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POWER POINT SLIDES OTHER
MATERIALS
BA 443 –
Portfolio Management
Winter
2009
Bexell 416
Section 1:
MW 2 – 3:50 p.m.
INSTRUCTOR: Prem
Mathew
Bexell
424
737-6030,
prem.mathew@bus.oregonstate.edu
OFFICE HOURS : T
9 – 10 a.m., Th 9 – 10 a.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.
PREREQUISITE: BA
442 / BA 341
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
and on Blackboard. Grades will be posted only on Blackboard.
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: 28%
Six
Stock-Trak and Excel Exercises: 5% each
Final Exam:
40%
Attendance:
2%
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
Jan 5 Course Introduction
Topic: Portfolio Formation and Asset Allocation
The Asset Allocation Decision RB
2
Asset Allocation RM 3
“Does Asset
Allocation Policy
Explain 40, 90 or 100
Percent of Performance?” RM
1
Topic: Capital Market Expectations
Jan 12 Macroanalysis
and Microvaluation of the Stock Market RB
12
Industry
Analysis RB
13
Jan 19 Capital
Market Expectations RM
2
Multifactor
Models of Risk and Return RB
9
January 19th:
Martin Luther King Day
Feb 2 Topic: Portfolio Construction
Asset Allocation RM
3
An Introduction to
Portfolio Management RB
7
An Introduction to Asset
Pricing Models RB
8
Feb 9 Topic: Equity Portfolio Management
Efficient Capital
Markets RB
6
Security Market Indices RB
5
Equity
Portfolio Management Strategies RB
16
“Modern Tactical Asset Allocation” Silva (2006) RM 4
Quantitative Stock
Selection*
Technical Analysis*
Feb 16, 23 Topic: Bond Portfolio Management
Bond Portfolio
Management Strategies RB
18, RB 19
MIDTERM EXAM:
February 18th
Guest Speaker: Greg Sherwood
President,
Quest Investment Management, Inc.
Feb
23rd
Mar 2 Topic:
Portfolio Monitoring and Rebalancing
Monitoring
and Rebalancing RM
5
Mar 9 Topic: Portfolio Performance Measurement
Evaluation
of Portfolio Performance RB
25
Evaluating
Portfolio Performance RM
6
FINAL EXAM: Wednesday, March 18th, 12 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.
CODE OF
CONDUCT/
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. The
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:
§
Describe
the steps in the portfolio management process and formulate an investment
policy statement.
§
Calculate
and interpret expected and historical risk and return measures for individual
securities and a portfolio of securities.
§
Understand
and implement mean-variance optimization techniques to construct portfolios.
§
Understand
the role of macroeconomic and industry analysis in portfolio formation.
§
Construct
equity portfolios using passive and active equity portfolio management
techniques.
§
Construct
basic fixed income portfolios.
§
Describe
how to monitor and rebalance an equity portfolio.
§
Assess
portfolio performance.
§
Evaluate
a portfolio manager’s market timing and security selection skills through
attribution analysis.