FM406E Half Unit
Topics in Portfolio Management
This information is for the 2015/16 session.
Teacher responsible
Dr Michela Verardo
Availability
This course is available on the MSc in Finance (part-time). This course is not available as an outside option.
Pre-requisites
Students must have completed Asset Markets (FM423) and Corporate Finance (FM422).
Course content
• Implementing investment strategies and assessing their profitability
• Managing portfolios: trading costs, liquidity risk, FX risk
• Mutual funds and hedge funds
This course covers a wide range of topics in equity portfolio management, with a strong focus on empirical applications. The first part of the course introduces students to the implementation of several investment strategies, such as value, momentum, post-earnings-announcement-drift, betting-against-beta, carry trades; it also delves into the mechanics of the Black-Litterman model of portfolio optimization. The second part of the course explores some issues related to portfolio management, such as trading costs, liquidity risk, and currency hedging. The last part of the course analyses investment strategies of mutual funds and hedge funds, with particular emphasis on style analysis, selectivity, and timing skills. The course is based on recent empirical studies and on applied exercises using financial data.
Teaching
30 hours of lectures in the LT.
Formative coursework
Regular classworks will be completed, handed in and marked as part of formative assessment for this course.
Indicative reading
A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press.
Assessment
Exam (80%, duration: 2 hours) in the main exam period.
Coursework (20%) in the LT.
Key facts
Department: Finance
Total students 2014/15: Unavailable
Average class size 2014/15: Unavailable
Controlled access 2014/15: No
Value: Half Unit
Personal development skills
- Application of information skills
- Application of numeracy skills
- Commercial awareness