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