Denver, CO
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Abstract

Student-managed portfolios offer a practical learning environment but often miss opportunities for outperformance. The authors provide several recommendations for structuring fund trades to enhance the pedagogical experience for the students in addition to generating alpha. A strategy that targets midcap 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 using a metric that is robust to differences in companies across sectors. The authors document the high relative return dispersion among sectors in midcap stocks and show that enterprise value/EBITDA is a consistently effective ratio in identifying both undervalued and overvalued stocks.

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The Journal of Trading: 13 (1)
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Adding Value in Student-Managed Funds: Benchmark and Sector Selection
J. Christopher Hughen, Jack Strauss, J.P. Tremblay
The Journal of Trading Dec 2017, 13 (1) 27-34; DOI: 10.3905/jot.2018.13.1.027

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Adding Value in Student-Managed Funds: Benchmark and Sector Selection
J. Christopher Hughen, Jack Strauss, J.P. Tremblay
The Journal of Trading Dec 2017, 13 (1) 27-34; DOI: 10.3905/jot.2018.13.1.027
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  • Article
    • Abstract
    • FINDING THE SWEET SPOT WITH BENCHMARK SELECTION
    • SECTOR ALLOCATION
    • DATA
    • SECTOR METRICS
    • ANALYSIS
    • SUMMARY
    • APPENDIX A
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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