This training course covers all the aspects of the management of a long only equity portfolio from benchmark selection to risk assessment and performance evaluation, including the equity selection phase (through stock picking or data mining)
Learning Objective:
At the end of this session,..
Start Date:
11 September, 2024.
End Date:
13 September, 2024.
This training course covers all the aspects of the management of a long only equity portfolio from benchmark selection to risk assessment and performance evaluation, including the equity selection phase (through stock picking or data mining)
Learning Objective:
At the end of this session, participants will be able to:
- Define portfolio management and bench marking;
- Select and construct portfolios of investment;
- Diversify risks;
- Evaluate portfolio performance
Course Outline
- Portfolio management theory
- The Markowitz model and mean-variance analysis
- Capital Asset Pricing Theory (CAPT)
- Multiple factor analysis and the BARRA model
- Industry diversification and geographical diversification
- Definition of a management style and benchmark selection
- Management style: value versus growth, large cap versus small cap, etc.
- Introduction to the Fidelity and Morning Star matrices
- Benchmark selection : characteristics of a good benchmark
- Equity selection : filtering through statistics, financial analysis, and conviction
- Definition and follow-up of the tracking error
- Analyzing the risk factor of an equity portfolio
- Assessment of the Value At Risk (VaR) of an equity portfolio
- Risk indicators : Sharpe ratio, Treynor ratio, Jensen's (alpha) evaluation
- Hedging strategies : forex risk, market risk
- Performance attribution and GIPS format reporting
- Fama evaluations: selectivity, diversification
- Performance attribution: selection effect and allocation effect, market timing
- Performance reporting : introduction to the GIPS standards
