Syllabus
FIN 416 Advanced Portfolio Management Winter Term 2014 Lec B1 & B2
Instructor: Akiko Watanabe
Lectures: Tue/Thu 11:00-12:20 at BUS 1-06 (B1) or 15:30-16:50 at BUS 3-10 (B2) Labs: Tue/Thu 11:00-12:20 at BUS B-18 (B1) or 15:30-16:50 at BUS B-18 (B2) Office Hours: Thu 13:50-15:30 at BUS 3-30A
E-Mail: [email protected]
Course Description:
This course offers studies of financial markets from a perspective of investors or fund managers, who select financial assets through time forming a dynamically managed portfolio. Lectures cover recent theoretical and empirical developments in portfolio management with an emphasis on various investment techniques and performance evaluations. A course project provides you with an opportunity to construct, implement, and assess your own trading strategy using financial market data.
Prerequisites:
Portfolio management is a glamorous subject, but its real life practice demands strong analytical and quantitative skills. This course uses materials from your finance, statistics, and mathematics courses. Before taking this course, you must have completed FIN 301 and FIN 412. Strong time management skill and ability to manage large amount of data using Excel are also essential as you are required to plan, conduct, and complete your project by the last day of the course.
Textbook:
There is no required textbook for this course. Any textbooks you have used in your previous finance courses will suffice for basic conceptual review.
Grading Scheme:
10% Group Assignments
• Two assignments each worth 5%
• Due on February 4th (assignment #1) and March 13th (assignment #2)
10% In-Class Quizzes
• Two in-class quizzes each worth 5%
• Scheduled on February 13th (quiz #1) and March 25th (quiz #2)
• First quiz covers materials studied before the reading week
• Second quiz covers materials studied after the reading week 10% Midterm Strategy Proposal Presentation
• Scheduled on February 4th, 6th, and 11th
• Submit a written proposal summary on your presentation day 5% Midterm Strategy Proposal Analysis Reports
• Submit analysis reports on February 4th, 6th, and 11th
• Attendance to all presentations is mandatory 10% Final Project Presentation
• Scheduled on March 27th, April 1st, 3rd, and 8th
• Presentations must be in business attire
5% Final Project Analysis Reports
• Submit analysis reports on March 27th, April 1st, 3rd, and 8th
• Attendance to all presentations is mandatory 30% Final Project Report
• Due on April 8th at the beginning of the class
• Late/email submissions will not be accepted 20% Attendance and Participation during Lab Sessions
• Attendance, contribution to group work, and progress made during lab sessions
See below for requirements on group assignments and in-class quizzes. For details on the project presentations and reports, see “project guideline and requirements” and “project grading scheme”
available on the course website. Homework due dates and presentation dates above are tentative.
Final schedule will be announced in class and posted on the course website.
Final letter grade assignment follows the university guideline for the 4th year course:
Letter Grade Grade Points Suggested Percentage Distribution
A+ 4.0 8%
A 4.0 12%
A- 3.7 17%
B+ 3.3 16%
B 3.0 16%
B- 2.7 12%
C+ 2.3 7%
C 2.0 5%
C- 1.7 3%
D+ 1.3 2%
D 1.0 1%
F 0.0 1%
Total 100%
Mean 3.11
Median B+
Group Project and Assignment Requirements:
You can work on the project and assignments in a group of up to three same members including yourself in the section for which you are registered. If you fail to follow this rule, you will be required to work on the project and assignments on your own. The final project report and assignments are collected on the due dates at the beginning of the class before the lecture or the first presentation begins.
Delayed submission and email submission are not allowed under
any circumstances and result in immediate zero score.
Each group must submit one copy of typed report and assignments with a cover page clearly stating the section (B1 or B2), names, student IDs, and email addresses of all members. Points will be deducted for not indicating the above information. Additional requirements will be announced in class and posted on the course website. Please note that project and assignment grades will be reduced significantly if you do not make sufficient contribution to the group work.In-Class Quiz Requirements:
Please bring a picture ID and a calculator to the two in-class quizzes. No compensating quizzes will be given, so please be sure to make yourself available on the scheduled dates to avoid receiving zero scores. Honesty and integrity from all students are expected. Cheating of any sort will be dealt with as sternly as university policy allows.
Contact Requirements:
Please use the above email address for all contacts including questions and appointments. Emails requesting appointments must clearly indicate questions you require assistance with. Last-minute questions and appointment requests before homework due dates, quizzes, and presentations will not be considered.
Class Requirements:
You must attend classes for your registered section. Use of a laptop computer is prohibited at all times except on days allowed by the instructor.
Course Schedule:
Lecture #1 Tue, Jan.7
Introduction
• Course outline and logistics
• Project guideline, requirements, and grading scheme
• How to get started on the course project Homework
• Find project/assignment team members immediately.
• Review project guideline, requirements, and grading scheme.
• Start reading finance academic articles via Winspear library website and find strategies that you are interested in.
Lectures #2, 3 Thu, Jan.9 Tue, Jan.14
Sample Projects
• Project examples
• Sample project presentation
• Details of grading schemes
• Basic structure of finance academic articles
• Tasks of presenters and analysts Homework
• Continue with article reviews.
• Discuss strategy ideas with your group members.
Lecture #4 Thu, Jan.16
Working with Data
• Introduction to financial market and macroeconomic data
• How to look for the U.S. and international data sources
• Select sample assets and sample period Homework
• Start narrowing down ideas for your project.
• Find data sources necessary to construct candidate strategies.
Lectures #5, 6 Tue, Jan.21 Thu, Jan.23
Size and Value Strategies
• Origin and performance of size and value strategies
• Interpretations of size and value premia
• Case study: Dimensional Fund Advisors
• Fama and Macbeth regression analysis Homework
• Understand how to conduct Fama and MacBeth analysis and
work on assignment #1.
• Finalize your strategy and start considering the details (sample assets, sample period, trading frequencies, etc).
Assignment #1
• Fama and MacBeth regression exercise
• Due: Tuesday, February 4th at the beginning of the class.
Late/email submission will not be accepted.
Lecture #7 Tue, Jan.28
Contrarian and Momentum Strategies
• Performance of contrarian and momentum strategies
• Interpretations of contrarian and momentum premia
• Extension of basic contrarian and momentum strategies Homework
• Prepare sufficient references to motivate your strategy.
• Ensure data availability for your project.
Lecture #8 Tue, Jan.30
Technical Analysis
• Dow theory and return-based strategies
• Incorporation of other market statistics into technical trading
• Interpretations of market statistics using market microstructure theories
• Performance of technical trading Homework
• Prepare slides for midterm strategy proposal presentation and write up a proposal summary.
Lectures #9, 10, 11 Tue, Feb.4
Thu, Feb.6 Tue, Feb.11
Midterm Strategy Proposal Presentations
• Presentation is followed by a brief discussion/analysis period.
• Attendance to all presentations is mandatory.
• Submit your proposal summary on your presentation day.
Lecture #12 Thu, Feb.13
First In-Class Quiz
• Bring a picture ID and a calculator.
• No attendance results in zero score. No make-up quiz is given.
• Covers all materials studied before the reading week.
Reading Week Break
• Enjoy your break!
Lecture #13 Tue, Feb.25
Project Feedbacks
• Review feedbacks from instructor and classmates.
• Discuss feedbacks with your group members.
Homework
• Modify your strategy to incorporate important suggestions.
• Start collecting data to construct your strategy.
Lectures #14, 15 Thu, Feb.27 Tue, Mar.4
Performance Evaluation
• Basic summary statistics
• Risk-adjusted performance measurements
• Market timing skills
• Benchmark analysis Homework
• Understand basic performance evaluation techniques and work on assignment #2.
• Run your strategy and start recording its performance.
Assignment #2
• Performance evaluation exercise
• Due: Thursday, March 13th at the beginning of the class.
Late/email submission will not be accepted.
Lectures #16, 17 Thu, Mar.6 Tue, Mar.11
Assessing Business Cycle Risk
• Review basic macroeconomic indicators
• Define business cycle and monetary regimes
• Performance evaluation across different economic states Homework
• Compute summary statistics and performance measures for your strategy.
Lectures #18, 19 Thu, Mar.13 Tue, Mar.18
Assessing Sentiment Exposure
• Effect of market sentiment on security prices
• Review basic investor sentiment indicators
• Identification of sentiment regimes
• Performance evaluation across different sentiment states Homework
• Conduct robustness tests.
• Identify strengths/weaknesses of your strategy.
Lecture #20 Thu, Mar.20
Global Investment
• Basic trading strategies applied to international markets
• Cross-country differences in investment performance Homework
• Prepare slides for final presentation and write up a report.
Lecture #21 Tue, Mar.25
Second In-Class Quiz
• Bring a picture ID and a calculator.
• No attendance results in zero score. No make-up quiz is given.
• Covers all materials studied after the reading week break.
Lectures #22, 23, 24, 25 Thu, Mar.27
Tue, Apr.1 Thu, Apr.3 Tue, Apr.8
Final Project Presentations
• Presentation is followed by a brief discussion/analysis period.
• Attendance to all presentations is mandatory.
• Presenters must be in business attire.
• Submit your final report on April 8th at the beginning of the class. Late/email submission will not be accepted.
There may be topics added or dropped as we proceed through the course. Changes in schedule or requirements will be announced in class and posted on the course website. Please check the announcement page frequently to be aware of any changes.