University of Technology Sydney

25729 Applied Equity Portfolio Management

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 2025 is available in the Archives.

UTS: Business: Finance
Credit points: 6 cp

Subject level:

Postgraduate

Result type: Grade and marks

Requisite(s): 25721 Investment Management
These requisites may not apply to students in certain courses.
There are course requisites for this subject. See access conditions.

Description

This subject is concerned with the process of constructing and managing equity portfolios with a focus on quantitative techniques. The subject commences with an examination of the role played by investor risk appetite in the construction of optimal portfolios. After reviewing recent empirical evidence on the predictability of stock returns, the subject deals with the steps necessary to develop and test an equity trading strategy. The focus is on practical implementation via computer-assisted financial portfolio strategies applied to Australian and international financial markets. After developing a basic strategy the focus moves to more advanced topics such as the integration of long and short equity positions using robust portfolio optimisation.

Subject learning objectives (SLOs)

Upon successful completion of this subject students should be able to:
1. Explain the factors driving equity prices
2. Build and manage equity portfolios
3. Analyze risks and profit opportunities of financial portfolios
4. Assess the coherence of a portfolio strategy with a given set of investment objectives

Contribution to the development of graduate attributes

The subject is designed to help students to understand the inner workings of real-world equity portfolio strategies. Assuming a basic knowledge of portfolio analysis, the subject is based around studying optimal and practical ways to develop and track equity portfolios. Through this exercise, students will acquire a hands-on understanding of the factors driving risk and profitability of equity portfolio strategies. Theoretical investment concepts are applied in a realistic fashion to the Australian and US financial markets.

Successful completion of this subject makes a contribution to students acquiring all Graduate Attributes. However, the subject makes a particular and significant contribution to the attributes of intellectual rigour and innovative problem solving and business professional and technical competence via the (1) absorption of the subject material, (2) the class discussion and (3) the completion of the applied Excel exercises.

Teaching and learning strategies

The course will be taught using a combination of frontal lectures/seminars, class discussion, in-class applied exercises and on-line learning. 25729 AEPM classes are devoted to more than delivering the subject material. Class discussions are employed to promote and reinforce understanding. Applied Excel exercises are undertaken by students, during class, - either individually or in groups, to apply theoretical concepts to specific financial market and investment situations.

The subject is taught in a computer laboratory to facilitate the completion of in-class Excel exercises. The subject should only be attempted by students with a solid grounding in computer spreadsheet expertise.

Online resources will be used to cover the basic financial notions underpinning the different portfolio strategies and provide examples of existing financial products and strategies. The learning management system is central to the provision of digital resources for this subject. For each class the following resources reside on the subjects Subject Documents section:

  • Lecture background notes,
  • Lecture PowerPoint lecture notes,
  • Problems and Exercises document and,
  • Excel Exercises workbook

Content (topics)

  • The nature of financial market returns,
  • Forecasting long-term returns,
  • Factors driving equity prices,
  • Quantitative stock selection,
  • Robust Equity Portfolio Optimization
  • Long-Short equity portfolio strategies, ,
  • Tracking portfolio return and
  • Measuring portfolio performance.

Assessment

Assessment task 1: Investment Advice Project (Individual)

Objective(s):

This addresses subject learning objective(s):

2, 3 and 4

Weight: 20%

Assessment task 2: Portfolio Management Project (Group)

Objective(s):

This addresses subject learning objective(s):

2, 3 and 4

Weight: 20%

Assessment task 3: Final Exam (Individual)

Objective(s):

This addresses subject learning objective(s):

1, 3 and 4

Weight: 60%

Minimum requirements

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

Required texts

There are no essential texts

Recommended texts

The following texts provide further analysis and supplementation of the on-line material.

  • 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.

References

References, if required, will be supplied in class.

Other resources

Lecture slides will be distributed via UTSOnline.

The following websites are an important resource for anybody with an active interest in investment management: