Overview

The course will cover the following:

Market Efficiency

Performance measurement and attribution

Measuring investment risk

Anomalies in returns and common investment philosophies

Portfolio theory and capital asset pricing model

Benchmarking and models of expected returns

Testing for excess returns: methodologies

Testing for excess returns: Key findings

Theoretical rationale for findings of excess returns

Real-world issues in the implementation of investment strategies

Assessment Strategy

-threshold -D- to D+ (40-49%): No major omissions or inaccuracies in the deployment of information/skills. Some grasp of theoretical/conceptual/practical elements. Integration of theory/practice/information present intermittently in pursuit of the assessed work's objectives.

-good -B- to B+ (60-69%): Very good performance Most of the relevant information accurately deployed. Good grasp of theoretical/conceptual/practical elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Evidence of the use of creative and reflective skills.

-excellent -A- to A+ (70%+): Outstanding Performance. The relevant information accurately deployed. Excellent grasp of theoretical/conceptual/practice elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Strong evidence of the use of creative and reflective skills.

-another level-C- to C+ (50-59%): Much of the relevant information and skills mostly accurately deployed. Adequate grasp of theoretical/conceptual/practical elements. Fair integration of theory/practice/information in the pursuit of the assessed work's objectives. Some evidence of the use of creative and reflective skills.

Learning Outcomes

• Appraise common investment philosophies including value investing, growth investing and small cap investing and the related empirical evidence.

• Critically analyse the role of portfolio theory and diversification in the financial sector.

• Demonstrate a critical understanding of benchmarking and models of expected returns.

• Discuss the theoretical rational proposed in the academic literature for the apparent excess profitability of some strategies.

• Use appropriate techniques to measure and interpret the performance and the risk associated with investment strategies.