101-17 Final Group Assignment 2017 Skew & Concentration Sarah Krouse et al, “Passive Funds Embrace Their New Power,” The Wall Street Journal, October 25, 2016 101-17 Final Group Assignment

2017 Results of 1st Round Most groups looked at the question of how to define and find 10-baggers But — this was not really the question Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

2017 The Real Question What is the impact of the 10-bagger on the overall Portfolio? The more general term for this: Skew Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

2017 Market Skew Lewis Braham, “Why Market Skew Favors the Few,” Barron’s, October 21, 2017 Alpha

Lewis Braham, “Why Market Skew Favors the Few,” Barron’s, October 21, 2017

2017 Objective To perform a more quantitative analysis of the impact of Skew on the portfolio Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

Two Perspectives To analyze Skew mathematically 2017 Two Perspectives To analyze Skew mathematically To analyze Skew empirically Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

Value in Peter Lynch’s Example (if applicable) 2017 Dimensions Dimension Value in Peter Lynch’s Example (if applicable) Length of time to calculate the returns A little less than three years Number of “bags” for the multi-bagger 10 Number of multi-baggers 1 Number of non-multi-baggers (size of portfolio) Weighting of portfolio Equal weighting Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

Value in Peter Lynch’s Example (if applicable) 2017 Dimensions Dimension Value in Peter Lynch’s Example (if applicable) How long it takes the multi-bagger to go to X (number of bags set as target) A little less than three years Number of Bags (i.e., more or less than 10) N/A Dividends counted (i.e., effect of dividends on the calculation) Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

Sarah Krouse et al, “Passive Funds Embrace Their New Power,” The Wall Street Journal, October 25, 2016

Fixed & Variable Time-frames Sarah Krouse et al, “Passive Funds Embrace Their New Power,” The Wall Street Journal, October 25, 2016

Fixed & Variable Time-frames Sarah Krouse et al, “Passive Funds Embrace Their New Power,” The Wall Street Journal, October 25, 2016

Sarah Krouse et al, “Passive Funds Embrace Their New Power,” The Wall Street Journal, October 25, 2016

2017 Empirical Questions Distribution of holding times for 10- baggers to reach 10 bags Frequency off 10-baggers in the total population over time Clustering of 10-baggers in specific market regimes (bull, bear, sidewise, high-vol, lo-vol) Re-run the AQR method and see how often you find a 10-bagger Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016

2017 MGT 198 Assignment Question: What is the impact of Fed Policy on the equity market? (Last ten years, say) Format: A Memo to your Boss, who needs to be briefed for a speech she has to give length: 2-3 pages, some graphics allowed Justin Lahart, “Coca-Cola to Sell Nine U.S. Plants,” The Wall Street Journal, September 25, 2016