School of Business mission Statement
The mission of the School of Business is to offer values oriented, intellectually stimulating
educational programs that prepare students for business careers and continuing intellectual and
professional development. The School of Business places paramount importance on teaching and
learning in an atmosphere enriched by business collaboration, professional activity, and scholarship.
This is accomplished by integrating the College’s liberal arts and Franciscan traditions with current
business theory, skills, and practices.
School of Business Learning Goals
Problem Solving--Think critically and creatively to solve complex organizational problems using
appropriate and analytic and quantitative techniques and integrating knowledge and skills from
various disciplines.
Communication--Communicate orally and in writing using language appropriate to the audience.
Teamwork and Leadership--Demonstrate respect, responsibility, and a focus on serving others as
a leader and team member.
Moral Consideration--Work toward a just, peaceable, and humane solution with thoughtful
consideration of the impact on all stakeholders, the external environment, and the natural world.
Life-Long learning--Pursue opportunities that provide growth as an individual and as an
organizational member.
Business Specialization--Develop competency in a chosen business discipline.
FINC 315, Advanced Investments (Theory and Practice), 3 hours
Spring 2009
9:20 AM-10:15 AM, MWF—Trading Room
Instructor: Dr. Eric Girard
Office: Colbeth 112
Phone: (518) 783-4133
Office Hours:
TTH, 11:30 AM to 1:30 PM (Colbeth 112)
MWF, 12:30 AM to 1:30 PM (by appointment only, SH 304)
.
Course Description and Prerequisite
Through focusing on the development of the Markowitz procedure, Capital Asset Pricing model,
Arbitrage pricing and other theories, this course seeks to familiarize students with the theory
underlying the practice of finance. In addition, this course will also familiarize students with the
inherent problems associated with these models as well as their strengths. Prerequisite FINC 215.
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Course Resources
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Textbook: Textbook Investment Analysis and Portfolio Management, 9th edition, 2008, by Frank K.
Reilly and Keith C. Brown. The Dryden Press.
Class Web site (http://lw.siena.edu/egirard)
Library Resources (journals, periodicals, databases, references...)
Access to Stocktrak portfolio simulation at http://www.stocktrak.com
Course Objectives
The field of finance can be viewed from three perspectives:
1. Individual market agents making decisions to supply capital to markets;
2. Firms demanding capital from the market and deciding how to raise funds;
3. The capital market acting as a pricing mechanism to clear demand and supply.
A course in investments focuses on (1) and (3). We examine how individuals and their agents make
choices among investment alternatives which have uncertain payoffs over
multiple time periods. An understanding of risk and return for individual securities and
portfolios of securities is used to characterize these decisions. We then evaluate financial
decision making in aggregate, for the market as a whole, to describe the process of valuation for
different securities.
These fundamental "building blocks" are then applied to different financial instruments
including fixed income securities, common stocks, and mutual funds. As a required course for a
finance specialization, its primary objective is to offer a broad overview of investment issues. The
course is designed to combine some basic principles with practical and topical applications in the
form problems and investment reports.
Learning Outcomes
Upon successful completion of the course, the student will be able to:
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Define portfolio policy.
Analyze the level of risk involved in investment vehicles and define an inherent optimal
allocation mix in terms of restricted Markowitz efficient frontier.
Relate risk to return in terms of single factor models to find mispriced stocks.
Determine the performance of a portfolio using single-stage performance measures
Define and contrast bond characteristics for the purpose of bond screens usage.
Define Bond risk in terms of duration
Apply the concept of classical immunization to bond portfolios
Define simple bond portfolio management techniques.
Relate individual companies’ performance to market, industry and firm-specific effects.
Relate a company growth potential to its stock price using simple valuation models
Differentiate between the different stock families to use stock screens
Discuss simple equity portfolio management strategies.
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Differentiate and utilize derivatives instruments to protect a portfolio or speculate on an asset
class
Course Content
1.
2.
3.
4.
5.
Portfolio Policy and MPT (Chap. 2,4,5,7-8)
Equity Analysis (Chap. 11, 13, 15, 17, 19)
Bond Analysis (Chap. 18-20)
Portfolio Evaluation (Chap. 26)
Derivatives: Options and Futures (Chap. 21-24)
25%
20%
20%
15%
20%
Communication Coverage
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Written communication activities: This is covered through essay questions on the exams and
reports on Projects.
Oral communication activities: Oral communication skills are developed through class
discussions and presentations.
Course Relationship to School of Business Shared Values
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Lifelong learning skills: Students learn how to develop a way of analyzing and thinking about
investments that will remain with them in the years ahead when new and different
investment opportunities become available. They also learn how to read the financial
magazines and journals and understand financial news, and how to use the Internet for
financial data search and retrieval and how to manage their investments.
Workplace knowledge and skills: Emphasis is placed on the following specific knowledge
and skills: (1) How to select investments in domestic and global markets; (2) how to perform
economic, market and security analysis and (3) how to construct and manage investment
portfolios.
Integration of technology: Students use the Internet, PC spreadsheet models, and a financial
calculator.
Development of values and ethics: The ethical concerns in finance are primarily covered
through the agency problem and control of the firm, insiders trading and coverage of
international investments and financial markets topics.
Teamwork: This is accomplished through working on group projects and class presentation.
Grading
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Cumulative tests, 50% (test1: 11%; test 2: 17%; test 3: 22%; Final: 50%)
Group project, 50%: Portfolio Simulation Reports (90%) and Portfolio project presentation
(10%). The group project grade is multiplied by an intragroup evaluation index.
Important Note: each report is submitted to “TURNITIN.COM” and evidence of plagiarism
will lead to an F in the course.
Attendance Policy: There are 39 class meetings (15 weeks); this is a difficult course and your
attendance is of utmost importance!
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 If you miss more than 4 sessions, you will graded out of 85
 If you miss more than 8 sessions, you will be graded out of 75
 If you miss more than 12 sessions, you will automatically get an F in the class
Students are encouraged to independently raise any questions or make observations whenever they
wish. The quantity and especially the quality of participation will be taken into account in possibly
enhancing those students’ semester grades, which may be at the margin. Obviously, your attendance
is required to participate. Please minimize any lateness.
Grading equation
Final Grade  50 %  MAX ( Final,11 %  Test1  17 %  Test 2  22 %  Test 3  50 %  Final)
 Participation index  50 %  (90 %  Re port  10 %  presentation)
Where , Participation index  [0,1] from intra - group grading
Grading Matrix
93%
90 and <93
87 and <90
83 and <87
80 and <83
77 and <80
A
AB+
B
BC+
73 and <77
70 and <73
67 and <70
63 and <67
60 and <63
<60
C
CD+
D
DF
Students with Disabilities
Siena College is committed to ensuring that all qualified students with disabilities are afforded an
equal opportunity to participate in and benefit from its programs and services. To receive
accommodations, a student must have a documented disability (physical, psychiatric, and/or learning
disabilities) as defined by Section 504 of the Rehabilitation Act of 1973, and the Americans with
Disabilities Act of 1990 (ADA), and provide current documentation of the disability. Eligibility for
reasonable accommodations will be based on the documentation provided. If you are a student with
a documented disability, or feel that you may have a disability, please contact the Director of
Services for Students with Disabilities at 518.783.4239.
Pandemic Crisis
Students will bring all texts and a copy of the syllabus/course schedule home with them in the
event of a College closure. They should attempt to prepare for reopening with an adjusted
academic calendar. If their situations permit, students should continue with readings and
assignments (preparation assignments, papers, projects, etc.) to the best of their ability and
according to the course schedule. Students will be given instructions regarding how to deal with
paper assignments requiring library or other required research either before a closure or by
electronic means after an event. After closure of the college, all communications with the
students will take place by phone and email when necessary. All study material and assignments
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will be posted on my website (http://lw.siena.edu/egirard). If such communication is not
possible, students will proceed to the best of their ability to complete the assignments in a
manner that demonstrates understanding of the course material.
Portfolio Simulation Project Guidelines
ACCOUNT CODE: fin315-fall09
Objective
The primary objective will be to apply techniques of risk and return analysis, financial statement
analysis, equity valuation in a real context. Students will familiarize themselves with various statistical
tools in their analysis and with primary and secondary data resources (on-line data services and
publications) available at the library or on the internet.
Goal
The primary goal of this project is to gain an understanding of the investment process by becoming
an interested participant. Students will participate in a simulation exercise by trading an initial wealth
stock of $100,000,000 in domestic or international stocks, bonds, mutual funds, options and futures
over the semester. Our trading game will be managed by Stock-Trak, Inc of Atlanta GA, a
comprehensive simulation program for Finance students across the U.S. Students will form into
teams of 2 to 3 individuals and register a brokerage account with $100,000,000 cash initially. The
cost of each account is $24.95 and registration information will be addressed in the first class. The
trading period commences no later than September 21st, 2009 and ends on November 29th, 2009.
The remainder of the note answers some basic questions on the rules of the game. For more
comprehensive explanations of the rules, go to: http://www.stocktrak.com
What are the expectations from the investment team?
Each team is directed to an investment strategy that, for instance, “provides reasonable short-term
growth of principal/capital and income but with moderate risk.” That is, the fund managers should
seek balanced growth with good risk/reward potential. Each team should take this deliberately vague
mandate and refine it according to their own tastes.
What will the final report involve?
Each team will prepare a report of their investment performance over the 3-month period.
Discussion and analysis contained in the report will consider:
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A portfolio policy and inherent statement of objectives
The overall strategy or investment style (i.e. aggressive growth, income, small-cap, active,
passive, indexation, etc.):
A performance benchmark (i.e. S&P 500, Wilshire 5000, etc.) Justify your Benchmark
Portfolio risk-return Performance Analysis: Jensen test for the overall portfolio (include all
statistics); also include the average return, standard deviation of portfolio’s returns, Beta, Rsquare, Sharpe, Treynor. Use a Performance Attribution Procedure to analyze your strengths
and weaknesses
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Detail on Allocation strategy: Key market-wide or sector data and specific events that
influenced certain decisions and resulting risk/returns/correlation. An efficient
frontier/CML allocation that reflects the portfolio’s policy might be desirable here. A brief
chronicle of major events with their associated impact on weight allocation decisions.
Selection strategy: Security risk-return performance Analysis; show Alpha and beta for each
security (duration for bonds) A brief chronicle of major events with their associated impact
on trading decisions.
Conclusion
References
Note that calculations of performance measures can usually be summarized in several tables and
graphs, which also should be appended. Each report should be typed (font 12), double-spaced ( not
including tables and graphs) The report will be graded on the basis of the quality of the research, as
well as clarity of exposition.
Remember that the project’s grade is NOT related to the actual performance of the portfolio. The
grade of the assignment will be based on a clear and concise discussion of what happened to the
portfolio. A good report can successfully incorporate concepts highlighted in the course. Guidelines
are sufficiently broad so that the style of the report can suit each individual.
Nine important things to do to get a good grade…
1. Start acquainting yourself with the online registration materials.
2. Put together an investment team that you would enjoy meeting with over the semester
3. Discuss a particular investment strategy that would be fun to pursue, set a policy for
your portfolio.
4. Register online as soon as possible to get started. Use the name for the team in the
registration.
5. Read the rules of the game at http://www.stocktrak.com
6. Do not hesitate to come talk to me about any issues or questions I have omitted.
7. Track the performance of your portfolio each day (record ending values)
8. Take notes of important events in the markets that may affect the risk or return
performance of portfolio
th
9. Produce a comprehensive report by
December 18 , 2009
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Writing Assessment Criteria
Content: The completeness and accuracy ot the information presented (x10)
5 Excellent
The paper contains an important controlling idea that is fully developed with concrete and
vivid details
4 Good
The paper contains a controlling idea that is developed using consistent, pertinent details
3 Adequate
The paper contains a main idea supported by appropriate details
2 Poor
The paper contains a main idea but it is too general, vague and confused: lacks sufficient
support with specific details
1 Unsatisfactory
The paper contains no discernible idea to control the random details that are included
Organization: The logic, order, and readability of the information presented (x6)
5 Excellent
The paper moves toward a clear conclusion with a sense of symmetry and emphasis;
paragraphs contain related material that fits together well, and transitions between sentences
and paragraphs assist the reader's progress
4 Good
The paper contains the necessary steps toward a conclusion: paragraphs are structured
appropriately to assist the reader
3 Adequate
The paper's direction is apparent: paragraphs meet the basic demands. but transitions are
more functional than dynamic
2 Poor
The paper lacks a clear sense of order and direction; paragraphs are jumbled or
underdeveloped; transitions are weak or unclear
1 Unsatisfactory
The paper contains no discernible order or emphasis; paragraphs are lacking or serve no
purpose; no effort is made to make transitions from idea to idea
Expression: The presence of a personal style and the ability to generate interest in the information (x2)
5 Excellent
The paper uses sentences that are forceful, varied in length and structure; language is fresh
and precise; the tone is appropriate for the subject, defines the audience and reveals the writer
4 Good
The paper uses sentences that are varied and function well; language is clear, and the tone fits
the subject, writer and audience
3 Adequate
The paper uses ordinary sentences that function appropriately; language is functional but
ordinary; tone is acceptable but lacks appeal
2 Poor
The paper uses sentences that lack order and are repetitious or immature; language is vague or
inappropriate; tone is inappropriate or inconsistent
1 Unsatisfactory
The paper contains incoherent sentences, inappropriate or non-standard diction, and no
discernible tone
Usage: The use of writing standards and conventions appropriate to the occasion (x1)
5 Excellent
The paper always uses standard usage
4 Good
The paper contains no serious deviations from standard usage
3 Adequate
The paper contains occasional usage and/or spelling and/or punctuations errors
2 Poor
The paper contains numerous usage problems of various kinds
1 Unsatisfactory
The paper has consistent problems with usage problems of many kinds
Documentation: The references made to sources of information (1)
5 Excellent
The paper is documented correctly
4 Good
The paper nearly always uses documentation correctly
3 Adequate
The paper reveals some uncertainty about documentation
2 Poor
The paper reveals serious documentation problems.
1 Unsatisfactory
The paper has no documentation
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Tentative of Course Outline
Month Day Date
Sep
W 9
Sep
F 11
Sep
M 14
Sep W 16
Sep
F 18
Sep
M 21
Sep
W 23
Sep
F 25
Sep
M 28
Sep
W 30
Oct F 2
Oct M 5
Oct W 7
Oct F 9
Oct M 12
Oct W 14
Oct F 16
Oct M 19
Oct W 21
Oct F 23
Oct M 26
Oct W 28
Oct F 30
Nov M 2
Nov W 4
Nov F 6
Nov M 9
Nov W 11
Nov F 13
Nov M 16
Nov W 18
Nov F 20
Nov M 23
Nov W 25
Nov F 27
Nov M 30
Dec
Dec
Dec
Dec
Dec
Dec
Dec
W
F
M
W
F
M
Topics
Notes
Asset allocation decision and investments policy
Return, Risk and Correlation
Efficient Frontier
Start registering your team in Stocktrak
No Class
Efficient Frontier (LAB)
Efficient Frontier (LAB)
Stocktrak Simulation starts
Efficient Frontier (LAB)
CAPM
CAPM
CAPM
CAPM – alpha (LAB)
Test 1
Stock taxonomy/classification
Stock valuation: growth and relative models
Stock valuation: growth and relative models
Stock valuation: FCF and Earning models
Stock valuation: FCF and Earning models
Stock valuation: FCF and Earning models
Stock valuation: FCF and Earning models
Debt markets/bond taxonomy
Bond valuation and bond risk
Bond Duration
Bond Duration
Bond portfolio: Overview
Bond portfolio: Immunization
Test 2
Derivatives: The basics
Derivatives: Protection
Derivatives: Protection (LAB)
Derivatives: Speculation
Derivatives: Speculation
Derivatives: Speculation (LAB)
Derivatives: Synthesis
No Class
Start collecting data for your report
No Class
Start collecting data for your report
Simple measures of performance
Stocktrak simulation stops. All data are collected and all report
computations/analyses are completed
2
Simple measures of performance
4
Simple measures of performance
7
Performance attribution analysis
9
Test 3
11 Performance attribution analysis
14 Presentations
Report draft is ready
16-22 Final
Final Report is due on Dec 18, midnight
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