Asset Management Industry

Posts about the, in some parts crazy, world of asset management. Expect content that challenges the usual marketing chatter.

AgPa #1: Index Whales

Index Providers: Whales Behind the Scenes of ETFs (2021)
Yu An, Matteo Benetton, Yang Song
Invited for submission to the Review of Financial Studies, URL

The first research paper examines a specific area of the asset management industry: Exchange Traded Funds (ETFs) and index providers, the companies selling market indices like the S&P 500.

In a remarkable combination of empirical analysis and theoretical modeling, the authors present several interesting results:

  • Index providers are an oligopoly
  • ETF investors care about the index
  • Index providers capture 1/3 of ETF fees
  • Index providers are extremely profitable

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Big Data & Machine Learning in Asset Management

This week I gave a talk on “Big Data and Machine Learning in Asset Management” at Goethe-University in Frankfurt. Thanks again to my thesis-supervisor Sasan Mansouri for the invitation. In this post I will summarize a few points of the talk and share the slides. The key result is the following framework to evaluate investment strategies that claim to use big data and machine learning. I also apply this to several real world funds.

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