University of Michigan Business School
This course provides a systematic and applied approach to active portfolio management. The focus of the course is on the active management of a portfolio of equity securities. However, the principles covered are broadly applicable to the active management of any portfolio of financial securities. The course synthesizes three key elements:
The role of the theory and technical skills taught in UMBS accounting and finance courses to active portfolio management;
Mastery of the most popular and powerful financial technology available to today's investment professionals; and
The application of the first two elements above to the management of a real equity portfolio.
The first element is the most important of the three. This is the element that will give you a comparative advantage over most other investment professionals. The skills taught in accounting and investments courses are particularly important. I will assume some knowledge of the material covered in these courses. For those needing a refresher in the material covered in these courses, I have listed the appropriate chapters from the textbooks used in these courses as 'background reading' throughout the course outline.
This course's focus on active portfolio management may seem at odds with the efficient market hypothesis (EMH), covered in the core finance classes. We will adopt a pragmatic perspective and develop a systematic approach to active management, assuming that this is a worthwhile goal. Worthwhile, but certainly not easy. Indeed, it is competition among many sophisticated active investors that makes the EMH a useful first approximation to actual security market behavior. Thus, we will adopt the perspective that successful active portfolio management is difficult, but not impossible. We will also look at empirical evidence bearing on this issue.
Many of the materials used in F335 will be available on this page. You will need a password to follow a number of the links below. If you are a student in F335 and you forgot what the password is, or if you need access to my class notes for some other reason, call me for the password at (734) 763-4129. The course notes are in Adobe Acrobat (.pdf) format. To download a free copy of the Acrobat reader, visit Adobe's web site.
Items of interest to potential students
Items of interest to current students
Instructions to Students that have Missed a Class During April
- Overview of the Investment Management Process
- Overview of UMBS Student Managed Fund
- eSignal Basics
- Bloomberg Cheat Sheets
- Goldman Sachs Guide to Understanding US Economic Statistics
- Are Financial Markets Efficient?
- What Works on Wall Street - Ranking the Strategies
- Economic Margin: The Link Between EVA and CFROI
- The New Morningstar Style Box Methodology
- BARRA U.S. Equity Model Handbook
- BARRA Aegis Portfolio Manager Guide
- The Use of Derivatives in Managing Equity Portfolios
- Hedge Fund Primer
- An Overview of Long-Short Equity Investing
- The Market Impact Model
- BARRA After-Tax Optimization Theory
- Tax Externalities of Mutual Funds
Final Stock Pitch Reports
- Sector Overview Assignment
- Universal Screening Assignment
- Fundamental Analysis Assignment
- BARRA Risk Analysis Assignment
- Regression Risk Analysis Assignment
- Spreadsheet (fidmagellan.xls) for Regression Risk Analysis Assignment
- Portfolio Optimization Assignment
- Final Presentation Assignment
- Standardized UMBS Student Fund Coversheet
Office: 6209 Business Administration
Phone: (734) 763-4129
Fax: (734) 936-0274