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ACTIVE PORTFOLIO MANAGEMENT: INVESTMENT SIMULATION

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S1-FIN-MA-EE42UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1English
Professeur(s) responsable(s)R.JOLIET
Intervenant(s)Robert JOLIET


Pré requis

Portfolio Management and Analysis (strict prerequisite)
Introduction to Bloomberg (strict prerequisite)
Introduction to Financial Markets
Corporate Finance Fundamentals
Probability and Statistics in Finance

Objectifs du cours

At the end of the course, the student should be able to:
1. Identify the approaches involved in the security selection process,
2. Distinguish between different equity investment styles,
3. Construct and monitor portfolios using the portfolio analytics system on Bloomberg (PORT function),
4. Implement equity portfolio strategies with trade-off for alphas against departure from full diversification,
5. Evaluate portfolio performance against a benchmark, including return attribution.

Contenu du cours

If equity markets were completely informationally efficient all the time, risk-averse portfolio managers would be only interested in efficient risk diversification. They could just buy and hold a broad-based index that is consistent with their investment style.
By contrast, when the market vacillates between fear and greed, active portfolio managers seek to "beat the market" by skillfully identifying information that is not (totally) reflected in stock prices. They endeavor to construct portfolios that could outperform the market on a risk-adjusted basis. The critical task in this process is to forecast alpha values ahead of time. The past does not necessarily foretell the future! Ultimately, the optimal risky portfolio should trade-off for alpha (extra return) against the departure from efficient diversification (extra firm-specific risk).

Course outline:

Part I: Passive vs. active portfolio management
1. Passive portfolio strategies: Index tracking, sampling, buy and hold approach
2. The Efficient Market Hypothesis (EMH) and the Monkey case
3. Investment policy statement
4. Investment styles in equity investing and active investment
5. Portfolio performance evaluation, performance attribution, risk exposure

Part II: Fundamental analysis and selection of common stocks: some equity portfolio strategies
1. Top-down approach
- Macroanalysis and microvaluation of the stock market
- Industry analysis
- Company analysis
2. Bottom-up approach
- Dogs of the Dow
- Super Stocks
- Magic Formula

Part III: Active Portfolio Construction
1. Asset allocation (active vs. passive portfolio; active securities)
2. Setting capital market expectations and integration of the manager’s private views
3. Forecast precision, tracking error and restriction of benchmark risk


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent study
Group Project20,00  
Independent work
Research15,00  
Charge de travail globale de l'étudiant51,00  

Méthodes pédagogiques

  • Presentation
  • E-learning
  • Research
  • Project work
  • Interactive class


Évaluation

This course is assessed through a simulation for which students construct their own equity portfolio on Bloomberg, following an investment policy statement. Students extract data from various sources to conduct a sound fundamental analysis. Their portfolio is shared with the Professor and they present midterm and final reports. The individual mark of each student is a multiplier on the team mark, which will be determined by self- and peer-assessment.

Type de ContrôleDuréeNombrePondération
Others
Individual Project20,00170,00
Continuous assessment
Oral presentation0,20230,00
TOTAL     100,00

Bibliographie

  • Analysis of Investments and Management of Portfolios - Reilly, F.K. and Brown, K.C. (South-Western. 10th edition 2012) -

  • Investments and Portfolio Management- Bodie, Z., Kane, A., and Marcus, A. (McGraw-Hill International. 9th Edition 2011) -

  • Running Money. Professional Portfolio Management - Stewart, S., Piros, C. and Heisler, J. (McGraw-Hill. 1st edition -International Edition 2011) -

  • Value Investing from Graham to Buffett and Beyond - Greenwald, B.C.N., Kahn, J., Sonkin, P.D., and Van Biema, M. (Wiley Finance 2001) -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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