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MFGV: Applied Portfolio Management (B30006)

General information

Type:

OP

Curs:

5

Period:

S semester

ECTS Credits:

4 ECTS

Teaching Staff:

Group Teacher Department Language
Ed: 1 Ramón Alfonso Mata Economía, Finanzas y Contabilidad ENG

Group Teacher Department Language
Ed: 2 Ramón Alfonso Mata Economía, Finanzas y Contabilidad ENG

Workload distribution

Workload distribution:
Contact hours: Lectures 18 hours & Case Studies 9 hours
Autonomous and group work: 20 hours
Final Exam: 3 hours

COURSE CONTRIBUTION TO PROGRAM

Portfolio management has undergone intense development in recent years with the mass use of new financial instruments (ETF, structured products, mutual funds of all kinds). The financial markets are now truly global in all senses. Mastering portfolio management techniques is basic to increase the possibilities of success of an investment in the financial markets.

This course concentrates on the key elements that an investor must know in order to understand portfolio management techniques. We will combine the theory with real and current cases that will help in understanding how to use the different techniques. At the end of the course we will be able to evaluate the performance of a portfolio and judge the quality of the portfolio manager.

The use of portfolio management techniques is a basic tool which enables the investor to be successful in more global and complex financial markets. We will develop the skills required to form an opinion and take decisions, while also focusing on results. The course will help in developing the strategic logic for portfolio management.

Course Learning Objectives

Learning objectives of the course:
The course aims to help students gain the knowledge required to create and manage a fixed income or equity portfolio efficiently.

Students taking this course will learn to:
- Identify the objectives of investors and the constraints they face.
- Identify the asset classes and their profit/risk profile, the optimisation procedure, understanding strategic and tactical asset allocation
- Know the different techniques for active and passive fixed income portfolio management (indexation, immunization, cash flow matching)
- Know the active equity portfolio techniques (top down, sector allocation, bottom up) and how to apply them
- Know the passive equity portfolio techniques as well as hedging and portfolio insurance
- Understand how to evaluate the performance of a portfolio manager.

Skills developed:
- Be able to acquire, to understand and to structure knowledge on how to manage a fixed income and equity portfolio.
- Be able to make decisions, to optimize and to evaluate the performance of a portfolio.

CONTENT

1. The portfolio management process and the investment policy statement

2. The asset allocation process

3. Portfolio optimization

4. Portfolio performance evaluation

5. Fixed income portfolio management

6. Equity portfolio management - -Top down

7. Equity portfolio management - Bottom up

8. Equity portfolio management: Passive3 and hedging techniques

9. Equity portfolio management: Hedging techniques

10. Final Exam

Relation between Activities and Contents

1 2 3 4 5 6 7 8 9 10
Case reports                    
Exam                    
Class participation                    

Methodology

Content and methodology:
The course is based on lectures and case study discussions. In order to prepare for the course participants will receive assigned reading material and a number of cases that will distributed throughout the course. Participants are expected to thoroughly prepare and analyze the pre-assigned reading material and cases before each class. This course has been designed as a seminar and, as such, it is fundamental that students actively participate in class discussions.

Contents:
- S1. The portfolio management process and the investment policy statement.
- S2. The asset allocation process
- S3. Portfolio optimization
- S4. Portfolio performance evaluation
- S5. Fixed income portfolio management
- S6. Equity portfolio management - Top down
- S7. Equity portfolio management - Bottom up
- S8. Equity portfolio management: Passive and hedging techniques
- S9. Equity portfolio management: Hedging techniques
- S10. Final Exam

ASSESSMENT

ASSESSMENT BREAKDOWN

Description %
Case reports 45
Exam 45
Class participation 10

Assessment criteria

45% Case reports (group based)
45% Exam (individual based)
10% Class participation (individual based)

Bibliography


Learning materials will be provided for each session. You can download them from the course Moodle.

In case you want to have other references on portfolio management:
John L. Maginn, Donald L. Tuttle, Jerald E. Pinto, Dennis W. McLeavey, Managing Investment Portfolios, John Wiley, Hoboken NJ, 2007

Lukasz Snopek, The Complete Guide to Portfolio Construction and Management, Wiley Finance, Chichester, 2012

John L. Maginn, Donald L. Tuttle, Jerald E. Pinto, Dennis W. McLeavey, Managing Investment Portfolios, John Wiley, Hoboken NJ, 2007.

Timetable and sections

Group Teacher Department
Ed: 1 Ramón Alfonso Mata Economía, Finanzas y Contabilidad

Timetable Ed: 1

From 2018/9/7 to 2018/10/5:
Each Friday from 8:00 to 11:00. (Except: 2018/9/14)

From 2018/10/26 to 2018/11/30:
Each Friday from 8:00 to 11:00.

Group Teacher Department
Ed: 2 Ramón Alfonso Mata Economía, Finanzas y Contabilidad

Timetable Ed: 2

From 2019/2/5 to 2019/4/23:
Each Tuesday from 14:00 to 17:00. (Except: 2019/3/19 and 2019/4/16)