Portfolio Management

Teacher(s)

D'Hondt Catherine;

Language

French

Prerequisites

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)

Learning outcomes

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.

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
  • Socially Responsible Investment & ESG factors

Teaching methods

• Lectures
• Stock Trak portfolio management assignment
• Exercises

Evaluation methods

• Written examination with open questions at mid-term (50%)
• Ongoing assessment based on Stock Trak portfolio simulation 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