|
|
|
|
|
|
|
|
|
|
|
|
|
NOTE: BA 443 is not offered during Summer 2008.
These course materials are for reference purposes only.
POWER
POINT SLIDES OTHER MATERIALS
BA
443 – Portfolio Management
Spring
2008 Section 1
MW
10 – 11:50 a.m.
INSTRUCTOR: Prem Mathew
Bexell
424
737-6030,
prem.mathew@bus.oregonstate.edu
OFFICE HOURS : T
9 – 10 a.m., W 12 – 1 p.m., F 11 – 12 p.m., or by appointment
DESCRIPTION: This course provides students
with the quantitative and qualitative skills necessary for the construction,
revision and evaluation of financial portfolios. Students will first be
introduced to the portfolio formation and asset allocation process. After
revisiting the mathematics of portfolio construction and diversification,
students will develop an understanding of equity and bond portfolio management
strategies. The course will culminate with a discussion of portfolio
performance evaluation. This course will follow the general approach used in
the Chartered Financial Analyst (CFA) program and is particularly appropriate
for anyone considering a career in the investment banking industry.
PREREQUISITE: BA
442
MATERIALS: Text: Reilly, F.K., and
K.C. Brown, 2006, Investment Analysis and Portfolio Management, 8th
edition, Thomson South-Western.
Materials
on Reserve: Some of the material covered in the course will be from other
sources. I will have copies of these sources on reserve in the library as well
as in my office.
Power point
slides will be available by Sunday evening for the next week’s lectures.
Students are expected to bring these slides to class. These slides and other
course documents can be accessed through the COB course materials website at http://classes.bus.oregonstate.edu/ba443.
TEXT WEBSITE: The text’s website can be accessed through http://reilly.swlearning.com.
GRADING: Your
final grade will be will be determined by the following weights.
Midterm Exam:
27%
Seven
Stock-Trak and Excel Exercises: 5% each
Final
Exam: 35%
Attendance:
3%
Homework
assignments: Homework assignments will
be provided to prepare students for the midterm and final exams. When appropriate, in-class assignments will
also be provided. These assignments will not be graded.
Midterm and
Final Exams: Students that cannot make
an exam must notify me prior to the day of the exam.
Stock-Trak and
Excel Exercises: The Stock-Trak and Excel assignments allow students to employ
the portfolio management tools they obtain in the course. Students will be
expected to carry out basic strategies and assess the performance of these
strategies. A more detailed description of the requirements for these exercises
will be provided in class.
Attendance:
Students will be awarded attendance points for attending the guest speaker lecture(s)
and attending the final day of class.
COURSE
OUTLINE: The following serves as
a tentative outline for the course. All
chapters listed will be covered to some extent, time permitting. Please make note of the midterm exam dates. Students will only be responsible for
sections of chapters covered in class.
The specific pages that you are responsible for in each reading will be
specified in the PP slides.
Wk. of Topic
Mar 31 Course Introduction
Topic: Portfolio Formation and Asset
Allocation
The Asset
Allocation Decision RB
2
Apr 7 The Asset Allocation
Decision RB
2
Asset Allocation RM
3
Equity Portfolio
Management Strategies RB
16
Security Market
Indices RB
5
“Does Asset
Allocation Policy
Explain 40, 90
or 100 Percent of Performance?” RM
1
Topic: Capital Market Expectations
Capital Market
Expectations RM
2
Macroanalysis
and Microvaluation of the Stock Market RB
12
Apr 14 An
Introduction to Asset Pricing Models RB 8
Multifactor
Models of Risk and Return RB
9
Apr 21 Topic: Portfolio Construction
Asset Allocation RM
3
An Introduction
to Portfolio Management RB
7
Apr 28 Topic: Active Equity Portfolio Management
Efficient
Capital Markets RB
6
Equity
Portfolio Management Strategies RB
16
MIDTERM:
April 30th
May 5 Industry
Analysis RB
13
“Modern Tactical
Asset Allocation” Silva (2006) RM
4
Quantitative
Stock Selection*
Topic: Portfolio Monitoring and Rebalancing
Monitoring
and Rebalancing RM
5
May 12, 19 Topic: Portfolio
Performance Measurement
Evaluation
of Portfolio Performance RB
25
Evaluating
Portfolio Performance RM
6
Guest Speaker: Greg Sherwood
President,
Quest Investment Management, Inc.
May
21st
May 26, Jun 2 Topic: Bond Portfolio
Management
Bond
Portfolio Management Strategies RB
19
Monday, May
26th Memorial Day Holiday
FINAL EXAM: Tuesday, June 10th , 6 p.m.
______________________________________________________________________________
RB: Reilly and Brown. RM: Reserve
Materials
* No outside reading for this topic
ATTENDANCE
AND
CLASSROOM
ETIQUETTE: Although attendance will never formally be
taken, it is expected that students will attend every lecture and will be held
responsible for all materials covered in class. Students may use electronic
devices only for note-taking and other class purposes. Students are expected to
come to class on time.
ACADEMIC
HONESTY:
For information
about academic integrity and the University's policies and procedures in this
area, please refer to the Student Conduct web site at: http://www.orst.edu/admin/stucon/achon.htm
and the section on Academic Regulations in the OSU Schedule of Classes.
STUDENTS
WITH
DISABILITIES: Accommodations are
collaborative efforts between students, faculty and Services for Students with
Disabilities (SSD). Students with accommodations approved through SSD are
responsible for contacting the faculty member in charge of the course prior to
or during the first week of the term to discuss accommodations. Students who
believe they are eligible for accommodations but who have not yet obtained approval
through SSD should contact SSD immediately at 737-4098.
COURSE
LEARNING
OUTCOMES: After completing the
course, students will be able to:
§
Calculate
and interpret expected and historical risk and return measures for individual
securities and a portfolio of securities.
§
Describe
the steps in the portfolio management process and formulate an investment
policy statement.
§
Calculate
the covariance and correlation between securities and explain how correlation
affects the standard deviation of a portfolio.
§
Describe
the implications of the major findings of behavioral finance research on the
efficient market hypothesis.
§
Construct
equity portfolios using passive and active equity portfolio management
techniques.
§
Describe
how to monitor and rebalance an equity portfolio.
§
Construct
bond portfolios using passive and active bond portfolio management techniques.
§
Assess
portfolio performance.
§
Evaluate
a portfolio manager’s market timing and security selection skills through
attribution analysis.