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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
MSc in Finance1S2English
Professeur(s) responsable(s)A.RUBESAM
Intervenant(s)Alexandre RUBESAM

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

1. Understand the concepts of market efficiency, active portfolio management as well as the empirical evidence in favor/against the active approach.
2. Identify the approaches involved in the security selection process,
3. Distinguish between different equity investment styles,
4. Construct an Investment Policy Statement
5. Build and monitor portfolios using the portfolio analytics system on Bloomberg (PORT function),
6. Implement equity portfolio strategies with trade-off for alphas against departure from full diversification,
7. Evaluate portfolio performance against a benchmark, including return attribution.
8. Understand how active portfolio management differs from passive management and simulate active portfolio management in real conditions (learning objective AACSB)

Contenu du cours

Under market efficiency, there would be no reward to security selection, since all available information would already be reflected in assets' prices at all times. Thus, risk-averse investors would only be interested in efficient risk diversification and invest passively according to their investment style, e.g. by following a broad market index. In contrast, active portfolio managers seek to "beat the market" by applying research efforts and their expertise to identify information that is not totally reflected in stock prices, i.e. finding under or over-valued stocks. They endeavour to construct portfolios that could outperform the market on a risk-adjusted basis.

Course outline:

Part I: Passive vs. active portfolio management - definition of passive and active portfolio strategies; index creation and tracking; the Efficient Market Hypothesis (EMH); empirical evidence on return predictability; building an Investment Policy Statement (IPS); investment styles in equity investing and active investment; "smart beta": styles vs factors; portfolio performance evaluation, performance attribution, risk exposure.

Part II: Fundamental analysis and selection of common stocks: some equity portfolio strategies
Top-down approaches (macro/micro valuation of the stock market; industry/sector analysis; company analysis); Bottom-up approach (common approaches to equity selection based on multiples and other information).

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

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture20,00   Concepts are introduced as well as case studies and applied exercises, plus in-class Excel and PORT applications
Independent work
Reference manual 's readings20,00   Reference book chapters, exercises, tutorials (Excel and course concepts), and videos
Independent study
Individual Project15,00   Creating an investment policy statement; implementing the portfolio and justifying security selection via sound analysis; producing performance and risk/tracking error reports.
Charge de travail globale de l'étudiant55,00  

Méthodes pédagogiques

  • Project work
  • Interactive class
  • Case study
  • Coaching


1. Individual or group project (depending on size of class) where each student/group develops an investment policy statement and constructs their own equity portfolio on Bloomberg. Their portfolio is shared with the Professor and they submit midterm and final reports. The portfolio's security selection must be justified by sound analysis and be consistent with the IPS.
2. A final exam composed of problems and eventually well-chosen course questions focused on the practical aspects of active portfolio management (students can bring a two-sided A4 cheat sheet only devoted to valuation formulas).

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00250,00
Individual Project15,00150,00
TOTAL     100,00


  • BODIE, Z., KANE, A., and MARCUS, A., 2014. INVESTMENTS, McGraw-Hill Education, 10th Global Edition -

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

Ressources internet

* Informations non contractuelles et pouvant être soumises à modification
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