Product details

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Originally published in: 2022
Version: 1-Feb-2022
Length: 4 pages
Data source: Published sources
Topics: Finance

Abstract

This case is a role-play in which the students need to leverage knowledge of portfolio management and asset allocation to solve a complex financial problem. The problem raised in this case deals with the construction of systematic investment portfolio based on factor investing. Students are required to download are manipulate data for a given universe of stocks (either a country or a region) in order to create a metric to ranks stocks according to several 'factors', ie drivers of returns that have been shown to be robust by decades of academic research. Students also need to incorporate simple ESG criteria by screening out firms from certain industries. Once they calculate a final metric, they will use it to construct (and potentially analyze) a portfolio based on the results. The task can be presented in the classroom or sent to the students via email. Students may work alone (or in small groups) on the case and have access to the internet to search for solutions whenever they need it. They can also request the help of the instructor.

Teaching and learning

This item is suitable for postgraduate courses.

Geographical setting

Region:
World/global

Featured company

Kingsport Hill Capital
Employees:
51-200
Type:
Privately held
Industry:
Hedge Fund Industry

Featured protagonist

  • Mr. H. Carter (male), Head of Equity Strategies

About

Abstract

This case is a role-play in which the students need to leverage knowledge of portfolio management and asset allocation to solve a complex financial problem. The problem raised in this case deals with the construction of systematic investment portfolio based on factor investing. Students are required to download are manipulate data for a given universe of stocks (either a country or a region) in order to create a metric to ranks stocks according to several 'factors', ie drivers of returns that have been shown to be robust by decades of academic research. Students also need to incorporate simple ESG criteria by screening out firms from certain industries. Once they calculate a final metric, they will use it to construct (and potentially analyze) a portfolio based on the results. The task can be presented in the classroom or sent to the students via email. Students may work alone (or in small groups) on the case and have access to the internet to search for solutions whenever they need it. They can also request the help of the instructor.

Teaching and learning

This item is suitable for postgraduate courses.

Settings

Geographical setting

Region:
World/global

Featured company

Kingsport Hill Capital
Employees:
51-200
Type:
Privately held
Industry:
Hedge Fund Industry

Featured protagonist

  • Mr. H. Carter (male), Head of Equity Strategies

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