The goal of this course is to teach students the foundations
of portfolio construction and performance measurement.
Key topics include:
- Return and risk measurement (for equity, fixed-income,
and derivative portfolios)
- Portfolio construction and management techniques
- Performance attribution and presentation standards
- Private Wealth Management (Wealth Allocation
Framework)
At the end of this course, students will be able to:
- calculate the risk and return of financial assets using a
spreadsheet and the R software;
- select the most apporpriate return and risk computation
methods when evaluatinfg the portfolio management
strategy followed by investor risk;
- analyze the composition of the portfolio held by wealthy
individuals when making any necessary recommendation
for change;
- assess the strengths and weaknesses of active and
passive management strategies;
- construct and evaluate one's portfolio by selecting and
combining several securities.
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
- Computer-based questions
- MCQ
- Open written questions
- Lectures based on readings
- MCQs
- Excel applications
- Video tutorials
- Portfolio simulation
The course draws its content from the following list of study
items.
- Portfolio Risk, Return, Planning and Construction
- Active Portfolio Management
- Portfolio Management Process and Investment Policy
Statement
- Alternative investments: Investing in Commodities, Real
Estate, Private Equity and Hedge Funds
- Private Wealth Management
- Portfolio Management for Institutional Investors
- Capital Market Expectations in Portfolio Management
- Economic Concepts for Asset Valuation in Portfolio
Management
- Asset allocation
- Fixed-Income Portfolio Management
- Relative-Value Methodologies for Global Credit Bond
Portfolio Management
- Hedging Mortgage Securities to Capture Relative Value
- Equity Portfolio Management
- Alternative Investments Portfolio Management (Swaps,
Commodity Forwards and Futures)
- Risk Management for Strategies on Currencies, Forward
and Futures, Options, and Swaps
- Execution of Portfolio Decisions
- Monitoring and Rebalancing of Portfolios
- Evaluating Portfolio Performance
- Global Performance Evaluation
- Global Investment Performance Standards
Page
Bacon (2008), Practical Portfolio Performance
Measurement and Attribution, 2nd ed., Wiley.
Bodie, Kane and Marcus (2010), Investments, 9th edition,
McGraw-Hill.
Roncalli (2013), Introduction to Risk Parity and Budgeting,
Chapman & HallCRC Financial Mathematics Series.
