Portfolio Management Strategies

Objectives: The aim of the course is 1) to provide students with a general overview of asset management, major trends and the different strategies of Mutual Funds and Hedge Funds2) to present the modern portfolio theory that has allowed the development of so-called strategies « smart-beta » ; 3) to address the topical subject of investment in risk factors known as « Factor Investing ».

Outline:

I. General presentation

• Major trends in asset management
• Presentation of the world of UCITS
• The main strategies of Mutual Funds and Hedge Funds.

II. From modern portfolio theory to risk-based investments

• Modern Portfolio Theory
• Strategies of « smart-beta » ; ;
• Factor investing.

Grading: Individual project delivered at the end of the semester.

Bibliography:

• Cazalet Z. and Roncalli T. (2014), Facts and Fantaisies About Factor Investing, Working Paper, Lyxor Asset Management.
• Cazalet Z., Grison P. and Roncalli T. (2014), The Smart Beta Indexing Puzzle, Journal of Index Investing, 5(1).
• Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall.