Asset Management

Introduction

Starting with the debate about efficient markets (Nobel price 2013), this course examines asset allocation strategies in various asset classes, such as equities, fixed income, and currencies. After an overview of the active portfolio management industry (hedge funds and mutual funds), practical issues related to trading, performance measurement, and liquidity risk management, the course will focus on different asset allocation strategies. Students will learn to evaluate these strategies in terms of their risk-return characteristics and test if the returns are challenging the efficient market hypothesis. The course uses real data to illustrate the trading strategies and students will learn the empirical methods for analyzing trading strategies.

Course content

The course will cover the following topics:

• Overview: Market efficiency; trading strategies; active vs. passive management; mutual funds, hedge funds and other smart money; benchmarking and managerial incentives (LP: Chapter 1)
• Active Investment: Performance measures; finding and backtesting strategies; portfolio construction; risk management (LP: Chapters 2—4)
• Active Investment: Trading and financing a strategy (LP: Chapter 5)
• Equity strategies: Discretionary equity investing; equity valuation (LP: Chapters 6—7)
• Equity Strategies: Short bias; quant trading 1/2 (LP: Chapters 8—9)
• Equity Strategies: Quant trading 2/2 (LP: Chapter 9)
• Macro Strategies: Asset allocation and global macro investing (LP: Chapter 10—11)
• Macro Strategies: Managed futures investing (LP: Chapter 12)
• Arbitrage strategies: Theory: limits of arbitrage; arbitrage pricing; fixed income arbitrage 1/2 (LP: Chapters 13, 14)
• Arbitrage strategies: Fixed income arbitrage 2/2; covered bond arbitrage (LP: Chapters 14, 15)
• Selected topics: Monetary policy and stock returns