# GRA 6555 Asset Management

## GRA 6555 Asset Management

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.

The student will know

- The structure of the asset management industry
- The common trading strategies

- How to evaluate the performance of a trading strategy using asset pricing theories

The student will be able to

- Construct and backtest trading strategies
- Consider issues related to practical implementation of the strategies
- Evaluate performance of the strategies

The students will be able to

- Critically assess empirical evidence in light of implementing portfolio strategies
- Analyze data and develop strategies given certain objectives

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

Students are expected to prepare for the lecture by reading assigned materials and participate actively in the class discussions. In addition, students need to solve various assignments. In each lecture one group of students will present their solutions to assigned exercises. To help students familiarize themselves with the methods discussed in class, there will also be a class project in which students develop and document their own trading strategy.

Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class.

This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course starts.

At resit, all exam components must, as a main rule, be retaken during next scheduled course.

All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

All courses in the Master program will assume that students have fulfilled the admission requirements for the program. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Exam category | Weight | Invigilation | Duration | Support materials | Grouping | Comment exam |
---|---|---|---|---|---|---|

Exam category:Submission Form of assessment:Written submission Exam code:GRA65551 Grading scale:Point scale Grading rules:Internal examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 10 | No | 1 Semester(s) | Group (3 - 6) | A group project which requires students to develop, document, implement, and test a trading strategy with real-world data provided in class Group size may vary depending on class size. | |

Exam category:Activity Form of assessment:Presentation Exam code:GRA65551 Grading scale:Point scale Grading rules:Internal examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 30 | No | - | Group (3 - 6) | Students need to prepare solutions and present them in class. The slides for the presentation must be uploaded before the presentation. Group size may vary depending on class size. | |

Exam category:Submission Form of assessment:Written submission Exam code:GRA65551 Grading scale:Point scale Grading rules:Internal and external examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 60 | Yes | 2 Hour(s) | - BI-approved exam calculator
- Simple calculator
- Bilingual dictionary
| Individual | Final written examination under supervision |

A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.