This course is being taught jointly by a professor of finance (Stoughton) and an industry practitioner (Pettersson) who is an asset manager at one of the largest unions in Sweden.  The course is aimed at students who are interested in careers in the asset management industry, for instance either in managing money for clients, working for an asset management firm, or serving as a manager of an investment  portfolio  on  behalf  of  clients.   

Specific  functions  might  be  to pursue  work  as  a  fund manager, asset allocation specialist, security analyst, trader, or risk controller.  The class will cover very topical materials, starting off with background about what matters from the client perspective.  Then the course will go over the mechanics of portfolio theory via geometric and algebraic analysis. The students will learn how to contruct mean-variance optimal portfolios, and will be exposed to real world examples of practical applications.  Then the course will feature a detailed explanation of the recent world of quantitative investing, via factor analysis.  This is the major development in the field in the last 20 years and continues to be very influential.  Following this, the course will return to  optimal  portfolio  construction  by  exploring  a  lesser-known  technique,  called  the  cut-off  ratio, which will enable students to quickly determine optimal portfolios. In addition, methods of how to improve the correlation matrix will also be addressed in order to enchane forward looking (ex ante) portfolios. The course will turn next to the important area of performance and attribution analysis.  Ratios and regression techniques will be disscussed and many examples will be provided. The last part  of  the  course  will  apply the  materials  to  studies  of both  mutual  funds  and hedgefunds with illustrations of past performance.  We will finish with a topical area, on socially responsible investing. 

The overall objective is to present analytical tools to advance students in their future work within the field of asset management as well as to provide them with informative results from experience in the industry.

Knowledge and Understanding
After completing this class the student will have the ability to:

• Understand common issues across many types of clients
• Understand how mean/variance portfolio theory is used in practice
• Optimize portfolios as well as use the cut-off ratio, to quickly determine optimal porfolios
• Conduct performance evaluation via various ratiosand regression analysis
• Understand the single-index model and multi-factor models within asset management
• Understand the basics of mutual funds, ETFs and hedge funds
• Know whether to use socially responsible investing criteria

Social skills and self-competence
After completing this classthe student will havethe ability to:

• Participate in a real-world project, working with others
• Devise an in class presentation andlisten to other presentations
• Get feedback from the instructors on the project
• Simulate a scenario where the students act as though they are making an investment recommendation to a real board of directors, using the techniques learned in class

Scientific skills
After completing this classthe student will havethe ability to:

• Gain experience with Microsoft Excel as applied to portfolios
• Use real world data downloaded from Bloomberg
• Learn how to optimize portfolios (Mean-Variance)
• Learn about factor investing and which factors are most important
• Determine an efficient method of optimization via the use of the cut-off ratio
• Adjust the correlation matrix to better suit ex-ante scenarios
• See how well mutual funds and hedge funds have performed on behalf of investors
• Determine whether socially responsible investing is a beneficial criterion in managing money

There are no specific attendance requirements, however students will benefit from attending live so that questions can be asked. Students are all expected to attend the final sessions which will be in person.

There will be 8 classes, out of which 7 will be conducted online over the internet using Microsoft Teams.  Students will have the ability to listen and watch the live presentation using various devices, such as a laptop (Windows 10), Mac (MacOS), Tablet (iOS), Smartphone (apple or android)or a web browser.  During the class students will be able to ask questions via the chatapplication.  The class presentation will be saved as a video and archived for on demand viewing either to facilitate those who cannot attend the live event or who want to review the content a second time.  The final session will be conducted in person when the student presentations are given.

The class will be assessed by the quality of presentations given at the final session.  The criteria will be based on the following:

• Use of techniques or materials from the course
• Accuracy and validity of the analysis
• Creativity of the presentation
• Exposition in terms of speaking and illustration

• Pass of at least eight courses within the subject "Grundlagen Finanzwirtschaft, Rechnungswesen und Steuern".
• Allocation to the project seminar within the specific process.

Attending the "Investments" elective may be useful.

Instructors will be available via email during the course.  One of them(Stoughton) will be available for in person consultation between the last online lecture and the final project presentation.