ASSET MANAGEMENT

Description

This course presents an overview of the approaches and techniques used by asset owners and portfolio managers. The course will focus on the application of financial theory to the topics of asset management from a practitioner’s point of view. This course intends to present investment techniques used by asset owners and portfolio managers. We will start by a presentation of the asset management industry. Then, we will cover in details the investment process followed by asset managers: forecasting asset class returns, risk models, portfolio construction, performance evaluation. Forward-looking measures of asset returns and tactical return forecasting models will be reviewed. Specialized investment techniques like indexing and smart beta strategies will be discussed. Recent market trends will be analyzed: use of ETFs, Core-satellite approach, factor allocation. We will also cover ESG investing and climate risk. Thèmes clés / Key Topics: Asset management industry overview/ indexing / forecasting asset class returns / Risk management / portfolio construction / ESG investing / Performance evaluation Organisation du cours – plan détaillé / Course organization - detailed outline: 6 sessions of 3 hours, once per week during one bimester Session 1: Overview of the asset management industry Session 2: Indexing strategies, ETFs and Smart Beta strategies Session 3: Rationale for active management: market efficiency and behavorial finance. Style analysis and the Fundamental Law of active management Session 4: Forecasting asset class returns: valuation approaches, tactical return models and trend-following strategies Session 5: Portfolio construction: Mean-Variance Optimization, Factor models and Black-Litterman approach Session 6: ESG investing: motivations, ESG strategies and Climate risk. Performance evaluation and performance attribution Contenus ESG / ESG-related content (Environmental – Social – Governance): Environmental-r elated content Social-relat ed content Governance-re lated content 2. Moderate content 1. Minimal content 2. Moderate content Assessment Information: Pondération dans Outils / support / mode d’évaluation Durée et format la notation finale Tool/method of evaluation Duration Weight in the final grading Final Exam 2h individual 75% Group assignments / Class Participation 25%