QUANTITATIVE EQUITY PORTFOLIO MANAGEMENT

International Program

Dates
11 - 14 May, 2010

Value Drivers
The course 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 tactical long-only and market-neutral portfolio strategies. The course 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 course students will be asked to build and test their own model.

Who should attend:

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

Learning portfolio management techniques without being able to actually implement them for lack of knowledge of sufficiently powerful software tools is pointless and frustrating.

Computer-based Sessions

The course 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.

Course Outline

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

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

Faculty

Sergio Focardi, The Intertek Group
Marc Fohr, Salomon Brothers/Citigroup
Marco Navone, SDA Bocconi
Giovanna Zanotti, SDA Bocconi

CFA Insitute Professional Development Program

SDA Bocconi School of Management is registered with CFA Institute as an Approved Provider of continuing education programs.
This program is eligible for 25 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE Diary.

This program is in partnership with CFA. The special price for the CFA Member is 15% off.

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PRICE: € 2.900,00 + IVA