Introduction

This module is designed for experienced investment practitioners and property portfolio managers. It builds on previous modules, embracing both theoretical and practical concepts. The application of modern portfolio theory and investment concepts to commercial property portfolios will be considered. The module looks at how investment tools may be employed in structuring property portfolios and how portfolio risk may be controlled. The module will also look at commercial property's risk and return characteristics and at derivative products. The computing sessions form an integral part of the module, providing the opportunity to undertake data related analysis, enabling the exploration of issues raised in the lectures. Completion of the module will enable participants to understand the concept of efficient diversification, the risk inherent in property portfolios, basic risk control techniques and property's role within a multi-asset portfolio. Furthermore, completion of the module will equip participants with the necessary tools enabling them to undertake practical portfolio analysis.

Learning Aims and Objectives

Provide participants with an overview of portfolio theory and management;

Examine how property fits within a multi-asset portfolio; and

Enable participants to apply theory in practice.

Module Requirements

This module is designed for those with experience in the portfolio management and/or property investment field who want to be brought up to date on issues and techniques. As with all advanced modules, participants will be expected to have successfully completed modules 1-4 (or gained exemption from them). Participants will be expected to be familiar with financial mathematics and discounted cash flows prior to entry upon this module. An understanding of computer spreadsheets is also desirable.

Indicative Content

1. The principles and practice of modern portfolio and capital market theory
2. Single index models
3. The theory and practice of asset-liability modeling for institutional investors
4. Structuring the portfolio: clustering and grouping property returns
5. How property fits within a multi-asset portfolio
6. The use of futures and options contracts
7. Attribution analysis
8. Investment objectives
9. Examples of the use of spreadsheets in portfolio risk control.

By the end of this module, you should be able to:

Examine critically the role of property in a multi-asset portfolio
Appreciate the measurement and control of risk at portfolio level
Be aware of the use of derivatives in portfolio strategy
Understand the use of performance attribution measurement
Apply spreadsheets to calculate the risk of a portfolio and to control risk

Module Leader: Dr. Shaun Bond

Dr Shaun Bond is an Associate Professor of Real Estate at  the School of Business,  University of Cincinnati. Prior to taking up the appointment Shaun was a senior lecturer at the University of Cambridge. Before coming to Cambridge, Shaun gained considerable experience in economic analysis having been employed as a senior economist in the Macro-economics branch of the Queensland Treasury Department (Australia). His time at Queensland Treasury also included extensive experience in econometric modelling and data analysis, having served in the econometric modelling unit and the Government Statistician’s Office.

Shaun’s current research interests are centred on the application of quantitative techniques to decision making in real estate and more generally in other areas of finance. Recent research papers have been published in leading real estate journals and presented at a number of international conferences. Topics include asset pricing, liquidity risk, the time series properties of securitised real estate returns and the development of dynamic models of downside risk in financial markets. Real estate finance, financial econometrics, risk measurement

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