Long Only Equity Portfolio Management

Course Overview

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) .

Course Objectives

To equip participants with the necessary skills to succeed in this department

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