International Portfolio Management
Fin 263 Syllabus
Fall 2015
Lee Hall
Mondays
6:30pm-9:20pm
Brandeis University
International Business School
Christopher B. Alt PhD CFA
Victoria Samatova TA
Course Objectives and Methodology:
International Portfolio Management FIN 263 focuses on security
analysis and portfolio management throughout the global
economy. Within this context, students will review various
approaches to asset allocation and the valuation of stocks, bonds,
and selected derivative securities. Throughout this course,
students are expected to master both the theoretical constructs of
investments and portfolio management and their application to
current industry practice.
office hours: after class
Sachar 1G
cell (617 281-1636)
chrisalt01@gmail.com
TA – Victoria Samatova
cell (858) 768-1158
victoriasamatova@gmail.com
Learning Goals
A. Understand the fundamental principles of global investment management:
1. How foreign exchange issues influence investment decisions and risk management
2. What factors determines global asset valuations and returns
B. Gain a quantitative understanding of:
1. Equity markets and instruments
2. Fixed income markets and instruments
3. Selected alternative investments
Derivatives’ use in shaping investment decisions
C. Acquire a basic understanding of:
1.
2.
3.
4.
Domestic and international capital asset pricing models
Pros and cons of international diversification
Evaluation of global investment performance
Structuring the global investment process
Disabilities:
If you are a student with a documented disability on record at Brandeis University and wish to have a
reasonable accommodation made for you in this class, please see me immediately.
Academic Integrity:
You are expected to be honest in all of your academic work. Please consult Brandeis University Rights
and Responsibilities for all policies and procedures related to academic integrity. Students may be
required to submit work to TurnItIn.com software to verify originality. Allegations of alleged academic
dishonesty will be forwarded to the Director of Academic Integrity. Sanctions for academic dishonesty
can include failing grades and/or suspension from the university. Citation and research assistance can be
found at LTS - Library guides
Prerequisites:
Fin 201a (Investments)
Textbooks and Other Readings:
Required:
Global Investments, Solnik & McLeavey (SM) (6th edition, Pearson Prentice Hall, 2009).
Investments, Bodie, Kane & Marcus (BKM) (10th edition, McGraw Hill Irwin, 2014).
Case & article packet from Harvard Business School online
https://cb.hbsp.harvard.edu/cbmp/access/38057469
Recommended:
Wall Street Journal
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Grades
Class Participation
First Case
Second Case
Third Case
Midterm
Final Exam
Total
10%
10%
10%
10%
30%
30%
100%
Class Participation and Homework Problems
Class participation will be based on the quality and quantity of a student's contribution to classroom
discussions. All students are expected to come to class prepared (having already read and reviewed the
material) and ready to discuss the assigned readings. No wall flowers allowed (i.e. everyone is expected to
participate in class discussions). Laptop use in the classroom is discouraged because it thwarts active
participation in class discussions. Class notes will be distributed (on LATTE) so students only have to add
their own margin comments.
Homework problems are assigned for each class and are helpful both in boosting students’ mastery of
investments and for exam preparation. Because of time constraints, only a limited number of homework
problems will be discussed in class but solutions will be distributed (on LATTE). In addition, the teaching
assistant(s) for this course will be available to review solutions to homework problems. Additional problems
are available through EZTest Online. Other additional materials are available through the text book
publishers.
Classroom Etiquette
Name tents (last name, first name, American or nickname) – bring to every class
Cell phones and similar technology MUST always be turned off when you are in the classroom because they
are a distraction to class discussions.
Students should view this class as a business meeting with corresponding expectations for what is expected
of the professor and the other students. Business casual (e.g. leave the hats off). Just first names (e.g. Chris;
no need for Dr. Alt or Professor Alt).
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Cases
Cases are an integral part of this course. To prepare cases, you are expected to form groups (4-6 students)
and work in a collaborative fashion. Prior to second class, email me names of students in your group. If
you don’t, I’ll assign you to a case group. For each case, one or more students selected at random will be
called upon ("cold calling") to present his (her) group’s analysis and proposed solution to the assigned case.
Each group will also submit a written case analysis no later than the Sunday prior to class.
These situations simulate what happens in the real world when your boss calls you in at the end of the week
and asks you and your team:
a. to have a report on a topic for him (her) at the scheduled staff meeting next week,
and, by the way,
b. "keep it short".
Most cases will be accompanied by case guidance questions (posted on Latte). Some cases will also have
spreadsheet data supplements (also posted on Latte).
The cases must be typed and can be no longer than 5 pages plus exhibits.
An integral part of case analysis is careful quantitative analysis. As appropriate, please email me a copy of
your report and its accompanying spreadsheet. And remember – spreadsheets NEVER explain themselves.
That is your job in your case writeup. It is a key way in which you will be evaluated.
For selected cases, only an abbreviated, summary case writeup needs to be submitted (by Sunday prior to
class). For these case write-ups (1 page maximum), you need to: 1) “set the stage”, and 2) identify key
issue(s) and make recommendations as to what the key decision-maker(s) should do.
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Course Calendar
Alt
International Portfolio Management FIN 263
DATE
Mo 8/31
Fall 2015
TOPICS
PREPARATIONS AND
ASSIGNMENTS
Introduction
Introduction & Discussion of Course Objectives
Mo 9/7
BKM Ch. #1 The Investment Environment
Review
BKM Ch. #2 Asset Classes and Financial
Instruments
Ch. #2; Probs 5-8, 10, 13, 15
No class – Labor Day
Th 9/10
Brandeis
Foreign Exchange
Monday
SM Ch. #1 Currency Exchange Rates
Ch. #1; Probs. 1, 4, 11, 15, 19
SM Ch. #2 Foreign Exchange Parity Relations
Ch. #2; Probs 2, 4, 8-9, 11, 15
FX markets and transactions
Desai article
Mo 9/14
No class – Rosh Hashanah
Mo 9/21
SM Ch. #3 Foreign Exchange Determination
and Forecasting (skim pp. 91-103)
Ch. #3; Probs 3, 6-7, 9-10
FX group case analysis and summary writeup
Groupe Ariel S.A.: Parity Conditions and
Cross-Border Valuation case
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Course Calendar
Alt
International Portfolio Management FIN 263
DATE
TOPICS
PREPARATIONS AND
ASSIGNMENTS
Mo 9/28
No class - Sukkot
Tu 9/29
Brandeis Monday – no class due to schedule
conflict
Th 10/1
Location
Fall 2015
Investment Vehicles: Conventional and
Selected Alternatives
TBD
BKM Ch. #4 Mutual Funds and Other
Investment Companies
Ch. #4; Probs 2-3, 7, 15-18
SM Ch. #8 Alternative Investments - ETFs
(skim pp. 332-378
Ch. #8; Probs 1-2
Mo 10/5
No class – Shmini Atzeret
Mo 10/12
Equity Securities
Mo 10/19
SM Ch.#5 Equity: Markets and Instruments
(skim pp. 166-177)
Ch. #5; Probs 2-4, 11, 13
ADRs - Kuemmerle article
BKM Ch. #3 (pp.59-76)
MSCI group case analysis and summary
writeup
MSCI and the Chinese A Shares case
Fixed Income Securities
BKM Ch. #16 Managing Bond Portfolios
Ch. #16; Probs 3-4, 7-9, 12, 15-16
SM Ch. #7 Global Bond Investing
(skim pp. 265-268, 276-284, 300-307)
Citicorp: 1985 group case analysis and
writeup
International Portfolio Management Fin 263
Ch. #7; Probs 3, 5, 9, 13, 17
Citicorp: 1985 case
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Course Calendar
Alt
International Portfolio Management FIN 263
DATE
Fall 2015
TOPICS
PREPARATIONS AND
ASSIGNMENTS
Swaps and Risk Management
Mo 10/26
BKM Ch. #22 Futures Contracts
BKM Ch. #23 Futures, Swaps, and Risk
Management
Review
Ch. #23; Probs 6-7, 12, 21-22
SM Ch. #10 Derivatives: Risk Management
with Speculation, Hedging, and Risk
Transfer (skim pp. 464-478)
Ch. #10; Probs 2, 5-7, 9
FX Swaps – Kester article
Global financing with swaps group case
analysis and summary writeup
Th 10/29
Walt Disney Company’s Yen Financing case
Midterm exam review session
Location?
Mo 11/2
Midterm Exam
Mo 11/9
BKM Ch. #20 Options Markets: Introduction
Review
SM Ch. #10 Derivatives: Risk Management
with Speculation, Hedging, and Risk
Transfer (pp. 464-478)
Ch. #10; Probs 15-17, 19
FX hedging group case analysis and
summary writeup
Hedging Currency Risk at AIFS case
Currency Risk Management
Mo 11/16
SM Ch. #11 Currency Risk Management
Ch. #11; Probs 3, 6, 12
FX hedging strategy group case analysis and
writeup
Hedging Currency Risk at TT Textiles
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Course Calendar
Alt
International Portfolio Management FIN 263
DATE
Mo 11/23
Mo 11/30
Fall 2015
TOPICS
PREPARATIONS AND
ASSIGNMENTS
International Diversification
BKM ch. #25 International Diversification
Ch. #25; Probs 1-4
SM Ch. #9 The Case for International
Diversification
Ch. #9; Probs 1, 3, 6, 8, 20
Privatization
Privatization fundamentals
HBR privatization articles – Moore;
Johnson/Loveman
Privatization group case analysis and writeup
Mo 12/7
Th 12/10
Privatization of Rhone-Poulenc – 1993 case
Portfolio Performance Evaluation
BKM Ch.#24 Portfolio Performance
Evaluation
Ch. #24; Probs 5, 9-11
SM Ch. #12 Global Performance Evaluation
(skim pp. 523-534, 548-555, 568-569)
Ch. #12; Probs 3-5, 8-9
Final Exam Review Class
TBD
6-9pm
Final Exam
tentative
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