Student outline Sem 2 2018 PDF

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Student outline...

Description

SUBJECT OUTLINE 25503 Investment Analysis Course area

UTS: Business

Delivery

Spring 2018; standard mode; City

Credit points 6cp Requisite(s)

(25556 The Financial System AND 25622 Quantitative Business Analysis) OR ( 35151 Introduction to Statistics AND 35102 Introduction to Analysis and Multivariable Calculus) OR ( 37131 Introduction to Linear Dynamical Systems AND 37132 Introduction to Mathematical Analysis and Modelling) OR ( 23565 Mathematics for Economics and Business AND 23571 Introductory Econometrics) These requisites may not apply to students in certain courses. There are also course requisites for this subject. See access conditions.

Result type

Grade and marks

Subject coordinator Dr Kristoffer Glover, CFA, FRM Office: CB08.07.076 Consultation Time: Wednesdays, 17h00-18h45 Telephone: (02) 9514 7778 Email: [email protected]

Teaching staff Dr Kristoffer Glover, CFA, FRM (Lecturer) Office: CB08.07.030 Email: [email protected] Nihad Aliyev (Tutor) Email: [email protected] Christina Bui (Tutor) Email: [email protected] Keith Woodward (Tutor) Email: [email protected]

Subject description This subject introduces the conceptual and theoretical framework of the portfolio approach to investments. It applies the techniques of mean-variance diversification to portfolio construction and the investment management process. Asset pricing models and their application to investment management are also reviewed. Other topics covered include bond portfolio management, active and passive investment strategies and the measurement of investment performance.

Subject learning objectives (SLOs) Upon successful completion of this subject students should be able to: 1. discuss the role of risk and return in the investment management process; 2. appraise theories relating to asset pricing and portfolio choice; 3. evaluate risky asset classes and associated risk management techniques; 4. identify problems and issues in investment management

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Contribution to the development of graduate attributes The subject contributes to the aim of preparing students to commence a fulfilling and effective career in business, especially in investment management. It pursues this aim through the study of the theory and practice of portfolio construction on under uncertainty. Asset selection and risk management techniques are considered and applied in investment management. Principal asset classes are analysed in the context of their contribution to portfolio objectives, risk and return. Portfolio performance is monitored to illustrate the problems and issues in investment management. This subject contributes to the development of the following graduate attributes: Critical thinking, creativity and analytical skills Business practice oriented skills This subject also contributes specifically to develop the following Program Learning Objectives: 2.2: Apply critical and creative thinking to address issues in business 5.1: Apply technical and professional skills necessary to operate effectively in business and related professions

Teaching and learning strategies Each week a two-hour lecture will present and analyse the relevant theories and concepts required to understand the world of modern investment management. Practical exercises and application of these concepts are then examined in detail in both on-line and off-line learning opportunities, and during interactive tutorial sessions. Alongside these activities, an in-depth, Excel-based, group assignment will also be undertaken outside of class time to allow for authentic collaborative learning which will bridge the gap between theory and practice. The UTSOnline site will be used extensively to share all materials and information. The learning activities available to students are: 1. Pre-lecture videos and articles: Students are required to watch and read a number of introductory online videos and articles before coming to each lecture. This will enable increased interaction during class and allow for active learning during lectures (such as small group discussions). 2. Weekly lectures: These provide the main vehicle for the development of course content. Each week new material builds upon and develops earlier material and so it is important to consolidate understanding of one lecture before attending the next. 3. Tutorial problems: A set of theoretical and practical problems associated with each lecture will be posted on UTSOnline each week. Students are encouraged to make a genuine attempt to solve these problems independently before seeking help from classmates or online. Abbreviated written solutions will accompany the tutorial problems to provide self-assessment and feedback, however these solutions are designed to be a check on students’ own work and not instructional. Instructional videocasts of tutorial solutions will also be provided online (with a lag of one week) which include much more detail and additional interactive exercises. The tutorial problems are an integral part of the subject and their importance cannot be underestimated. 4. Weekly tutorial sessions: A formal one-hour tutorial session will take place each week and each student will be allocated to a specific tutorial session; note that sessions will only start during the second week of classes. These sessions are designed to allow students to obtain feedback on their attempted solutions to the tutorial problems, as such students are required to attempt the assigned problems prior to attending the session and to come prepared to discuss their attempted answers in class. There will also be two in-class quizzes during the tutorial sessions throughout the semester. 5. UTSOnline engagement: To stimulate collaborative learning, students are encouraged to use the UTSOnline discussion board. The discussion board is a forum for students to post subject-related inquiries, discuss topics, and exchange ideas with classmates. The discussion board is a great tool for discussion between students and will also be monitored regularly by the lecturer(s) and tutors.

Content (topics) Risk and return; Portfolio theory, asset pricing theories and market efficiency; Asset pricing models; Active and passive strategies; Performance measurement; Fixed-income portfolio management. 05/07/2018 (Spring 2018)

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Program Week/Session

Dates

Description

1

23 July

Mandatory Preparation Week. Lecture 1 (Preparatory Material): Introduction, returns, basic statistics, and matrices Notes: Slides for Lecture 1. Recommended reading: EGB&G Chapters 2-3. Suggested additional reading: Luenberger Chapters 1, 2 (pp. 15-23) and 6 (pp.143-155); 25556 The Financial System; 25622 QBA. Students should also allocate time to logon to UTSOnline and familiarise themselves with the subject and the large array of resources available. There will also be preliminary tasks to complete prior to attending the preparatory lecture. Note that tutorial sessions do not start until Week 2.

2

30 July

Lecture 2: Two-asset portfolios and individual choice Notes: Slides for Lecture 2. Recommended reading: EGB&G Chapters 4-5. Suggested additional reading: Luenberger Chapter 6 (pp.156-464) and Chapter 11 (pp. 279-291).

3

6 August

Lecture 3: Mean-variance portfolio theory, part 1 Notes: Slides for Lecture 3. Recommended reading: EGB&G Chapters 5-6. Suggested additional reading: Luenberger Chapter 6 (pp. 161-167). Group members need to be organised and names and student numbers emailed to [email protected] by 5pm Friday 10 August, 2018.

4

13 August

Lecture 4: Mean-variance portfolio theory, part 2 Notes: Slides for Lectures 4. Recommended reading: EGB&G Chapters 5-6. Suggested additional reading: Luenberger Chapter 6 (pp. 168-173).

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5

20 August

Lecture 5: Mean-variance portfolio theory, part 3 Notes: Slides for Lecture 5. Recommended reading: EGB&G Chapter 5-6 Suggested additional reading: Luenberger Chapter 6 (p. 168) Quiz 1 will be conducted during the tutorial session this week.

6

27 August

Lecture 6: The capital asset pricing model (CAPM) Notes: Slides for Lecture 6. Recommended reading: EGB&G Chapters 13-15. Suggested additional reading: Luenberger Chapter 7 (pp. 180-191).

7

3 September

Lecture 7: Systematic risk and factor models Notes: Slides for Lecture 7. Recommended reading: EGB&G Chapters 7-8. Suggested additional reading: Luenberger Chapter 8 (pp. 213-223). Part 1 of the Assignment is due by 5pm on 7 September, 2018, to be handed in to the appropriate assignment box in the student lounge on Level 5 of Building 8.

StuVac

10-14 September

StuVac week Notes: No classes scheduled this week.

8

17 September

Lecture 8: Arbitrage pricing theory (APT) Notes: Slides for Lecture 8. Recommended reading: EGB&G Chapter 16. Suggested additional reading: Luenberger Chapter 8 (pp. 223-227).

9

24 September

Lecture 9: Fixed-income securities and the yield curve Notes: Slides for Lecture 9. Recommended reading: EGB&G Chapter 21.

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Suggested additional reading: Luenberger Chapter 3 (pp. 42-49) and Chapter 4 (pp. 76-87). Quiz 2 will be conducted during the tutorial session this week.

10

1 October

Public Holiday Notes: No classes scheduled this week.

11

8 October

Lecture 10: Duration and bond portfolio immunisation Notes: Slides for Lecture 10. Recommended reading: EGB&G Chapter 22. Suggested additional reading: Luenberger Chapter 3 (pp. 56-69).

12

15 October

Lecture 11: Investment strategies and performance measures Notes: Slides for Lecture 11. Recommended reading: EGB&G Chapters 25 and 27. Suggested additional reading: Luenberger Chapter 7 (pp. 191-194). Part 2 of the Assignment is due by 5pm on 19 October, 2018, to be handed in to the appropriate assignment box in the student lounge on Level 5 of Building 8.

13

22 October

Lecture 12: Market efficiency and a behavioural perspective Notes: Slides for Lecture 12. Recommended reading: EGB&G Chapters 17 and 20 This lecture is during StuVac to make up for the missed class on 1 October due to the public holiday.

27 October - 10 November

Final Exam Notes: Consult the exam timetable for the date and venue.

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Additional information Please be aware that additional information of relevance to both the subject's teaching and assessment might be posted on UTSOnline. It is students' own responsibility to ensure that they have access to, and are aware of, this additional information. Microsoft Excel Microsoft Excel is an extremely important part of this subject. You should familiarise yourself with this application as soon as possible. Good Excel skills are essential for successful completion of the assignment problems. Whilst there will be plenty of demonstrations in lectures and the tutorial sessions, mastering Excel is your responsibility—it is not taught as part of the subject. Calculators A non-programmable business/financial calculator is absolutely necessary, and you are advised to spend some time learning how to use it properly. The exam problems for this subject will be computationally intensive, so practice solving the tutorial problems on your calculator quickly and efficiently. The Texas Instruments BA II Plus is ideally suited to the subject requirements, but there are many other brands and models that will do. However, note that programmable calculators are forbidden in the exams. Students who store any examinable information in their calculators will automatically fail the subject, and will face disciplinary action.

Assessment Assessment task 1: Assignment (Group) Objective(s): This addresses subject learning objective(s): 1, 2, 3 and 4 Weight:

30%

Task:

This component of the assessment will be comprised of three tasks: 1. Assignment Part 1 (worth 15%); 2. Assignment Part 2 (worth 10%); 3. Ongoing tutorial participation marks (worth 5%). Assignment: The assignment is a substantial Excel-based project that requires students to apply their understanding of theories and concepts associated with portfolio management to the process of solving practical portfolio management problems. The assignment is designed to mimic actual tasks of a portfolio/fund manager and real market data will be used to perform the relevant computations and subsequent interpretations. As such the assignment will provide students with an authentic experience of the day-to-day tasks and responsibilities of those involved in the investment management process. The assignment is split into two parts with Part 1 covering the material in lectures 1-5 and Part 2 the material in lectures 6-10. Both parts should be completed independently by groups of 3-4 students. Furthermore, one representative from each group must email the subject coordinator (at [email protected]) by 5pm on Friday 10 August 2018 with the names and student numbers of all the group members. No changes can be made to group membership after this date without obtaining consent from the subject coordinator. It is your responsibility to ensure that all deadlines are met. The assignment will help students to engage in collaborative learning and it is highly recommended that you schedule regular group meetings to facilitate discussions such that each member is clear about their responsibilities. Moreover, it is also recommended that each member of the group attempt all questions on the assignment (or at least understand the solution and methodology used for all questions) as the assignment is excellent preparation for the final exam. The assessment criteria for each part of the assignment will be based upon: identifying the appropriate methodology;

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the accuracy of the numerical and graphical analysis; the critical interpretation of the results of this analysis; and the clarity of the presentation within the assignment report. Tutorials: Since the tutorial program plays a key role in the development of your knowledge of Investment Analysis, independently preparing answers to the tutorial questions will help you develop the ability to analyse questions and compose appropriately rigorous solutions. Each week you will be required to hand in (in person) your written attempt at selected tutorial questions (to be specified in advance via UTSOnline). Your submissions will not be assessed for their correctness but will be judged based on whether or not they are a genuine attempt at answering the questions. Should your answers be deemed genuine then you will receive a mark for that tutorial. In order to receive the maximum mark of 5% you will need to submit attempts for at least 8 tutorials throughout the teaching session. In cases where less than 8 submissions are made (or deemed genuine), the total mark will be calculated as: (number of genuine submissions / 8) × 5%. Due:

Part 1 of the assignment is due by 5pm on 7 September and Part 2 is due by 5pm on 19 October.

Further A hard copy of each part of the assignment should be handed in to the appropriate assignment box in information: the student lounge on Level 5 of Building 8. Further details will be posted on UTSOnline closer to the submission deadline. Your tutorial attempts, clearly indicating your name and student ID number, should be handed to your tutor at the beginning of each tutorial session. Please note that you will not receive any marks for your submission if you do not stay for the remainder of the tutorial.

Assessment task 2: In-class quizzes (Individual) Objective(s): This addresses subject learning objective(s): 1 and 2 Weight:

20%

Task:

The quizzes will test students’ understanding of essential concepts in investment analysis and are an excellent opportunity to receive ongoing feedback on your individual learning. The quizzes will cover the material from Lectures 1-7. The assessment criteria for each quiz will be based on the accuracy of your answer choices.

Length:

45 minutes each.

Due:

Quiz 1 will be conducted in your tutorial session in Week 5 and Quiz 2 will be conducted in your tutorial session in Week 9.

Further Two quizzes, each worth 10%, will be run during the weekly tutorial sessions and students must sit information: each quiz in their officially-enrolled tutorial or a mark of zero will be awarded. There will be no other opportunities to take these quizzes. The first quiz, covering Lectures 1-3, will be held during the week of Lecture 5. The second quiz, covering Lectures 1-7, will be held during the week of Lecture 9. The format of these quizzes will be multiple choice questions. Each quiz will commence at 5 minutes past the hour and will be exactly 45 minutes in duration. Marks will be released within two weeks of the date of the quiz and feedback will be provided during tutorial sessions. Students who fail to attend a quiz will have the weighting of that assessment task added to the final examination conditional on the students submitting, receiving approval and complying with the requirements of special consideration in accordance with the UTS rules. If no such approval is given then a mark of zero will be awarded and no further opportunities to sit for the quiz will be given. If the composite mark for the final exam is more than 50 percent, the UTS rules on borderline result 05/07/2018 (Spring 2018)

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(range of 45-49, inclusive) shall apply whereby students will be allowed to undertake a supplementary final examination. Where a student completes and passes a supplementary examination, the maximum mark awarded for the subject will be 50 Pass.

Assessment task 3: Final Examination (Individual) Objective(s): This addresses subject learning objective(s): 1, 2, 3 and 4 Weight:

50%

Task:

The final examination will test students’ understanding of the theories outlined in this subject as well the students’ ability to apply these theories in practice. The exam will cover the material from the entire subject (Lectures 1-12). The assessment criteria for the final exam will be based on the accuracy of students' numerical and graphical analysis and their critical interpretation of the results of this analysis.

Length:

2 hours plus 10 minutes reading time.

Due:

UTS Exam period

Further The exam is a closed-book (individual) assessment and will be conducted under university information: examination conditions. The format of the exam will involve both multiple-choice questions and written answer responses. Non-programmable calculators may be used and a formula sheet will be provided (a copy of which will also be made available on UTSOnline prior to the exam). Students who are granted a special alternative examination based on approved application for special examination will not be rescheduled if the student fails to attend the special alternative examination on the designat...