Pauline Shum

Schulich School of Business,York University

Stocktrak technical support: 1.800.786.Trak

Group Information
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Group member 1
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Group member 2
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Group member 3
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September 12, 2011

Course outline

Grading criteria and peer evaluation form

Chapter 1 PPT

York University Pension Plan SIP&P

Excel programme for assignment 1: 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.

http://www.nobel.se/economics/laureates/1990/.

Markowitz's "Portfolio Selection": A Fifty-Year Retrospective.

Markowitz talks about how his model came to be....

TDAM Minimum Variance Portfolios (Page 1) TDAM Low Volatility Portfolio

Stocktrak information

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.

Account parameters

Currency of Portfolio: Canadian Dollar
Initial 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,EQUITY,SPOTS only (i.e., no derivatives)
Allowed Exchanges: US,T

September 19, 2011

Please see the course outline for the information you need to gather for class discussion.

Chapter 3 PPT

CPPIB Responsible Investing policy

September 26, 2011

Information of interest for the class from:
Farhad: Egyptian ETF
Zac: Towers Watson report on global pension fund rankings

TSE300 versus TSE299

How ETFs work

Leveraged and international ETFs PPT, Financial Stability Board report, Bank of International Settlement report

October 3, 2011

As announced in class today, please register by Monday (October 3) night:
SGMT 6050 3.00 section X  
Tuesdays 7-10 pm in W133
Catalog number #F80H01

Chapter 5a PPT (updated on October 2, 2011)

Sorry class, I drew the wrong diagram for a negatively skewed (or left-skewed) distribution. The mass of the distribution should go the other way. My apologies.
Harvey and Siddique (Journal of Finance, 2000) is the article that found a positive average return (i.e., a premium) for negatively skewed stocks, in an Fama-French setting.

ETF - current issues PPT

October 17, 2011

Chapter 5 PPTb
An example of Markowitz's Critical Line Method using Excel by C. Kwan.

Chapter 7 PPTa

Recommended readings by Anthony:
"I came across two very interesting articles that talk about the possibility of an ETF collapse:
Suggesting ETF collapse: http://boganassociates.com/whitepapers.html
ETF collapse will not occur: http://www.indexuniverse.com/sections/blog/8122-can-an-etf-collapse-no.html"

October 24, 2011

Attribution - Canadian equity index fund.

Chapter 7 PPTb

Fee structure for Canadian institutional investors.

Tax on carried interest article from the Washington Post, June 8, 2010.

New York Times article on 130/30 funds: "This fund concept blurs old lines" by Robert Hershey, July 8, 2007.

Top 100 managers by assets.

More on portfolio management PPT

LSV, McLean Budden slides

November 7, 2011

Groups for presentation #2 - groups to be chosen randomly in class.

Topic for presentation #2: Value versus growth investing - make an argument as to which style your team is advocating. (The role that you should play is that of an equity portfolio manager.) You may choose to present a sample portfolio and discuss its performance.

Class discussion - "Economics has met the Enemy and it's Economics" article from the Globe and Mail, October 15, 2011.

Chapter 12 PPT

November 14, 2011

Slides for LSV above updated to include valuation metrics for the latest quarter (Q3 2011). Weights in their expected return model: Value factors (60%), long term performance (15-20%), momentum (20-25%).

EAFE valuations before and after market crash.

Recent Bloomberg's synthetic versus physical replication article recommended by Sean.

More on quantitative asset management PPT, based on defending the Quants article by LSV, August 23, 2010.

Chapter 8 PPTa

Fidelity's Magellan Fund data. For next week's class, please bring your regression output. Again, two regressions: Lynch and post-Lynch.

November 21, 2011

Chapter 8 PPTb

Hedge Fund report 1, report 2

Interesting newspaper article re: Greek debt crisis and credit default swaps

November 28, 2011

Behavioural finance PPT

Low volatility equity portfolios video

Article of interest: How two Bay Streeters started a hedge fund

Practice questions for the exam