FINM 3008/8016
Applied Portfolio Construction
Lecture 11
Portfolio Structure Within
Asset Classes
Lecturer: Anna von Reibnitz
ANU Research School of Finance, Actuarial Studies and Applied Statistics
1
Todays lecture
What you can expect to learn:
About th

FINM3008/8016, Applied Portfolio Construction
Workshop Summary - Week 2
1) Objectives for todays workshop
Discussion of remaining slides from Lecture 2 (slides 15-17)
Recap: Calculation of simple vs log returns, and arithmetic vs Geometric means
- Formu

FINM 3008/8016
Applied Portfolio Construction
Lecture 13
Revision & Exam
Lecturer: Anna von Reibnitz
ANU School of Finance, Actuarial Studies and Statistics
Todays lecture
What you can expect to learn:
A bit about the exam
Revision an opportunity to ask

Emerging market equities:
an Australian perspective
Emerging markets should be viewed as a high-risk, but potentially
high-return, sub-class of world equities rather than a diversification opportunity.
In addition, a positive correlation with the Australi

About this data:
This data is provided for educational purposes only, and should not be used for commercial means.
The data series themselves are indicative only. They are constructed from total return indices arising
from a range of sources. Some series

About this data:
This data is provided for educational purposes only, and
should not be used for commercial means. The data series
themselves are indicative only. They are constructed from
total return indices arising from a range of sources. Some
series

About this data:
This data is provided for educational purposes only, and should not be used for commercial means.
The data series themselves are indicative only. They are constructed from total return indices arising
from a range of sources. Some series

About this data:
This data is provided for educational purposes only, and should not be used for commercial means.
The data series themselves are indicative only. They are constructed from total return indices arising
from a range of sources. Some series

Total Return Indices
Australian
Equities
AE
World Equities
Unhedged
WE
Australian
World Fixed
Fixed Income Income, Hedged
AFI
WFI
Australian
Cash
AC
Asset Weights:
5%
65%
13%
13%
4%
31-Dec-84
31-Dec-85
31-Dec-86
31-Dec-87
31-Dec-88
31-Dec-89
31-Dec-90
31-

Next Weeks Tutorial
(Week 13)
In order to participate in the final tutorial, you are required to complete an online business
simulation.
You will be paired with a Masters of Management student for this simulation.It is important that
you complete the onli

About this data:
This data is provided for educational purposes only, and
should not be used for commercial means. The data series
themselves are indicative only. They are constructed from
total return indices arising from a range of sources. Some
series

About this data:
This data is provided for educational purposes only, and
should not be used for commercial means. The data series
themselves are indicative only. They are constructed from
total return indices arising from a range of sources. Some
series

SCHOOL OF FINANCE, ACTUARIAL STUDIES AND APPLIED STATISTICS
Mid-Semester Examination - 2011
Applied Portfolio Construction (FINM 3008)
Answers to Multiple Choice Questions
1.
e
2.
c
3.
c
4.
d
5.
b
6.
e
7.
a
8.
d
9.
a
10.
b
11.
a
12.
c
13.
d
14.
e
15.
b
16

FINM 3008/8016
Portfolio Construction
Lecture 4
Asset Assumptions
Lecturer: Anna von Reibnitz
ANU Research School of Finance, Actuarial Studies and Statistics
1
Todays lecture
What you can expect to learn:
Issues and methods for forming quantitative
asse

About this data:
This data is provided for educational purposes only, and
should not be used for commercial means. The data series
themselves are indicative only. They are constructed from
total return indices arising from a range of sources. Some
series

About this data:
This data is provided for educational purposes only, and should not be used for commercial means.
The data series themselves are indicative only. They are constructed from total return indices arising
from a range of sources. Some series

About this data:
This data is provided for educational purposes only, and
should not be used for commercial means. The data series
themselves are indicative only. They are constructed from
total return indices arising from a range of sources. Some
series

FINM 3008/8016
Applied Portfolio Construction
Lecture 10
Global Investing and Currency
Hedging
Lecturer: Anna von Reibnitz
ANU Research School of Finance, Actuarial Studies and Applied Statistics
1
Todays lecture
What you can expect to learn:
What is dif

FINM 3008/8016
Applied Portfolio Construction
Lecture 12
Other Topics:
Governance, Costs, Rebalancing,
and Performance Evaluation
Lecturer: Anna von Reibnitz
ANU Research School of Finance, Actuarial Studies and Applied Statistics
1
Todays lecture
Today y

Page 1
ANU Research School of Finance, Actuarial Studies and Applied Statistics
FINM 8016, Portfolio Construction
Semester 1, 2015
Tutorial #11 Lecturers Notes
Question 1: Turnover and Brokerage Costs
Funds Under Management ($m)
(a) Turnover p.a.
Trade Va

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #2 Lecturers Notes
Question 1: Estimation of Risk Measures
The output should look something like the table below. Part (

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008/8016, Applied Portfolio Construction
Tutorial #9 Lecturers Notes
Question 1: Analysis of direct property
a) Economic exposures for DP
Simple (univariate) correlations revea

ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #1 Lecturers Notes
Question 1: Trends in the Fund Management Industry
(a) Some key trends
High growth rates (faster than GDP)

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008/8016, Applied Portfolio Construction
Tutorial #10 Outline
Question 1 Hedging and Returns
On the course Wattle site can be found the file Tutorial #10 - Analysis File.xlsx. I

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #3 Lecturers Notes
Question 1: Mean-Variance optimization, data-based exercise (summary table at end of
document)
a) Unc

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #5 Lecturers Notes
Question 1: Analysis of Portfolio Adjustments (see page 5 for model output)
Part (A): Baseline for an

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #4 Lecturers Notes
Question 1: Data exercise
Part A: Impact of Measurement Interval (summary table is on page 2)
(a) Ris

Page 1
ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008/8016, Applied Portfolio Construction
Tutorial #8 Lecturers Notes
Question 1: Interpretation of inflation-linked bonds (ILBs)
a) Drivers of ILB returns
From a more mechanical

ANU Research School of Finance, Actuarial Studies and Statistics
FINM 3008 / FINM 8016, Applied Portfolio Construction
Tutorial #6 Lecturers Notes
Question 1: Evaluating a Value/Growth Equity Tilt
(i) Impact on returns
A value tilt would have increased c

FINM 3008/8016
Applied Portfolio Construction
Lecture 11
Portfolio Structure Within
Asset Classes
Lecturer: Anna von Reibnitz
ANU Research School of Finance, Actuarial Studies and Applied Statistics
1
Todays lecture
What you can expect to learn:
About th