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ACFI3018: Applied Portfolio Management
OVERVIEW
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Course Description |
This course begins with an overview of investment environment and products, and then provides students with a solid foundation in modern portfolio theory and demonstrates its applications to portfolio management. Alternative asset allocation models are introduced to equip students in developing and implementing investment strategies, assessing and controlling portfolio risk, and evaluating portfolio performance. The course takes students beyond investment theories and trains them to use widely available technology to perform quantitative modelling using real world data. The course covers ASIC RG146 specialised knowledge requirements in the areas of funds management and managed investments. |
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Contact Hours |
Integrated Learning Session
Face to Face On Campus
Two (2) hour(s) per Week for Full Term
Students are expected to complete 4 hours of guided learning via online preparation, lectures, interactive workshops, tutorials, discussion groups or self directed learning and an additional 6 hours of independent study per week.
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Unit Weighting |
10 |
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Assumed Knowledge |
ACFI2070 Business Finance and ACFI2080 Corporate Finance. |
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Workload |
Students are required to spend on average 120-140 hours of effort (contact and non-contact) including assessments per 10 unit course. |
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Please refer to the course CANVAS site for details of teaching staff for ALL course offerings. The primary contact for courses is the Course Coordinator, whose details are listed on the course CANVAS site. |
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Student Consultation |
A minimum of one (1) hour of consultation per week. Please see course CANVAS site for details of time and location. |
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Course Learning Outcomes |
On successful completion of this course, students will be able to:
1. Understand the investment environment, institutional investment and empirical evidence on security performance;
2. Develop mean-variance efficient portfolios using appropriate technology;
3. Demonstrate critical thinking, analytical and problem solving skills in the context of portfolio construction and management;
4. Evaluate the performance of a portfolio and evaluate risk exposures;
5. Critically evaluate the advantages and disadvantages of international diversification;
6. Communicate investment portfolio decisions to potential investors;
7. Demonstrate communication, planning, problem-solving: and presentation skills individually and as a part of a team.
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ASSESSMENT DETAILS
This course has 3 assessments. Each assessment is described in more detail in the sections below:
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Assessment Name |
Due Date |
Involvement |
Weighting |
Learning Outcomes |
| 1 |
Problem Set |
Day of workshop - Week 8 by 11:59 pm |
Individual |
30% |
1, 2, 3, 7 |
| 2 |
Group Research Report & Presentation |
Research Project due day of workshop, Week 12 by 11:59 pm
Group Presentation due: During Week 12 Workshop
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Group |
30% |
1, 3, 6, 7, 8 |
| 3 |
Final Examination |
Formal Examination Period |
Individual |
40% |
1, 3, 4, 5, 6 |
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Assessment 1 – Problem Set |
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Assessment Type |
Written Assignment |
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Purpose |
This task provides opportunity for individual review and feedback |
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Description |
Students apply critical thinking and problem solving to answer three problem questions that require data analysis and clear written communication of results. |
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Weighting |
30% |
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Length |
Maximum 4000 words (excluding tables, figures & references) |
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Due Date |
Day of workshop, Week 8 by 11:59 pm |
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Submission Method |
Online - Turnitin (via CANVAS). Submit separate Word file and Excel workings. |
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Assessment Criteria |
The assignment will be graded against the following five (5) criteria:
− Correct calculations and analysis of portfolio returns data.
− Correct analysis of portfolio performance using appropriate techniques.
− Logic and coherency in information evaluation and organisation.
− Critical analysis and synthesis of results to answer problem questions.
− Clarity of written expression in communicating outcomes
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Return Method |
Online |
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Feedback Provided |
In Class
Returned Work - Feedback will be provided in the form of a mark for your assignment and asummary of the model answer for the assessment task. Your tutor will also provide a summary of the model answer in the week that marks are returned
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Assessment 2 - Group Research Report &Presentation |
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Assessment Type |
Presentation |
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Purpose |
This task provides opportunity for individual review and feedback. It allows students to collaborate in solving practice problems and present in front of a large audience |
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Description |
Students work in groups and select an investment strategy and describe and evaluate a portfolio that applies this strategy. The written project is submitted viaTurnitin, and the investment strategy is presented in class during Week 12. The written project and oral presentation will carry a weight of 25% and 5%, respectively. Marking rubrics for the written project and oral presentation will be available with the assessment document. |
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Weighting |
30% |
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Length |
Maximum 3500 words (excluding tables, figures & references) |
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Due Date |
Research Project Due: day of workshop - week 12 by 11:59 pm Group Presentation due: During the Week 12 workshop |
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Submission Method |
Research report: Online – via Turnitin
Group presentation: In class/or online via course CANVAS site (10 minutes for each group presentation)
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Assessment Criteria |
The assignment will be graded against the following five (5) criteria:
− Correct calculations and analysis of financial markets and accounting data.
− Appropriate analysis of data to support analyst recommendations.
− Logic and coherency in information evaluation and organisation.
− Critical analysis and synthesis of results to answer problem questions.
− Clarity of written and oral presentation
Please note: Self and Peer Assessment: A single mark is given for the group assignment. This mark will then be moderated by "self and peer assessment" using the SPARKPlus software so that individual group members may receive different marks. Any moderated individual mark received by each group member is based on contribution to the assignment and, more importantly the ability to work with others.
Individually group members are required to submit a self and peer assessment through SPARK within 24 hours of the due date. Failure to complete SPARK will result in a mark of zero. The criteria for the self and peer assessment are found along with the instructions on how to use SPARK on CANVAS. Please note: NO SPARK NO MARK.
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Return Method |
Online |
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Feedback Provided |
Online - Feedback on written project and oral presentation will be provided to eachgroup.
Overall feedback will also be posted on CANVAS via an announcement
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Assessment 3 - Final Examination |
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Assessment Type |
Formal Examination |
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Purpose |
This is a summative assessment task. |
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Description |
The final exam will require you to interpret problem-based questions to demonstrate critical thinking. Analytical and problem-solving skills in the context of investment theories and practices.
This course has a RESTRICTED OPEN BOOK examination. A memory aid is permitted. The memory aid is a single double sided A4 sheet of handwritten or typed notes for use during the examination. Note: memory aids must be left on the examination table and cannot be removed from the examination venue.
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Weighting |
40% |
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Length |
120 minutes |
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Due Date |
Formal Exam Period |
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Submission Method |
Formal Examination |
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Assessment Criteria |
Five (5) criteria will be used:
− Demonstrated understanding of theory and relevant concepts
− Demonstrated application of portfolio theories and models to solve investment problems
− Accuracy of information/argument
− Clarity of expression
− Relevance to the question
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Return Method |
Not Returned |
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Feedback Provided |
No Feedback. Examination scripts will not be returned to students. Final examination scripts will be made available for review by students, upon request, in a controlled and monitored setting. Students are required to make requests, directly to the relevant course coordinator. Completed examination scripts are kept by the Newcastle Business School for a period of six (6) months only, from the relevant fully graded date. Requests made after the six (6) month period cannot be considered. |
SYLLABUS
Course Content
Topics in the course include but are not limited to the following:
1. The investment environment.
2. Risk, return, risk premia and risk aversion.
3. Allocating capital between risky and risk-free assets.
4. Mean-variance efficient portfolios and security analysis.
5. Evaluation of portfolio risk and performance.
6. Funds management.
7. International diversification of portfolios
Course Materials
Required Text:
Bodie, Z., Kane, A., and A. Marcus (2021). ISE Essentials of Investments, 12th ed.
Australia: McGraw-Hill/Irwin.
ISBN: 9781265450090
Please refer to the course CANVAS site for details of additional recommended texts.
SCHEDULE
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Week |
Topic |
Class Preparation |
Assessment |
| 1 |
The investment environment, market efficiency and investmentphilosophies |
Bodie et al. Chapters 1, 3, 8 & 22 |
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| 2 |
Risk and return revisited |
Bodie et al. Chapter 5 |
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| 3 |
Portfolio evaluation |
Bodie et al. Chapters 18 |
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| 4 |
Risk aversion and asset allocation |
Bodie et al. Chapter 5 & 18 |
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| 5 |
Optimal risky portfolios |
Bodie et al. Chapter 6 |
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| 6 |
Momentum and technical analysis |
Jegadeesh and Titman (2001) |
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| 7 |
Value investing and fundamental indexing |
Damodaran (2012a) |
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| 8 |
Small cap and growth investing |
Damodaran (2012b) |
Assessment 1 due: workshop day of week 8, by 11:59 pm |
| 9 |
Fundamental analysis |
Bodie et al. Chapters 12 & 13. |
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| 10 |
Managed Funds |
Bodie et al. Chapters 4 & 20 |
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| 11 |
International diversification |
Bodie et al. Chapter 19 |
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| 12 |
Group project |
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Assessment 2 due: workshop day of week 12 by 11:59 pm |
| 13 |
Revision |
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