Students
ACST404 – Investment and Asset Modelling
2015 – S2 Day
General Information
Download as PDF
| Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Administrator
Hong Xie
Contact via hong.xie@mq.edu.au
Lecturer in Charge
Tim Kyng
Contact via timothy.kyng@mq.edu.au
E4A614
by appointment
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|---|---|
| Credit points |
Credit points
3
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| Prerequisites |
Prerequisites
ACST306 and ACST355 and ACST357
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| Corequisites |
Corequisites
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| Co-badged status |
Co-badged status
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| Unit description |
Unit description
This unit examines investment from an actuarial practitioner's perspective. The unit examines the attributes and characteristics of asset classes and the application of models from economics and finance to investment management. Stochastic asset models are constructed and evaluated, with particular emphasis on the relationship between assets and liabilities. Students gaining a grade of credit or higher in all of ACST402, ACST403 and ACST404 are eligible for exemption from Part 2 of the professional exams of the Institute of Actuaries of Australia.
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Important Academic Dates
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
Learning Outcomes
On successful completion of this unit, you will be able to:
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
General Assessment Information
A Standardised Numerical Grade (SNG) gives you an indication of how you have performed within the band for your descriptive grade. The SNG is not a mark, and you may not be able to work it out based on your raw examination and other assessment marks. Nor are you able to determine you are “one mark away” from a different grade.
It is the responsibility of students to view their marks for each within session assessment on iLearn within 20 working days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment marks (not including the final exam mark) will not be addressed.
Assessment Tasks
| Name | Weighting | Due |
|---|---|---|
| assessed coursework | 10% | TBA |
| Assignment | 20% | TBA |
| Final exam | 70% | University examination period |
assessed coursework
Due: TBA
Weighting: 10%
We will have 5 assessed coursework (homework) tasks for this unit, due in weeks 3, 5, 7, 9 and 11. These will be worth 2 marks each. The tasks will cover the course content of the two weeks prior to the week in which the task was due. so task 1 due in week 3 will cover weeks 1 and 2, task 2 due in week 5 will cover weeks 3 and 4 etc.
No extensions will be granted. Students who have not submitted their solution to the task will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved
On successful completion you will be able to:
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
Assignment
Due: TBA
Weighting: 20%
There will be two assignments (worth 10% each) due during the session requiring analysis and written response. The first will be made available on 5/9/2015 and due 2 weeks later. The second will be made available on 10/10/2015 and due 2 weeks later. The timing of the assignment release and due dates may change and we will advise of any changes to the timing. These will be individual assignments, not group assignments.
No extensions will be granted. Late tasks will be accepted up to 72 hours after the submission deadline. There will be a deduction of 20% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission – 40% penalty). This penalty does not apply for cases in which an application for special consideration is made and approved.
On successful completion you will be able to:
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
Final exam
Due: University examination period
Weighting: 70%
A 3 hour final examination for this unit will be held during the university examination period. This will be an open book examination where students may bring notes. Details of what will be permitted during the final exam will be given during the unit.
Calculators will be allowed in the final examination but a clear indication of the steps involved in every calculation must be shown. Any machines that have a text-retrieval capacity, specifically those with a full alphabet on the keyboard, are not allowed. Calculators may be checked at the commencement of the examination and the make/model may be recorded.
Dictionaries are not permitted in the final examination and no reference materials are allowed to be taken into the final examination.
No extensions will be granted. Students who have not sat the exam will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved
On successful completion you will be able to:
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
Delivery and Resources
Classes
Any alterations to the class times or locations will be advised in class and on the iLearn subect page.
Campus classes
Lectures for this unit will be held on Saturdays between 9am and 12pm in Building W5A Theatre 1, Macquarie University, North Ryde. The first lecture will be on 1 August 2015.
For further details relating to the timetables, please refer to the following link: http://timetables.mq.edu.au
Distance education class
If you have enrolled for the distance education offering of this unit you will have access to all materials from the face to face classes (learning guides, lecture slides/overheads, handouts, exercises etc) and the same discussions and other activities via the ACST404/871 iLearn page.
The 2 hour lecture and 1 hour tutorial will be stored using iLearn software and will be available as a download from iLearn.
Required and Recommended texts and/or materials
There are 2 textbooks for this course:
Recommended:
Fitzherbert, Richard
Investment Principles for Actuaries, ISBN 978 0 85813 072 2
(Referred to elsewhere in this unit guide as FITZ)
Required
Bodie, Drew, Basu, Kane and Marcus
Principles of Investing, ISBN 9780071012386
(Referred to elsewhere in this unit guide as BDBKM)
BDBKM is available from the Macquarie University Co-op Bookshop. Distance education students can obtain BDBKM from on-line booksellers such as Amazon. FITZ is available from the Actuaries Institute of Australia online bookshop web address http://www.actuaries.asn.au/TechnicalResources/OnlineBookshop.aspx.
Additional readings as PDF files will also be made available via the iLearn system or will be available in the public domain or on the internet.
Unit web page & Technology Used and Required
All Students
The ACST404/871 iLearn page is integral to this course unit, whether you are a distance student or in a face to face class.
iLearn can be accessed via http://ilearn.mq.edu.au.
We will make announcements about unit administration and assessment tasks via iLearn. These announcements will be sent as emails to your Macquarie University student email account.You should check your student email account regularly, at least every couple of days.
Distance Education Students
The 2 hour lecture and 1 hour tutorial will be stored using iLearn software and will be available as a download from iLearn.
It is very important that distance students check their student email for unit announcements regularly, at least every couple of days. In particular, towards the end of semester you should check for announcements on the final exam.
Teaching and Learning Strategy
Important – Students are expected to have completed the assigned reading BEFORE each lecture.
Most of the 3 hour sessions will consist of a 2 hour lecture covering the material for the week followed a workshop / tutorial in the last 1 hour.
Policies and Procedures
Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:
Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html
Assessment Policy http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Grievance Management Policy http://mq.edu.au/policy/docs/grievance_management/policy.html
Disruption to Studies Policy http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy.
In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.
Student Code of Conduct
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Results
Results shown in iLearn, or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au.
Supplementary Exams
Further information regarding supplementary exams, including dates, is available here
http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/special_consideration
Student Support
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
Student Services and Support
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
Student Enquiries
For all student enquiries, visit Student Connect at ask.mq.edu.au
IT Help
For help with University computer systems and technology, visit http://informatics.mq.edu.au/help/.
When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students.
Graduate Capabilities
Capable of Professional and Personal Judgement and Initiative
We want our graduates to have emotional intelligence and sound interpersonal skills and to demonstrate discernment and common sense in their professional and personal judgement. They will exercise initiative as needed. They will be capable of risk assessment, and be able to handle ambiguity and complexity, enabling them to be adaptable in diverse and changing environments.
This graduate capability is supported by:
Learning outcomes
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
Assessment tasks
- Assignment
- Final exam
Discipline Specific Knowledge and Skills
Our graduates will take with them the intellectual development, depth and breadth of knowledge, scholarly understanding, and specific subject content in their chosen fields to make them competent and confident in their subject or profession. They will be able to demonstrate, where relevant, professional technical competence and meet professional standards. They will be able to articulate the structure of knowledge of their discipline, be able to adapt discipline-specific knowledge to novel situations, and be able to contribute from their discipline to inter-disciplinary solutions to problems.
This graduate capability is supported by:
Learning outcomes
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
Assessment tasks
- assessed coursework
- Assignment
- Final exam
Critical, Analytical and Integrative Thinking
We want our graduates to be capable of reasoning, questioning and analysing, and to integrate and synthesise learning and knowledge from a range of sources and environments; to be able to critique constraints, assumptions and limitations; to be able to think independently and systemically in relation to scholarly activity, in the workplace, and in the world. We want them to have a level of scientific and information technology literacy.
This graduate capability is supported by:
Learning outcomes
- Explain the behaviour of different investment types under different economic conditions, recognising risk factors including issuer default, coutnerparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the system and cyclical/structural changes.
- Develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative investments. In particular students should be aware of: valuation methods and principles, data requirements and sources, assumptions and limitations of the valuation models.
- Develop an understanding of the major economic and financial theories relevant to investment including the capital asset pricing model, multifactor pricing models, efficient markets hypothesis and ideas from behavioural finance.
- Construct, critically evaluate and apply asset models that are appropriate to the management of liabilities. Define appropriate investment objectives based on the liability profile of a fund, specify appropriate investment constraints based on the liability profile of a fund, idenfity the characteristics of different types of asset models, critically evaluate the appropriateness of an asset model for a given context.
- Understand the effective investment governance of an institutional investor. The role of the board, the investment committee, the internal investment team and external investment managers including setting an effective delegation matrix. Investment beliefs and philosophy. Describe and critically evaluate approaches to asset allocation. Manage agency issues. Assess investment managers. Investment performance measurement and analysis. Investment and operational risk analysis.
Assessment tasks
- Assignment
- Final exam
Changes from Previous Offering
There are changes in the assessment tasks. There are now 2 assignments worth 10% each instead of 1 worth 20% and there is now a set of 5 homework tasks worth 2 marks each. The final exam counts for 70% of the assessment.
Research and Practice
The unit will develop students' abilities to conduct research in a practical context through a wide range of readings, discussions and class activities.