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25876 Quantitative Portfolio Analysis

Warning: The information on this page is indicative. The subject outline for a particular session, location and mode of offering is the authoritative source of all information about the subject for that offering. Required texts, recommended texts and references in particular are likely to change. Students will be provided with a subject outline once they enrol in the subject.

Subject handbook information prior to 2020 is available in the Archives.

UTS: Science: Mathematical and Physical Sciences
Credit points: 8 cp

Subject level:


Result type: Grade and marks

There are course requisites for this subject. See access conditions.


Designed for specifically for quantitative finance students, this subject provides a rigorous understanding of portfolio management using quantitative tools. The subject presents advanced techniques and applications in quantitative investment including portfolio construction, portfolio implementation, factor models and performance measurement. The subject also considers implementation issues on portfolio construction, backtesting and statistical estimation. The subject combines rigorous treatment of the theoretical concepts with extensive practical problems in quantitative portfolio analysis.

Subject learning objectives (SLOs)

Upon successful completion of this subject students should be able to:

1. Apply modern portfolio theory to the construction of portfolios
2. Explain risk and asset pricing models
3. Apply factor models to construct equity portfolios
4. Devise asset allocation strategies
5. Understand and apply standard and alternative performance measures

Contribution to the development of graduate attributes

The aim of this course is to provide students with a solid grounding in modern portfolio theory and its extensions. The subject will provide a detailed exposition of modern portfolio theory covering standard portfolio optimization, asset pricing models, quantitative portfolio management models for portfolio construction and the theory and application of standard performance measures. The subject will show how theoretical results can be applied to practical and operational portfolio construction and optimization providing students with the tool box required for a working knowledge of quantitative portfolio management.

This subject contributes to the development of the following graduate attributes:

  • Business knowledge and concepts
  • Communication and interpersonal skills
  • Business practice oriented skills

This subject also contributes specifically to develop the following Program Learning Objectives for the Master of Quantitative Finance:

  • 1.1: Access and critically analyse financial data to inform and thus facilitate effective decision making
  • 1.2: Apply financial models where appropriate in financial trading and risk management contexts
  • 3.1: Convey financial information clearly and fluently, in high quality written form appropriate for their audience
  • 5.1: Master quantitative finance technical skills necessary for professional practice

Teaching and learning strategies

The subject is presented in seminar and workshop format. The theoretical concepts are presented in lectures and students will be required to work through practical exercises in a computer lab.

This subject will use the ‘flipped education’ model where students will have access to online learning resources and will undertake preliminary learning tasks prior to coming to classes where they engage in further learning and practical workshops. Consistent with Learning Futures, the subjects will enable students to experience an effective integration of online and face-to-face on campus learning.

Content (topics)

  • Mean-variance analysis and portfolio optimization in practice
  • Asset pricing models and factor models
  • Quantitative equity portfolio management strategies
  • Factors and factor choice : economic vs fundamental factors
  • Implementing asset allocation strategies : ; active, passive and semi-active portfolio strategies
  • Portfolio performance evaluation and attribution analysis
  • Portfolio Insurance
  • Alternative investment and hedge fund strategies


Assessment task 1: Assignment 1 (Individual)


This assessment task addresses subject learning objective(s):

1, 2, 3, 4 and 5

Weight: 25%

Assessment task 2: Assignment 2 (Group)


This assessment task addresses subject learning objective(s):

1, 2, 3, 4 and 5

This assessment task contributes to the development of course intended learning outcome(s):

3.2 and 3.3

Weight: 25%

Assessment task 3: Final Exam (Individual)


This assessment task addresses subject learning objective(s):

1, 2, 3, 4 and 5

Weight: 50%

Minimum requirements

Students must achieve at least 50% of the subject’s total marks.


  • Elton, E. J, Gruber, M. J., Brown, S. J, and W. N. Goetzmann, 2010, Modern Portfolio Theory and Investment Analysis. John Wiley and Sons, 8th edition, 2010.

  • Chincarini, L. B. and Kim, D., 2006, Quantitative Equity Portfolio Management. McGraw-Hill.

  • Prigent, J.L. 2007, Portfolio Optimization and Performance Analysis, Chapman & Hall/CRC Financial Mathematics Series..

  • Bodie, Z., Kane, A. and Marcus, A.J. (2014), Investments, 10th edition, McGraw-Hill
    Litterman. R. B., 2003, Modern Investment Management: An Equilibrium Approach. John Wiley and Sons, Hoboken.

  • Andrew Ang, Asset management: A Systematic Approach to Factor Investing, 2014, Oxford University Press.

  • Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm, Quantitative Equity Investing: Techniques and Strategies,2010, John Wiley & Sons, Inc., Hoboken, New Jersey.

  • Frank J. Fabozzi, Harry M. Markowitz, The Theory and Practice of Investment Management: Asset Allocation,

  • Valuation, Portfolio Construction, and Strategies, 2011, John Wiley & Sons, Inc., Hoboken, New Jersey.