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Active Portfolio Management
Objective:
To give an understanding of active portfolio management. Reasonable quant knowledge is assumed.
Outline:
- Portfolio Concepts
Definitions
Examples and Applications
- Mean Variance Analysis
Mean Variance Frontier
Portfolio Possibilities Curve
Related Concepts
Example using historical return data
- Practical Issues and Concepts
Diversification and Portfolio Size
Diversification and Portfolio Size – An Example
Portfolio Choice – Risk Free Assets and Capital Allocation Line (CAL)
The Capital Market Line (CML)
Applying a set of decision rules – An Example
Optimisation and Inputs
- Multifactor Models
Identifying Factors and Factor Types
Example – Fundamental and Macroeconomic Factors
Factor Sensitivity
Arbitrage Pricing Theory and Factor Modelling
Current Practice
Risk Factors and Active Risk Management
- Market Timing
Value of market timing – concept and application
- Security Selection
Portfolio Construction
Active and Passive Portfolios
Multifactor Models and Active Management
- Imperfect Forecasts of Alpha
Examples and Applications
Model Limitations
- Final Thoughts and Conclusion
Todays Date: |
| Duration | ½ day |
| London | Further dates available on request |
| Fee | £ 300 + VAT |
Investment Education PLC
45 Old Hall Road, Manchester M7 4JF, United Kingdom
Tel:+44 (0)161 832 3800
Email: mail@investmentEducation.net
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