The core of this course deals with asset management for private investors in an international context. We will cover the structure of the delegated investment markets around the world with a focus on the U.S. and Europe. The focus will be on traditional mutual funds and related products. Besides the classical asset management theory, this course will place a great weight on the practical implementation of portfolio strategies and the problems that can arise. We will learn how to measure the performance of investment strategies and of fund managers. Furthermore, behavioral aspects (irrational behavior of mutual fund investors and managers) will be discussed. Finally, we discuss recent trends in asset management, e.g. responsible investing (ESG) as well as crypto currencies and Decentralized Finance (DeFi).
After the completion of this course, students will have gained a thorough understanding of the mutual fund industry. They will be familiar with the necessary tools to manage a mutual fund themselves, advise mutual fund investors, invest in mutual funds, and to work in the management of a mutual fund company.
A working knowledge of basic mathematics (analysis and optimization) and statistics (expected values, variances, covariances) as well as a sound understanding of portfolio theory (level of FIN 500, which we urgently suggest students to take before this course) is required.
|Contact hours||Independent study time|
|Lecture||2 SWS||9 SWS|
|Exercise class||1 SWS||5 SWS|
|Form of assessment||Written exam (60 min.)|
Prof. Dr. Stefan Ruenzi
Dr. Tatjana Puhan
|Duration of module||1 semester|
|Range of application||M.Sc. MMM, M.Sc. WiPäd, M.Sc. VWL, M.Sc. Wirt. Inf., M.Sc. Wirt. Math., MAKUWI|
|Preliminary course work||–|
|Literature||There is no specific textbook that the whole course is based upon. One useful introductory text is:|
Haslem, John A. (2009): Mutual Funds – Portfolio Structures, Analysis, Management, and Stewardship, John Wiley & Sons.
We will also provide a list with relevant papers for the various chapters in the lecture.
|Course outline||Chapter 1: Introduction|
In the preliminary chapter, the logistics of the course will be announced. In the introduction, we will then discuss the setup and historical development of the asset management industry in important markets, as well as the products available.
Chapter 2: Setting up a Fund
In this chapter, we will look at the definition of delegated asset management and the most important products like mutual funds, and hedge funds. Relevant regulatory rules, fund characteristics, and the pricing, distribution and sales process will be covered as well. We will also go through some recent real cases.
Chapter 3: Investment Process
In this chapter, we will look at the different forms of market efficiency. Based on this, we will cover the Active versus Passive Debate and the resulting implications for the investment process. We will discuss different tactical asset allocation & security selection strategies as well as topics relating to strategic asset allocation. The chapter will also provide insights that relate to risk management as a key component of successful asset management.
Chapter 4: Performance: Measurement, Determinants & Prediction
The fourth chapter covers external and internal performance evaluation, performance attribution, determinants of performance, performance persistence as well as rankings and ratings. Moreover, the chapter will also provide some insights in the implications of different kinds of performance measurement in reality.
Chapter 5: Investor Behavior & Managerial Incentives
This chapter covers topics related to the behavior and incentives of investors and asset managers using recent findings in academia and real world cases.
Chapter 6: Responsible Investing
While everyone seems to talk about ESG, responsible investing etc., few people are actually familiar with the latest insights on this topic in academic research and with the many challenges an asset manager faces who wants to implement a rigorous, objective and fact driven framework. This part of the lecture should help to shed more light on all of these topics and related issues.
Chapter 7: Crypto Currencies & DeFi
In this chapter, we cover a few basics on crypto currencies and learn about what DeFi in general can potentially be useful for and where we should be mindful of certain risks.
Chapter 8: Outlook
In the last chapter, we will discuss recent trends in asset management like socially responsible investing (SRI). Finally, we talk about the job market prospects before summarizing the course.
Note that some contents of the chapters might slightly change due to the contribution of potential guest lecturers.