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PORTFOLIO MANAGEMENT

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-MBK1S2-FIN-MBKCE09UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Investment Banking and Capital Markets1S2English
Professeur(s) responsable(s)R.JOLIET
Intervenant(s)R.JOLIET


Pré requis

Portfolio Theory
Financial Analysis

Objectifs du cours

At the end of the course, the student should be able to:
1. Construct passive equity portfolios that track the performance of an underlying stock index
2. Distinguish between different equity investment styles and construct corresponding factor/style indexes
3. Implement active equity portfolio management strategies, using fundamental analysis
4. Evaluate portfolio performance against a benchmark, including return attribution
5. Report detailed portfolio information and regular commentaries in the portfolio factsheet
.

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(s) or simply track the index performance with a passive fund. By contrast, when the market vacillates between fear and greed, active portfolio managers seek to outperform their benchmark by skilfully identifying and using information that is not (totally) reflected in stock prices.

Part I : Multifactor models and APT
1. Estimation of fundamental factor models
2. Multicollinearity and factor models
2. Fama-French-Carhart four-factor model
3. Factor indices

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

Part III: Fundamental analysis and selection of common stocks: Equity portfolio management strategies
1. Top-down approach:
- Economic analysis and setting capital market expectations
- Industry analysis and sensitivity to the business cycle
- Company analysis and the relative valuation of stocks
2. Bottom-up approach:
- Growth strategies
- Low P/E strategies: the Magic Formula
- Low P/S strategies: the Super Stocks
- High BTM strategies: the Piotrosky score
- High DY strategies: the Dogs of the Dow

Part IV: Active Portfolio Construction and Revision
1. Asset allocation (active vs. passive portfolio; active securities)
2. Forecast precision, tracking error and restriction of benchmark risk
3. Integration of the manager’s private views


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class24,00  
Independent work
Research10,00  
Independent study
Group Project20,00  
Individual Project15,00  
Estimated personal workload6,00  
Charge de travail globale de l'étudiant75,00  

Méthodes pédagogiques

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


Évaluation

The course is assessed through simulations for which students construct their own equity portfolios on Bloomberg. Students extract data from various sources to conduct a sound fundamental analysis. Their portfolios is shared with the Professor and they present midterm and final reports in group. At the end of the course, each member of the group will turn in an individual equity research report for one of the stock included in the group’s portfolio. Each team member will choose a different company. It must include the fundamental features and information considered as essential to every research report, following the recommendations of the CFA (document available on Ieseg-online).

Type de ContrôleDuréeNombrePondération
Others
Group Project0,00240,00
Individual Project0,00140,00
presentation
statement0,00220,00
TOTAL     100,00

Bibliographie

  • Investments- Bodie, Z., Kane, A., and Marcus, A. (McGraw-Hill Education. 10th Global Edition 2014) -

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

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


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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