Anderson Student Asset Management (ASAM) is a graduate-level program designed to teach MBA students how to create stock portfolios using quantitative methods. Students selected for the program as fellows are divided into teams, and each team selects an investment strategy based on research. Strategies are back-tested using computer models created by the fellows, and then implemented and tracked with funds provided by UCLA. The fund now manages about $1 million.
ASAM fellows also have the opportunity to visit firms throughout the Los Angeles metropolitan area and hear guest lecturers speak about new strategies and current topics affecting the industry. They actively manage these opportunities, often with ASAM alumni.
Students interested in the program must first apply and, if selected as fellows, must commit to meeting once per week for five quarters, starting in the spring. The ASAM program is open to both full-time and fully employed MBA students, and it fulfills both the Applied Management Research and Global Access Program capstone graduation requirements.
ASAM Portfolio Managers
Ivo Welch
Distinguished Professor of Finance, J. Fred Weston Chair in Finance
Known for his work on informational cascades, Ivo Welch has also published in a variety of other areas, such as initial public offerings, capital structure, dividends, market-timing, performance evaluation, earnings management, overconfidence, socially responsible investing and bankruptcy.
The objective of the fund is the preservation of capital and the pursuit of favorable risk-adjusted returns. ASAM student portfolio managers work as a team, adhering to the stated investment policies and limits, to strive for superior long-term performance.
The fund seeks to achieve its objectives through a diversified portfolio of securities that meet the fundamental and technical specifications adopted by its managers. The fund seeks to identify and exploit these opportunities through large-sample quantitative techniques and detailed fundamental analysis of specific companies. ASAM fellows leverage the research and analytical capabilities provided by the UCLA Anderson finance faculty. Particular emphasis is given to investment strategies that have demonstrated their validity in academic research.
The student portfolio managers, along with their advisor and oversight committee, determine an optimal mix of equity, fixed-income and cash investments. Subject to minimum liquidity requirements, the fund may hold the stock of any publicly traded U.S. firm on an approved list of stocks selected in consultation with the faculty advisor. It may also engage in a small amount of market timing using futures.
To avoid systematic risk from individual securities, the student portfolio managers establish maximum position limits. The fund is prudently diversified to avoid the undue risk inherent in concentrations in any single economic sector, industry group or individual security.
The student portfolio managers, in consultation with the oversight committee, select a benchmark for each strategy in the fund that reflects the asset allocation decision.
Each year in January, up to 20 students are selected to become ASAM fellows and act as student portfolio managers of the fund during the five-quarter period starting in the spring quarter of that year. A presentation for interested students will be given during the winter quarter. For inquiries about recruitment, please contact Rodolfo Maya (’23).
Applications will become available in Fall 2022.
Guest speakers
ASAM regularly sponsors professional money managers who present relevant topics in financial management to the team and the UCLA Anderson community.
Firm Visits
Over the course of the year ASAM will visit financial firms throughout Los Angeles to discuss the firms’ investment philosophies and their industry outlook.
What is ASAM? Anderson Student Asset Management (ASAM) is a graduate-level program designed to teach MBA students how to create stock portfolios using quantitative methods. Students selected for the program as fellows are divided into teams, and each team selects an investment strategy based on research. Strategies are backtested using computer models created by the fellows, and then implemented and tracked with funds provided by UCLA. The fund now manages about $1 million.
How many fellows are accepted? ASAM is highly competitive and only accepts between 16 to 20 students, placed in teams of four or five.
Who is ASAM open to? Full-Time MBA and FEMBA students! Unfortunately, at this time, it is not open to EMBA, MSBA, or MFE students.
Does this fulfill the capstone requirement (replacing GAP, BCO, AMR, or SIF, etc.)? Yes!
How long is the course? The course is 10-credits, four quarters long (Spring, Fall, Winter, Spring).
Please see this link for a more detailed overview of the class from Professor Ivo https://www.ivo-welch.info/teaching/asam/index.html
Do I need a Finance or Computer Science Background? Not at all! The most important qualities we look for in candidates are motivation to learn, positive attitude, and intellectual curiosity.
What is the average weekly time commitment? Expect to put in around 10 hours per week towards the class once Fall Quarter picks up. Please note, we expect the time commitment to be very similar to BCO, GAP, or any other capstone you take at Anderson. As this is a student self-directed class, an inability to put in your hours directly negatively impacts your peer’s experience. This is why we have an application process to ensure we on-board motivated candidates that help enrich the program!
When is the application open / due? Applications will open towards the end of Fall Quarter and will be due by the end of January 2022.