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Investments Analysis & Portfolio Management, FIN 3102A/3702A

National University of Singapore


NUS Business School
Investments Analysis & Portfolio Management
FIN 3102A/3702A
Semester 2, 2018-2019

Professor: A/P Wenlan Qian


Office: MRB #07-67
E-mail: bizqw@nus.edu.sg
Phone: 6516 – 3015

Classroom: BIZ1-0201
Office Hours: By Appointment

COURSE DESCRIPTION

The course content consists of a mix of descriptive material, theoretical models, model application,
and case studies. We shall cover fundamental analysis and security valuation on stocks, bonds,
options and futures, as well as modern portfolio management. On completion, students should be
conversant in investment management in preparation for careers in financial analysis and financial
planning, investment banking, and corporate finance. Also, students should be ready for the Chartered
Financial Analysts (CFA) examinations in quantitative analysis, equity securities analysis and
portfolio management.

COURSE STRUCTURE

The course is designed to help students develop an understanding of equity, bonds, and derivatives.
A tentative course schedule and assigned textbook readings are attached. Additional assignment
and reading will be available at an ongoing basis. Several things (e.g., cases) are done to provide
students the opportunity to integrate material into the real world.

COURSE PRE-REQUISITES

Finance (FIN 2004)


Statistics (BZ 1008 / ST 1131A)

ATTENDANCE POLICY

You are responsible for all material and announcements made in class. T here will be a non-trivial
component in your final grade that rewards active participation in both lectures and group work.
All students should display name sign during the class.

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Investments Analysis & Portfolio Management, FIN 3102A/3702A

REQUIRED COURSE MATERIALS

(1) Textbook: Investments, 11th Edition


by Bodie, Kane, and Marcus

(2) Case studies:


Dimensional Fund Advisors, 2002 (HBS)
Strategic Asset Allocation During Global Uncertainty (Ivey)
Emirates Airline: A Billion-dollar Sukuk-Bond Issue, 2014 (Ivey)
WorldCom Inc: Corporate Bond Issuance (Darden)

(3) Calculator: A calculator that does two variable statistics is recommended homework and tests.
If you do not have one, I recommend HP or the Texas Instruments brands. It does everything you
need to be able to do, is user friendly, and is relatively inexpensive. You can also use excel to do
homework and exercises. You are recommended to bring calculator to every class.

RECOMMENDED READING

1) Barron’s
2) The Wall Street Journal: In particular, Section C.
3) Financial Times
4) Online sources: www.bloomberg.com, www.cnbc.com, etc
5) More readings
i. 'A Random Walk down Wall Street’ by B. Malkiel
ii. ‘Liar’s Poker’ by M. Lewis
iii. ‘Monkey Business’ by J. Rolfe and P. Troob
iv. ‘When Genius Failed’ by R. Lowenstein Inefficient Markets: An Introduction to
Behavioral Finance by Andrei Schleifer
v. Irrational Exuberance by Robert J. Shiller
vi. Animal Spirits: How Human Psychology Drives the Economy, and Why It
Matters for Global Capitalism by George A. Akerlof, Robert J. Shiller

COURSE EVALUATION

The assessment policy for this course is specified in the following paragraphs. Please read it
carefully. The final course grade will be computed based on the following weights:

(1) Test 1: 30%


(2) Case Studies (presentation and discussions): 25%
(3) Test 2: 30%
(4) Class participation: 10%
(5) Ethics Quiz: 5%

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Investments Analysis & Portfolio Management, FIN 3102A/3702A

TESTS

You will need to bring a calculator to all tests. Tests will be in the form of multiple choice questions,
show-your-work problems, or essay questions, or a combination of them. Tests will cover all
assigned readings and problems as well as material covered and discussed in class. The multiple-
choice questions will be conceptual. The show-your-work problems will be computation based and
similar to assigned problems. The essay questions will ask you to explain a concept. Answers to these
should be one or two paragraphs in length. Test 2 will not be cumulative (and will start from the
lecture material after the recess week). The best way to prepare for the tests is to do the readings
and the assignments and attend class.

You may bring in a 5”× 8” formula sheet (both sides) for the test or an 8”x11” formula sheet
(one side only). You are allowed to write only formulas on a formula sheet (this should be self-
explanatory). Each formula sheet will be stapled to your test when you turn it in. If you know that
you have a conflict with an upcoming test such as a job interview, you must notify me at least one
week in advance and provide supporting documentation or a make-up test will be denied. Students
on athletic scholarships have to provide supporting material in the first week of the semester.
Other requests (e.g., personal reasons such as vacation, wedding, or family reunion) for a make-up
test will be denied except in the case of medical emergencies on or before the day of the test. In cases
of medical emergencies, you must provide supporting documentation.

TEAMS

You are to form a team of up to 7 students in one group and email the team list to me by the end
of the second week. If you don’t have a team by then, come and talk to me. Teams are responsible
for the presentation and discussion/critique of case studies.

CASE STUDIES

There are four cases assigned to eight groups (namely two teams will be working on the same
case). Each team will present one case study and discuss/critique one (presented by a fellow team)
by assignment. Questions / issues that need to be addressed will be given. The presentation and
discussion/critique (as well as overall participation) are graded. Other teams are expected to
participate in the discussion. Material from cases is very important and will be covered in tests.

Presenting team has to submit the presentation slides (and excel sheet if needed) to IVLE.
Name of the presentation file has to contain number of the case, group number, AND the section
of presenting team (e.g., Case1A1Group1_xls represents the file for the first case by the first group
in the Monday morning section (A1 for Thursday morning section and A2 for Thursday evening
section)). A one-page critique report by the discussion team is to be submitted within the same week
of the case presentation.

ACADEMIC HONESTY & 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.

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Investments Analysis & Portfolio Management, FIN 3102A/3702A

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:


http://www.nus.edu.sg/registrar/adminpolicy/acceptance.html#NUSCodeofStudentConduct

Online Module on Plagiarism:


http://emodule.nus.edu.sg/ac/

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Investments Analysis & Portfolio Management, FIN 3102A/3702A

CLASS SCHEDULE:

Week Subject Remarks Remarks

1 Introduction Risk / Return


Jan 17 Syllabus
Risk / Return

2 Portfolio Theory Risk and Return, continued Form Teams


Jan 24 Portfolio Theory
Efficient Frontier

Portfolio Theory, continued Portfolio Theory, continued


3 Equilibrium Asset Pricing CAPM
Jan 31 Models Single Factor Model Case assignment
Multi-factor model (APT)

4 Efficient Market Hypothesis EMH


Feb 7 Behavorial Finance Behavorial Finance
Limits to Arbitrage
Security analysis

5
Feb 14 Summary of the First Half
Q&A

6 Dimensional Fund Advisors


Feb 21 Case Presentation Strategic Asset Allocation

Recess week
Feb 28 Sat Feb 23 – Sun Mar 3

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Investments Analysis & Portfolio Management, FIN 3102A/3702A

8
Mar 7 Equity Portfolio Management Passive Strategies Test 1
Strategies and Evaluation of Active Strategies Mar 9 Saturday,
Portfolio Performance Asset Allocation Strategies 3pm-5pm, LT18
Composite Portfolio
Performance Measures

9
Mar 14 Bond Fundamentals Bond Features and
Characteristics
Bond Valuations
Bond Yields
Term Structure

10 No class
Mar 21 (lecturer on academic leave)

11 Bond Valuation and What Determines Bond


Mar 28 Bond Volatility Measures Price Volatility?
Duration measures
Determinants of convexity

12 Summary of the Second Half


Apr 4 Q&A

Emirates Airline
13 Case Presentation WorldCom Test 2:
Apr 11 Apr 13 Saturday
9am-11am, LT18

No class
14
Apr 18

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