SYLLABUS PORTFOLIO MANAGEMENT AND INVESTMENTS (ECTS 6)

Transcription

1 SYLLABUS PORTFOLIO MANAGEMENT AND INVESTMENTS (ECTS 6) The mission of ZSEM is to transfer values, knowledge, and skills that students need for long-term success in a globalized business world undergoing constant technological and market transformations Misija ZŠEM-a je prenijeti vrijednosti, znanja i vještine potrebne studentima za dugoročan uspjeh u globaliziranom poslovnom svijetu izloženom stalnim tehnološkim i tržišnim promjenama. LECTURER Lecturer: Contact: Consultations: Denis Alajbeg, PhD Matej Modrovćić, CFA denis.alajbeg@zsem.hr; matej.modrovcic@intercapital.hr date and time to be determined through exchange LECTURE HOURS 60 academic hours SCHEDULE Time and date of lectures: Class room: for MBA Finance and banking and MBA Quantitative finance from 18 to 21h Trinom, Strojarska cesta 24, Zagreb LITERATURE Mandatory readings: CFA program curriculum 2018 (2017), Hoboken, NJ: John Wiley & Sons Bodie, Kane, Marcus (2016): Essentials of Investments, 10 th Edition, McGraw-Hill Education 1

2 Additional readings: Managing Investment Portfolios: A Dynamic Process (2007), 3 rd Edition; CFA Institute Investment Series; Wiley Reilly, Brown (2015): Analysis of Investments and Management of Portfolios, 1 st Edition, South-Western Cengage Learning Damodaran Aswath (2012): Investment Valuation - Tools and Techniques for Determining the Value of any Asset, 3 rd Edition; Wiley GENERAL AND SPECIFIC GOALS The course objective is to provide students with a complete overview of the investment process and portfolio structuring. Also, through case studies and project assignments students be will encouraged to think analytically, i.e., to locate and solve problems in capital market practice. Adopted knowledge should help the participants making rational investment decisions. Nr. General goals Specific goals 1. Students will acquire knowledge about the process of investing and managing a portfolio of securities. Through studying basic and additional literature, as well as exercises and case studies students will be familiarized with the basics of investing and portfolio management. 2. Students will have the capacity of critical and analytical thinking necessary for making investment decisions. 3. Students will have the capacity for adaptation which is necessary for investing on global financial markets. 4. Students will communicate effectively in a way appropriate for management positions. Students will acquire the skills of securities analysis and portfolio management and apply this knowledge to specific tasks. By using trading simulations and performing fundamental and technical analysis research participants will exhibit their own investment judgment. Students will be able to identify the main variables that move the global financial markets and apply this to enhance the returns of their own portfolios. Students will present their securities analysis tasks in front of the class and improve the skills of oral communication and presentation. Written skills will be assessed by the quality of the written reports on their investment analysis. COURSE DESCRIPTION In the introductory part of the course students will acquire basic knowledge of the principles of investing. Types and characteristics of securities available for investing will be analyzed as well as the markets in which are they traded and the surrounding investment environment. Proper valuation of these instruments will then be examined and criteria for their selection in investment portfolios listed. The course covers modern investment theory and traditional approaches of selecting and managing investments. The focus then turns to topics related to modern portfolio management and strategies of asset allocation. Participants will study the latest findings on managing portfolios in a globalized financial arena. The entire portfolio management process will be presented - from formulating an investment strategy and portfolio construction to portfolio monitoring and rebalancing. The practical part of the course consists of case studies and project assignments for group and individual solving. This way, investment practice in the global environment will be directly linked and integrated to the investment theory presented in the course. COURSE TOPICS 1. The Investment Background and Setting 2

3 (Financial Markets and the Economy; The Investment Process; Markets and Market Structure; Stock and Bond Market Indexes; Globalization of Stock Markets; Regulation of Securities Markets) 2. Risk and Return (Major Return Measures and their Appropriate Uses; Risk and Risk Premiums; Inflation and Real Rates of Return, Asset Allocation across Risky- and Risk-free Portfolios; Passive Strategies and the Capital Market Line) 3. Efficient Diversification (Diversification and Portfolio Risk; Asset Allocation with Two Risky Assets; Covariance and Correlation; The Minimum-Variance Portfolio; The Optimal Risky Portfolio with a Risk-Free Asset; Efficient Diversification with Many Risky Assets; The Efficient Frontier; Constructing the Optimal Risky Portfolio) 4. Asset Pricing Models (The Capital Asset Pricing Model; The Security Market Line; Applications of the CAPM; The CAPM and Index Models; Multifactor Models and the Validity of the CAPM; The Arbitrage Pricing Theory; The APT and the CAPM) 5. The Efficient Market Hypothesis (The Random Walk Theory and the Efficient Market Hypothesis; Implications of the EMH; Forms of Market Efficiency; Market Anomalies and Interpretation; Mutual Fund and Analyst Performance) 6. Behavioral Finance (Traditional and Behavioral Finance Perspectives on Investing; Cognitive Errors and Emotional Biases; Behavioral Biases and Their Implications for Investment Policy; Application of Behavioral Finance in Portfolio Construction) 7. Equity Valuation (Balance Sheet Valuation Models; Dividend Discount Models; Free Cash Flow Valuation; Relative Valuation Models and the Analysis of Multiples; Factor Investing; Application of Stock Screening Techniques) 8. Macroeconomic and Industry Analysis (The Global and Domestic Macroeconomy; Interest Rates; Fiscal and Monetary Policy; Business Cycles; Leading Macroeconomy Indicators; The Yield Curve; Industry Analysis; Sector Rotation Strategies; Industry Life Cycles; Impact of Economic Factors on Securities Markets) 9. Technical Analysis (Rationale of Technical Analysis; Types of Charts; Basic Concepts of Trend Analysis; Reversal and Continuation Patterns; Interpretation of Volume; Moving Averages and Bollinger Bands; Common Oscillators - RSI, Stochastic, MACD; Technical Stock Market Indicators; Money Management) 10. Portfolio Management Framework (The Portfolio Management Process and the Investment Policy Statement; Investment Objectives and Constraints; Management of Individual Portfolios; Asset Allocation Concepts; Management of Institutional Portfolios; Capital Market Expectations) 11. Asset Allocation (Asset Allocation and Investor s Objectives and Constraints; Strategic and Tactical Asset Allocation; The Selection of Asset Classes; Active and Passive Asset Allocation Choices; The Role of Rebalancing; Revisions to an Asset Allocation Given Change(s) in Investment Objectives/Constraints) 12. Portfolio Management Implementation and Evaluation 3

4 (Execution of Portfolio Decisions; Components of Execution Costs; Major Trading Tactics; Algorithmic Trading; The Monitoring of Investor Circumstances, Market/Economic Conditions, and Portfolio Holdings; Rebalancing Strategies; Evaluating Portfolio Performance; Benchmarks; Risk-Adjusted Performance Measures) 13. Global Investing (Global Markets for Equities; The Home-Country Bias; Risk Factors in International Investing Exchange Rate Risk and Country Specific Risk; Benefits from International Diversification; Bear Markets and Global Diversification) GRADING PLAN For the duration of the program, students are required to perform two security analyses and actively engage in an on-line trading simulation. Students are expected to present these three assignments in the form of PowerPoint presentations in class. Active class participation (on-site spreadsheet & chart analyses, application of various software tools, class discussions) will be rewarded with up to a maximum of 15 percentage points. Students who present their cases in class must have a minimum score of 50% on the final exam in order to complete the course. Completing the course with presentations, active class participation and final exam: Grade components % Presentation of fundamental analysis 10 Presentation of technical analysis 10 Presentation of trading the stock market simulation 5 Active class participation 15 Final exam 60 TOTAL 100 For example, if a student scored 70% on the final exam, presented the assigned tasks for 25% and earned 15% in active participation points, the final grade will be calculated as follows: 25%+15%+(70%*0,6) = 40%+42% = 82% very good (4). In case of not passing the final exam threshold of 50% the student will fail the course. Students who do not present their assignments in class cannot take the final exam until they send them in a form of a written report! Their final grade will be determined exclusively (100%) on the grade they receive in the final exam with the threshold for passing set at 60%. Students who are not satisfied with their final grade can improve (or worsen) it by taking the next exam period. Oral exams are not scheduled. Grading scale: excellent (5) 90% - 100% very good (4) 80% - 89% good (3) 70% - 79% sufficient (2) 60% - 69% Exam attendance notification: at least three working days prior to the exam date exclusively through STUDOMAT Exam cancellation: at least one working day (24 hours) before the exam date exclusively through STUDOMAT (otherwise, exam no-show will be counted as attendance and fail as exam result). 4

5 STUDENTS' TASKS AND RESPONSIBILITIES Regular attendance of lectures is mandatory. Past experience shows that students who regularly attended the lectures have completed the course more easily and, on average, with higher grades. Students are obliged to use Loomen where all relevant information and material will be posted: lecture materials, exam schedules, exam results and other information of students' interest. Also, participants are required to fill out a survey at the end of the course. Polls about the course can be found in designated folders on Loomen. 5