ICM201-Portfolio Management

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Terms in which taught: Spring / Summer term module
Non-modular pre-requisites:
Modules excluded:
Module version for: 2017/8

Module Convenor: Dr Andreas Hoepner

Email: a.hoepner@icmacentre.ac.uk

Summary module description:

The module aims to build on the techniques for portfolio selection that have been introduced in the Securities, Futures and Options module. The module examines the issues involved in understanding the investment market, constructing a competitive investment portfolio (of an active, passive or smart beta style), evaluating the performance of that portfolio, and adjusting its composition through time. It will also consider issues revolving around the management of risk. The compulsory, practical project of the course will provide students with hands-on experience in constructing and managing a realistic investment portfolio.

Assessable learning outcomes:
Students who successfully complete the module will be able to
• List and explain the various types of funds and financial instruments
• Learn different techniques on how to forecast equity betas
• Allocate wealth between assets, taking into account the investor’s risk aversion
• Evaluate the performance of portfolios, using various methods to allow for risk
• Discuss the evidence on whether stock markets are informationally efficient with particular reference to behavioural explanations for asset pricing anomalies
• Explain the differences between, and the rationales for, active management, passive management and smart beta.
• Construct a spreadsheet model for determining the composition of the passive investment portfolio that best meets the needs of the investor.
• Compute standard measures of risk-adjusted performance (RAPM) and performance measures adjusting for downside risk.
• Compare and contrast top-down vs. bottom-up investment strategies, and distinguish between investing for growth and investing for value.
• Understand recent trends in portfolio management (ie ESG, Smart Beta)

Additional outcomes:
The course considers the practical issues surrounding forming and managing a portfolio. In addition, the students will learn how to prepare a professional report on a piece of research undertaken while working in a group environment. In this way, the students learn to manage the interpersonal challenges of group-work, improve their abilities of setting, allocating and monitoring tasks and hone their communication and presentation skills.

Outline content:
1. Financial instruments, exchanges and the investment management market
2. Returns, risk and diversification
3. Investor preferences, beta forecasting and risk management
4. Market efficiency, behavioural finance and style investing
5. Passive portfolio management
6. Active portfolio management, fundamental and technical analysis
7. Smart Beta, Strategic Beta and other Hybrids
8. Portfolio performance evaluation
9. Hedge funds and alternative investments

Brief description of teaching and learning methods:
The above topics will be presented in a total of 20 hours of formal lectures. Exercises concerning the more quantitative aspects of the course will be covered in a series of seminars. There will also be practical workshops during which students will learn how to use information systems and spreadsheets to manage investment portfolios and assess their performance.

Contact hours:
  Spring Summer DL
Lectures 18 2 20
Tutorials/seminars 6   6
Practicals 8 2 10
Other contact (eg study visits)      
Total hours 32 4 36
Number of essays or assignments 1-hour multiple choice test   1-hour multiple choice test
Other (eg major seminar paper)   Half-hour group presentation  

Summative Assessment Methods:
Method Percentage
Written assignment including essay 60
Oral assessment and presentation 40

Other information on summative assessment:
Group Presentation (40%):
Students will be arranged in groups of 6-7 for the purposes of developing an investment portfolio strategy. Groups will meet regularly to develop a sophisticated investment strategy. In the early part of the Summer term, each group will present a professional investment pitch explaining their strategy and reviewing their back-tested portfolio performance.
Individual Essay (60%):
Each student will be required to submit an essay of 1,500 to 2,000 words discussing the academic and professional developments in an investment style of their choice and realistically re-analysing the financial performance of at least three real world investment funds that claimed to employ the particular investment style.

Formative assessment methods:

Penalties for late submission:
Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

Length of examination:
Two-hour closed-book examination

Requirements for a pass:
50% weighted average mark

Reassessment arrangements:
By written examination only, as part of the overall examination arrangements for the MSc programme.

Additional Costs (specified where applicable):
1) Required text books:
2) Specialist equipment or materials:
3) Specialist clothing, footwear or headgear:
4) Printing and binding:
5) Computers and devices with a particular specification:
6) Travel, accommodation and subsistence:

Last updated: 31 March 2017

Things to do now