3404525: MasterPROJECT 2

Description

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Outperformance in active asset management - Analysis and drivers of the phenomenon on behalf of a Swiss private bank

Within this MasterLAB project students are about to analyze past performance of a fund maintained by a renowned Swiss private bank. In general the fund subject to this investigation seems to outperform similar funds of the competition.

Lecture Goals

Possible explanation of this phenomenon is expected to be due to active asset management utilized by the principal, while the other managers mainly rely on a strategic asset allocation strategy. Based on this setting the principal aims to obtain well-founded answers for the following questions:

• Is the performance of the fund significantly better than possible benchmark indices after considering transaction costs?
• Considering a wide range of macroeconomic and fundamental data, is there a small set of principal components that can explain most of the return achieved by the fund?
• Which time series of the gathered data set matches best the identified factors (principal components)?
• Do the identified time series have any significant explanatory and/or predictive power?

Lectures Method

Key methodology utilized during this project is the Capital Asset Pricing Model, the technique of the Principal Component Analysis and further linear econometric regression models for factor identification and performance prediction.

Admission Requirements

Optimal candidates for this project shall be interested in quantitative modeling and data mining. Extensive computational tasks are expected during this project.

Comments

Expected group size: 3-4 students.