Fin 416 Advanced Portfolio Management
Lec B01 Winter 2024
Instructor: Akiko Watanabe
Lectures: Tue/Thu 11:00-12:20 at BUS 2-05
Learning Objectives:
We will study financial markets from a perspective of professional fund managers who form a dynamically managed portfolio by selecting appropriate asset classes. Lectures cover theoretical and empirical topics oninvestment analyses introducing well-known trading strategies and performance evaluation techniques. A course project offers an opportunity to create, implement, and test the performance of an original trading strategy using financial market data.
Learning Goals:
See https://www.ualberta.ca/business/programs/bachelor-of-commerce/why-bcom/learning-goals.html for the Alberta School of Business BCom Program Learning Goals.
Prerequisites:
Portfolio management is a glamorous subject, but it requires strong analytical and quantitative skills. This course uses concepts from finance and statistics. You must have completed FIN 301 and FIN 412 prior totaking the course. Abilities to think individually, manage time efficiently, and process large amount of data are essential as you must complete the project in three months.
Grading Scheme:
30%
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Midterm Strategy Proposal Presentation
Present the details of the proposed strategy.
February 6th to 15th (TBC).
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70%
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Final Project Presentation
Present the entire project including empirical results.
March 28th to April 11th (TBC).
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Group Project Requirements:
You must work on the project in a group consisting of three members including yourself registered in the same section. All members must make equal contributions and participate in two presentations. The grades will be reduced significantly for not making sufficient contributions based on voluntary peer evaluations to be submitted at the end of the semester. Follow project timelines to be discussed during class and complete your weekly work assignments.
Contact Requirements:
You will be assessed on the abilities to form ideas and address empirical questions on your own. Resolve as many questions as possible within the group. The group can ask unsettled questions during class or forward them to the above email address. Last-minute questions before the presentation dates will not be replied. Online office hours are available by appointment only.
Tentative Course Schedule:
Dates
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Discussion Topics and Tasks
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January 9th
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Introduction
Course outline, logistics, and how to get started on the group project.
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January 11th & 16th
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Sample projects
Baseline trading strategies and how to introduce modifications.
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January 18th & 23rd
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Data sources
How to use financial and macroeconomic data.
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January 25th & 30th
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Strategy proposal
How to prepare for the midterm presentation.
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February 1st
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Group work and consultations
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February 6th to 15th
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Midterm presentations
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February 27th & 29th
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Data collection
How to conduct data collection tasks.
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March 5th & 7th
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Performance evaluations and hypothesis tests
How to summarize strategy performance and test the validity of hypothesis.
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March 12th & 14th
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Additional tests
How to plan and conduct additional tests.
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March 19th & 21st
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Final project
How to prepare for the final presentation.
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March 26th
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Group work and consultations
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March 28th to April 11th
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Final presentations
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Academic Integrity and Honesty:
University of Alberta is committed to the highest standards of academic integrity and honesty. Students are expected to be familiar with these standards regarding academic honesty and uphold the university policies in this respect. Students are urged to familiarize themselves with the Code of Student Behaviour explained on the University Governance website and avoid any behaviour which could potentially result in suspicions of cheating, plagiarism, misrepresentation of facts or participation in an offence. Academic dishonesty is a serious offence and can result in suspension or expulsion from the university.
Course Outlines, Evaluation Procedures, and Grading System:
Policy about course outlines can be found in Course Requirements, Evaluation Procedures and Grading of the University Calendar.
Audio or Video Recording:
Audio or video recording, digital or otherwise, of lectures or any other teaching environment by students is allowed only with the prior written consent of the instructor or as a part of an approved accommodation plan. Student or instructor content, digital or otherwise, created or used within the context of the course is to be used solely for personal study, and is not to be used or distributed for any other purpose without prior written consent from the content author(s).