Active Portfolio Management

Objective:

To give an understanding of active portfolio management.  Reasonable quant knowledge is assumed.

Outline:
 

- Portfolio Concepts

     Definitions 

     Examples and Applications

- Mean Variance Analysis

      Mean Variance Frontier
      Portfolio Possibilities Curve
      Related Concepts
      Example using historical return data

- Practical Issues and Concepts

      Diversification and Portfolio Size
      Diversification and Portfolio Size – An Example
      Portfolio Choice – Risk Free Assets and Capital Allocation Line (CAL)
      The Capital Market Line (CML)
      Applying a set of decision rules – An Example
      Optimisation and Inputs

- Multifactor Models

      Identifying Factors and Factor Types
      Example – Fundamental and Macroeconomic Factors
      Factor Sensitivity
      Arbitrage Pricing Theory and Factor Modelling
      Current Practice
      Risk Factors and Active Risk Management

- Market Timing

       Value of market timing – concept and application

- Security Selection

      Portfolio Construction
      Active and Passive Portfolios
      Multifactor Models and Active Management

- Imperfect Forecasts of Alpha

      Examples and Applications
      Model Limitations

- Final Thoughts and Conclusion