Investment Analysis
Mini 3, 2000, Full--Time Program
Professor Burton Hollifield

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This is the web page for Investment Analysis, Spring, 2001, MBA program. For any comments, please send me an email at burtonh@andrew.cmu.edu

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Important New Announcements

• The weekly queston and answer session is on Wednesdays, 11:20-1:20, Room 145.
• The first homework, due January 30, in class
  • PDF file
  • Required excel data file
  • Link to FTS Software. Follow the instructions for first time users on the web page to download the fts software.
  • Solutions to Homework #1 Excel file
• Homework #2. Due, Tuesday, February 13, In class.
• Associated datafile This spreadsheet contains the returns on 10 size based portfolios, the market return, the risk free rate and the Fama and French factors for that period. Note: the size returns are NOT excess to the riskfree rate.
• Solution to HW #2 UPDATED I fixed a typo in the solution!!!
• Homework #3, spreadsheet UPDATED Saturday Monring.
• Homework #3, solution
• Homework #4
• Homework #4 solution

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Lecture 1

• Lecture notes (in pdf format)
• www.investorwords.com This site has a comprehensive dictionary of finance related terminology. This is a great resource!
• Watch Island's limit order book From Island
• An article on decimalization on the NYSE From the Wall St. Journal, Aug 28
• An online video--conference with NYSE floor trading professionals.

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Lecture 2

• Lecture slides
• www.efficientfrontier.com This site contains descriptions of various portfolio strategies and issues in portfolio evaluation. This site has lots of intersting data about past returns on various asset classes and strategies.
• The True Impact of Asset Allocation on Returns A re-examination and re-interpretation of the Brinson et. al. study discussed in class.
• The Amex Stock Exchange. This is where SPDRs and similar securities trade. More information on these securities can be found by following the "Index Shares Link" on the page.

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Lecture 3

• Lecture slides
• Article on Hot Hands from the New York Times You must register with the New York Times to read the article. It is a free registration.
• www.barra.com A quant firm. You can download the returns on various indices from this web site.
• Spreadsheet used in class, Tuesday, Jan 23

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Lecture 4

• Lecture slides
• www.morningstar.com This is where I got the fund performance measures I discussed in class.

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Lecture 5

• Lecture slides
• Size and Value Portfolios used in class
• Ken French's web page This is where I got the size and value portfolios from. There are various other size, value and firm characteristic sorted portfolios on this web site, in addition to a history of the Fama and French factors discussed in class. Just follow the data library link on the page.
• www.indexfunds.com This site has decriptions of various index strategies, and contains lots of useful information about portfolio strategies in general. You can also download various stock indexes from this site.

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Lecture 6

• Lecture slides
• The Living Yield Curve You can see a nice graphic of the history of the US term structure. There is lots of interesting information about bound and other portfolio strategies on this site.
• Dimensional Fund Advisors Where I got the historical bond return data.
• Bond quotes from CNNFN You can get the current strip prices from this site.

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Lecture 7

• Lecture slides
• Spreadsheet used for the second example in class.
• www.bondsoneline.com A nice site with lots of interesting bond information, including current quotes.

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Lecture 8

• Lecture slides
• www.pimco.com A bond fund manager. They have lots of interesting information on the bond markets on their site. They offer high and low duration bond funds. Follow the products and service for more information.

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Lecture 9

• Lecture slides
• Spread trade This is the spreadsheet is used to compute the spread trade in class.
• Philippe Jorion's Orange Country Web Page This is where I got the facts on the Orange County Bankrtuptcy from.

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Lecture 10

• Lecture slides
• Convexity example spreadsheet
• www.law.emory.edu/~lawrld/deriv2.html A brief article describing various derivatives, including fixed income swaps.
• How Long Term Capital Crashed From Business Week.

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Lecture 11

• Lecture slides
• The Sparlings Position: spreadsheet

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Lecture 12

• Lecture slides
• www.888options.com One of the many options sites on the internet.
• www.FreeOptionPricing.com This site allows you to use the Black and Scholes option pricing model. Intuitively, the Black and Scholes model is the limit of the binomial model as the number of up and down jumps gets very large. The volatility inupt in the model is equivalent to `u' and `d' in the binomial model.
• http://www.margrabe.com/OptionPricing.html This is another site with java option pricing calculators. There is also lots of interesting derivatives information on this page. It is a great place to look for derivatives terms, and current market developments.

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Lecture 13

• Lecture slides

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