It’s difficult to get an asset management internship in college, and much easier at the MBA level.
This is because hedge funds look for work experience more than simply good grades, since having substantial business experience is key to becoming a good research analyst. Not only do you have to have the technical skills – modeling, market knowledge, knowing different instruments to invest – but you need to bring something to the table in terms of industry knowledge. If you know a particular niche within an industry well, you bring something to the table at a hedge fund that other people don’t. This is how you can add value. The article Best Hedge Fund Career Paths talks more about why recruiting for hedge funds at the college level is difficult, and discusses the typical career paths to landing a hedge fund job.
Besides offering expertise in an industry niche, another way to get a hedge fund internship is to offer solid excel or programming skills for data analysis, especially at hedge funds with a quantitative bent. You can help them by screening for investments, write automated scripts, and develop portfolio management tools. If a hedge fund can get your excel or programming skills for free and you are an eager learner, I think it’s a possibility.