Asset Allocation and Investment Strategies 2400-QFU1AAIS
The main goal of the course is to cover various investment strategies used by modern investment and hedge funds and the asset classes they are applied to. The material is organized primarily by strategy. Each topic combines theory with a practical exercise.
1.Introduction:
Classification of hedge funds by the strategies they implement
Overview of the main asset classes and how different strategies map to them
2.Fundamental and valuation-driven strategies (long/short equity):
Equities, stocks, indices
Asset analysis and valuation methods (fundamentals, P/E, EPS, etc.)
3. Global macro strategies:
Fed, rates, business cycles, industries
Bonds, yields, convexity, term structure
Yield curve analysis
4. Inflation and commodity-cycle strategies:
US market influence on emerging and developed markets; correlation; regime changes
Inflation hedging
Commodity cycles and regimes (gold, oil)
Backtesting commodity vs. equity inflation-hedge performance
5. Technical and chart-based strategies:
Price action, moving averages, RSI, Bollinger Bands
Applying indicators and generate signals
6. Momentum and mean-reversion strategies:
Basic statistical arbitrage
Backtesting momentum and mean-reversion strategies
7. Behavioral and event-driven strategies:
Sentiment and news analysis, NLP models, disruption funds, distressed/bankruptcy strategies
Constructing sentiment indicators from news or social media
8. Risk-adjusted performance measurement:
Volatility and risk measures
Drawdown and risk-adjusted metrics; which metrics matter most
Calculating performance metrics
9. Strategies in cryptocurrency markets:
Basic cryptos, stablecoins, staking, market structure
Comparing crypto vs. equities (returns/risk)
10. Hedging and algorithmic strategies
Cross-asset and volatility hedging
Algorithmic trading strategies and their performance metrics
11. Strategies in alternative asset classes:
Natural resources
REITs
Private equity
Venture capital
Alternative-asset portfolio construction
Szacunkowy nakład pracy studenta:
Typ aktywności K (kontaktowe) S (samodzielne)
konwersatorium (zajęcia) 30 0
przygotowanie do konwersatorium 0 25
przygotowanie projektu 0 10
konsultacje 10 0
Razem 40 35 = 75
Course coordinators
Term 2025Z: | Term 2026Z: |
Type of course
Learning outcomes
On course completion the student knows how to:
- Implement modern investment strategies used by investment and hedge funds
-Apply Risk Management Principles
-Apply Technical and Fundamental Analysis Concepts
-Implement Tactical Asset Allocation Strategies
-Understand Global Market Interconnections
-Analyze Cryptocurrency and Alternative Assets
-Analyze Selected Advanced Trading Strategies
-Recognize Market Psychology and Behavioral Factors in Investing
-Explain features of alternative forms of investing, their risk, return and diversification potential
Assessment criteria
1. Active participation during the classes
2. Final project and its presentation (in teams)
3. Class presence is mandatory (maximum two non justified absences).
Bibliography
Literature:
François-Serge Lhabitant, "Handbook of Hedge Funds"
Antti Ilmanen, "Expected Returns: An Investor's Guide to Harvesting Market Rewards"
Andrew Ang, "Asset Management: A Systematic Approach to Factor Investing"
Ernest P. Chan, "Algorithmic Trading: Winning Strategies and Their Rationale"
Aswath Damodaran, "Investment Valuation: Tools and Techniques for Determining the Value of Any Asset"
Marcos López de Prado, "Advances in Financial Machine Learning"