- Class Number 7970
- Term Code 2960
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Qiuyang Chen
- Qiuyang Chen
- Class Dates
- Class Start Date 22/07/2019
- Class End Date 25/10/2019
- Census Date 31/08/2019
- Last Date to Enrol 29/07/2019
Portfolio Construction is a capstone elective that draws on previously studied investment principles, theories and techniques. The objective of this course is to enable students to synthesize the acquired financial theories and knowledge in the context of portfolio construction and asset allocation. It focuses on gaps in theory and how they can be managed in practice. Examples include challenges/realities in estimating and implementing portfolio optimization programs, role of liquidity, and importance of plan governance. It covers topics such as types of investors and their objectives; dimensions of risk; asset allocation; the nature and role of various asset classes (equity, fixed income, alternative assets, FX); building multi-manager portfolios, and implementation issues.
Upon successful completion, students will have the knowledge and skills to:
- Communicate and implement portfolio construction at the overall plan level, taking into account investor objectives and the practical challenges of implementation.
- Communicate the use and limitations of portfolio theory.
- Comprehensively understand the main characteristics of key asset classes, and the role they each play within a balanced portfolio.
- Communicate complex portfolio structures and strategies to a diverse audience.
Students undertaking this course will be taught fundamental skills in Finance that will be applied to many real life applications. The course materials draw on recent concepts, issues and practical information on portfolio construction and asset allocation from various sources, including academic papers, industry research publications and CFA materials. Students are required to read and understand these materials and apply their understanding to tutorial tasks designed to reflect a real life environment
Examination Material or equipment
The structure of the exam and relevant material will be announced in class and on Wattle.
The Course Reading List will be provided on Wattle. The list is divided into ‘examinable’ and ‘supplementary’ readings. Examinable readings may be directly tested in the exams.
Supplementary materials are provided for additional information and/or assistance in preparation of the assignment or tutorials, and will not be directly tested in exams beyond the extent covered in the lectures, workshops or tutorials. Additional course readings may be made available during the semester. Students should check Wattle to ensure they are using an up-to-date reading list.
Readings will come from a range of sources, including journal and industry articles, websites and the textbook SPH (Stewart, S., Piros, C. and Heisler, J., Running Money: Professional Portfolio Management, McGraw Hill, 2009, purchase optional). With the exception of the textbook, all readings will be provided on Wattle. Examinable readings from the textbook will be made available on Wattle. For supplementary readings from the textbook, copies of the book are available for short-term loan at Chifley library, for those students who choose not to purchase the textbook.
Stewart, S., Piros, C. and Heisler, J., Running Money: Professional Portfolio Management, McGraw Hill, 2009 [denoted ‘SPH’].
- Students will be given feedback in the following forms in this course:
- 1) written feedback for the assignment; and
- 2) verbal feedback in all teaching activities and consultations.
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
The tutorial exercises consist of two types of tasks: discussion questions and learning-by- doing Excel based questions. The purposes of the tutorial exercises are two-fold: firstly, give you the exposure of Excel-based quantitative modelling in portfolio analysis which prepares you for the assignment; secondly, help you understand the theories and practices discussed in the lectures using real-world data. Additionally, some calculations from the tutorial exercises are examinable in the exams.
To help you work with Excel, videos of conducting the required analysis using a dummy sample are provided. You are expected to attempt the tutorial exercises either before or after watching these videos, well before the relevant tutorials, as the time in tutorials are limited and will be dedicated to the discussion questions. You are strongly suggested to learn and practise following the lecture/ tutorial schedule.
Workshop is the dedicated forum to help you with your assignment. The lecturer may discuss some popular questions regarding the assignment and provide guidance tackling these problems. Students are encouraged to send assignment questions to the lecturer to make the workshop more relevant (but the lecturer would not answer complicated questions or those related to Excel that go beyond a straightforward answer by email).
Consultation time will be finalised at the start of the semester. All questions regarding the tutorials should be directed to your tutor.
All questions regarding the lectures and the assignment should be directed to the lecturer. Important: before coming to the lecturer’s consultations, make sure you have reviewed all lecture/tutorial/workshop materials and recordings. If you ask an assignment question that has been discussed in workshops you will be asked to listen to the recordings. You are in a large class of 400 students. This policy is to improve the efficiency of using the consultation time and give the students who do need face-to-face time with the lecturer a fair chance. The lecturer would very much appreciate your understanding and cooperation.
|Week/Session||Summary of Activities||Assessment|
|1||Lecture: Course introduction Overview of portfolio management Workshop: No workshop this week|
|2||Lecture: Objectives, Dimensions of risk Workshop: Excel functions and formulas; Different forms of returns|
|3||Lecture:? Asset allocation: Theory and practice; Mean-variance model Workshop: Excel “solver”|
|4||Lecture: Asset allocation: Asset assumptions Workshop: Asset assumption continued|
|5||Lecture: Asset allocation: Additional methods Alpha and Beta Workshop: Mid-semester exam preparation|
|6||Lecture: Traditional assets: Equities Workshop?: Decide the approach/approaches||Mid-semester exam, tentative, subject to the timetable released by University Examination Unit|
|7||Lecture: Traditional assets: Fixed income Workshop: Assignment|
|8||Lecture: Alternative assets: Overview; Property; Infrastructure Workshop: Assignment|
|9||Lecture: Alternative assets continued: Hedge funds; Private equity; Commodities Workshop: Assignment|
|10||Lecture: Global investing and currency hedging; The investment process Workshop: ?Assignment|
|11||Lecture: Other topics part 1: Multi-manager investment; Active versus passive; Investment costs; Ethics and governance Workshop?: Investment applications||Assignment due|
|12||Lecture: Other topics part 2: Performance evaluation; Investor biases Workshop: Final exam review|
Tutorial signup for this course will be done via the Wattle website. Detailed information about signup times will be provided on Wattle or during your first lecture. When tutorials are available for enrolment, follow these steps:
1. Log on to Wattle, and go to the course site
2. Click on the link “Tutorial enrolment”
3. On the right of the screen, click on the tab “Become Member of…..” for the tutorial class you wish to enter
4. Confirm your choice
If you need to change your enrolment, you will be able to do so by clicking on the tab “Leave group….” and then re-enrol in another group. You will not be able to enrol in groups that have reached their maximum number. Please note that enrolment in ISIS must be finalised for you to have access to Wattle.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Mid Semester Exam||20 %||26/08/2019||30/09/2019||2,3|
|Final Examination||50 %||01/11/2019||10/11/2019||1,2,3|
|End of lecture quizzes||0 %||26/08/2019||16/09/2019||1,2,3|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned
Assessment Task 1
Learning Outcomes: 1-4
The assignment involves writing a report that provides portfolio construction advice. The assignment is to be done in groups of 3 - 4 students. All students MUST sign up for an assignment group within the enrolled cohort (FINM3008 or FINM8016) at Wattle by week 4. A dedicated Students Forum is created to facilitate group forming at Wattle. Signing up for assignment groups is not restricted by tutorial enrolment. If you have to do the assignment as an individual task due to any reason, you need the lecturer’s approval to do so. Otherwise all students who do not sign up for an assignment group will be randomly allocated to a group by the end of week 4. It is the students’ responsibility to contact with other group members.
The assignment will be graded out of 100 marks on the basis of how well the students synthesize the understanding of both concepts and technical skills in the context of portfolio construction. Further details will be made available when the assignment is outlined.
Extension of the assignment is not usually considered by the lecturer as the assignment is done by a large group of students and to be completed from week 5 to week 11. Other group members are expected to complete the tasks even if one or more members were not able to due to any uncontrollable reasons.
Assessment Task 2
Learning Outcomes: 2,3
Mid Semester Exam
Mid-semester exam is optional and redeemable for this course. If redeemed, the weighting will be moved to the final exam. The mid-semester exam will be closed book with no formula sheet. Students will be allowed a one-sided A4 page of notes. A mixture of theoretical and practical questions will be asked, covering all materials from week 1 to week 5. More details will be provided as the exam approaches. The dates of exam and return of results are indicative only, subject to the schedule of the University Examination unit.
Assessment Task 3
Learning Outcomes: 1,2,3
The final exam will be closed book with no formula sheet. Students will be allowed a two- sided A4 page of notes. A mixture of theoretical and practical questions will be asked.
Students will need to review all examinable materials pertaining to the course, including all Examinable readings and contents covered in lectures/workshops/tutorials drawn from Supplementary readings. More details will be provided as the exam approaches. The dates of exam and return of results are indicative only, subject to the schedule of the University Examination unit.
Assessment Task 4
Learning Outcomes: 1,2,3
End of lecture quizzes
Short quizzes will be offered at the end of some lectures (2-3 multiple-choice questions at the end of a lecture) via the Echo360 Active Learning Platform. The solutions are to be discussed at the end of the quizzes to give students better understanding of the lecture contents and how they might be tested in exams. The end of lecture quizzes do not count towards the overall course grade. The questions will be available as part of the lecture recording package and will be accessible throughout the semester via Echo360 ALP. The dates shown in the above summary table are for the first end of lecture quiz only.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.
The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) as submission must be through Turnitin.
Assignments are submitted using the course Wattle site. Hard copy or email submission is only acceptable by the approval of the lecturer before the assignment is due on a case by cases basis. Only one submission is required from each group. Please keep a copy of the assignment for your records. Important: to correctly record assignment marks in the Gradebook, each student must sign up for a Group on Wattle, including one-person groups.
For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.
Late submission of assessment tasks without an extension are penalised at the rate of 5% of the possible marks available per working day. Late submission of assessment tasks is not accepted after 10 working days after the due date, or on or after the date specified in the course outline for the return of the assessment item. Late submission is not accepted for take-home examinations.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
The grade and feedback of the assignment will be returned via Wattle, before the final exam.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
No re-submission of the assignment is accepted.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
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