Duration
30h Th
Number of credits
| Master in management, professional focus in Banking and Asset Management | 5 crédits | |||
| Extra courses intended for exchange students (Erasmus, ...) | 5 crédits |
Lecturer
Language(s) of instruction
English language
Organisation and examination
Teaching in the first semester, review in January
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
The course extends and deepens the course "Investments and Portfolio Management" (IPM) for students having a finance major in management (BAM) or economics (E&F).
Students are expected to master to a large extent the core topics of IPM, which is a formal prerequisite, namely covering chapters 6-9, 15-16, 18-19, and 24-25 of the IPM reference textbook (Brown & Reilly), as well as chapters 2 (sections 2.1 and 2.2) and 3 of this course's reference textbook (François & Hübner, The Complete Guide to Portfolio Performance (CGPP)).
This course features in the framework of the CFA Institute University Recognition Program. It spans a significant portion of the CFA Programe Candidate Body of Knowledge (CBOK), and explicitly prepares for the CFA certification.
Course structure:
Pre-readings CGPP - Ch 2 & 3
a. The portfolio allocation problem - Ch 2 Section 2.1
b. The market portfolio and the Security Market Line - Ch 2 Section 2.2
c. The traditional performance measures - Chapter 3
Introduction: the scope of portfolio management and performance measurement - CGPP - Ch 1 - Sections 1.1, 1.3
1. The CAPM, and asset pricing models - CGPP - Ch 2
a. Implementing the CAPM - Section 2.3
b. Multifactor models - Section 2.4
2. Classical performance measurement - CGPP - Ch 3, 4, 5, 6, 7, 13
a. The choice of a performance measure - Chapter 4, Ch 13 Section 13.3
b. Challenges and variations - Chapters 5 & 6
c. Performance measurement for multifactor models - Chapter 7
3. Personal portfolio management - CGPP - Ch 9, 10, 13.1
a. Portfolio management for the rational investor - Chapter 9
b. Portfolio management for the behavioral investor - Chapter 10
c. Granular analysis of performance - Ch 13 Section 13.1
4. Portfolio management strategies and performance - CGPP - Ch 8, 12, 13.2, 14
a. Market timing - Chapter 8
b. Fixed income management - Ch 12 Section 12.1
c. Hedge funds & Private equity - Ch 12 Section 12.2 to 12.4
d. Performance contribution and attribution - Ch 13 Section 13.2, Chapter 14
5. Specific portfolio management issues - CGPP - Ch 16, 17
a. Determining the investment universe - Ch 16 Section 16.1
b. Special investor needs - Ch 16 Section 16.3
c. ESG investments - Ch 16 Section 16.4
d. Predictability - Chapter 17
e. Agency conflicts, skills and luck - Ch 18 Sections 18.1, 18.2, 18.5
Learning outcomes of the learning unit
The objective of the course is to allow students to deepen their basic understanding of asset management, from the standpoints of preparation, execution, and control of performance. The points of view adopted are both the one of the individual investor and the professional asset manager.
Intended Key Learning Outcomes:
In concordance with the Key Learning Outcomes of the Master in Management Sciences, this course aims to enable the student to:
- Strategy: Establish a strategy in order to optimize the value chain of a company, an organization or a project
* based on the analysis of its financial and economic context.
* taking into account its political, social and societal context.
* taking into account its legal constraints.
* adopting the position of a specialist in the field of management of his / her finality.
* demonstrating a critical mind and scientific precision.
- Implementation: Take charge of the everyday management of a company, an organization or a project
* implementing the strategy that was established for this company, organization or project.
* in a holistic perspective, taking into account the interactions between its different functions.
* capitalizing on the characteristics of a more and more digitalized world.
* analyzing his/her managerial practice with a critical and ethical mind.
- Control: Plan and implement the performance and quality control in a company, an organization or a project
* in a holistic perspective, taking into account the interactions between its different functions.
- Communication: Communicate efficiently, internally and externally, about a company, organization or project
* in English.
- Adaptability: Adapt his/her managerial practice to the needs of a fast-evolving world.
* showing curiosity and a scientific precision of academic level.
* showing creativity, autonomy and entrepreneurial spirit.
Prerequisite knowledge and skills
- Investments and Portfolio Management (or equivalent) A solid background in probability theory and statistics is required.
Planned learning activities and teaching methods
- Theory sessions (including illustrations and practical examples)
- Presentations by external guest experts
- 2 x 3 hours of exercise sessions, based on the examples developed in the reference book
- Group assignment, aiming at realizing the complete analysis of an investment process with real data
Mode of delivery (face to face, distance learning, hybrid learning)
Blended learning
Further information:
Theory + Exercise sessions
Practical group assignment (graded)
Course materials and recommended or required readings
Platform(s) used for course materials:
- LOL@
Further information:
Required textbook:
François & Hübner, 2024. The Complete Guide to Portfolio Performance - Appraise, Analyze, Act. Wiley (+ excel files from the companion website) - abbreviated as CGPP in the course plan
This book is to be used for the open-book exam
Recommended textbook and readings:
Brown & Reilly, 2012. Analysis of Investments and Management of Portfolios. 10th ed. International Student Edition. Thomson One, Business School Edition.
Bodie, Kane & Marcus. 2014. Investments - 10th ed, McGraw-Hill/Irwin
Maginn, Tuttle & McLeavey (eds), 2007. Managing Investment Portfolios: A Dynamic Process. 3rd ed. CFA Institute
Journal articles from FAJ, JPM, JAI, JAM, BMI... cited in the slide
Exam(s) in session
Any session
- In-person
written exam
Written work / report
Further information:
The final assessment will be in several parts:
- open-book written exam based on the material covered in the CGPP (70% final grade - individual)
- practical assignment (30% final grade - individual)
Work placement(s)
Organisational remarks and main changes to the course
Contacts
Professor
Georges Hübner
N1, Office 201
g.hubner@uliege.be
04/2327428
Assistant
Aymeric Block
N1, Office 111
aymeric.block@uliege.be