Portfolio choice and performance measures - WMMFMB12

Goal(s)

The aim of this course is to teach students the fundamentals of portfolio selection and performance measurement. In particular, the course will cover aspects relating to portfolio profitability and risk (with an assessment of the various risk premiums), mutual funds active vs. passive management and portfolio performance measurement.

At the end of this course, students are expected to have acquired the following minimum knowledge and skills:
-be able to use knowledge of financial theory to solve practical asset management problems;
-have a good theoretical and practical understanding of the different types of portfolio management (active management, passive management) and the implementation of active portfolio management strategies;
-have a good knowledge of traditional measures of portfolio performance;
-have a good understanding of the theory behind each performance measure, know the inherent limitations of each measure, know how to choose the most appropriate measure(s) for a given situation, and know how to apply these measures to real-life portfolio management situations;
-know how to interpret the empirical results obtained when using the various performance measures.

Content(s)

1- Asset pricing: a reminder

2- Portfolio management types
2-1- Financial markets efficiency
2-2- The different types of portfolio management(passive management, active management)

3- The performance measures of a portfolio
3-1- Defining the performance
3-2- The traditional performance measures
3-3- The risk adjusted measures
3-4- The Market Timing measures

Prerequisites for this course are the following 2nd year finance courses:

• Investment, Financing and Firm Valuation (IFEE)
• Financial Markets
• Financial Theory