ADMS 4501 – Advanced Portfolio Management
Winter 2015 – Outline
Time, Location: Thursdays 7:00 – 10:00, HNE035
Instructor: Paul Fettes, Email : pfettes@efficertain.com
Moodle: All files you will need for this course are kept on Moodle
Calendar Description:
This course undertakes a rigorous study of the theory and empirical evidence
relevant to professional portfolio management. Students learn tools which enable
them to manage risks, allocate among asset classes, detect mispriced securities,
and measure the performance of portfolio managers.
Prerequisite / Co-Requisite:
Prerequisites: AK/ADMS 3330 3.00; AK/ADMS 3531 3.00.
(please note you will be de-enrolled if you do not have these pre-reqs)
Course credit exclusion: AK/ADMS 4500 3.00 (prior to Summer 2006).
Required Course Text / Readings:
Investment Analysis and Portfolio Management, FIRST CANADIAN EDITION
Authors: Reilly, Brown, Hedges, Chang (Publisher: Nelson 2010)
Additional Readings will be assigned
Expanded Course Description:
This course takes both a theoretical and real-world approach to studying portfolio
management. It includes both an overview of modern portfolio theory as well as
practical economic, industry and equity analysis. Current real-world issues such
as the global financial crisis are incorporated into the course and students are
expected to be ready to discuss current events as they affect portfolio
management.
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Organization of the Course (tentative):
Lecture
Date:
Material:
1
Jan 8
Overview of Portfolio Management
Ch.1 - The Investment Setting
Ch.3 - Global Investing (p.51- 57; 66-68 only)
2
Jan 15
Ch.2 - The Asset Allocation Decision
Articles: What went wrong at Harvard and U of T?
Sick Kids Foundation
Group Assignment Topics assigned
3
Jan 22
Ch.6 - Review of MPT (self study!)
Ch.7 - Asset Pricing Models (CAPM & APT)
4
Jan 29
Ch.17 - Money Mgmt, Alt. Investment (pp.531-558 only)
Group Written Assignments due at start of class
5
Feb 5
Ch.8 - Economic & Industry Analysis
6
Sunday Feb 8
2-4pm
Midterm Exam #1: cover Lectures 1 to 4
7
Feb 12
Ch 9 - Stock Analysis (p 231-247;255-257;266-269)
Feb 19
No Lecture – Reading Week
8
Feb 26
Ch.11 - Bond Fundamentals (self- study)
Ch.16 - Bond P/M Strategies (pages 492-510;516-518)
Ch 15 - Equity P/M Strategies (pages 455-477)
9
Mar 5
Guest Speaker Class
10
Mar 12
Group Presentations 1-5
11
Sunday Mar 15
2-4pm
Midterm Exam #2: covers Lectures 5-8
Mar 19
No Lecture due to Midterm Mar 15
12
Mar 26
Group Presentations 6-10
13
Apr 2
Final Exam – In-Class 90 minutes, Lectures 10-12
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Weighting of Course:
Group Assignment
Group Presentation
Participation
Midterm Exam 1
Midterm Exam 2
Final Exam
10%
10%
10%
25%
30%
15%
Additional Information/Notes:
Participation is assessed through short beginning-of-class tests in lectures 3-8. The
tests will be based on the assigned reading materials for each lecture.
Lecturing will be minimal. Powerpoint decks will be available on the course moodle
site but will not be discussed extensively in class. You will be expected to review all
materials prior to in-class application of the materials.
Students will be required to monitor the stocks of the Dow 30 index and will be tested
on them. Students should subscribe to a stock tracking service that provides news
feeds to remain informed. Students will also be required to monitor central bank and
federal government fiscal policy decisions for Canada and the USA.
MISSED EXAMS
Please note that if a student misses a midterm or final exam due to a medical
reason, an Attending Physician’s Statement (not just a medical note) will be
the required standard documentation.
If one or both midterm exams is/are missed for a legitimate reason, the student
will be required to write a comprehensive exam at the next exam date. If the final
exam is missed, the student will be required to write a deferred final exam in
January.
There are no alternate midterms or alternate final exams.
If a student misses both midterms and final exam, the student will not be
permitted to apply for deferred status. Instead the student must petition to write
the deferred exam or petition for late withdrawal from the course.
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