25721 Investment Management

Faculty of Business: Finance and Economics
Credit points: 6 cp

Subject level: Postgraduate

Result Type: Grade and marks

Requisite(s): (25742 Financial Management OR 25746 Financial Management: Concepts and Applications) AND (25706 Economics for Management OR 25745 Economics: Concepts and Applications)
These requisites may not apply to students in certain courses.
There are also course requisites for this subject. See access conditions.

Handbook description

This is a specialised subject focusing on the conceptual and theoretical framework of modern portfolio theory. The subject includes discussions of the risk and return characteristics of individual securities such as stocks and bonds, as well as portfolios of such securities. The subject includes a large applied component involving the analysis of domestic and international stock and bond market data, as well the construction of optimal stock portfolios.

Subject objectives/outcomes

On successful completion of this subject students should be able to:

Understand the characteristics of risk and return for individual securities
Construct mean-variance optimal portfolios of securities
Understand the benefits of international share and bond investments
Analyse how company fundamental factors affect traded equity values
Evaluate the characteristics of fixed income portfolios
Understand the techniques of bond portfolio risk management.

Contribution to graduate profile

This is a specialised subject focusing on many aspects of the financial investment process. The subject makes a contribution to the course by ensuring that students are provided with a detailed analysis of the techniques used by individuals and fund managers to construct suitable investment portfolios. Investment methods are applied to Australian and overseas securities.

Teaching and learning strategies

The subject is presented using a combination of lectures and workshops. These classes will be supplemented with both printed and electronic learning materials and resources. The UTS web-based communication tool (UTS Online) will be used. EXCEL spreadsheets, including user-defined macros, are extensively used in the application of theory presented in lectures to market data and practical problems.

Content

Rates of return
Investment mathematics and statistics
Statistical analysis of returns, theory of efficient markets
Equity and fixed income security return
Risk and return, portfolio theory
Combinations of securities in portfolios
The investment opportunity set
Single Index model
Share market analysis, fundamental analysis and technical analysis
Fund performance attribution and index tracking
Fixed income portfolio analysis and bond portfolio immunisation.

Assessment

Applied Problem Presentation (Group)	20%
Students will be allocated a set of Applied Problems to be completed and presented in class. This task will be completed in groups.It will also allow students to demonstrate that they can use both spreadsheets and word processing packages to tackle practical valuation problems. This assignment will allow students to demonstrate that they have met objectives 1-4.
Portfolio Project (Group)	10%
This project will asses the students understanding of portfolio construction using both portfolio theory and fundamental analysis. Students will be required to construct and monitor two portfolios: an index tracking portfolio and a growth portfolio. This assignment will allow students to demonstrate that they have met objectives 1-6.
Final Exam (Individual)	70%
This exam, consisting of multiple choice and short answer questions, will test students' understanding of the theory and their ability to apply the theory to financial management decisions. This will enable students to demonstrate that they have met objectives 1-3.

Recommended text(s)

Hunt B.F., (2003), Investment Management, Lecture Notes

Indicative references

Berenson, M. L. and Levin, D. M., (1999), Basic Business Statistics, 7th ed., Prentice Hall.

Bodie, Z., Kane, A. and Marcus, A., (2002), Investments, Intl. Edition, McGraw-Hill/ Irwin.

Haugen, R.A., (2001), Modern Investment Theory, 5th ed., Prentice Hall

Hunt, B., Terry, C. (2002), Financial Instruments and Markets, 3rd ed., Victoria, Nelson.