Transcript IRAFT - Villanova University

Institute for Research in Advanced
Financial Technology (IRAFT)
1. Applied Finance Lab
2. Student-Managed Investment Fund
3. M.S. in Finance
David Nawrocki – Director
Michael Pagano – Associate Director
James Jablonski – Assistant Director
Andrea DeMaskey – Finance Department Chairperson
Applied Finance Lab
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Reuters Bridge Station – 16 stations
Bloomberg – 1 Station
Trader Ex – Baruch Trading Simulation
Wharton Research Data Services (WRDS)
CRSP-Compustat Merged
S&P Global, DRI Global & Domestic
IRRC Takeover Defenses & Directors
Compustat Complete Back Data
NYSE TAQ – SDC Platinum Mergers
FIS Bank Holding Co.
December Shake-Down – Opening January 2005
Strategic Partners (In the Works)
• Equipment Donations (Dell Computers)
• PHLX trading environment (in progress)
Workstation Clients tied into PHLX Stratus
Development System
Equity remote specialist
Floor broker
• Algorithmic Trading (To be Explored)
• SMF class – 18 undergraduates, 5 MBAs
Outperforming all benchmarks since 3/25/04.
As 12/10/04:
SMF
S&P 500
Domini 400 Social Index
+11.96%
+8.86%
+8.31%
Top-Down Sector and Industry Screening, SR
Screening, Value Analysis, Portfolio Selection.
Currently 80% Cash until Students go through
analysis. Fully invested by end of October.
INVESTMENT POLICY
ECONOMIC BUSINESS CYCLE/
INDUSTRY ANALYSIS
MARKETING
SOCIAL RESPONSIBILITY
SCREENING
FINANCIAL SCREENING
CORPORATE GOVERNANCE
PORTFOLIO ANALYSIS
INITIAL INVESTMENT
(3-26-04)
PERFORMANCE REPORTING
EXIT STRATEGY FOR
SEMESTER BREAK
PORTFOLIO COMPLIANCE
M.S. in Finance
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Board of Trustees Approval – December 2004.
First Full-Time Day Graduate Program.
First Class - Summer 2005.
Breakeven: 12 Students.
Goal: 15-20 Students in First Class.
High Quality Academic Program that stresses
theory and application.
Importance to C&F: Helps retain and attract
high quality finance faculty.
Challenge: To be proactive in placing students in
internships and jobs.
Proposed MSF Time Line
Spring 05
Summer 05
Fall 05
Spring 06
Prerequisites
MSF
MSF
MSF
Financial
Prob & Stochastic
Statement Analysis
Processes
Time Series &
Applied Corporate
App Bus Forecast
Finance
Intermediate
Macroeconomics
Survey of
Financial Theory
Financial Markets
and Institutions
Financial
Modeling
Mathematics of
Economics
Internship
Student
Managed Fund I
Student
Managed Fund
II
Corporate Risk
Management
Econometrics
Derivatives