Course Details in 2022/23 Session

Module Title	LM Portfolio Theory and Investment Analysis
School	Birmingham Business School
Department	Finance
Module Code	07 36342
Module Lead	Dr. Ping Wang
Level	Masters Level
Credits	20
Semester	Semester 1
Pre-requisites
Co-requisites
Restrictions	None
Contact Hours	Lecture-30 hours Seminar-10 hours Guided independent study-160 hours Total: 200 hours
Exclusions
Description	The module covers a wide range of topics in debt and equity portfolio management, with a strong focus on practical applications and ethical implications. It begins by reviewing the basics of investment environment, broad asset classes, and the markets in which financial securities are traded, with particular emphasis on the role of investment companies. Next it covers basics of portfolio theory in practice, and develops the Black-Litterman approach to portfolio optimization followed by discussion of CAPM, Index models, APT, Multi-factor models and their applications. Efficient Market Hypothesis, Behavioural Finance, Technical Analysis and empirical evidence on security performance are also covered succinctly. The second part of the course introduces students to the implementation of several investment strategies, and estimation of their performance; portfolio strategies include size, value, momentum, betting-against-beta etc. Market efficiency and its implications for portfolio management are discussed in terms of active and passive styles. The third part of this course focuses on pricing and managing risks involved in debt securities. Bond pricing, yield curves, Term Structure of Interest Rates and management of bond portfolios including duration and convexity are covered. The last part of the module covers aspects of portfolio performance evaluation, international diversification and, theories of active and passive portfolio management. Emerging market investments and various hedge funds investment strategies are reviewed briefly as well. Other topics covered in the module include differentiation between risk and uncertainty, ESG investments, heuristics, behavioural finance, market indices, alternative investments – such as gold, oil, collectibles, etc., and regulations.
Learning Outcomes	By the end of the module students should be able to: Critically evaluate the functioning of debt and equity markets, with particular role of financial markets in promoting responsible business practices and sustainable economies; Critically analyse the risk and return trade-off in financial markets and portfolio selection; Critically discuss strengths and weaknesses of various asset pricing models; Discuss benefits and weaknesses of various asset allocation strategies.; Demonstrate understanding of technical analysis and selected aspects of behavioural biases in investments; Carry out performance evaluation and attribution analysis of financial securities; Explain bond pricing, yield curves, Term Structure of Interest Rates, and risks involved in managing bond portfolios; and Critically explain aspects of portfolio performance evaluation, international diversification and, theories of active and passive portfolio management.
Assessment	36342-01 : Individual Report : Coursework (50%) 36342-02 : Exam : Exam (Centrally Timetabled) - Mixed (50%)
Assessment Methods & Exceptions	Main & Reassessment: 2,000 word individual report (50%) & 2 hour exam (50%). Students who fail the module resit the failed component(s) only.
Other
Reading List