The Lee Kong Chian School of Business Academic Year 2013 / 14 Term 2

FNCE307 PORTFOLIO MANAGEMENT

Instructor Name Title Tel Email Office TA : Aurobindo Ghosh (Auro) : Assistant Professor of Finance Education, LKCSB : 6828 0863 : aurobindo@smu.edu.sg : LKCSB Room 4054 (Consulting Hour: By Appt.) : Dylan ONG Shu Bin dylan.ong.2010@business.smu.edu.sg and VO Van Linh vanlinh.vo.2010@business.smu.edu.sg.

COURSE DESCRIPTION
This course would cover the current theories of portfolio management and provide a conceptual framework for the evaluation of investment strategies. It aims to provide students with exposure to the process of investment management including identification of investment objectives and constraints, determining asset allocations, and measuring portfolio performance. It will also cover the fundamental concepts of investments, including risk and return, market efficiency, portfolio diversification, CAPM and risk management using derivatives. The coverage will include applications and implementation, in particular performance evaluation and international diversification. Lessons will also include extended and interactive discussions and analyses of the contemporary investing scene and global capital markets.

LEARNING OBJECTIVES
By the end of this course, students will be able to: Describe how the finance industry works Create a framework for managing a portfolio Apply concepts from modern portfolio theory Explain the mechanics of trading and markets Discuss the various roles in the investment management industry Discuss the risks and returns of various financial instruments and strategies Critically evaluate fund managers

PRE-REQUISITE/ CO-REQUISITE/ MUTUALLY EXCLUSIVE COURSE(S)

Please refer to the Course Catalogue on OASIS for the most updated list of pre-requisites / co-requisites for this particular course. Do note that if this course has a co-requisite, it means that the course has to be taken together with another course. Dropping one course during BOSS bidding would result in both courses being dropped at the same time.

ASSESSMENT METHODS
Project Presentation: Stock Trak trading simulation: Class participation: Quizzes Final 15% 15% 15% 15% 40%

ACADEMIC INTEGRITY
All acts of academic dishonesty (including, but not limited to, plagiarism, cheating, fabrication, facilitation of acts of academic dishonesty by others, unauthorized possession of exam questions, or tampering with the academic work of other students) are serious offences. All work presented in class must be the students own work. Any student caught violating this policy may result in the student receiving zero marks for the component assessment or a fail grade for the course. This policy applies to all works (whether oral or written) submitted for purposes of assessment. Where in doubt, students are encouraged to consult the instructors of the course. Details on the SMU Code of Academic Integrity may be accessed at http://www.smuscd.org/resources.html.

INSTRUCTIONAL METHODS AND EXPECTATIONS

I expect you to be prepared for classes by going through the assigned readings and slides before each class. Students are also expected to keep abreast of current developments in the world by reading leading business dailies/weeklies and major financial websites. The subject matter of the course requires some sophistication in probability and statistics. It is also assumed that you have competency in a spreadsheet package such as Excel and/or familiarity with a statistical software package. Also, class participation is an important part of the learning process for you and your classmates. When you contribute, you help others learn. Your participation mark reflects the quality (not merely the quantity) of your contribution to your classmates learning.

CONSULTATIONS AND TEACHING ASSISTANTS

I am usually available for consultation Monday to Friday, during office hours. Please contact me to make appointment. My office and contact information are listed at the top of this course outline. I am also readily available by email. You can also contact the TAs if you need assistance with the course materials .

CLASS TIMINGS
This course will be taught in one 3-hour session each week. If the class falls on a public holiday, the university will schedule a Saturday to conduct make-up lessons.

RECOMMENDED TEXTS AND READINGS

Author: Zvi Bodie, Alex Kane, Alan J. Marcus and Ravi Jain, Investments, (Asian Global Edition), McGraw-Hill, 2013. (Main Text) Author: Zvi Bodie, Alex Kane and Alan J. Marcus, Investments and Portfolio Management, 9th edition (Global Edition), McGraw-Hill, 2011. (Alternate Main Text, currently out of stock) Peter Bernstein, Capital Ideas: The Improbable Origins of Modern Wall Street, Wiley, 2005.(Recommended Reading). Peter Bernstein, Capital Ideas Evolving, Wiley, 2007(Recommended Reading). Robert A. Haugen, Modern Investment Theory, 5th Edition, Pearson, 2000. (Recommended Reading)

Weekly Outline (Tentative) Learning Objectives Week Starts on No. 1 6-Jan-14 Course description & expectations Obtain a broad understanding of how the finance industry works Create a framework for managing a portfolio View markets and returns in statistical terms Understand and apply concepts from modern portfolio theory 20-Jan-14 Modern Portfolio Theory 4 27-Jan-14 Modern Portfolio Theory (cont) Expectations for group project 5 3-Feb-14

13-Jan-14

Concepts / Topics Covered Required Reading Topics: The Investment Environment Textbook: Chapter1 The Process of Portfolio Management Textbook: Chapters 5 Topics: Statistics, Markets Topics: Risk Aversion, Capital Allocation Textbook: Chapter 6 Topics: Optimal Risky Portfolio Textbook: Chapter 7 Topics: Optimal Risky Portfolio (Ch 7) Topic 1: Stocktrak Project Topic 2: Using Multiple Asset Classes Textbook: Chapter 2 Project Presentations How Securities are Traded Textbook: Chapter 3 Mid-term Break Securities Trading, Market Efficiency Textbook: Chapter 3,11. EMH, Behavioural Finance and Technical Analysis Textbook: Chapter 11,12 Topic: Long Term Portfolio Returns Textbook: Chapter 12, 13 Topic: Statistical Tests on Empirical Asset Prices Textbook: Chapter 13 (Continued) Mutual Fund and other institutions Textbook: Chapters 4 Performance Measurement Textbook: Chapter 24

6 7 8 9 10 11

10-Feb-14 17-Feb-14 24-Feb-14 3-Mar-14

Makeup Class Saturday Feb 16 Understand the use of multiple asset classes in a portfolio. Understand the mechanics of trading and markets. Understand the mechanics of trading and markets. Introduction to Efficient Markets Hypothesis. Understand EMH and issues related to EMH. Have a basic grasp of behavioural and technical analysis. Have a deep understanding of returns characteristic and compounding of an investment portfolio. Have a good grasp of risks and returns of various financial instruments and strategies. Understanding testing of Empirical Models Have an understanding of the mutual fund and institutional fund industry Formulate and test trading strategies in a robust manner Performance Evaluation: Critically evaluate fund managers performance Study Break Optional Guest Lecture Final Examination

10-Mar-14

17-Mar-14

12

24-Mar-14

13

31-Mar-14

14 15

7-Apr-14 14-Apr-14