Investment Style
and
Smart Beta
Lecture 9
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning objectives
Identify the difference between active and passive
investing
What is investment style and why is it important?
Value vs. gro
FINC3017
Lecture 7 Investment Styles
Portfolio Management:
Passive Investment:
Aim is to match the return performance of a specified benchmark index
The optimal risky portfolio is the market portfolio
Market capitalisation weighted indices
Equal weigh
Dick Smith Holdings (ASX:DSH)
Angelo Aspris
The University of Sydney
Page 1 Angelo Aspris (2016)
Outline
This pack aims to shed some light on the rise and fall of
Australian retailer Dick Smith (ASX:DSH)
Information acquired for this presentation is pub
FINC3017 Investments and Portfolio Management
Practice Questions 10 Solutions
Managing Investment Risk II
1.
BHB Q16.24 A call option has a price of $1 with an exercise price of $15 and an
underlying asset price of $17. The time to maturity is 60 days and
FINC3017 Investments and Portfolio Management
Tutorial 2
Investment Decisions Under Uncertainty
1.
BHB Q7.7 How does the level of risk aversion affect the curvature affect the curvature of
indifference curves in mean-standard deviation space.
2.
BHB Q7.9
FINC3017 Investments and Portfolio Management
Practice Questions 3 Solutions
Efficient Portfolio Selection
1.
In estimating the opportunity set, does the assumption that the expected returns,
variances and covariances are known with certainty matter?
The
FINC3017 Investments and Portfolio Management
Tutorial 2
Investment Decisions Under Uncertainty
1.
BHB Q7.7 How does the level of risk aversion affect the curvature of indifference
curves in mean-standard deviation space.
If an investor is highly risk ave
FIN702 Invt & Port Mgt Quiz 1 Chap. 1 SOLUTIONS
Please download, complete QUIZ , & bring to Tutorial in Week 2 for marking & recording.
There are 10 Questions on this Quiz paper.
SECTION A. 5 Multiple Choice Questions. Please circle correct answer to each
FINC3017 Investments and Portfolio Management
Additional Practice Questions and Past Exam Question
In light of the problems of the CAPM, the APT model was proposed as an alternative.
How does the APT overcome the shortcoming(s) of the CAPM? What are the
s
FINC3017 Investments and Portfolio Management
Practice Questions 4 Solutions
The Capital Asset Pricing Model
1.
BHB 8.8 What is the difference between an efficient and inefficient portfolio?
Efficient portfolios are those that plot on the CML while ineffi
FINC3017 Investments and Portfolio Management
Tutorial 2
Investment Decisions Under Uncertainty
1. BHB Q7.7 How does the level of risk aversion affect the curvature of indifference curves
in mean-standard deviation space.
If an investor is highly risk ave
1.
Which of the following statements about the minimum variance portfolio of all risky securities are valid?
(Assume short sales are allowed.)
A. Its variance must be lower than those of all other securities or portfolios.
B. Its expected return can be lo
FINC3017 Investments and Portfolio Management
Tutorial 4
Single Index Model
1.
BHB Q7.17 What is the difference between the Markowitz approach and the
Sharpe approach to solving the portfolio choice problem?
Solving the portfolio choice problem involves d
FINC3017 Investments and Portfolio Management
Tutorial 4
Single Index Model
2. Why do we call alpha a nonmarket return premium? Why are high alpha stocks
desirable investments for active portfolio managers? With all other parameters held
fixed, what would
FINC3017 Investments and Portfolio Management
Tutorial 7
Market Efficiency
Use the FTST function in Bloomberg to backtest whether a number of popular anomalies exist for
stocks in the S&P/ASX200 between 2001 and 2015. The factors you need to backtest are:
FINC3017 Investments and Portfolio Management
Practice Questions 5
The Capital Asset Pricing Model
1.
BHB 8.8 What is the difference between an efficient and inefficient portfolio?
2.
BHB 8.14 Does the existence of transaction costs affect the CAPM?
3.
BH
Capital Asset
Pricing Model
Lecture 5
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning Objectives
Where does the CAPM come from?
Utility maximising investors + mean-variance portfolios +
assumptions
Why is the CAPM important?
Single Index Model
Lecture 4
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning Objectives
How are returns generated?
We can assume a single factor structure
How does this help us in terms of portfolio
optimisation?
Reduces the
Market Efficiency II
Lecture 8
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning Objectives
Behavioural finance
Does the behavioural biases of market participants
influence asset prices?
Do the models we have discussed thus far
FINC3017 Investments and Portfolio Management
Practice Questions 2
Investment Decisions Under Uncertainty
1.
BHB Q7.4 What are the key assumptions underlying expected utility and how realistic are
these assumptions?
2.
BHB Q7.5 Is expected utility a usefu
Two questions
Who has bungee jumped before?
Who would not bungee jump?
Investment
Decisions Under
Uncertainty
Lecture 2
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning objectives
How do we model investor preferences?
We can
FINC3017 Investments and Portfolio Management
Report 1: Optimal Industry Portfolios
Due date: 4pm Monday 29th August
Word limit: 1500 words
Weight 16.5%
The spreadsheet, Report 1.xlsx contains monthly total return indices for the ten Australian GICS
indus
FINC3017 Investments and Portfolio Management
Tutorial 8 Solutions
Market Efficiency
1.
The chart below plots the levels of two U.S. equity indices - the NASDAQ Composite
index and the S&P500 index. Discuss the differences in the two indices. Outline the
FINC3017 Investments and Portfolio Management
Tutorial 7
Market Efficiency
Use the FTST function in Bloomberg to backtest whether a number of popular anomalies exist for
stocks in the S&P/ASX200 between 2001 and 2015. The factors you need to backtest are:
correlation
CBA AU Equity
CBA AU Equity
RAP AU Equity
CSL AU Equity
BKL AU Equity
1
0.1788588252
0.545099686
0.0586259401
RAP AU Equity
CSL AU Equity
1
-0.0428813681
0.3087502398
1
0.0399368138
BKL AU Equity
1
population covariance
CBA AU Equity RAP AU Eq
This report investigates different approaches to portfolio asset allocation and analyses the
outcomes. Additionally, this report also analyses investor utility in regards to portfolio asset
allocation from the perspective of two investors, Malcolm and Don
Top-Down Investing
Lecture 13
FINC3017 INVESTMENTS AND PORTFOLIO MANAGEMENT
DR ANDREW AINSWORTH
Lecture Outline
Top-down investing
Focus on domestic and global economic analysis to determine
movements at the market level
Asset allocation
Then examine
Asset Pricing Models
Lecture 6
FINC3017 INVESTMENTS AND PORTFOLIO MANAGEMENT
DR ANDREW AINSWORTH
Learning objectives
How can we overcome the limitations of the CAPM?
We need different models, and/or
We need more risk factors
These improved models of e
Capital Asset Pricing Model
Lecture 5
FINC3017 INVESTMENTS AND PORTFOLIO MANAGEMENT
DR ANDREW AINSWORTH
Learning Objectives
Where does the CAPM come from?
Utility maximising investors + mean-variance portfolios + assumptions
Why is the CAPM important?
Market Efficiency II
Lecture 8
FINC3017 INVESTMENTS AND PORTFOLIO MANAGEMENT
DR ANDREW AINSWORTH
Learning Objectives
Behavioural finance
Does the behavioural biases of market participants influence asset
prices?
Do the models we have discussed thus far