The Portfolio Management Program (PMP) provides students an ideal platform to apply state-of-the art concepts and recent developments from academic and applied research to “real-money” asset management. Thus the PMP is a very innovative teaching concept that enables students to combine theory and practice by not only learning from brilliant academics and practitioners but also by experiencing the real market behavior. Students also learn how to work with financial data providers (e.g. Bloomberg), how to properly analyze financial data, how to make decisions within groups, how to negotiate prices with counterparties and execute trades and finally how to make presentations in front of critical audiences of their peers, professors and experts.
The three investment frameworks employed are as follows with respect to a target set of asset allocation weights:
- Entrepreneurial Portfolio Management. This group uses the target asset allocation of the funds of ZZ Vermögensverwaltung. The goal of this investment approach is to systematically exploit market inefficiencies and lock-in returns linked to cash flow yield (“Rechnerische Rendite” or carry) for all asset classes. Traditionally the focus has been on emerging market currencies and fixed income.
- Passive Portfolio Management. This group uses the target asset allocation of the Harvard Endowment Fund. The goal of this approach is to invest through passive investment instruments such as exchange traded funds (ETFs). This is supplemented by an active management part allowing for systematic deviation from the target allocation in order to seize market opportunities.
- Portfolio Management based on active Manager Selection. This group utilizes the target asset allocation of the Yale Endowment Fund. The goal of this approach is to achieve sustainable excess returns by actively selecting the best managers. This is complemented by an active management part that allows students to tactically adjust the target allocation in order to exploit market opportunities.
All groups are also required to set up an adequate risk management process as well as develop a suitable documentation and controlling process within the predetermined framework.