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25721 Investment Management

UTS: 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:

  1. understand the characteristics of risk and return for individual securities
  2. construct mean-variance optimal portfolios of securities
  3. understand the benefits of international share and bond investments
  4. analyse how company fundamental factors affect traded equity values
  5. evaluate the characteristics of fixed income portfolios
  6. 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

Assessment item 1: Applied Problem Presentation (Group)

Objective(s): 1-4
Weighting: 20%
Task: 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.

Assessment item 2: Portfolio Project (Group)

Objective(s): 1-6
Weighting: 10%
Task: 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

Assessment item 3: Final Exam (Individual)

Objective(s): 1-3
Weighting: 70%
Task: 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)

Bodie, Z., Kane, A. and Marcus, A., Investments, 6th Ed, McGraw-Hill/ Irwin. ISBN: 0-07-123820-4

Haugen, R.A., 2001, Modern Investment Theory, 5th Ed., Pearson Higher Education. ISBN: 0-13-030473-5

Hunt, B., Terry, C., 2004, Financial Institutions and Markets, 4th Ed., Thomson. ISBN: 0-17-012157-7

Berenson, M. L., Levin, D. M. and. Krehbiel, T., 2003, Business Statistics: A First Course, 3rd Ed., Prentice Hall.

Indicative references

There is no required textbook for this course. Instead, a set of course notes will be distributed in class. This set of notes will be used as the basis for the PowerPoint presentations in lectures.

The PowerPoint slides of lectures can be downloaded from UTSOnline.

Students will also be provided with a set of tutorial questions and answers from the various topics covered in the course. A set of past exam papers will also be distributed. Both of these will also be available from UTSOnline.

Newspapers and periodicals

Staying abreast of current events makes this course more interesting. It will also help you in successfully managing your funds in the portfolio project. Therefore you are strongly encouraged to read financial newspapers such as The Financial Review or periodicals such as Shares, BRW, Fortune and The Economist. These provide updates of economic conditions, information on specific companies and the investment outlook.