Portfolio Management

Current and former members of the BGSU Student Managed Investment Fund are invited to join the LinkedIn group. Check the library for additional books, blogs, magazines, and movie recommendations.


  • Macroeconomic and Industry Analysis
  • Equity Valuations and Presentations
  • Portfolio Optimization
  • Factor Model
  • Style Analysis
  • Brinson Attribution


  • University-specific resources
  • Fama/French Factors from Kenneth French’s website
  • S&P 500 Sector Weights – click on “Sector Breakdown”
  • Regression Basics – This is the bare minimum you must know about linear regression as an undergraduate business major regardless of what university you attend. It is located in the appendix of Introduction to Finance Analytics in my library.

Industry Data

Information Technology: Semiconductor Industry Association
Consumer Discretionary/Staples: Monthly Retail Trade Report, Consumer Sentiment
Industrials: ISM Report, Industrial Production and Capacity Utilization
Financials: FDIC Quarterly Banking Profile
Energy: Energy Information Administration, International Association for Energy Economics

Portfolio Optimization – MIT

Matrix Multiplication in Excel

Use the function mmult. Since the answer is an array, you must enter the formula with CTRL-SHIFT-ENTER at the end in order to get the output as an array. Enter the formula


where the number of columns in array1 is equal to the number of rows in array2. The resulting matrix has the same number of rows as array1 and the same number of columns as array2.

Investment Policy Statement (IPS)

  • Objective
    • Absolute vs Relative Return
  • Risk Tolerance
  • Time Horizon
  • Taxes
  • Asset Allocation
    • Target weights and Deviations
    • Rebalancing Frequency
  • Liquidity Requirements
  • Security Selection
  • Currency Exposure

Performance Measurement

  • Benchmark
  • Attribution
    • Style Analysis
    • Brinson Attribution Model
  • Risk Model
  • Portfolio Beta
  • Treynor Measure
  • Sharpe Ratio / Information Ratio
  • Tracking Error
  • Style Drift

Trading Plan

We will be using Chebyshev’s Theorem to set limits on trades. This is appropriate because financial returns (and prices) are not normally distributed but the distribution is generally assumed to have a mean and standard deviation. Find the volume-weighted average prices (VWAP) from no more than one month in the past. For buys, calculate two standard deviations below the last VWAP price to use as the limit. This will balance price improvement with our goal of execution within a week. Use the same guide for sell limit orders. Add two standard deviations to the last VWAP to get the limit sell price which is likely to be executed within a week.

Daily Performance

Daily performance may not include the effect of dividends paid in the past month.