QUANTITATIVE EQUITY PORTFOLIO MANAGEMENT

Dates
12th - 15th June, 2012


Value Drivers
The program focuses on quantitative tools and techniques to build and manage tactical equity portfolios. After a brief introduction of the fundamental quantitative techniques and of the theoretical framework of stock market anomalies and return patterns, the attention will be devoted to the construction of short term return forecasting models and to the implementation of tactical long-only and market-neutral portfolio strategies. The program is designed according to a rigorous hands-on approach: every theoretical lesson will be followed by a computer-based session where the various techniques will be tested on real market data. At the end of the program participants will be asked to build and test their own model.

 
Participants

• Portfolio managers with at least 2/3 years of experience wishing to acquire a rigorous and practical knowledge of quantitative portfolio management techniques.
• Hedge fund managers wishing to benefit from the latest research and practice.

Contents

The program will stress the ability to design and implement tactical allocation strategies by devoting around forty percent of class time to computer-based exercises with Matlab®. No prior knowledge of the software is required.

• Quantitative techniques for portfolio management
• Matlab® for portfolio optimization 
• The basic models for quantitative portfolio management 
• Model Implementation 1 
• Factor models for short term return forecasting 
• Model Implementation 2 
• Implementing a portfolio strategy

Faculty

Marc Fohr, Eurizon Capital
Marco Navone, SDA Bocconi
Giovanna Zanotti, SDA Bocconi

Reference Material
The program will be mainly based on the book:
Chincarini and Kim, Quantitative Equity Portfolio Management , McGraw Hill, 2006.
A program packet with a collection of journal articles will also be provided as background material.

Enrollment procedure
Please complete the enrollment request form, available on this web page,  and mail or fax to:

SDA Bocconi School of Management
fax +39 02 5836.6833
email: fabiola.mantegna@sdabocconi.it

The final deadline for application is 23rd May, 2012
Enrollment requests are reviewed on a rolling basis, those received after the final deadline may not be accepted.
Please see details in the enrollment request form.

Participation fee
€ 2.900 + VAT (if required)

Special Payment Terms

• A 15% reduction on the program fee is offered to CFA Institute members. CFA Institute members rate is € 2.465 + VAT (if required).
• A 10% reduction on the program fee is offered to applications sent in by 13th April, 2012.

These offers are not cumulative.