Programme

The main topics of the course are as follows:

- The investment environment and process: securities, stock exchanges and financial intermediaries
- Securities and markets: the buying and selling process, types of orders, price formation, transaction costs, short sales.
- Market indexes: construction and analysis.
- Market efficiency: weak, strong and semi-strong efficiency, investor behaviour.
- Financial analysis of common stocks: fundamental analysis vs. technical analysis – principles and main techniques (DDM, multiples, trading rules).
- Equity portfolio selection and analysis: the process of constructing and analysing efficient portfolios, CAPM and factor models; investment and portfolio management strategies (passive vs. active strategies, growth vs. value strategies, fundamental vs. technical strategies, momentum strategies, tax efficient strategies, anomalies).
- Evaluation of portfolio performance and risk:
o Return measurement: TWR vs. MWR; one period vs. multiperiod.
o Risk measurement: absolute, downside, relative risk.
o Risk-adjusted measures of performance.
o Assessing skill: stock selection vs. market timing; distinguishing skill from luck.
o Performance attribution.
- Bond analysis and portfolio management strategies:
o Bond market.
o Valuation of standard and structured bonds.
o Yield curve, term structure theories and their empirical evidence.
o Determinants of yield spreads and default prediction models.
o Bond portfolio management: indexing strategies, interest rate anticipation strategies, credit risk strategies.
- Derivatives contracts: options, futures and swaps markets; strategies with derivatives.
- Asset management industry (investment firms and mutual funds): categories, strategies, fees, performance.

Core Documentation

Reilly, F.K., Brown, K.C., Leeds, S.J., 2019. Investment Analysis and Portfolio Management, 11th Edition, Cengage Learning

or

Bodie, Z., Kane, A., Marcus, A. J., 2018. Investments, International Edition, 11th Edition, McGraw-Hill.

Type of delivery of the course

The course will be held by means of ICT tools, live and recorded lessons.

Attendance

Attendance recommended

Type of evaluation

Written exam composed of 1 open-ended question, 3 true/false and 1-2 exercises. Available time: 100 minutes + oral test

Programme

The main topics of the course are as follows:

- The investment environment and process: securities, stock exchanges and financial intermediaries
- Securities and markets: the buying and selling process, types of orders, price formation, transaction costs, short sales.
- Market indexes: construction and analysis.
- Market efficiency: weak, strong and semi-strong efficiency, investor behaviour.
- Financial analysis of common stocks: fundamental analysis vs. technical analysis – principles and main techniques (DDM, multiples, trading rules).
- Equity portfolio selection and analysis: the process of constructing and analysing efficient portfolios, CAPM and factor models; investment and portfolio management strategies (passive vs. active strategies, growth vs. value strategies, fundamental vs. technical strategies, momentum strategies, tax efficient strategies, anomalies).
- Evaluation of portfolio performance and risk:
o Return measurement: TWR vs. MWR; one period vs. multiperiod.
o Risk measurement: absolute, downside, relative risk.
o Risk-adjusted measures of performance.
o Assessing skill: stock selection vs. market timing; distinguishing skill from luck.
o Performance attribution.
- Bond analysis and portfolio management strategies:
o Bond market.
o Valuation of standard and structured bonds.
o Yield curve, term structure theories and their empirical evidence.
o Determinants of yield spreads and default prediction models.
o Bond portfolio management: indexing strategies, interest rate anticipation strategies, credit risk strategies.
- Derivatives contracts: options, futures and swaps markets; strategies with derivatives.
- Asset management industry (investment firms and mutual funds): categories, strategies, fees, performance.

Core Documentation

Reilly, F.K., Brown, K.C., Leeds, S.J., 2019. Investment Analysis and Portfolio Management, 11th Edition, Cengage Learning

or

Bodie, Z., Kane, A., Marcus, A. J., 2018. Investments, International Edition, 11th Edition, McGraw-Hill.

Type of delivery of the course

The course will be held by means of ICT tools, live and recorded lessons.

Attendance

Attendance recommended

Type of evaluation

Written exam composed of 1 open-ended question, 3 true/false and 1-2 exercises. Available time: 100 minutes + oral test

Programme

The main topics of the course are as follows:

- The investment environment and process: securities, stock exchanges and financial intermediaries
- Securities and markets: the buying and selling process, types of orders, price formation, transaction costs, short sales.
- Market indexes: construction and analysis.
- Market efficiency: weak, strong and semi-strong efficiency, investor behaviour.
- Financial analysis of common stocks: fundamental analysis vs. technical analysis – principles and main techniques (DDM, multiples, trading rules).
- Equity portfolio selection and analysis: the process of constructing and analysing efficient portfolios, CAPM and factor models; investment and portfolio management strategies (passive vs. active strategies, growth vs. value strategies, fundamental vs. technical strategies, momentum strategies, tax efficient strategies, anomalies).
- Evaluation of portfolio performance and risk:
o Return measurement: TWR vs. MWR; one period vs. multiperiod.
o Risk measurement: absolute, downside, relative risk.
o Risk-adjusted measures of performance.
o Assessing skill: stock selection vs. market timing; distinguishing skill from luck.
o Performance attribution.
- Bond analysis and portfolio management strategies:
o Bond market.
o Valuation of standard and structured bonds.
o Yield curve, term structure theories and their empirical evidence.
o Determinants of yield spreads and default prediction models.
o Bond portfolio management: indexing strategies, interest rate anticipation strategies, credit risk strategies.
- Derivatives contracts: options, futures and swaps markets; strategies with derivatives.
- Asset management industry (investment firms and mutual funds): categories, strategies, fees, performance.

Core Documentation

Reilly, F.K., Brown, K.C., Leeds, S.J., 2019. Investment Analysis and Portfolio Management, 11th Edition, Cengage Learning

or

Bodie, Z., Kane, A., Marcus, A. J., 2018. Investments, International Edition, 11th Edition, McGraw-Hill.

Type of delivery of the course

The course will be held by means of ICT tools, live and recorded lessons.

Attendance

Attendance recommended

Type of evaluation

Written exam composed of 1 open-ended question, 3 true/false and 1-2 exercises. Available time: 100 minutes + oral test