BU.232.750.XX – Advanced Portfolio Management – Instructor’s Name – Page 1 of 6

Advanced Portfolio Management 2 Credits

BU.232.750.XX [NOTE: Each section must have a separate syllabus.]

[Day & Time / ex: Monday, 6pm-9pm] [Start & End Date / ex: 3/24/15-5/12/15]

[Semester / ex: Fall 2016] [Location / ex: Washington, DC]

Instructor [Full Name]

Contact Information [Phone Number, (###) ###-####] [Email Address]

Office Hours [Day(s)/Times]

Required Texts & Learning Materials

Primary: Bodie, Zvi, Alex Kane and Alan Marcus (BKM). Investments. 10th Edition (or recent). McGraw Hill. 2013.

Supplemental: Maginn, John L. and Donald L. Tuttle (MT). Managing Investment Portfolios: A Dynamic Process. 3rd Ed. CFA Institute Investment Series. Wiley and Sons, 2007.

Cases: Combination of Harvard Business School and Darden Cases including: CASE 1: Partners Healthcare CASE 2: NY LIFE CASE 3: REIT valuation project CASE 4: Global Asset Allocation Crude CASE 5: Gold as a Portfolio Diversifier

Use this link to access Cases 1, 2, 4 and 5: https://cb.hbsp.harvard.edu/cbmp/access/35393763

Case 3 will be sent separately.

Teaching Approach Students will collaborate over several weeks with peers to develop a recommended investment portfolio for an institutional client of their choice, selected from this list: sovereign wealth fund, endowment, foundation, high net worth family, defined benefit pension, defined contribution pension, or variable annuity insurance company.

Class discussions will play a major role, in some case motivated by case studies. Students will submit weekly assignments that culminate in a final paper submission aimed at convincing a hypothetical prospect to become a client and invest in a recommended portfolio. BU.232.750.XX – Advanced Portfolio Management – Instructor’s Name – Page 2 of 6

Group Work Students will form teams of three. These teams will submit weekly homework assignments, and a final proposal paper. The homework assignments assume that your team is advising an investment prospect/client regarding portfolio formation and maintenance.

The Wall Street Journal Reading the Wall Street Journal is recommended, in order to help you keep up with investment and financial market news. You may access WSJ through your JHED account. Other useful sources include The Financial Times, Bloomberg/Business Week, Forbes, Fortune, etc.

Course Description This is an advanced course designed as a comprehensive study of primarily institutional investment analysis and portfolio management. It will approach investment management as a rational decision-making process based on the theoretical foundation and best practice techniques of investments. The course is presented to help understand how the basic theories of managing a portfolio of financial assets within the risk return framework will be addressed. Due to the increasing globalization in the capital markets, portfolio management has become an international business. Thus, a good understanding of valuation of equities and fixed income securities, options and futures, and other investment instruments within a global setting is necessary to maintain optimal investment in this dynamic environment. The course emphasizes portfolio management as a dynamic process in which the concepts from security analysis are factored into the dynamics of strategic and tactical investment decision-making criteria. The course covers the formulation of appropriate investment portfolio objectives for a key institutional investor; alternative techniques for achieving them; and determination and allocation of asset classes including bonds, equities, and alternative investment instruments into efficient portfolios will be discussed, along with such topics as portfolio optimization, risk management, asset selection and allocation, investment management, monitoring, and criteria for evaluating the performance, revising and rebalancing a portfolio.

Prerequisite(s) (BU.210.620 OR BU.910.611) AND (BU.230.620 OR BU.922.610)

Learning Objectives By the end of this course, students will be able to: 1. Measure risk and performance in the context of an efficient portfolio and make asset allocation decisions. 2. Understand risk aversion and apply the principles to portfolio construction. 3. Understand diversification and be able to create a well-diversified portfolio. 4. Understand macro tends, risk premiums, and the implications for the construction of a global portfolio. 5. Acquire familiarity with a variety of financial instruments (bonds, options, futures, and forwards, among others).

To view the complete list of Carey Business School’s general learning goals and objectives, visit the Teaching & Learning@Carey website.

Attendance Attendance and participation are required for this course. Participants are expected to attend all scheduled class sessions. Failure to attend class will result in an inability to achieve the objectives of the course. Excessive absence will result in loss of points. Full attendance and active participation are required for you to succeed in this course. NOTE: attendance is not the same as participation.

Assignments & Rubrics

Learning Assignment Weight Evaluated Objective(s) Attendance 1, 2, 3, 4, 5 10% Individual BU.232.750.XX – Advanced Portfolio Management – Instructor’s Name – Page 3 of 6 Homework (5 at 6% each) 1, 2, 3, 4, 5 30% Team Final Portfolio Proposal paper 1, 2, 3, 4, 5 10% Team Comprehensive Final Exam 1, 2, 3, 4, 5 50% Individual TOTAL 100%

Cases: There will be 5 cases. Each case will have assigned questions. Students should come prepared to participate in discussions. The assigned questions may form the starting point for the discussions, which may be further extended in class. Students may find it useful to use online searches or other optional material to prepare more comprehensively for class discussions.

Case questions will be posted to Blackboard.

Homework Assignments: The assignments are designed as a progression that ultimately leads to a complete portfolio proposal. Students will get more out of the course if they make an effort on these assignments. The assignments will then be used by students to create the written proposal paper.

Written Proposal Paper (10% weight): The written proposal paper ties together the work students have undertaken throughout the course. It will be largely composed of the material created for the homework assignments but must be compiled in a professional way that makes the case for a specific portfolio recommendation. Typical length should be between 10 – 20 pages.

Evaluation and Grading

Homework submission format: All homework and the final paper submissions must adhere to the following formatting guidelines:  8.5”X11” paper  Double-spaced  1” margins  Times New Roman font; size: 12 point  Footer: Each page must bear a page number and all team member names  References (if any) should be included in the back of the paper  Text portion should be no more than five pages  Paper must be submitted through Blackboard

Grading rubrics/guidelines for all homework assignments and Final Portfolio Proposal Paper: Adherence to formatting guidelines 10% Adherence to instructions regarding content (did you address the question) 10% Style, spelling and grammar 20% Level of detail and insight, strength of arguments (graded relative to other groups) 60%

Case and Class Participation Students are expected to have read the cases before attending class. Discussions are to be directed to the class rather than the instructor.

Grading The grade of A is reserved for those who demonstrate extraordinarily excellent performance. The grade of A- is awarded only for excellent performance. The grade for good performance in this course is a B+/B. The grades of D+, D, and D- are not awarded at the graduate level.

Please refer to the Carey Business School’s Student Handbook for grade appeal information. BU.232.750.XX – Advanced Portfolio Management – Instructor’s Name – Page 4 of 6 Tentative Course Calendar* *The instructors reserve the right to alter course content and/or adjust the pace to accommodate class progress. Students are responsible for keeping up with all adjustments to the course calendar.

Week 1 Lecture 1: Introduction to Portfolio Management: Investment Policy Statement - Institutional client objectives and preferences - Individual/Private client objectives and preferences HW 1: choose one industry from this list (sovereign wealth fund, endowment, foundation, high net worth family, defined benefit pension, defined contribution pension, life insurance, or variable annuity insurance company) and create an investment policy statement for a fictional entity within that industry. Use a structure similar to the Investment Policy Statement described in BKM Chapter 28.

Week 2 Lecture 2: Asset Classes, Risk Premia, and Asset Allocation - Basic Asset Allocation Techniques (mean variance; passive approach) - Advanced Asset Allocation Techniques (alpha strategies; active approach) CASE 1: Partners Healthcare HW 2: Submit an asset allocation for your fictional entity (from HW 1) along with the justification for that allocation.

Week 3 Lecture 3: Asset Selection: Equity, Fixed Income Investments - Equity Asset Class Characteristics - Equity Portfolio Risk - Fixed Income Asset Class Characteristics. - Roles of Duration, Convexity - Fixed Income Portfolio Value Distributions CASE 2: NY LIFE HW 3: Pick actual equity and fixed income investments for your entity and submit that list with explanations and justifications

Week 4 Lecture 4: Alternative Investments - Private Equity - Hedge Funds - Venture Capital - REITs CASE 3: REIT valuation HW 4: Submit candidate alternative investments for your entity’s portfolio

Week 5 Lecture 5: Strategic Commodities: Oil, Gold CASE 4: Global Asset Allocation Crude HW 5: Write a fictional memo to your Investment Committee on a current issue affecting a strategic commodity (a quick web search should yield timely topics). In your memo, address how the issue is likely to affect the client’s portfolio and make appropriate recommendations, which may include taking long or short positions in that commodity.

Week 6 Lecture 6: Risk Management - Managing portfolio risk - Equity portfolios and risk management - Fixed income portfolios and risk management CASE 5: Gold as a Portfolio Diversifier

Week 7 Lecture 7: Portfolio Performance Evaluation: Portfolio Manager Analysis & Monitoring - Performance Evaluation & Attribution: Concepts and methods - Sharpe and Treynor measures - Performance (In)consistency Final Paper

Week 8 COMPREHENSIVE FINAL BU.232.750.XX – Advanced Portfolio Management – Instructor’s Name – Page 5 of 6 Carey Business School Policies and General Information

Blackboard Site A Blackboard course site is set up for this course. Each student is expected to check the site throughout the semester as Blackboard will be the primary venue for outside classroom communications between the instructors and the students. Students can access the course site at https://blackboard.jhu.edu. Support for Blackboard is available at 1-866-669-6138.

Course Evaluation As a research and learning community, the Carey Business School is committed to continuous improvement. The faculty strongly encourages students to provide complete and honest feedback for this course. Please take this activity seriously; we depend on your feedback to help us improve. Information on how to complete the evaluation will be provided toward the end of the course.

Disability Services Johns Hopkins University and the Carey Business School are committed to making all academic programs, support services, and facilities accessible. To determine eligibility for accommodations, please contact the Disability Services Office at time of admission and allow at least four weeks prior to the beginning of the first class meeting. Students should contact Priscilla Mint in the Disability Services Office by phone at 410-234- 9243, by fax at 443-529-1552, or by email.

Honor Code/Code of Conduct All students are expected to view the Carey Business School Honor Code/Code of Conduct tutorial and submit their pledge online. Students who fail to complete and submit the pledge will have a registrar’s hold on their account. Please contact the student services office via email if you have any questions.

Students are not allowed to use any electronic devices during in-class tests. Calculators will be provided if the instructor requires them for test taking. Students must seek permission from the instructor to leave the classroom during an in-class test. Test scripts must not be removed from the classroom during the test.

Other Important Academic Policies and Services Students are strongly encouraged to consult the Carey Business School’s Student Handbook and Academic Catalog and Student Resources for information regarding the following items:  Statement of Diversity and Inclusion  Student Success Center  Inclement Weather Policy

Copyright Statement

Unless explicitly allowed by the instructor, course materials, class discussions, and examinations are created for and expected to be used by class participants only. The recording and rebroadcasting of such material, by any means, is forbidden. Violations are subject to sanctions under the Honor Code.