Fall 2003
Make sure your write-up is limited to 4 main
pages of DOUBLE spaced text. (exhibits are not
included in the four pages). Keep the organization consistent with that below.
Bain is considering on creating a both a Canadian momentum fund and a global
Momentum fund. Issues to address:
A. Evaluate the Momentum evidence. What do you think is causing momentum?
How successful will it be in the future? Why?
B.
What costs (direct or indirect)
from trading might the fund face? How would trading cost influence the strategy?
If funds grew would the amount of capital in the fund change the strategy?
C. Should there be limits on investment sizes from clients? What should
fees front (entry) or back-end fees (if any) look like?
If you were to implement
globally…
D.
How would B (above) change
across stock markets?
E.
How do the risks from global
implementation differ from a pure Canadian implementation.
List the advantages and disadvantages.
A.
Discuss the role of
systematic and unsystematic risk in the strategy?
B.
What would be some of the
advantages and disadvantages to also adding earnings momentum strategies to the
fund.
C.
Discuss any other factors
you may feel necessary to consider.
D.
What is your final decision
about whether to proceed?