Durée
30h Th
Nombre de crédits
Enseignant
Langue(s) de l'unité d'enseignement
Langue anglaise
Organisation et évaluation
Enseignement au deuxième quadrimestre
Horaire
Unités d'enseignement prérequises et corequises
Les unités prérequises ou corequises sont présentées au sein de chaque programme
Contenus de l'unité d'enseignement
Course structure following "Investment Analysis and Portfolio Management" (10th ed), by Keith C. Brown & Frank K. Reilly (henceforth B&R)
Background (based on readings which should be prepared before the course starts)
1. General background:
B&R Part 1: The Investment Background: pre-reading
2. For equity markets:
Overview of equity securities by Ryan C. Fuhrmann, CFA and Asjeet S. Lamba, CFA:
- Types of equity securities and their characteristics
- Equity markets: characteristics, institutions, and benchmarks
(i) Fixed-income securities: defining elements by Moorad Choudhry, PhD, and Stephan E. Wicox, PhD, CFA
(ii) Fixed-income markets: Issuance, trading and funding by Moorad Choudhry, PhD, Steven V. Mann, PhD, and Lavone F. Whitmer, CFA
- Types of fixed income securities and their characteristics
- Fixed Income markets : characteristics, institutions and benchmarks
Detailed course plan:
A. Efficient capital markets
1. Efficient Market Hypotheses
2. Tests and Results of the Hypotheses
3. Behavioral Finance
4. Implications of Efficient Capital Markets
Reading: B&R Ch 6. Efficient Capital Markets.
B - On the way to the CAPM
1. Risk and return: assumptions
2. Markowitz Portfolio Theory
3. The Capital Market Line
4. The Security Market Line
5. CAPM: Theory vs. Practice
Readings:
B&R Ch 7. An Introduction to Portfolio Management.
B&R Ch 8. An Introduction to Asset Pricing Models.
C - Multifactor Models
1. Introduction to Multifactor Models
2. Arbitrage Pricing Theory
3. Empirical Multifactor Models
4. Style Analysis
Reading: B&R Ch 9. Multifactor Models of Risk and Return.
D - Passive and Active Strategies
1. Passive Strategies
2. Fundamental Active Strategies (specific scientific papers will be studied)
3. Technical Active Strategies (specific scientific papers will be studied)
Readings:
B&R Ch 15. Equity Portfolio Management Strategies.
B&R Ch 16. Technical Analysis.
E - Bond Portfolio Management
1. Bond Valuation and Yields
2. The Yield Curve
3. Duration and Convexity: an Introduction
4. Bond Investment Strategies
Readings:
B&R Ch 18. The Analysis and Valuation of Bonds.
B&R Ch 19. Bond Portfolio Management Strategies.
F - Portfolio Performance
1. Traditional performance measures
2. Attribution analysis
Reading: B&R Ch 25. Evaluation of Portfolio Performance.
+ extra material posted on Lola.
Acquis d'apprentissage (objectifs d'apprentissage) de l'unité d'enseignement
At the end of this course students will be able to:
- Understand the overall investment process, including general asset allocation as well as specific investments in asset classes such as equities, bonds and alternative investments; understand the difference between active and passive approaches to portfolio management;
- Understand the concepts of risk and return in order to assess the attractiveness of investments applying factor models or various performance measures;
- Understand central capital market models such as the Capital Asset Pricing Model, the Arbitrage Pricing Theory and the Efficient Market Hypothesis and know techniques and approaches such as the Markowitz Portfolio Optimization in investment management, which have proven themselves in practical application;
- Be able to understand, analyze and solve real-life, unprecise situations where investment decisions have to be made, in light of limited market data;
- Be able to research and understand a scientific article related to investment management.
Specific skills and competences trained during this course.
At the end of this course students will have:
- Gained knowledge and understanding of financial techniques and basis statistics tools to be able to use them in order to solve real-life financial management problems or cases;
- Improved their abstract reasoning related to advanced financial concepts such as equity and bond pricing or risk-adjusted performance measurement;
- Strengthened their capacity to research autonomously and methodically the information needed to solve a complex, transversal real-life investment problem, to perform a rigorous analysis of the problem at hand and to design economically sound solutions;
- Developed their ability to speak English;
- Developed team work abilities;
- Strengthened their capacity for creative conception of solutions;
- Strengthened their professional capacity for oral communication;
- Strengthened their professional capacity for written communication.
Savoirs et compétences prérequis
Prerequistes are:
- Some acquaintance with financial markets and instruments (see prereadings);
- Familiarity with cash flow discounting;
- Basic statistical techniques (descriptive statistics, hypothesis testing and linear regression).
A good level of English is also required.
Activités d'apprentissage prévues et méthodes d'enseignement
The main course consists of a set of lectures (7 to 8 sessions of 3 hours). The lecture is a mix of theoretical concepts, illustrative examples, exercises and open discussions on the various concepts taught. It is complemented with exercise sessions (2 sessions of 3 hours) that will illustrate more deeply real-life applications of portfolio management. Students are expected to prepare lecture and tutorial meetings to have an active participation in class.
Students may additionally be required to complete a group assignment, with a processing time of approximately six to eight weeks. The assignment involves empirically evaluating the performance of a trading strategy, an equity or bond market fund using real-life market data and the active participation in a stock market simulation (StockTrack). Active participation by all group members is expected and will be assessed through an oral presentation of the results; no written report is required. Whether this assignment takes place depends on final enrolment numbers and on the availability of a teaching assistant to coordinate the StockTrack component.
Mode d'enseignement (présentiel, à distance, hybride)
Cours donné exclusivement en présentiel
Informations complémentaires:
see above
Supports de cours, lectures obligatoires ou recommandées
Plate-forme(s) utilisée(s) pour les supports de cours :
- LOL@
Informations complémentaires:
The required textbook that will be used throughout the course is:
- Brown, Reilly, 2012. Investment Analysis and Portfolio Management. 10th ed. International Student Edition. Thomson One, Business School Edition.
Recommended books are:
- Bodie, Kane, Marcus, 2024. Investments. 13th ed. McGrawHill.
- Bodie, Kane, Marcus, 2021. Essentials of Investments. 12th ed. McGrawHill.
- Elton, Gruber, Brown, Goetzmann, 2013. Modern Portfolio Theory and Investment Analysis. 9th ed. Wiley.
- François, Hübner, 2024. The Complete Guide to Portfolio Performance. 1st ed. Wiley & Sons.
The books will be complemented by a set of scientific articles and slides.
Modalités d'évaluation et critères
Examen(s) en session
Toutes sessions confondues
- En présentiel
évaluation écrite ( QCM, questions ouvertes )
Travail à rendre - rapport
Informations complémentaires:
The final grade combines the written exam (multiple-choice questions with a correction for guessing, plus open questions) and, if it takes place, the group assignment. Note that the assignment grade is only included in the calculation if the student obtains a passing grade on the written exam.
The usual weighting is 80% for the written exam and 20% for the assignment. If the assignment does not take place, or if its grade cannot be taken into account, the written exam counts for 100% of the final grade.
Students who do not actively participate in the group work will automatically receive a failing grade for the assignment. Assignment points cannot be carried over from one academic year to the next.
Written exam
- Ability to explain the intuition behind the various theoretical concepts studied such as portfolio optimization, Capital Asset Pricing Model, pricing of equities and bonds, performance measurement of various assets, etc.;
- Ability to compute returns, optimal portfolio-weights, Sharpe Ratios and other various measures of risk and return, equity and bonds prices, etc.;
- Write straight-to-the-point answers.
Assignment
- Ability to compute price estimates using the pricing methods studied in class;
- Ability to conduct empirical analysis on a given data set, i.e., calculate risk-adjusted returns and various performance measures (risk and return);
- Ability to write a clean, organized and comprehensive report, to work in groups.
Stage(s)
none
Remarques organisationnelles et modifications principales apportées au cours
Finance is by nature an analytical field. As a consequence, this course requires students to understand models, perform calculations, and carry out numerical analysis. The purpose of problem-based work is to understand the underlying issues, not to reproduce answers. There are no "right answers" to the assignment, only strong and weak arguments in support of a particular decision.
Students are expected to do their own work, or to work within their assigned group. Using materials from former academic years or from other undisclosed sources is not tolerated, and no plagiarism of any kind will be accepted. The group assignment does not involve a written submission; the deliverables are the presentation slides and, where applicable, the progress recorded on StockTrack.
The use of AI tools is permitted and may in fact be encouraged for parts of the assignment. Where AI tools are used, this must be stated openly, indicating which tool was used and for what purpose. Students remain fully responsible for the accuracy of any results and for their ability to explain and defend them during the oral presentation.
Attendance at lectures and tutorials is not required but is strongly recommended. Some exam questions may draw specifically on material presented orally during lectures or tutorials. Attendance at invited guest lectures is compulsory.
Contacts
Prof. Dr. Patrick Schwarz
email : patrick.schwarz[at]uliege.be
Teaching assistant: Tba
email : tba
Association d'un ou plusieurs MOOCs
Aucun MOOC n'est associé à ce cours.