Schedule: 07.01.2020 - 12.02.2020
Teacher in charge (valid 01.08.2019-31.07.2020):
Assistant professor Juha Joenväärä
Teaching Period (valid 01.08.2019-31.07.2020):
III (spring 2020)
Learning Outcomes (valid 01.08.2019-31.07.2020):
By the end of the course, the student understands the risk and return characteristics of alternative investments such as private equity, and hedge funds. They also understand the potential benefits and costs when alternative investments are added to standard stock/bond portfolio. Student are able compute and interpret the standard private equity fund and hedge fund performance/risk measures, and utilize measures when they perform the quantitative due diligence process.
Content (valid 01.08.2019-31.07.2020):
The course gives an overview of different type alternative investments with focus on private equity and hedge fund investments. The course will critically evaluate the potential diversification benefits that alternative investment may provide for investors. For private equity and hedge fund investments, the risk and performance are assessed using state-of-art metrics. The course gives an overview of quantita-tive due diligence process. The course focuses on broader questions how alternative investments can be used in the context of portfolio management, and does not cover valuations of individual private equity companies or detailed information on each hedge fund investment strategy.
Assessment Methods and Criteria (valid 01.08.2019-31.07.2020):
1. Private equity case (30%)
2. Hedge fund case (30%)
3. Exam (40%)
Workload (valid 01.08.2019-31.07.2020):
Contact teaching (specified in course syllabus)
Independent study (specified in course syllabus)
Exam, 3 h
Study Material (valid 01.08.2019-31.07.2020):
e.g. Material provided by the lecturer or
• Barber and Wang (2013), Do (Some) University Endowments Earn Alpha?, Financial Analysts Journal, https://DOI:10.2469/faj.v69.n5.4
General private equity readings:
• Ang and Sorensen (2012), Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches. Quarterly Journal of Finance. https://doi.org/10.1142/S2010139212500115
Risk and return in private equity
• Franzoni, Nowak, Phalippou (2011), Private Equity Performance and Liquidity Risk, Journal of Fi-nance. https://doi.org/10.1111/j.1540-6261.2012.01788.x
Private equity fund performance:
• Harris, Jenkinson and Kaplan, How Do Private Equity Investments Perform Compared to Public Equity? http://dx.doi.org/10.2139/ssrn.2597259
• Brown, Harris, Hu, Jenkinson, Kaplan, and Robinson, Can Investors Time Their Exposure to Pri-vate Equity? http://dx.doi.org/10.2139/ssrn.3241102
Hedge fund performance:
• Stulz (2007). Hedge Funds: Past, Present, and Future. Journal of Economic Perspectives, https://DOI:10.1257/jep.21.2.175
• Joenvaara, Kauppila, Kosowski, and Tolonen (2019). Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses? http://dx.doi.org/10.2139/ssrn.1989410
Portfolio choice with alternatives
• Ang, Andrew, Illiquid Asset Investing, Columbia Business School Research Paper No. 13-2. http://dx.doi.org/10.2139/ssrn.2200161
Additional readings for private equity case and hedge fund case (TBA)
Substitutes for Courses (valid 01.08.2019-31.07.2020):
Replaces the course 28E35500 Private Equity Investment (6 cr)
Course Homepage (valid 01.08.2019-31.07.2020):
MyCourses 28E35700 (tba)
Grading Scale (valid 01.08.2019-31.07.2020):
Registration for Courses (valid 01.08.2019-31.07.2020):
Course and exam registration via WebOodi. See the registration time in We-bOodi. For any registration related matter, please contact the department’s planning officer.
Further Information (valid 01.08.2019-31.07.2020):
A maximum of 80 students can be accepted to the course.
- Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in WebOodi) will not be prioritized and can participate only if there are places remaining.
Remaining seats are prioritized as follows, in the order of registration in WebOodi within one category:
1. Finance M.Sc. exchange students from other universities
2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
3. All other M.Sc. students
Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.
Students may be required to confirm their registration by signing the participation list circulated during the first lecture.