National University of Singapore Business School BMA 5309 Fund Management

Transcription

1 National University of Singapore Business School BMA 5309 Fund Management Instructor: Office: Session: Aaron Low TBA Special Term (Classes held on Full Day Saturdays) This course will provide students a deeper understanding of the business and concepts of investment management with a focus on linking practice to fundamentals. We will cover the different styles of money managers and how they function in the investment of funds from the inception of money inflow to the final performance of returns. Our main focus will be on the following topics. 1. Understanding the Investment Process and Investment Objectives of Investors 2. Formulating Asset Allocation based on Macroeconomics and Business Cycles 3. Analyzing Investment Styles & Methodologies of Equities, Bonds, & Hedge Funds 4. Determining investment strategies 5. Mapping Risk management procedures 6. Evaluating Investment & Portfolio Performance Course Methods: This course is an extension of the introductory Investment Analysis module. Our primary focus will be on real world investment concepts and practices used in the industry and will leverage on theory and concepts that have been taught in prior Finance courses. There is no substitute for experience in investing and we will discuss issues that are commonplace in the investment industry and current issues. In particular we will emphasize equity type investing, bond type investing and hedge fund type strategies. While there is no one identical or universal style of management across all investment firms, we will engage in mainstream similarities and fundamentals that are applied in most asset managers today, whether they are stocks, bonds, hedge funds, or institutional or retail managers. The primary mode of engagement is through class lectures but we will be dealing with a varied number of case studies. You are strongly encouraged to read the text chapters in

2 advance and have meaningful discussions in class. While the text is a reference point, we will not be relying too much on it. Supplementary readings are a must and will be provided on the IVLE. Case discussions will be led by students on a group basis. You are expected to keep yourself updated on market developments. We will be able to spend a bit of time discussing key market issues as they arise over the weeks or major events prior to the class. There will be a class investment project where you should work in teams and build and construct your portfolios. You should immediately start to get familiar with the StockTrak system which will be used for this class investment project. Prerequisites BMA5002 Analytics for Managers; BMA5003 Accounting; BMA5008 Financial Management or equivalents. For the benefit of all, we will not be too focused on introductory concepts and the assumption is that you should be familiar with these key areas or at least do your own homework if your previous preparation has not been sufficient. This will allow us to keep within the time constraints and not slow the class down too much. But please do not mistake that for an excuse not to ask questions. You are more than strongly encouraged to engage in discussions and raise questions during class. DO NOT leave those questions till near the Final Test! Assessment: 1. Case Studies: 20% 2. StockTrak Project: 30% 3. Class Participation: 10% 4. Mid Term Quiz (MCQ) 20% 5. Final Test (MCQ): 20% Cases: You will group yourselves into teams of 4-5 members. Each group can expect to work and discuss 2 cases. Market summary: You are encouraged to raise issues of market developments over the week and also to give views on the understanding of those issues. These can range from global to local and should have direct or indirect implications for investment management or security valuations. Project: Each group will present its findings in class, at the end of the term, as well as turn in a written report of not more than 10 pages based on your StockTrak Project. The project is a

3 real time investment portfolio where you can structure investments based on your investment policy. Final Test: There will be a final test at the end of the term which is a closed book test. Text and Readings Reference Text (Not mandatory): Managing Investment Portfolios, A Dynamic Process, 3 rd edition, by Maginn, Tuttle, Pinto & McLeavy, John Wiley, 2008 Other readings will be loaded on IVLE or given as handouts. Academic Honesty and Plagiarism Academic integrity and honesty is essential for the pursuit and acquisition of knowledge. The University and School expect every student to uphold academic integrity & honesty at all times. Academic dishonesty is any misrepresentation with the intent to deceive, or failure to acknowledge the source, or falsification of information, or inaccuracy of statements, or cheating at examinations/tests, or inappropriate use of resources. Plagiarism is the practice of taking someone else's work or ideas and passing them off as one's own' (The New Oxford Dictionary of English). The University and School will not condone plagiarism. Students should adopt this rule - You have the obligation to make clear to the assessor which is your own work, and which is the work of others. Otherwise, your assessor is entitled to assume that everything being presented for assessment is being presented as entirely your own work. This is a minimum standard. In case of any doubts, you should consult your instructor. Additional guidance is available at: Online Module on Plagiarism:

4 Session 1 (25 Jun am-12pm) Portfolio Management Process 1. Management of Individual Investor Portfolios Investor characteristics, Objectives, Constraints, Investment policy statement, Investment vehicles and asset class exposures, Wealth transfer, estate planning, and personal trusts 2. Management of Institutional Investor Portfolios Pension Plans Endowments and Foundations Insurance Firms and Other Institutions Selection of investment managers/advisors, Fiduciary responsibility Text (Optional): Chapter 1. The Portfolio Management Process and the Investment Policy Statement, Chapter 2. Managing Individual Investor Portfolios, Chapter 3. Managing Institutional Investor Portfolios Session 2 (25 Jun pm-5pm) Asset Allocation 3. Macroeconomics and Market Expectations 4. Key macroeconomic factors affecting asset returns Macro valuation model Developing macroeconomic expectations Macroeconomic forecasts in determining asset class/security return expectations 5. Asset Allocation Determination of asset mix, Strategic & Tactical Global asset allocation Selection of asset classes 6. TAA strategies using Business Cycles, Liquidity Cycles, Relative Value Text (Optional): Chapter 4. Capital Market Expectations, Chapter 5. Asset Allocation JPM World Financial Markets, Morgan Stanley Asset Allocation, UBS Asset Allocation Framework,

5 Session 3 (2 Jul am-12pm) Equity Portfolio Management I (The Analyst) 1. Fundamental Research 2. Role of the Analyst 3. Valuation Methodologies Absolute vs Relative Valuations Financial Ratios Price Ratios Performance of valuation metrics Text (Optional): Chapter 7. Equity Portfolio Management Session 4 (2 Jul pm-5pm ) Equity Portfolio Management II (The Portfolio Manager) 7. Benchmark selection and issues 8. Job of the Portfolio Manager 9. Passive Equity Management Quantitative Strategies, Stratified v Factor Methods Enhanced Passive Strategies 10. Active Equity Management Top Down and Bottoms Up Approaches Value vs Growth Models Other Styles Text (Optional): Chapter 7. Equity Portfolio Management Case Study: Harvard Management Company, Harvard Business Case

6 Session 5 (9 Jul am-12pm) Fixed Income Portfolio Management I 1. Passive Bond Portfolio Management Sampling v Factor Model Approach Semi-active strategies (enhanced indexing) 2. Asset Liability Management Immunization approach Horizon Immunization Contingent Immunization Text (Optional): Chapter 6. Fixed-Income Portfolio Management Session 6 (9 Jul pm-5pm) Fixed Income Portfolio Management II 3. Active Bond Portfolio Management Yield Curve Strategies Credit Strategies Relative Value Strategies Derivatives-enabled strategies Other Strategies 4. Global Bond Portfolio Management Currency risk management, Country risk analysis Text (Optional): Chapter 6. Fixed-Income Portfolio Management Case Study: Deustchebank: Discussing the Equity Risk Premium, Harvard Business Case

7 Session 7 (16 Jul am-12pm) Hedge Fund Portfolio Management I 1. Differences between Hedge Funds and Mutual Funds 2. Hedge Fund Styles and Performances 3. Drawdown 4. Strategies Used by Hedge Funds Long-short Equity, Market Neutral, Short Bias, Contrarian Risk Arbitrage, M&A, High Yield Text (Optional): Chapter 8. Alternative Investments Portfolio Management Session 8 (16 Jul pm-5pm) Hedge Fund Portfolio Management II 5. Other Strategies Convertible Arbitrage, Fixed Income Arbitrage, CTAs, Global Macro, Multi-strategy 6. Fund of Funds Allocation and Strategies 7. Optimization of Hedge Fund styles Text (Optional): Chapter 8. Alternative Investments Portfolio Management

8 NO CLASS (23 Jul 2016) Independent class working on stock trak project Final quiz will be held during the week (day to be decided in class) Session 9 (30 Jul am-12pm) Behavioral Investments 1. Behavioral Finance 2. Variations on Behaviors of Investors Framing Anchoring Representativeness Loss versus Gain Tolerance 3. Behavioral Investment Applications Fund management behaviors Text (Optional): No text readings Session 10 (30 Jul pm-5pm) Stock Trak Presentation 1. Class presentation of Stock Trak performance and lessons learnt