Professor Scott-Quinn Hosts Alumni Event in Mumbai

MSc and BSc students at the ICMA Centre that take the portfolio management course are involved in an assessed group project where they have to build and evaluate a hypothetical portfolio with securities of their choice using real time data. The new web-based ICMA Centre portfolio simulation platform that has been developed by StockTrak Inc and customised by Dr George Alexandridis allows students to trade securities in most major markets around the world in real time and build and manage large portfolios.

Momentum trading is a popular strategy in the commodity futures markets. The idea is simple. Suppose that an investor wants to invest in the first nearby contract of several commodity markets, e.g. crude oil, live cattle and gold. At the end of each month, the trader ranks these assets according to their past return performance, observed over a measurement period of 12 months for example, from the top performing asset to the bottom performing asset. The investor opens a long position in the first nearby of the markets that performed well and a short position in the first nearby of the markets that underperformed. These positions are held throughout the next month. This strategy has performed historically well historically and has attracted the interest of investors.

The ICMA Centre is very proud to congratulate PhD student Yingying Wu on her receipt of a Best Paper Award at the 19th Global Finance Conference, taking place at DePaul University in Chicago on May 23-25, 2012. The prize was awarded for the paper “Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage” (co-authored with Chris Brooks and Marcel Prokopczuk).