CORPFIN 3501 - Portfolio Theory & Management

North Terrace Campus - Semester 2 - 2022

This course is an in-depth study of investment portfolios: the theory behind them, construction techniques, asset classes employed and their management. Asset classes examined in the context of portfolio construction will include Equities (both developed and emerging markets), Fixed Income Securities, Commodities, Real Estate, and Alternate Investments. Course participants will revisit and enhance their knowledge of the theoretical foundations of asset pricing, market efficiency and the Modern Portfolio Theory (MPT). Course participants will then develop an Investment Policy Statement (or a Statement of Advice) for an institutional investor, quantitatively forecast characteristics of various asset classes in an economy, and then create an investment portfolio to satisfy the investment requirements. Students will learn various strategies to test the portfolio constructed, issues that impact portfolio performance in achieving investment objectives, and finally evaluate its performance.

  • General Course Information
    Course Details
    Course Code CORPFIN 3501
    Course Portfolio Theory & Management
    Coordinating Unit Adelaide Business School
    Term Semester 2
    Level Undergraduate
    Location/s North Terrace Campus
    Units 3
    Contact Up to 3 hours per week
    Available for Study Abroad and Exchange Y
    Prerequisites CORPFIN 2502
    Assumed Knowledge SACE Stage 2 Mathematical Studies
    Course Description This course is an in-depth study of investment portfolios: the theory behind them, construction techniques, asset classes employed and their management. Asset classes examined in the context of portfolio construction will include Equities (both developed and emerging markets), Fixed Income Securities, Commodities, Real Estate, and Alternate Investments. Course participants will revisit and enhance their knowledge of the theoretical foundations of asset pricing, market efficiency and the Modern Portfolio Theory (MPT). Course participants will then develop an Investment Policy Statement (or a Statement of Advice) for an institutional investor, quantitatively forecast characteristics of various asset classes in an economy, and then create an investment portfolio to satisfy the investment requirements. Students will learn various strategies to test the portfolio constructed, issues that impact portfolio performance in achieving investment objectives, and finally evaluate its performance.
    Course Staff

    Course Coordinator: Dr Syed Zamin Ali

    Course Timetable

    The full timetable of all activities for this course can be accessed from Course Planner.

  • Learning Outcomes
    Course Learning Outcomes
    On successful completion of this course, students will be able to:

    1. Demonstrate understanding of the Modern Portfolio Theory and the Mean-Variance Framework.

    2. Create an Investment Portfolio and test its ability to achieve Investment Objectives

    3. Analyse Core Asset classes (Equities and Fixed Income Securities) based on their characteristics and performance over economic and business cycles.

    4. Evaluate Non-Core Asset classes and Alternative Investments, and their relationship with Core Asset classes in a portfolio setting.

    5. Understand issues in portfolio construction, its management and its performance.

    University Graduate Attributes

    This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:

    University Graduate Attribute Course Learning Outcome(s)

    Attribute 1: Deep discipline knowledge and intellectual breadth

    Graduates have comprehensive knowledge and understanding of their subject area, the ability to engage with different traditions of thought, and the ability to apply their knowledge in practice including in multi-disciplinary or multi-professional contexts.

    1-5

    Attribute 2: Creative and critical thinking, and problem solving

    Graduates are effective problems-solvers, able to apply critical, creative and evidence-based thinking to conceive innovative responses to future challenges.

    2-4

    Attribute 3: Teamwork and communication skills

    Graduates convey ideas and information effectively to a range of audiences for a variety of purposes and contribute in a positive and collaborative manner to achieving common goals.

    2-5

    Attribute 4: Professionalism and leadership readiness

    Graduates engage in professional behaviour and have the potential to be entrepreneurial and take leadership roles in their chosen occupations or careers and communities.

    2-5
  • Learning Resources
    Required Resources
    Required Textbook:
    Two textbooks are required for this course. Both textbooks are available online from the library and University of Adelaide students can access these through the Library. We will also use the Braeburn University case-study.

    Multi-Asset Investing : A Practical Guide to Modern Portfolio Management
    by Yoram Lustig
    Publisher: Harriman House
    Date: 2012-12-13
    Risk-Based Approaches to Asset Allocation: Concepts and Practical Applications
    by Maria Debora Braga
    Publisher: SpringerBriefs in Finance
    Date: 2016


    Braeburn University case from Running Money: Professional Portfolio Management
    by Stewart, S. D., Prios, C. D., and J. C. Heisler, 1st Edition, published by Mc


    Other Suggested Text:

    TBA

    Recommended Resources

    Students are encouraged to stay abreast of global financial issues. The Australian Financial Review and finance commentary on the Morningstar (US and Aus), ABC Australia, Bloomberg and CNBC networks are excellent sources of current financial news and should be referred to on a regular basis. The internet is also abundantly populated with all aspects of this course, and should be used as well. 

    Students have access to the Eikon database that provides a database on capital markets.

    Online Learning

    This course will utilize the online learning environment in a variety of ways. 

    All lectures and tutorial recordings will be made available at the begining of the week. Students can clarify any issues during the tutroials as well as by posting their questions on the Discussion Board. Discussion Board will be the primary source of online interface between students and the academic staff. All questions will be answered within 2 working days. We had tremendous success in using the Discussion Board last semester and students felt that it helped them in their assignments, test and examination preparation. 

    Fortnightly online tutorial quizzes (starting in week 4) will help students check their undersatnding of the course material. 

    Please feel free to use emails for personal issues and they will be answered in 2 working days. You will be asked to post course related questions on the discussion board and everyone is encouraged to join the discussion. These discussions are extremely useful and will help everyone in the course. For any urgent matter, please contact the lecturer-in-charge (syed.ali@adelaide.edu.au).
     
    Lecture material such as presentation, articles, tutorial questions and lecture/tutorial recording will be available on MyUni. 

  • Learning & Teaching Activities
    Learning & Teaching Modes
    This course is an applied course where students will use theoretical concepts of the Modern Portfolio Theory (MPT) and apply it in a real world context. The theoretical foundations of MPT will be revisited in more depth and will allow students to extend the framework to construct portfolios. Students will be able to understand issues in portfolio construction, implementation and management for an investor. This will be done through lectures, tutorials, quizzes, tests, a group assignment, and a final examination.
    Workload

    The information below is provided as a guide to assist students in engaging appropriately with the course requirements.

    The University expects full-time students (i.e. those taking 12 units per semester) to devote a total of 48 hours per week to their studies. This means that you are expected to commit approximately 9 hours for a three-unit course or 13 hours for a four-unit course, of private study outside of your regular classes. Students in this course are expected to attend all lectures throughout the semester plus one tutorial class each week.
    Learning Activities Summary

    Week 1: The Return Objective (Lustig - Chapter 1) and Benchmarks (Lustig - Chapter 2). Braeburn University Case study (Stewart et al –
    pages 43 to 50)

    Week 2: The Risk Objectives (Lustig – Chapter 3) and Rational and Irrational Markets (Lustig - Chapter 4). Braeburn University Case study (Stewart et al – pages 43 to 50)

    Week 3: Relationship between Risk and Return. (Lustig – Chapter 5) and Investment Constraints (Lustig – Chapter 6)

    Week 4: Strategic Asset Allocation (Lustig – Chapter 7), Historical Performance of Asset Classes (Lustig – Chapter 8) and Combining Asset Classes (Lustig – Chapter 9)

    Week 5: The Traditional Approach to Asset Allocation (Braga - Chapter 2) + Modern Portfolio Theory (TBA)

    Week 6: Diversification (Lustig – Chapter 10) and Capital Market Assumptions (Lustig – Chapter 11)

    Week 7: Optimization (Lustig – Chapter 12) and Risk Parity Portfolios (Braga - Chapter 3 and 4)

    Week 8: The Investment Manasgement Process (Lustig - Chapter 22) and Portfolio Construction (Lustig – Chapter 23)

    Week 9: Risk Budgeting and Risk Management (Lustig - Chapter 27 and 28)

    Week 10: Alternative Investments (TBA)

    Week 11: Portfolio Review and Performance Attribution (Lustig – Chapter 30 and 31)

    Week 12: Review of Course
    Specific Course Requirements
    This course draws upon previous knowledge from Business Finance I and Business Valuation II. Students must have passed both courses to be sucessful in this course. Additionally, students may need to review both courses if they have scored only a "Pass" in either of these two courses.

    This course is a single pass course. Successful completion of this course will require students to keep up to date with the assigned material. This means that students should have had browsed the assigned chapter and the power point presentation for that topic (Details of each topic is avilable in MyUni) prior to the lecture. Students should review the lecture recordings and get better understanding by reading the assigned chapter after the lecture to prepare for the tutorial. It is expected that students would have prepared the tutorial questions prior to attending their assigned tuitorial class. This will allow students to have a deeper understanding of the topic and have a healthy discussion in the tutorial class. Tutorial recordings will be provided before the start of the tutorial week and brief tutorial answers (mainly the associated Excel spreadhseets) will be provided at the end of the tutorial week.

    This course relies heavily on Excel usage. Lectures, tutorials, quizzes, tests and assignmnets will have Excel components and stduents are encouraged to take Excel classes (provided by the university or online sources).

    This course includes a group assignment. Group assignments can be completed in groups of upto 3 students, and no groups can have more than 3 students. Group assignments allow students to be able to create a solution to an assigned problem and test their solution using  quantitative and qualitative methodologies. It is expected that each member of a group will be able to leverage of their own particular  expertise as well as that of the other members in the group. Groups will be created by the students themselves. Issues related to the assignment can be posted on the Discussion Board.

    Finally, this course will require students to be able to access historical capital market data usuing EIKON database for their assignment.
  • Assessment

    The University's policy on Assessment for Coursework Programs is based on the following four principles:

    1. Assessment must encourage and reinforce learning.
    2. Assessment must enable robust and fair judgements about student performance.
    3. Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
    4. Assessment must maintain academic standards.

    Assessment Summary
    Assessment Due Weighting Weeks Covered Learning Outcoimes
    Tutorial Quiz 1 (online MCQ)  Week 4 2% 1 and 2 2
    Tutorial Quiz 2 (online MCQ) Week 6 2% 3 and 4 2 and 5
    Tutorial Quz 3 (online MCQ) Week 8 2% 5 and 6 1, 2 and 5
    Tutorial Quiz 4 (online MCQ) Week 10 2% 7 and 8 2, 3 and 5
    Tutorial Quiz 5 (online MCQ) Week 12 2% 9 and 10 2 and 4
    Test 1 (online MCQ) Week 5 (lecture time) 15% 1 to 3 2 and 5
    Test 2 (online MCQ) Week 10 (Lecture time) 15% 4 to 6 1, 2 and 5
    Group Assignment Week 10 30% 1 to 7 1, 2, 3 and 5
    Final Examination During Examination period 30% All  All
    Assessment Related Requirements
    The approach in this course is to first establish the theoretical foundations and then to build upon these to understand portfolio construction, implementation and management for an institutional investor. This will be done through lectures, tutorials, quizzes, tests, a group assignment, and a final examination.

    Quizzes and Tests will be held Online and the due dates will be available from the Assessments section of the course in MyUni.

    Late submissions for tests and quizzes is not allowed in this course.
    Late assignments will incur a 3 mark penalty per working day (Saturdays, Sundays and Public holidays will not be counted as working days).

    Assessments from previous semester(s) cannot be redeemed.

    There are no specific assessment hurdles or double pass requirements in this course
    Assessment Detail
    The assessment components are as follows:

    · (15%) Test 1: 1 hour MCQ (Multiple Choice Questions with supporting answers) online test (as per schedule). 

    · (15%) Test 2: 1 hour MCQ (Multiple Choice Questions with supporting answers) online test (as per schedule).

    · (10%) 5 x Quizzes (as per schedule).

    - (30%) Group Assignment (as per schedule).

    · (30%) Final/Replacement Exam: 2 hour exam as per examination schedule.
    Submission
    Further details will be provided on MyUni.
    Course Grading

    Grades for your performance in this course will be awarded in accordance with the following scheme:

    M10 (Coursework Mark Scheme)
    Grade Mark Description
    FNS   Fail No Submission
    F 1-49 Fail
    P 50-64 Pass
    C 65-74 Credit
    D 75-84 Distinction
    HD 85-100 High Distinction
    CN   Continuing
    NFE   No Formal Examination
    RP   Result Pending

    Further details of the grades/results can be obtained from Examinations.

    Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.

    Final results for this course will be made available through Access Adelaide.

  • Student Feedback

    The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.

    SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.

  • Student Support
  • Policies & Guidelines
  • Fraud Awareness

    Students are reminded that in order to maintain the academic integrity of all programs and courses, the university has a zero-tolerance approach to students offering money or significant value goods or services to any staff member who is involved in their teaching or assessment. Students offering lecturers or tutors or professional staff anything more than a small token of appreciation is totally unacceptable, in any circumstances. Staff members are obliged to report all such incidents to their supervisor/manager, who will refer them for action under the university's student’s disciplinary procedures.

The University of Adelaide is committed to regular reviews of the courses and programs it offers to students. The University of Adelaide therefore reserves the right to discontinue or vary programs and courses without notice. Please read the important information contained in the disclaimer.