Students

AFCP8001 – Portfolio Management and Valuation

2020 – AFC term 4, Weekday attendance, City

Notice

As part of Phase 3 of our return to campus plan, most units will now run tutorials, seminars and other small group learning activities on campus for the second half-year, while keeping an online version available for those students unable to return or those who choose to continue their studies online.

To check the availability of face to face activities for your unit, please go to timetable viewer. To check detailed information on unit assessments visit your unit's iLearn space or consult your unit convenor.

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff
Slava Platkov
Contact via Email
Credit points Credit points
10
Prerequisites Prerequisites
[(Admission to MAppFin or MAppFin(Adv) or GradDipAppFin) and ((AFCP810 or AFCP6016) and (AFCP811 or AFCP6017) and (AFCP812 or AFCP6018) and (AFCP813 or AFCP6019))] or (admission to MBA and (MGSM835 or MMBA8035) and (MGSM960 or MMBA8160))
Corequisites Corequisites
Co-badged status Co-badged status
Unit description Unit description

This unit equips students to apply an advanced body of finance knowledge to a range of contexts. This unit enables the student to develop the ideas of portfolio theory, asset pricing and behavioural finance. The unit covers a range of topics from a security analysts' perspective to address the broad question of how to value enterprises and then drills down to security valuation, financial statement and cash flow analysis. The unit emphasises an applied orientation for the major techniques and themes to be further extended and developed across the Masters program. It represents the essential pre-requisite knowledge for all other core units and elective streams.

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:

  • ULO1: Analyse and apply key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • ULO2: Critically evaluate key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • ULO3: Solve problems in portfolio management, derivatives, financial analysis and valuation and justify solutions.

General Assessment Information

To pass this unit the student needs to (1) Achieve an aggregate mark of 50 or more, and; (2) Pass the Mid-term and Final Exam.

Information - Extension Requests / Penalties

Assignment (35%)

No extensions will be granted. There will be a deduction of 10% 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 incurs a 20% penalty). This penalty does not apply for cases in which an application for Special Consideration is made and approved.

Late submissions will be accepted up to 96 hours after the due date and time.

Further information on submitting an Application for Special Consideration can be found at https://students.mq.edu.au/study/my-study-program/special-consideration

 

Online Topic Quizzes (5%)

You are expected to make yourself available for assessment during the relevant quiz window.

Students who do not submit this task by the due date and time receive a result of zero. This penalty does not apply when an application for Special Consideration has been made and approved. 

Students who do not attempt the quiz receive a mark of zero. This penalty does not apply in cases where an application for Special Consideration has been made and approved.

Further information on submitting an Application for Special Consideration can be found at https://students.mq.edu.au/study/my-study-program/special-consideration

 

Mid-Term Exam (20%) and Final Exam (40%)

You are expected to present yourself for examination at the time and place designated in the relevant MAFC Timetable at https://www.mq.edu.au/about/about-the-university/faculties-and-departments/business/study-with-us/macquarie-applied-finance-centre/timetables.

Deferral of an examination is not permitted unless an application for Special Consideration is made and approved.

Students who do not attend receive a mark of zero. This penalty does not apply in cases where an application for Special Consideration has been made and approved.

Further information on submitting an Application for Special Consideration can be found at https://students.mq.edu.au/study/my-study-program/special-consideration

Assessment Tasks

Name Weighting Hurdle Due
Mid-Term Exam 20% Yes Refer to iLearn
Online Topic Quizzes 5% No Refer to iLearn
Assignment 35% No Refer to iLearn
Final Exam 40% Yes Refer to Timetable

Mid-Term Exam

Assessment Type 1: Examination
Indicative Time on Task 2: 15.00 hours
Due: Refer to iLearn
Weighting: 20%
This is a hurdle assessment task (see assessment policy for more information on hurdle assessment tasks)

 

An individual closed book hurdle assessment that is 2 hours and 10 minutes.

 


On successful completion you will be able to:
  • Analyse and apply key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Critically evaluate key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Solve problems in portfolio management, derivatives, financial analysis and valuation and justify solutions.

Online Topic Quizzes

Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 7.00 hours
Due: Refer to iLearn
Weighting: 5%

 

A series of individual online quizzes.

 


On successful completion you will be able to:
  • Analyse and apply key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Critically evaluate key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Solve problems in portfolio management, derivatives, financial analysis and valuation and justify solutions.

Assignment

Assessment Type 1: Case study/analysis
Indicative Time on Task 2: 25.00 hours
Due: Refer to iLearn
Weighting: 35%

 

Students perform a quantitative analysis task individually or in groups and reporton the analysis in an individual paper with no overall word limit.

 


On successful completion you will be able to:
  • Analyse and apply key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Critically evaluate key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Solve problems in portfolio management, derivatives, financial analysis and valuation and justify solutions.

Final Exam

Assessment Type 1: Examination
Indicative Time on Task 2: 17.00 hours
Due: Refer to Timetable
Weighting: 40%
This is a hurdle assessment task (see assessment policy for more information on hurdle assessment tasks)

 

An individual closed book hurdle assessment that is 2 hours and 10 minutes.

 


On successful completion you will be able to:
  • Analyse and apply key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Critically evaluate key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.
  • Solve problems in portfolio management, derivatives, financial analysis and valuation and justify solutions.

1 If you need help with your assignment, please contact:

  • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
  • the Writing Centre for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation

Delivery and Resources

CLASSES

Timetable: Detailed timetable for classes are available at https://www.mq.edu.au/about/about-the-university/faculties-and-departments/business/study-with-us/macquarie-applied-finance-centre/timetables.

Consultation Times:

Students who wish to contact any of the teaching staff may do so through:

• iLearn, in relation to general queries (so that all students may benefit); or

• Individual consultation with the lecturer by email in the first instance, if necessary.

REQUIRED AND RECOMMENDED TEXTS AND/ORMATERIALS

Text: Bodie, Kane and Marcus, Investments, McGraw Hill, 11TH edition, 2014, ISBN978-1-259-27717-7 (BKM).

Additional Readings:

• Additional readings are available electronically via iLearn.

Students should assume these readings are examinable unless otherwise advised.

Lecture Notes: Available electronically via iLearn.

Study Problems:

• Students are required to work systematically through end of chapter problem sets. These problems will not be collected but they will help you prepare for the exams. Answers, but not worked solutions, to set problems are provided in the lecture notes.

• Please refer to the Bodie, Kane and Marcus, Investments Solutions Manual for worked solutions.

Pre-course Knowledge: The Gateway units of the Graduate Certificate in Finance represent the pre-course knowledge required to successfully study the advanced applied finance units of the Masters of Applied Finance and the Graduate Diploma of Applied Finance. Please refer to the following page for instructions on reviewing the unit guides for the gateway units: http://mafcstudents.mq.edu.au/new-to-mafc/pre-course-materials/

Useful References:

• McDonald, Derivatives Markets, Pearson

• Ross, Westerfield and Jaffe, Corporate Finance, McGraw Hill

• Bodie, Kane and Marcus, Investments Solutions Manual, McGraw Hill

• Damodaran, Investment Valuation, Wiley

• Elton, Gruber, Brown & Goetzmann, Modern Portfolio Theory and Investment Analysis, Wiley.

Calculators:

• A financial calculator that can handle time value of money calculations, logs and power functions is required.

• The Hewlett Packard calculator hp17bII+ is recommended.

• In examinations, hand held calculators are permitted. Mobile phones and computers are not permitted.

Assumed Access:

• Access to a computer with word processing and spreadsheet capability is assumed, as is general student computer literacy.

• Also assumed is access to a Web browser (e.g. Internet Explorer or Firefox), email software and student’s own connection to an internet service provider.

TECHNOLOGY USED AND REQUIRED

Unit iLearn Site:

• Found by logging on to iLearn ilearn.mq.edu.au, then clicking on AFCP8001 Portfolio Management and Valuation.

• This is where you will find a link to forums, downloadable resources and other important pages.

• Forums allow you to communicate with other students and lecturer(s) and may provide supplementary material.

• You are requested to post questions to forums at least 24 hours prior to an assignment submission date or examination date. Questions posted after that time may not be answered. Please try to not leave your questions to the last few days.

Important:

• It is important that you familiarise yourself with iLearn.

• Students should check iLearn regularly (minimum twice a week and prior to all lectures) and look for updates and distribution of materials (including case studies) related to the unit or assessments and, if relevant, participate in forum discussions.

Unit Schedule

1. Asset Allocation (2 sessions)

  • Introduction to the individual’s investmentproblem
  • Asset markets
  • Investment valuationbasics
  • Forecast risk andreturn
  • Risk attitude – risk aversion andutility
  • Asset Allocation

2. Asset Pricing Model (2 sessions)

  • Review researchmethods
  • Active and passivemanagement
  • Risk adjusted discountingrates
  • Multi factor portfoliomanagement

3. Portfolio Optimization (1 session)

  • Review of Markowitzmodel
  • MSCI Barra portfolio optimizationplatform
  • Topic case study: the argument for international diversification and currency management

4. Behavioural Finance Overview, Market Efficiency and Anomalies (1 session)

  • Review of marketefficiency
  • Anomalies
  • Behavioural finance
  • Empirical testing

5. Fundamental Stock Analysis (3 sessions)

  • Financial statementanalysis
    • The role of financialanalysis
    • The Financial AnalysisToolkit
    • Financial ratioanalysis
    • Applying the du Pont system of ratioanalysis
    • Segmental financial analysis
    • Residual IncomeValuation
  • Cash flow analysis and financialmodelling
    • The importance of cash flows in investment analysis and corporate finance applications
    • Cash flows statements for reporting and analysispurposes
    • Applying a cash flow analysisframework
    • Principles of forecasting and financialmodelling
  • Valuation principles
    • Key valuation concepts andmethods
    • Discounted Cash Flow approach andWACC
    • Expected cashflows
    • Inflation andvaluation
    • Terminal values
    • Multiples and relativevaluation

6. Derivatives (3 sessions)

  • Derivatives Overview
  • Futures and Forwards - Hedging and SpeculationStrategies
  • Derivative Overlays and Asset AllocationStrategies
  • Option Introduction
  • Option Strategies
  • Put-Call Parity
  • Black-Scholes Valuation
  • Portfolio Insurance

Policies and Procedures

Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:

Students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.

If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/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/study/getting-started/student-conduct​

Results

Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) 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 or if you are a Global MBA student contact globalmba.support@mq.edu.au

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 help you improve your marks and take control of your study.

The Library provides online and face to face support to help you find and use relevant information resources. 

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

If you are a Global MBA student contact globalmba.support@mq.edu.au

IT Help

For help with University computer systems and technology, visit http://www.mq.edu.au/about_us/offices_and_units/information_technology/help/

When using the University's IT, you must adhere to the Acceptable Use of IT Resources Policy. The policy applies to all who connect to the MQ network including students.