Portfolio Management (765N1)

15 credits, Level 7 (Masters)

Spring and summer teaching

Working in small teams (typically 4–6), you will be given a mandate to construct an investment portfolio. You will track its performance, write a report and make a presentation to a client (a panel with at least one faculty member and one associate tutor), as if you were already working in the fund management industry.

Formal lectures during Spring term focus on:

• Methods for integrating information, both objective and subjective (Treynor-Black, Black-Litterman, Least-discrimination approaches), for portfolio allocation
• Understanding utility-based investment criteria (certainty equivalent, Generalized Sharpe and information ratios) for portfolio optimisation
• Examining specific portfolio strategies (e.g., pension funds, hedge funds, portfolio insurance)

1. Securities markets and institutions; modelling of returns
2. Mean-variance analysis
3. Factor models; market equilibrium; Treynor-Black method
4. Performance measurement; Utility functions and certainty equivalents
5. Black-Litterman and least-discrimination methods
6. Technical and fundamental analyses for equities and bonds
7. Derivatives for investing and hedging; portfolio insurance
8. Special investment products and strategies (structured products, pension funds, hedge funds) 
9. Cost effective trading, risk assessment, performance attribution and reporting

Seminars will consist of:

1. Introduction to the trading platform
2. Interpretation of the management mandate
3. Equity analysis and stock selection screens
4. Implementation of Treynor-Black and Black-Litterman models
5. Guidance for report preparation and presentation

Contact hours and workload

This module is approximately 150 hours of work. This breaks down into about 36 hours of contact time and about 114 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.

We regularly review our modules to incorporate student feedback, staff expertise, as well as the latest research and teaching methodology. We’re planning to run these modules in the academic year 2023/24. However, there may be changes to these modules in response to feedback, staff availability, student demand or updates to our curriculum. We’ll make sure to let you know of any material changes to modules at the earliest opportunity.