1. 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
Final Group Assignment

2. 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

3. 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

4. 2017
Market Skew
Lewis Braham, “Why Market Skew Favors the Few,” Barron’s, October 21, 2017
Alpha

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

6. 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

7. 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

8. 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

9. 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

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

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

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

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

14. 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

15. 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