- Class Number 2630
- Term Code 3330
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Hua Deng
- Dr Hua Deng
- Class Dates
- Class Start Date 20/02/2023
- Class End Date 26/05/2023
- Census Date 31/03/2023
- Last Date to Enrol 27/02/2023
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.
- 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
Calculator and computer with internet connection
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., Portfolio Management: Theory and Practice, John Wiley & Sons, 2019, purchase optional). With the exception of the textbook, all readings will be provided 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://library.anu.edu.au/record=b6803197
Students will be given feedback in the following forms in this course:
- written comments
- verbal comments
- feedback to whole class, groups, individuals, focus group etc
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). Feedback can also be provided to Course Conveners and teachers via the Student Experience of Learning & Teaching (SELT) feedback program. SELT surveys are confidential and also provide the Colleges and ANU Executive with opportunities to recognise excellent teaching, and opportunities for improvement.
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).
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. This policy is to improve the efficiency of 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.
All questions regarding the tutorials should be directed to your tutor.
|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: Introduction of the assignment|
|5||Lecture: Asset allocation: Additional methods; Alpha and Beta Workshop: Get started with the assignment|
|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: Apply quantitative analysis methods|
|8||Lecture: Alternative assets - Overview; Property; Infrastructure Workshop: Assignment|
|9||Lecture: Alternative assets continued - Hedge funds; Private equity; Commodities Workshop: Write up the report|
|10||Lecture: Global investing and currency hedging; The investment process Workshop: Assignment|
|11||Lecture: Other topics part 1 Workshop: No workshop this week||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. 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 %||27/03/2023||21/04/2023||1,2,3|
|Final Exam||50 %||01/06/2023||29/06/2023||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 Integrity Rule before the commencement of their course. Other key policies and guidelines include:
- Academic Integrity Policy and Procedure
- Student Assessment (Coursework) Policy and Procedure
- Special Assessment Consideration Guideline and General Information
- Student Surveys and Evaluations
- Deferred Examinations
- Student Complaint Resolution Policy and Procedure
- Code of practice for teaching and learning
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 Skills 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.
Lectures and workshops are delivered weekly on-campus (recorded and available via echo360 on Wattle) and will be live streamed via Zoom. Note that there's no guarantee of the live streaming will work for each lecture and workshop. Students are strongly encouraged to participate the lectures and workshops, as effective learning is far more sophisticated than listening to a recording.
Tutorials start from week 2, delivered in hybrid format: on campus, live through scheduled Zoom sessions and as pre-recorded videos. All students are strongly encouraged to participate the on campus or the live tutorial as much as possible.
All consultations of the lecturer and tutors will be through Zoom.
Centrally administered 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: 1,2,3,4,5
The assignment involves writing a portfolio construction advice for a client. The assignment is to be done in groups of 3 - 4 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 requires students to conduct quantitative and qualitative analysis to produce an asset allocation advice for a specific client given certain constraints and objectives. The weekly workshop is dedicated to providing details of the assignment and guidance on analysis, starting from Week 2. Zoom meetings are recommend as means of collaboration. Whenever physical meetings are required, all groups members must strictly follow the university guidelines of distancing. All group members receive the same assignment grade. Marking criteria will be discussed in Week 4 workshop: Introduction of the assignment. A detailed marking sheet used by the lecturer is attached to the Assignment file, available on wattle no later than the end of Week 4. The assignment is due at 2:00 pm, Friday Week 11. Submission is by Wattle only. Assignment grade and feedback will be uploaded to wattle about two weeks after the due date, before the final exam. Students will have chance to discuss with the lecturer of the assignment grade and feedback before the final exam.
Assessment Task 2
Learning Outcomes: 1,2,3
Mid-semester exam is optional and redeemable for this course. If redeemed, the weighting will be moved to the final exam. The duration of the mid-semester exam is one hour writing time plus 15 minutes reading time (grace period that allows students to open the links and navigate through web pages), conducted at Wattle as online exam. Students have access to all course materials during the exam but must complete the exam as individual efforts. Any suspected misconduct will be reported and investigated. A mixture of theoretical and practical questions will be asked, covering all materials from week 1 to week 5. Guidelines of the exam will be provided in week 4. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 3
Learning Outcomes: 1,2,3
The final exam will be conducted at Wattle as online exam. The duration of the final exam is two hours writing time, plus 15 minutes reading time (grace period that allows students to open the links and navigate through web pages). Students have access to all course materials during the exam but must complete the exam as individual efforts. Any suspected misconduct will be reported and investigated. 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. Guidelines of the exam will be provided in week 10. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 4
Learning Outcomes: 1,2,3
Short quizzes will be offered at the end of some lectures (2-3 multiple-choice questions and/or short answer questions) at Wattle as online quizzes. The duration of the quizzes varies depending on the number and the complexity of the questions. The solutions are to be discussed at the end of the quizzes to give students better understanding of the lecture contents and prepare students for the exams. The quizzes are open from the end of the relevant lecture until the end of the semester. The quizzes do not count towards the overall course grade. The date as above is indicative for the first quiz.
Academic integrity is a core part of the ANU culture as a community of scholars. The University’s students are an integral part of that community. The academic integrity principle commits all students to engage in academic work in ways that are consistent with, and actively support, academic integrity, and to uphold this commitment by behaving honestly, responsibly and ethically, and with respect and fairness, in scholarly practice.
The University expects all staff and students to be familiar with the academic integrity principle, the Academic Integrity Rule 2021, the Policy: Student Academic Integrity and Procedure: Student Academic Integrity, and to uphold high standards of academic integrity to ensure the quality and value of our qualifications.
The Academic Integrity Rule 2021 is a legal document that the University uses to promote academic integrity, and manage breaches of the academic integrity principle. The Policy and Procedure support the Rule by outlining overarching principles, responsibilities and processes. The Academic Integrity Rule 2021 commences on 1 December 2021 and applies to courses commencing on or after that date, as well as to research conduct occurring on or after that date. Prior to this, the Academic Misconduct Rule 2015 applies.
The University commits to assisting all students to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. All coursework students must complete the online Academic Integrity Module (Epigeum), and Higher Degree Research (HDR) students are required to complete research integrity training. The Academic Integrity website provides information about services available to assist students with their assignments, examinations and other learning activities, as well as understanding and upholding academic integrity.
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) 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 case 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.
There's no hard copy submission for this course.
Late submission permitted.
Late submission of assessment tasks without an extension are penalised at the rate of 5% of the possible marks available per working day or part thereof. 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.
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 4 to week 11
progressively. Other group members are expected to complete the tasks even if one or more members were not able to due to any uncontrollable reasons. No extension or
special consideration will be granted to small teams (eg. less than 3 students due to unexpected drop out of some members).
The Academic Skills website has information to assist you with your writing and assessments. The website includes information about Academic Integrity including referencing requirements for different disciplines. There is also information on Plagiarism and different ways to use source material.
Feedback to the assignment is to be returned via wattle or email by 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 resubmission of 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 Access 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
Corporate finance, corporate governance
Dr Hua Deng
Dr Hua Deng