Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
R.JOLIET
Intervenant(s)
Robert Joliet
Présentation
Prérequis
Excel
Bloomberg
Investments
Financial Analysis
Equity Analysis
Bloomberg
Investments
Financial Analysis
Equity Analysis
Objectifs
At the end of the course, the student should be able to:
1. Construct passive equity portfolios that track the performance of an underlying stock index
2. Distinguish between different equity investment styles and construct corresponding factor/style indexes
3. Implement active equity portfolio management strategies, using fundamental analysis
4. Evaluate portfolio performance against a benchmark, including return attribution
5. Report detailed portfolio information and regular commentaries in the portfolio factsheets
More generally, the student should be able to:
1. Generate sustainable solutions for organizations.
2. Propose creative solutions within an organization
3. Appraise the performance of a team
4. Compose constructive personal feedback and guidance
5.Predict how business and economic cycles could affect organizational strategy
6.Formulate strategically-appropriate solutions to complex and unfamiliar challenges in their professional field
1. Construct passive equity portfolios that track the performance of an underlying stock index
2. Distinguish between different equity investment styles and construct corresponding factor/style indexes
3. Implement active equity portfolio management strategies, using fundamental analysis
4. Evaluate portfolio performance against a benchmark, including return attribution
5. Report detailed portfolio information and regular commentaries in the portfolio factsheets
More generally, the student should be able to:
1. Generate sustainable solutions for organizations.
2. Propose creative solutions within an organization
3. Appraise the performance of a team
4. Compose constructive personal feedback and guidance
5.Predict how business and economic cycles could affect organizational strategy
6.Formulate strategically-appropriate solutions to complex and unfamiliar challenges in their professional field
Présentation
If equity markets were completely informationally efficient all the time, risk-averse portfolio managers would be only interested in efficient risk diversification. They could just buy and hold a broad-based index that is consistent with their investment style(s) or simply track the index performance with a passive fund. By contrast, when the market vacillates between fear and greed, active portfolio managers seek to outperform their benchmark by skilfully identifying and using information that is not (totally) reflected in stock prices.
Part I : Multifactor models and APT
1. Estimation of fundamental factor models
2. Multicollinearity and factor models
2. Fama-French-Carhart four-factor model
3. Factor indices
Part II: Passive vs. active portfolio management
1. Index tracking, sampling, buy-and-hold approach
2. The Efficient Market Hypothesis (EMH)
3. Investment policy statement (IPS)
4. Investment styles in equity investing
5. Portfolio performance evaluation, performance attribution, risk exposure
Part III: Fundamental analysis and selection of common stocks: Equity portfolio management strategies
1. Top-down approach:
- Economic analysis and setting capital market expectations
- Industry analysis and sensitivity to the business cycle
- Company analysis and the relative valuation of stocks
2. Bottom-up approach:
- Growth strategies
- Low P/E strategies: the Magic Formula
- Low P/S strategies: the Super Stocks
- High BTM strategies: the Piotrosky score
- High DY strategies: the Dogs of the Dow
Part IV: Active Portfolio Construction and Revision
1. Asset allocation (active vs. passive portfolio; active securities)
2. Forecast precision, tracking error and restriction of benchmark risk
3. Integration of the manager’s private views
Part I : Multifactor models and APT
1. Estimation of fundamental factor models
2. Multicollinearity and factor models
2. Fama-French-Carhart four-factor model
3. Factor indices
Part II: Passive vs. active portfolio management
1. Index tracking, sampling, buy-and-hold approach
2. The Efficient Market Hypothesis (EMH)
3. Investment policy statement (IPS)
4. Investment styles in equity investing
5. Portfolio performance evaluation, performance attribution, risk exposure
Part III: Fundamental analysis and selection of common stocks: Equity portfolio management strategies
1. Top-down approach:
- Economic analysis and setting capital market expectations
- Industry analysis and sensitivity to the business cycle
- Company analysis and the relative valuation of stocks
2. Bottom-up approach:
- Growth strategies
- Low P/E strategies: the Magic Formula
- Low P/S strategies: the Super Stocks
- High BTM strategies: the Piotrosky score
- High DY strategies: the Dogs of the Dow
Part IV: Active Portfolio Construction and Revision
1. Asset allocation (active vs. passive portfolio; active securities)
2. Forecast precision, tracking error and restriction of benchmark risk
3. Integration of the manager’s private views
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 24,00 | ||
| Travail personnel | |||
| Group Project | 20,00 | ||
| Individual Project | 15,00 | ||
| Charge de travail personnel indicative | 5,00 | ||
| Autoformation | |||
| Recherche | 10,00 | ||
| E-Learning | 5,00 | ||
| Overall student workload | 79,00 | ||
Évaluation
The course is assessed through simulations for which students construct their own equity portfolios on Bloomberg in group. Students extract data from various sources, including Thomson Reuters Eikon, to conduct a sound fundamental analysis. Their portfolios are shared with the Professor and students regularly present the factsheets of a tracker, a factor index and an actively-managed portfolio. At the end of the course, each member of the group will turn in an individual equity research report for one of the stock included in the group’s portfolio. Each team member will choose a different company. It must include the fundamental features and information considered as essential to every research report, following the recommendations of the CFA (document available on Ieseg-online).
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Autres | |||
| Projet Collectif | 0,50 | 1 | 40,00 |
| Projet Individuel | 0,00 | 1 | 40,00 |
| exposé | |||
| exposé | 0,00 | 2 | 20,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliographie
Investments - Bodie, Z., Kane, A., and Marcus, A. (McGraw-Hill Education. 10th Global Edition 2014) -
Analysis of Investments and Management of Portfolios - Reilly, F.K. and Brown, K.C. (South-Western. 10th edition 2012) -
The Guru Investor. How to Beat the Market using History's Best Investment Strategies - Preese, J and Forehand, J. (John Wiley 2009). -
Analysis of Investments and Management of Portfolios - Reilly, F.K. and Brown, K.C. (South-Western. 10th edition 2012) -
The Guru Investor. How to Beat the Market using History's Best Investment Strategies - Preese, J and Forehand, J. (John Wiley 2009). -
Ressources Internet