- Class Number 5416
- Term Code 3260
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Tian Yao Zhang
- Tian Yao Zhang
- Class Dates
- Class Start Date 25/07/2022
- Class End Date 28/10/2022
- Census Date 31/08/2022
- Last Date to Enrol 01/08/2022
Portfolio Construction draws on core investment principles, theories and techniques previously studied. The objective of this course is to introduce students to portfolio construction and asset allocation. It will focus on gaps in theory and how they can be managed in practice. Examples include challenges/realities in estimating and implementing portfolio optimisation programs, role of liquidity, and importance of plan governance. Topics will include: 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:
- Implement portfolio construction at the overall plan level, taking into account investor objectives and the practical challenges of implementation.
- Discuss the use and limitations of portfolio theory;
- Describe the main characteristics of key asset classes, and the role they each play within a balanced portfolio; and,
- Communicate 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 final examination will be a Wattle-based online exam during the university examination period at the end of semester. The final examination will be 3 hour long and cover the entire syllabus. It will be open book and all materials are permitted. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.
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, 2019, available at ANU library: https://ebookcentral.proquest.com/lib/anu/detail.action?docID=5741214 ). With the exception of the textbook, all readings will be provided on Wattle. Examinable readings from the textbook will be made available on Wattle.
Stewart, S., Piros, C. and Heisler, J., Portfolio Management: Theory and Practice, John Wiley & Sons, 2019 [denoted 'SPH'].
Electronic copies are available at ANU library: https://ebookcentral.proquest.com/lib/anu/detail.action?docID=5741214
- 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 practice 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).
|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||Quiz|
|5||Lecture: Asset allocation: Additional methods Alpha and Beta Workshop: Mid-semester exam preparation|
|6||Lecture: Traditional assets: Equities Workshop?: Midterm recap and introduce the assignment||Mid-semester exam (exact date to be determined by Examinations, Graduations & Prizes). Please check ANU Timetabling for further information.|
|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 Workshop: Final exam review|
Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Students should enrol in their tutorial using MyTimetable.
"ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage (https://www.anu.edu.au/students/program-administration/timetabling)".
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Mid Semester Exam||20 %||02/09/2022||23/09/2022||1,2,3|
|Final Examination||50 %||04/11/2022||01/12/2022||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:
- Student Assessment (Coursework) Policy and Procedure
- Special Assessment Consideration Policy and General Information
- Student Surveys and Evaluations
- Deferred Examinations
- Student Complaint Resolution Policy and Procedure
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 Academic Integrity . 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.
Course content delivery will take the form of weekly on-campus lectures and workshops (recorded and available via echo360 on Wattle), and weekly tutorials, delivered in hybrid format (on campus, live through scheduled Zoom sessions and as pre-recorded videos). Weekly consultations with the lecturer and the tutor(s) will be conducted over Zoom.
Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 1
Learning Outcomes: 1,2,3
Short quiz (in the form of a few multiple-choice questions and/or short answer questions) will be offered online. The quiz is designed to provide feedback and does not contribute to the final grade of the course. The quiz is to be completed individually.
Assessment Task 2
Learning Outcomes: 1,2,3
Mid Semester Exam
Mid-semester exam is optional and redeemable for this course. If redeemed, the weighting will be moved to the final exam. A mixture of theoretical and practical questions will be asked, covering all materials from week 1 to week 5. The exam is conducted through Wattle and is to be completed individually. The exam is 90 minutes. More details about the mid-semester exam will be provided in week 5. 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: 1-4
The assignment involves writing a report that provides portfolio construction and investment advice. The assignment is to be done in groups of 4 - 6 students. All students MUST sign up for an assignment group 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 enrollment. 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 other group members. The assignment questions will be released no later than week 6. The assignment is due in week 11.
When working on the assignment in a group, all students must adhere to the social distancing requirements stated by the government at the time (for example, use Zoom or Skype for group meetings).
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 considered by the lecturer as the assignment is done by a large group of students. 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 4
Learning Outcomes: 1,2,3
The final exam is 3 hours in length. 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. The exam is conducted online and is to be completed individually. The final exam will be held during the exam period with details to be advised no later than teaching week 10 of the semester.
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.
All assessment submission in the course is online.
Late submission of the assignment is not accepted by the lecturer. Students will receive a mark of zero for the assignment if it is submitted after the due date. Every group member is responsible for ensuring the timely submission of the group's assignment.
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. Extensions may be granted 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
Asset Pricing, Mutual Fund, Investment
Tian Yao Zhang
Tian Yao Zhang