The Anderson Student Asset Management (ASAM) Fellowship is designed to provide UCLA Anderson students the opportunity to apply their academic studies in finance to the practical world. Founded in 2006 by the Laurence and Lori Fink Center for Finance, the ASAM fund gives its fellows the chance to gain invaluable experience by using quantitative investment strategies to manage real money.
Every year, after a rigorous selection process, a group of students is hand-picked to manage the ASAM fund and act as portfolio managers during the five-quarter period starting that spring. The new class overlaps with the departing class during the spring quarter to effectively learn the investment processes, maintain continuity and ensure the smooth transition of the fund’s management. Once accepted into the ASAM fellowship, student portfolio managers are placed on strategy teams that work to build a portfolio, subject to certain constraints, based on multiple quantitative strategies to earn superior risk-adjusted returns. During their tenure with the fund, the student portfolio managers execute a demanding agenda as they tackle asset allocation, investment strategies, security and risk analysis, portfolio management, proper benchmark selection and organizational and group dynamic issues. Each strategy team finds, prepares, back-tests and presents investment ideas that are based on academic papers to all other fellows and faculty advisors. Only after the strategy is back-tested with historical data, and the team and the faculty advisor agree, will the student portfolio managers execute their trades.
Over the 15-month period, the student portfolio managers work closely with the previous class and the faculty advisor in fulfilling all the responsibilities of managing the portfolio, including the development of investment guidelines, analysis of capital market conditions, rebalancing of existing asset positions, performance analysis and performance attribution. The students are aided in their research and deliberations by their faculty advisor, as well as outside “investment advisors and practitioners.” As distinguished members of the investment industry and/or academic community, these investment advisors and practitioners offer resources and feedback in the investment process. Additionally, they are important supporters of the UCLA Anderson School of Management.
This is the formal annual report prepared by the 2020 Fellows. It summarizes our year and describes in detail the current strategies that have been implemented as part of the ASAM portfolio.