fund management project
The main purpose of this project is to compare the performance of a naοve portfolio, the equal-weight stock index, with that of its value-weight benchmark.
Guidelines for this project are as follows.
Select a market capitalization weighted stock index with no more than 100 component stocks, such as NASDAQ 100, FTSE 100, NIKKEI 100, DAX 30, CAC 40, and Stoxx 50.
Collect data on 60 monthly returns for the component stocks of the selected index from various databases, e.g., Datastream, Bloomberg, Reuters or www.yhaoofinance.com. The sample period should cover at lease the most recent five years, e.g., 2010-2014. Please note the change in the set of component stocks.
Form the naοve equal-weight portfolio based on the component stocks and then compare its performance with that of its market capitalization weight benchmark. Regarding the empirical analyses, you can refer to the uploaded papers, e.g., Haugen and Baker (1991, JPM), and Clarke, de Silva, and Thorley (2006, JPM)..
Haugen, R.A., and N.L. Baker, 1991, The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios, Journal of Portfolio Management, 35-40.
Clarke, R., H. de Silva, and S. Thorley, 2006, Minimum-Variance Portfolios in the U.S. Equity Market, Journal of Portfolio Management Fall, 1-14.