Note from June 29, 2020
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
5 credits
30.0 h
Q2
Teacher(s)
D'Hondt Catherine;
Language
French
Prerequisites
None (at the master level)
Main themes
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)
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)
Aims
At the end of this learning unit, the student is able to : | |
| 1 |
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”.
Content
- Key concepts
- Some useful reminders
- Market Efficiency Hypothesis
- Key players in the industry
- Markets & execution mechanisms
- Classification of assets
- Market indices
- The portfolio management process
- Modern Portfolio Theory and beyond
- The importance of diversification
- The pitfalls of Modern Portfolio Theory
- The Capital Asset Pricing Model
- Extensions to the CAPM
- Performance Measurement
- Investment strategies
- Basic strategies
- Strategic Asset Allocation
- Tactical Asset Allocation & Security Selection
- Style Investment
Teaching methods
- Lectures
- Stock Trak portfolio management assignment
- Exercises
Evaluation methods
- Written examination (50%)
- Ongoing assessment based on Stock Trak portfolio assignment (50%)
- The ongoing assessment score is no longer taken into account in the second session (resit exam=100%)
Other information
- Teaching material provided in English
- Course taught in French
Bibliography
- Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments (Vol. 10th Edition). New York: McGraw-Hill Education
- Portfolio Management: An Overview by Robert M. Conroy, CFA and Alistair Byrne, CFA
- Basics of Portfolio Planning and Construction by Alistair Byrne, CFA and Frank E. Smudde, CFA
Faculty or entity
CLSM
