Courses
Stocktrak technical support: 1.800.786.Trak
FINE6200 Investments
Fall 2011 course outline.
Solutions to end-of-chapter questions.
Stocktrak
After your group leader has submitted your group information to me (using the form above), he/she will receive an e-mail from me with your group's Stocktrak account information. (Note: there is a charge of US$24.95 per group account).
Before you start trading, please make sure that everyone in your group has read the trading rules on the Stocktrak website, as well as the information on the Stocktrak group project in the course outline.
Please note that you will need the daily portfolio closing values for Section 3 of the group report (see course outline). Historical portfolio values are provided by Stocktrak (under "Graph My Portfolio"). However, the Stocktrak values are sometimes recorded with error due to occasional delays in updating foreign stocks. Therefore, I would recommend having a group member record your portfolio closing value daily to his/her own spreadsheet.
Account parameters
Currency of Portfolio: Canadian DollarInitial Cash Balance: $5,000,000
Pre-approved loan value: $5,000,000
Position Limit on Bonds: 10%
Position Limit on Equities: 10%
Position Limit on Spots: 10%
Minimum Stock Price for Buying: $1.00
Minimum Stock Price for Shorting: $3.00
Trading Start/End Dates: 9/26/2011 to 12/2/2011
Commission on Bonds: $10.00
Commission on Equities: $10.00
Commission on Spots: $10.00
Allow Short Selling: Yes
Security Types: BONDS,EQUITIES,SPOTS (i.e., no derivatives)
Exchanges: All
September 13, 2011
Read, "When it comes to your RRSP, do it with style" from the Globe and Mail, Feb 17, 2007. Try downloading it here.
Intro PPT
Chapter 3 PPT
September 20, 2011
New York Times article on 130/30 funds: "This fund concept blurs old lines" by Robert Hershey, July 8, 2007.
Questions for class discussion:
1) In addition to trading volume, what else facilitates the liquidity of
an ETF?
2) Apart from holding the physical assets of the underlying index, how
else can an ETF be structured (i.e., what else can the manager do to
replicate the returns of the underlying index)?
3) ETF providers claim that ETFs are more tax efficient than say, their
mutual fund counterparts. How so?
Chapter 4 PPT
spy data file
Leveraged and international ETFs PPT
September 27, 2011
Chapter 5 PPT (may exclude pp.142-3 in this chapter)
http://www.nobel.se/economics/laureates/1990/.
Markowitz's "Portfolio Selection": A Fifty-Year Retrospective.
Markowitz talks about how his model came to be....
October 4, 2011
Chapter 6 PPT
TDAM Minimum Variance Portfolios (Page 1) TDAM Low Volatility Portfolio
Mutual Fund questionnaire (Which portfolio was recommended to you in the non-registered category?)
Efficient frontier generator (for Excel 2007). The programme contains macros, so when you open the programme, you will likely see a security warning at the top of the spreadsheet - you need to click the "option" box to enable the content. Also, you need the "Solver" add-in to run the programme. Go to "Excel Options" and then select "Add-Ins" to load it. Note: this programme may not like Windows Vista.
Review - Markowitz PPT
October 11, 2011
Chapter 7 PPT
Graph: CAPM and M/B portfolios
Recommended end-of-chapter questions:
Chapter 5: 1, 2, 13-19 (Note that the utility function in the Bodie solutions has 0.005 as the coefficient in front of the variance (as opposed to 0.5 in the textbook). That is because in the solutions, percentages are used instead of the raw numbers. Both yield the same results.)
Chapter 6: 1-3, 11-13, 23-29 (updated on Tuesday, October 18, 2011).
Chapter 7: 1, 6-12, 16, 19, 21, 29,31.
Chapter 8: 2, 3, 4 parts a-d, 12, 14.
October 18, 2011
More on Fama and French PPT (to be covered later on in the course; not included in the midterm)
Chapter 8 PPT
An article on diversification from the Globe and Mail, October 14, 2011.
Midterm test from Fall 2010.
Office hours for the midterm: Monday, October 24, 2:30-3:30pm, Friday, October 28, 1:30-2:30pm, Monday, October 31, 2:45-3:45pm.
Please note: you are not responsible for sections 7.4 to 7.6 in chapter 7 in the text.
November 1, 2011
Data for assignment 2
Ethical Decision Making Training Session - offered by the CFA Institute
Dr. Michael McMillan, Director of Ethics and Professional Standards of the CFA Institute in Charlottesville and Peter Jarvis, Executive Director of the Toronto CFA Society, will be on campus on Wednesday, November 23, to give this one-hour session, from 9:30 to 10:30am in S126.
If you would like to attend, please contact Lucy Sirianni, Programme Assistant, Master of Finance (lsirianni@schulich.yorku.ca). Seats are limited.
Description: The CFA Institute’s Code of Ethics and Standards of Professional Conduct is a key component of its mission to lead the global investment profession. It is also critical to maintaining capital market integrity and the public’s trust in the financial market. This 60 minute interactive presentation examines several investment scenarios based on real cases that challenge participants to consider the various courses of action to address the issues involved. Hand held electronic “response devices” are used to allow participants the opportunity to vote on the best course of action. Because the presentation is based on the CFA Code of Ethics and Standards of Professional CFA Charter holders and Institute members will earn 1 Continuing Education Credit representing an hour in the content area of Standards, Ethics, and Regulations (SER).
November 8, 2011
Portfolio management styles PPT
LSV and McLean Budden slides, EAFE valuations before and after market crash.
Fee structure for Canadian institutional investors.
Top 100 managers by assets.
Harvard Endowment Fund's policy portfolio
Low volatility equity portfolios video
November 15, 2011
Chapter 12 PPT
Why do most bonds trade OTC? Some suggestions.
November 22, 2011
Chapter 12 PPTb
Interesting NY Times article re: Greek debt crisis and credit default swaps
Chapter 13 PPT
The Expectations Hypothesis:
"Even if the overnight rate is close to zero, the Committee should be able to influence longer-term interest rates by informing the public’s expectations about the future course of monetary policy. To illustrate, in its statement after its December meeting, the Committee expressed the view that economic conditions are likely to warrant an unusually low federal funds rate for some time.
To the extent that such statements cause the public to lengthen the horizon over which they expect short-term rates to be held at very low levels, they will exert downward pressure on longer-term rates, stimulating aggregate demand."~ Ben Bernanke, Stamp Lecture, London School of Economics, January 13, 2009.
Read "Beware, bonds suffer with rising interest rates", Globe and Mail, January 14, 2010.
November 29, 2011
Recommended end-of-chapter questions:
Chapter 20: 15, 17-19, 22, 32
Chapter 14: 1-4, 8, 10, 15, 22-23
Chapter 13: 1-6, 8, 16-17, 23-24. Note typos in question 23: part b should read, "...beginning in year 4", and part c, " beginning in year 5".
Chapter 12: 1-4, 15-17, 32a-j.
Target Date immunization assignment (to be taken up next week).
December 5, 2011
Behavioural Finance PPT.
Evaluating Fidelity's Magellan Fund: results.
Office hours for the final exam: Friday, December 9, 3:15pm - 4:30pm, Monday, December 12, 3:30pm - 4:30pm.
Exam: Tuesday, December 13, 2011 at noon in N109.
As promised, here are the trading records.
As mentioned in class, I have posted the following diagram showing the duration and convexity approximation. The solid curve is the true bond price - yield relationship; the dash curve shows the duration plus convexity adjustement.