Advanced Investment Management

In-person teaching Classroom
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This Advanced Investment Management course explains the more advanced strategies used in asset management.

It begins by looking at the different approaches and theories which can be applied to building an investment portfolio. Through an introduction to factor investing, the course explains how certain elements of an investment can be focussed on to improve returns or minimise risks.

Through practical exercises, participants will learn how to evaluate a strategy and determine the optimal construction to maximise returns.


This course is for individuals with a working knowledge of equity markets and investment management.

Learning Outcomes

At the end of this course participants should understand:

  • The key concepts of portfolio theory
  • The main approaches to factor-based investing
  • The methodology for back-testing systematic strategies

Course Content

Portfolio Theory

  • Correlation
  • Diversification and the efficient frontier
  • Portfolio return and beta
  • The Sharpe ratio
  • Volatility, risk and return

Exercises: Two asset efficient frontier and adding a third asset

Factor-based investing

  • Non-financial example of a factor-based approach
  • Single factor market model
  • Fama-French factor models
  • Factor correlations
  • Drivers of factor returns
  • Factor replicating portfolios

Exercises: Calculating factor correlations, examine factor-replicating portfolios and factor premia

Back-testing systematic strategies

  • Data mining and multiple testing
  • Bootstrapping a time series
  • Optimal trading rules for stochastic processes

Exercises: Trend following


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