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Home → All Courses → Science and Mathematics Courses → Quantitative Portfolio Management

Quantitative Portfolio Management

Quantitative Portfolio Management

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Course Overview

Building the Foundation of Portfolios

Measuring Risk and Return

  • You will learn to calculate the expected return, which is the average profit you hope to make from an investment.
  • You will master variance and standard deviation. These are math tools used to measure how much an asset's price jumps around. High jumping means higher risk.
  • You will learn about covariance and correlation. These show how two different assets move together. If they move in opposite directions, they can help protect your money when one goes down.

Modern Portfolio Theory

  • You will study the Efficient Frontier. This is a graph showing the best possible return you can get for any level of risk.
  • You will learn how to find the Optimal Portfolio. This is the perfect mix of assets that gives you the most return for the smallest amount of risk.
  • You will learn to use the Capital Asset Pricing Model (CAPM). This model helps you figure out if a stock is priced correctly based on how much risk it carries compared to the whole market.

Advanced Math for Choosing Assets

Portfolio Optimization Techniques

  • You will learn Mean-Variance Optimization. This is a process of using math to find the exact weights, or percentages, of each stock in a portfolio to hit your goals.
  • You will work with constraints. These are rules you set, like deciding you never want to invest more than 10% of your money into one single company.
  • You will learn how to handle transaction costs. Buying and selling stocks costs money, and you must account for these fees so they don't eat your profits.

Factor Models

  • You will learn about Fama-French factors. These are specific traits that explain why some stocks perform better than others, like size (small companies vs. big ones) and value (cheap stocks vs. expensive ones).
  • You will use multi-factor models. Instead of looking at just one thing, you use several data points to predict how a stock will move.

Measuring Success and Managing Bad Outcomes

Performance Metrics

  • You will calculate the Sharpe Ratio. This tells you if the returns you are getting are worth the risk you are taking.
  • You will use the Sortino Ratio. This is like the Sharpe Ratio, but it only looks at the risk of losing money, ignoring the times when the price goes up.
  • You will use the Information Ratio to see if a manager is doing a good job compared to a specific market benchmark, like the S&P 500.

Risk Management Tools

  • You will master Value at Risk (VaR). This is a number that estimates the most money you could lose in a set amount of time if things go wrong.
  • You will learn Expected Shortfall. This tells you how bad your losses might be during a true market crash, which is even deeper than VaR.
  • You will learn how to perform Stress Testing. This involves running simulations of bad events, like a sudden interest rate hike, to see how your portfolio would survive.

Predicting Future Prices

Time Series Analysis

  • You will study autocorrelation. This is checking if a stock's price today is linked to its price from yesterday or last week.
  • You will learn how to model volatility, which is the speed and size of price changes. When volatility is high, prices swing wildly.
  • You will learn about mean reversion. This is the idea that if a price goes up too high or down too low, it will eventually move back toward its long-term average.

FlashCards

When using the Capital Asset Pricing Model, what specific value is assigned to the beta of a portfolio that holds the exact same assets as the total market?

In Mean-Variance Optimization, what happens to the required weight of an asset when you add a rule that forbids short-selling compared to a model without that rule?

How does the Fama-French three-factor model explain stock returns differently than a model that only looks at the stock's sensitivity to the broad market?

When calculating Value at Risk for a large portfolio, why does assuming a normal distribution of price changes often lead you to underestimate the danger of a market crash?

Why does the Information Ratio use the tracking error instead of the total portfolio standard deviation when measuring a manager's skill against a benchmark?

During a stress test where interest rates jump unexpectedly, which specific mathematical property of a bond portfolio determines the size of the price drop?

In a time series model, what does an autocorrelation coefficient of zero for a stock's returns imply about the ability to use past price patterns to predict future gains?

When accounting for transaction costs, why does the optimal turnover rate of a portfolio decrease as the estimated costs of buying and selling increase?

What is the key difference in how Expected Shortfall and Value at Risk handle the probability of losses that occur beyond the chosen confidence level?

If you have two assets that move in opposite directions, why does the portfolio's total variance drop more than just by averaging the individual variances?

If two portfolios have the exact same total return and total volatility, why might the one with a higher Sortino Ratio be considered safer by a professional?

What is the mathematical reason that adding a new asset with low correlation to your current portfolio shifts the Efficient Frontier line upward and to the left?

FlashCards

When using the Capital Asset Pricing Model, what specific value is assigned to the beta of a portfolio that holds the exact same assets as the total market?

In Mean-Variance Optimization, what happens to the required weight of an asset when you add a rule that forbids short-selling compared to a model without that rule?

How does the Fama-French three-factor model explain stock returns differently than a model that only looks at the stock's sensitivity to the broad market?

When calculating Value at Risk for a large portfolio, why does assuming a normal distribution of price changes often lead you to underestimate the danger of a market crash?

Why does the Information Ratio use the tracking error instead of the total portfolio standard deviation when measuring a manager's skill against a benchmark?

During a stress test where interest rates jump unexpectedly, which specific mathematical property of a bond portfolio determines the size of the price drop?

In a time series model, what does an autocorrelation coefficient of zero for a stock's returns imply about the ability to use past price patterns to predict future gains?

When accounting for transaction costs, why does the optimal turnover rate of a portfolio decrease as the estimated costs of buying and selling increase?

What is the key difference in how Expected Shortfall and Value at Risk handle the probability of losses that occur beyond the chosen confidence level?

If you have two assets that move in opposite directions, why does the portfolio's total variance drop more than just by averaging the individual variances?

If two portfolios have the exact same total return and total volatility, why might the one with a higher Sortino Ratio be considered safer by a professional?

What is the mathematical reason that adding a new asset with low correlation to your current portfolio shifts the Efficient Frontier line upward and to the left?

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Frequently Asked Questions

For detailed information about our Quantitative Portfolio Management course, including what you’ll learn and course objectives, please visit the "About This Course" section on this page.

The course is online, but you can select Networking Events at enrollment to meet people in person. This feature may not always be available.

We don’t have a physical office because the course is fully online. However, we partner with training providers worldwide to offer in-person sessions. You can arrange this by contacting us first and selecting features like Networking Events or Expert Instructors when enrolling.

Contact us to arrange one.

This course is accredited by Govur, and we also offer accreditation to organizations and businesses through Govur Accreditation. For more information, visit our Accreditation Page.

Dr. Miguel Perry is the official representative for the Quantitative Portfolio Management course and is responsible for reviewing and scoring exam submissions. If you'd like guidance from a live instructor, you can select that option during enrollment.

The course doesn't have a fixed duration. It has 12 questions, and each question takes about 5 to 30 minutes to answer. You’ll receive your certificate once you’ve successfully answered most of the questions. Learn more here.

The course is always available, so you can start at any time that works for you!

We partner with various organizations to curate and select the best networking events, webinars, and instructor Q&A sessions throughout the year. You’ll receive more information about these opportunities when you enroll. This feature may not always be available.

You will receive a Certificate of Excellence when you score 75% or higher in the course, showing that you have learned about the course.

An Honorary Certificate allows you to receive a Certificate of Commitment right after enrolling, even if you haven’t finished the course. It’s ideal for busy professionals who need certification quickly but plan to complete the course later.

The price is based on your enrollment duration and selected features. Discounts increase with more days and features. You can also choose from plans for bundled options.

Choose a duration that fits your schedule. You can enroll for up to 180 days at a time.

No, you won't. Once you earn your certificate, you retain access to it and the completed exercises for life, even after your subscription expires. However, to take new exercises, you'll need to re-enroll if your subscription has run out.

To verify a certificate, visit the Verify Certificate page on our website and enter the 12-digit certificate ID. You can then confirm the authenticity of the certificate and review details such as the enrollment date, completed exercises, and their corresponding levels and scores.



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