Portal
Asset Class Equity
Brief description
· Most common products in this asset class;
· Indices and benchmarks for this asset class;
· Active vs. passive strategies and replication of benchmarks;
· Applying Python for as many topics as possible mentioned here
· Performance measures for this asset class;
· Factor models; market beta, size factor, value factor, momentum factor, CAPM,
· Multi-Factor models, Fama-French, Factor benchmarks and style analysis,
· Smart beta, types of factors
· Naive vs. Scientific diversification,
· Computation of the statistical return distribution and of statistical characteristic numbers for an equity portfolio;
· Selection and optimisation for an equity portfolio:
· Performance and attribution analysis of an equity portfolio
· Company valuation: different methodologies with intrinsic vs. relative valuation
Mode of delivery
face to face
Type
compulsory
Planned learning activities and teaching methods
Interactive teaching (lecture and discussion)
Assessment methods and criteria
Assessment consist of a 30-point quantitative project and a 70-point written final exam conducted in a pen-and-paper format.
Prerequisites and co-requisites
Courses of the 1st semester
Infos
Degree programme
Quantitative Asset and Risk Management (Master)
Cycle
Master
ECTS Credits
2.00
Language of instruction
English
Curriculum
Part-Time
Academic year
2025
Semester
2 SS
Incoming
Yes
Learning outcome
After the successful completion of the course, students are able to characterise the asset class equity, lay out the risks associated with this asset class and know the most efficient way of investing in this asset class. They are capable of programming in Python return and distribution metrics as well as other risk metrics. In addition, students are able to calculate portfolios based on the CAPM and Fama-French while they also have the ability to conduct performance and attribution analyses for equities in Python. Finally students are in the position to value companies with different methodologies, especially intrinsic and relative valuations.
Course code
0613-09-01-BB-EN-15