FM406      Half Unit
Topics in Portfolio Management

This information is for the 2015/16 session.

Teacher responsible

Dr Michela Verardo


This course is available on the MSc in Finance (full-time) and MSc in Finance and Private Equity. This course is not available as an outside option.


Students must have completed Asset Markets (FM423) and Corporate Finance (FM422).

Course content

• Implementing investment strategies and assessing their profitability

• Managing portfolios: trading costs, liquidity risk, FX risk

• Mutual funds and hedge funds

This course covers a wide range of topics in equity portfolio management, with a strong focus on empirical applications. The first part of the course introduces students to the implementation of several investment strategies, such as value, momentum, post-earnings-announcement-drift, betting-against-beta, carry trades; it also delves into the mechanics of the Black-Litterman model of portfolio optimization. The second part of the course explores some issues related to portfolio management, such as trading costs, liquidity risk, and currency hedging. The last part of the course analyses investment strategies of mutual funds and hedge funds, with particular emphasis on style analysis, selectivity, and timing skills. The course is based on recent empirical studies and on applied exercises using financial data.


30 hours of lectures in the LT.

Formative coursework

Regular classworks will be completed, handed in and marked as part of formative assessment for this course.

Indicative reading

A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press.


Exam (80%, duration: 2 hours) in the main exam period.
Coursework (20%) in the LT.

Key facts

Department: Finance

Total students 2014/15: 96

Average class size 2014/15: 33

Controlled access 2014/15: Yes

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of information skills
  • Application of numeracy skills
  • Commercial awareness