Bangladesh Institute of Capital Market (BICM
Certificate Course in “Strategies of
Portfolio Management”
OBJECTIVE: To
enable the participants to
understand different active and
passive portfolio management strategies and apply appropriate strategy
under different scenario.
PROGRAMME
CONTENTS:
Module
|
Module
Details
|
Module 1
|
Introduction
to Portfolio Management
Client objectives and constraints
Asset classes
Types of managed funds
Introduction to portfolio management theories
|
Module 2
|
Capital
Asset Pricing Model
The standard ‘Capital Asset Pricing Model’
Nonstandard forms of Capital Asset Pricing
Model
Empirical test of CAPM
|
Module 3
|
Quantitative
Methods for Portfolio Management
Variance, Standard deviation, Coefficient of
variation, R square
Covariance, correlation
Mean Variance analysis
|
Module 4
|
The
Arbitrage Pricing Model and the Steps Necessary in Developing a Usable
Multifactor Model
Arbitrage pricing theory and the factor
model
Use of multifactor models to estimate the
expected risk premium of a security or portfolio
|
Module 5
|
Bond
Portfolio Management Strategies
Determination of price and yield
Duration of a bond
Convexity for a bond
Bond portfolio management strategies :Buy
and hold, Indexing, Interest rate anticipation, Valuation analysis, Credit
analysis, Yield spread analysis, Bond swaps, Immunization, Horizon matching,
Bullet, Barbell, Ladder, Butterfly
|
Module 6
|
Efficient
portfolio & Optimization of Portfolio
Efficient frontier with riskless lending and
Borrowing with or without short sell
Global Minimum Variance Determination
(determining MVP with & without short sale)
Maximize Theta (excess return with per unit
of risk) with or without riskless lending and borrowing-with or without short
sell allowed
Maximize portfolio return for a given risk
with & without short sale.
Minimize risk for a given return with &
without short sale
|
Module 7
|
Equity
Portfolio Management Strategies-Passive Equity Portfolio Management Strategies
Buy and hold
Indexing-Active Equity Portfolio Management
Strategies
tactical asset allocation, sector rotation
stock undervaluation/overvaluation
Contrarian investment strategy
Price momentum strategy
Calendar effects
Security characteristics
Investment style (value, growth)
|
Module 8
|
Evaluation
of Portfolio Performance
Peer group comparison method of evaluating
an investor’s performance
Trey nor portfolio performance measure
Sharpe portfolio performance measure
The Jensen portfolio performance measure and
multifactor models of risk and expected return
Information ratio and its relation to the
other performance measures
Fama portfolio performance measure
Attribution analysis
Benchmark error problem
|
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