Portfolio Case Study Assignment Help

Download the case (a pdf file + an Excel supplement) from Blackboard.  A case report should consist of 10 pages or less (1-inch margins, 12-point fonts, double-spacing), not counting the cover sheet and appendices that may contain spreadsheets, tables, figures, and references.  Submit the softcopy of the final version of the case report to Blackboard and VeriGuide before the deadline.  When we discuss the case using Zoom, individual students may screen-share some pages of their reports to earn some participation scores.
In general, when you write a case report, try to regard yourself as the decision maker in the case.  T You should not use information
available today, and you should only use the information mentioned in the case or available at that time (e.g., you may try to get the stock return data for the years before the case).  Make your own assumptions if needed.  Because of the dynamics of business and incomplete information available to decision makers, no single answer or recommendation is necessarily the correct one.  Your logics and presentation will matter.
I list below some questions that will guide you to write the report.  Our case discussion will generally follow the questions.  Useful references for this case are Chapters 9  11, 13, and 24 of the textbook.

  1. Compare the UMD factor to other specifications for momentum. Specifically, use the

Spreadsheet Supplement for the case to calculate: (a) Decile Spread portfolio returns = (10)  (1); (b) Quintile Spread portfolio returns = (10+9)/2  (1+2)/2; (c) UMD Spread portfolio returns = (10+9+8)/3  (1+2+3)/3; (d) Median Spread portfolio returns =
/5  /5.  Generate the average returns for each of these momentum
specifications for every decade (1920s, 1930s, etc.).  What do you observe?

  1. retail momentum strategy differ from the traditional momentum

approaches?  What were the expected returns and risks (using Sharpe measure, Treynor measure, etc. in Chapter 24)
traditional momentum approaches?  The advantageous correlation structure in Exhibit 5 was seen as a key selling point of momentum.  Is this the right way to think about   If not, use some of the data in the Spreadsheet s returns to construct a more informative set of
correlations.  What types of investors might be interested in  retail momentum funds?  (Hints: Different performance measures serve different purposes.  What is the
meaning of a negative Treynor measure which is caused by a negative beta?  How would you explain to different types of clients who already had different investments?)
publishing them?  If AQR decided to publish the indexes, when should AQR publish them?  Why?

  1. Look at Exhibit 3; do you observe some differences between 1-factor alpha and 4-factor alpha? Explain and discuss the possible reasons for the differences between the 2 alphas based on the arguments of the efficient market school and the arguments of the inefficient market or behavioral finance school.


  1. Do you think that UMD will continue to have positive 1-factor (CAPM) alpha in the future? Explain and discuss, based on the arguments of the efficient market school and the arguments of the inefficient market school.


  1. Do you think Cliff Asness believed in the efficient market school or the inefficient market school? f AQR launched its momentum funds, how should it manage the funds (e.g., maximizing returns vs. minimizing tracking error)?


  1. If you were Cliff Asness, would you launch momentum funds?  Would you launch none, 1, 2, or all of the three funds?  Why?

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