Portfolio Management Game Final Report

Oklahoma State University – FIN 4223 – Investments – Spring 2014
Portfolio Management Game Final Report
1 Objective
The objective of this nal report is to assess your trading strategies and evaluate
your portfolio’s performance. Performance evaluation will be done in comparison
to our proxy for the market, S&P 500 Index. Portfolio evaluation will be per-
formed on daily data so, you need to obtain daily returns on SPY (as the market
proxy) and SHY (as the risk-free asset proxy) from http://finance.yahoo.com

between February 3 and April 11. The answers to all discussion questions as
well as all accompanying tables should be typed and well-organized. In addition,
you must submit your Excel spreadsheet (demonstrating your calculations in Sec-
tion2) and Word document via D2L. A 2-3 page nal report for your portfolio’s
ten week performance needs be submitted on May 9, 2014.
2 Analysis
1. Plot the total market value of your portfolio and the value of $100,000
invested in SPY from February 3 until April 11. What is the total holding
period return on your portfolio and the market?
2. Calculate daily mean and standard deviation of returns, beta and three
performance measures (Sharpe index, Treynor index, and Jensen’s alpha)
for your portfolio and the market. You should calculate Jensen’s alpha with
a regression model using risk premiums on your portfolio and the market

index. Finally, create a summary performance table similar to the one below:
Asset Mean
Return
Standard
Devia-
tion
Beta Sharpe
Index
Treynor
Index
Jensen’s
Alpha
Portfolio
Market
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Oklahoma State University – FIN 4223 – Investments – Spring 2014
3 Discussion Questions
1. In general, explain your investment style and trading strategies. In your
discussion include key market-wide, industry-, or rm-speci c events that
in uenced your trading decisions and subsequent results. A brief chronicle

of major events with their associated impact on your trading decisions is
recommended.
2. Select a core group of securities (3-5) and explain your reasons for investing
in them.
3. What speci c steps did you take during the semester to attempt to adjust
your portfolio to better achieve your target? How successful were these
steps?
4. Which positions exceeded your expectations? What factors created the gap?
Which positions underperformed for you? What factors created the gap?
5. Based on your calculations in Section 2 how would you evaluate your port-
folio performance? Did your portfolio generate signi cant (at the 5% level)
abnormal return?
6. What are the key things you learned from your Stock-Trak experience? If
you had to do it all over again, would you change your investment objectives
and strategy in any way? If not, why? If yes, how?
7. How will your Stock-Trak experience in uence your personal investing in
the future?
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