The key aim of this module is to introduce learners to the variety of strategies that are employed to manage and grow investor wealth using financial asset portfolios, starting from investment first principles. Candidates will take a quantitative perspective on capital market theory and modern portfolio theory; emphasising the pricing and evaluation of financial products as well as portfolio construction, management, and performance analysis. Candidates will develop an appreciation of the diversification potential of conventional (equity, fixed income) and alternative asset classes (commodities, hedge funds and private equity) in response to broadening investor preferences on risk, return, and strategic management goals. The module concludes with an analysis of structured investment products, emphasizing both the cost / valuation challenges and the portfolio performance enhancing characteristics of these derivatives-based financial instruments.

This module covers a wide variety of content relating to wealth and portfolio creation and management, the different market actors involved in portfolio creation, allocation, and management, and the evaluation of portfolio performance using quantitative techniques. Learners will be introduced to portfolio management principles, including the formulation of investment policy statements, and the portfolio planning, construction, and management process. Students will learn to appreciate their role in responding to investor preferences on risk/return objectives and appetites, and responding to investment constraints. Learners will be exposed to regression-based approaches on evaluating firm and portfolio performance and risk, and the various metrics used to measure risk and returns over time. These include the Capital Asset Pricing Model and various factor models of portfolio returns, which will be situated within discussions on market efficiency and expected market returns. Learners will further examine and apply techniques to quantify portfolio risk and return, and master portfolio theory concepts such as correlation risk, minimising variance, maximising expected return, and deriving efficient frontiers. Key considerations in the portfolio management process will also be introduced; students will consider asset allocation choices, investment styles (e.g. passive vs. active), controlled risk active investment strategies, performance attribution and analysis, modern investment preferences (e.g. ESG), and international diversification considerations. A portion of the class will also be spent on the modern investment universe and the strategies employed by different portfolio managers; such as hedge funds vs. traditional funds, and alternative investment strategies in commodities, derivatives, private equity markets, and structured investment products.

On successful completion of this module, students will be able to: • Demonstrate an understanding of the role and influence of individual variables in regression-based CAPM and factor models, and the features and construction process of a structured investment product. • Differentiate between various hedge fund strategies and the reasons for differences in hedge fund performance relative to traditional investment or mutual fund performance. • Apply appropriate data collection and quantitative techniques to calculate the efficient frontier for a diversified portfolio • Evaluate the appropriateness of different multi-asset portfolios in the context of expected portfolio performance and investor preferences on risk, return, and firm goals • Formulate an appropriate Investment Policy Statement for a particular class of private client investor

On successful completion of this module, students will be able to: • Demonstrate an appreciation for the market inefficiencies and the benefits of international diversification for an investor • Demonstrate an appreciation for the estimation difficulties involved in implementing an optimal portfolio asset allocation

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The students will be taught in a series of lectures and tutorials that will produce agile learners who can respond to dynamic considerations and requirements when developing financial asset portfolios, and articulate their insights and rationale. The lectures will initially present theoretical concepts and then illustrate their applicability using examples from current financial market events. The practicalities of the portfolio management process are also presented as part of the lectures. The tutorials expand upon the quantitative elements of the course and allow the students the opportunity to discuss and debate the lecture material. The tutorials and lab sessions allow the students to focus on the practical application of many of the theoretical concepts.