UCL - Active Portfolio Management

[LSMS2016]

[30h] 5 credits

Teacher(s): Piet Sercu

Language: English

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

Students should be able to set up a portfolio that meets investors' expectations in terms of risk-return trade-off and to measure and attribute the performance over a reference period.

Main themes

The course covers the different strategies commonly used in portfolio management. For equities, we will focus on multi-factor model and for bonds, we will analyze interest rates based strategies as well as issuer selectivity. Performance measurement and attribution for equities, bonds and balanced portfolio are covered in the second part of the course.

Content and teaching methods

The main topics of this course are related to active portfolio strategies. We will analyze market timing and selectivity in the context of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). A case study helps the student to better understand the implementation of such strategies and the tools of performance measurement and attribution. The case study uses market data extract from Datastream.

Content
Active market timing
Selectivity
Interest based strategies
Multi-factor model
Arbitrage Pricing Theory (APT)
Hedge funds strategies
Performance measurement (Sharpe ratio, Jensen's alpha, Information ratio, Sortino,.)
Performance attribution (Brinson et all., Singer & Karnowski)

Methods
In-class activities
- Lectures
- Project based learning

At home activities
- Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Prerequisites (ideally in terms of competiencies)
Portfolio theory (Markowitz, CAPM), equity and bond valuation, statistic.

Evaluation : Class participation and oral examination, in French or English
Final evaluation is based on the paper work for 1/3 of the final note. 2/3 of the final note results from an written exam.

Support :
Books and articles available at the library (either paper or electronic review). Slides that summarize lecture contents are available on i-campus.

References :
Provide during the class

Internationalisation
- international content (does the course tackle international issues related to the course content ?)
- international case study

Corporate features
- corporate guest

Skills
- team work

Techniques and tools for teaching and learning
- IT tools