IB9EL-15 Practice of Investment Management
Introductory description
This module provides a practical treatment of modern portfolio theory and portfolio management.
Module aims
The course will focus on equities, but also discuss aspects of quantitative investing in fixed income and currencies. The course will cover all the steps in the practice of portfolio management: security selection, portfolio construction, risk modelling, transaction cost analysis, performance measurement and attribution. Additionally, some more specialized material on asset allocation, international portfolio allocations, and currency management will be discussed. The course builds on the core theoretical work in modern asset pricing (i.e. the CAPM, APT and market efficiency) and requires a clear understanding of statistics and theoretical and applied econometrics. The course features a number of guest speakers from the city, as well as practical applications with real-world data using Matlab, R and/or Stata.
Outline syllabus
This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.
Indicative syllabus:
Foundations of Quantitative Portfolio Management
Active Management and Factor Models
Univariate Regression Tests of Accounting Ratios
Asset Management Industry
Technical Factors and Portfolio Optimization
Aggregate Z-Scores, Fundamental Factor Model
Economic Factor Model, VAR Model of Factor Premia
Quant vs. Fundamental Investing
Portfolio Construction
Transactions Costs
Risk Models and Portfolio Optimization
International Investing
Mean-Variance Optimization
Market Neutral/Long-Short Portfolios
Home Bias and Currency Hedging
Mean-Variance Optimization in Excel, Sell-side Research
Latest Research on Quant Investing in Equities
ESG in Quant Models
Latest Research on Quant Investing in Fixed Income
Latest Research on Quant Investing in Currency Markets
Learning outcomes
By the end of the module, students should be able to:
- Discuss different investor categories, differences in opportunity sets, and investment goals (total return versus risk management, e.g.) and styles (passive versus active, e.g.; systematic versus discretionary).
- Demonstrate understanding of and describe the investment strategies they have been using in detail and the context which has driven the investment returns.
- Critically evaluate and replicate empirical studies published in journals, and apply the techniques to a ‘live’ portfolio.
Indicative reading list
Chincarini, Ludwig, and Daehwan Kim, 2023. Quantitative Equity Portfolio Management, 2nd edition, McGraw-Hill [CK].
Grinold, Richard, and Ronald Kahn, 2000. Active Portfolio Management, 2nd Edition, McGraw-Hill [GK].
Litterman, Bob, 2003. Modern Investment Management, Wiley Finance [L].
Elton, Edwin J., and Martin J.Gruber, 2006. Modern Portfolio Theory and Investment Analysis, 7th edition, Wiley [EG].
Bodie, Zvi, Alex Kane, and Alan J. Marcus, 2011. Investments, 9th edition, McGraw-Hill [BKM].
Cuthbertson, Keith, 2004. Quantitative Financial Economics Stocks, Bonds and the Foreign Exchange, 2nd edition, Wiley [C].
Peterson, Steven, 2012. Investment Theory & Risk Management, Wiley [P].
Research element
Application of Stata, R, and/or Matlab to real world data
International
Discussion and examples of international investing
Subject specific skills
Interpret the results from the empirical studies in order to build signals / models and measure risk in portfolios.
Build and manage a 'live' investment portfolio and be able to describe the drivers (both internal and external) of
returns.
Transferable skills
Written communiciation.
Study time
| Type | Required |
|---|---|
| Lectures | 9 sessions of 2 hours (12%) |
| Seminars | 9 sessions of 1 hour (6%) |
| Private study | 48 hours (32%) |
| Assessment | 75 hours (50%) |
| Total | 150 hours |
Private study description
Private study to include preparation for lectures and own reading
Costs
No further costs have been identified for this module.
You do not need to pass all assessment components to pass the module.
Assessment group A4
| Weighting | Study time | Eligible for self-certification | |
|---|---|---|---|
Assessment component |
|||
| Essay 1 | 40% | 30 hours | Yes (extension) |
|
2000 word essay. |
|||
Reassessment component is the same |
|||
Assessment component |
|||
| Group Work: Student portfolio | 20% | 15 hours | No |
Reassessment component |
|||
| Individual Assignment 1000 words | Yes (extension) | ||
Assessment component |
|||
| Essay 2 | 40% | 30 hours | Yes (extension) |
|
2000 word essay. |
|||
Reassessment component is the same |
|||
Feedback on assessment
Feedback via My.WBS
Courses
This module is Optional for:
- Year 1 of TIBS-N300 MSc in Finance
- Year 1 of TIBS-LN1J Postgraduate Taught Finance and Economics