Programme And Module Handbook
 
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Module Title LM Fund Management
SchoolBirmingham Business School
Department Birmingham Business School
Module Code 07 02868
Module Lead Tianshu Zhao
Level Masters Level
Credits 10
Semester Semester 2
Pre-requisites
Co-requisites
Restrictions MSc Investments students only
Contact Hours
Exclusions none
Description The module deals with the management of portfolios, largely from an institutional standpoint. For example, among other things, it examines different types of investment institutions that exist in the UK and international markets, and their financial, ethical, corporate and social responsibility objectives, as well as statutory and non-statutory regulations on the practice of fund management and fund managers as individuals. CFA investment management strategies, asset allocation strategies, portfolio construction and optimisation methods, efficient market hypothesis (EMH) and its implications for portfolio management, in terms of screening strategies, active, passive, core-satellite and international diversification strategies, are also considered. In addition, aspects of behavioural finance that are relevant to investments, bond portfolio management techniques and their applications to asset and liability management, are covered. Finally, the uses of derivatives for modifying asset allocation and mitigating market and currency exposures, hedge funds strategies and their risks, and various methods of evaluating performance of portfolios, are covered in the module.
Learning Outcomes By the end of the module students should be able to:
  • Demonstrate an understanding of the investment management process, the characteristics of investment management clients and of the importance of an investment philosophy and CFA codes of ethics.
  • Develop an understanding on a range of passive and active strategies applied in asset allocation and security selection, namely Markowitz mean-variance optimization, market timing, the Black-Litterman model, Treynor Black methods, value and growth investing, and trading on information.
  • Demonstrate the ability to assess and critically evaluate the relative merits and limitations of different strategies for asset allocation and security selection in the light of evidence on market efficiency and the costs of trading.
  • Demonstrate an understanding of behavioural biases in finance.
  • Demonstrate an understanding of traditional and advanced portfolio performance evaluation techniques, namely, Sharpe and Treynor ratio, M-squared, Sortino ratio, Information ratio, Jensen’s alpha Fama-French 3 factor model alpha, Carhart 4 factor model alpha.
Assessment 02868-01 : Assignment : Coursework (25%)
02868-02 : Examination : Exam (Centrally Timetabled) - Written Unseen (75%)
Assessment Methods & Exceptions One individual assignment containing not more than 2,000 words (25%) and a 2-hour examination (75%).

Reassessment: A 2-hour examination (100%).
Other none
Reading List