International Portfolio Management

Fin 263Syllabus

Spring 2017Brandeis University

International HallInternational Business School

Mondays

6:30pm-9:30pm

Christopher B. Alt PhD CFA

Andres UribeTA

1

office hours: after class

Sachar 1G

cell (617 281-1636)

TA – Andrew Uribe

cell201 354-0028

2

Course Objectives and Methodology:

International Portfolio Management FIN 263focuses on security analysis and portfolio management throughout the global economy. Within this context, students will review various approaches to asset allocation and the valuation of stocks, bonds, and selected derivative securities. Throughout this course, students are expected to master both the theoretical constructs of investments and portfolio management and their application to current industry practice.

Learning Goals

  1. Understand the fundamental principles of global investment management:
  1. How foreign exchange issues influence investment decisions and risk management
  2. What factors determines global asset valuations and returns
  1. Gain a quantitative understanding of:
  1. Equity markets and instruments
  2. Fixed income markets and instruments
  3. Selected alternative investments

Derivatives’ use in shaping investment decisions

  1. Acquire a basic understanding of:
  1. Domestic and international capital asset pricing models
  2. Pros and cons of international diversification
  3. Evaluation of global investment performance
  4. Structuring the global investment process

Disabilities:

If you are a student with a documented disability on record at Brandeis University and wish to have a reasonable accommodation made for you in this class, please see me immediately.

Work Load:

Success in this four-credit course is based on the expectation that students will spend a minimum of 9 hours of study time per week in preparation for class (readings,papers, discussion sections, preparation for exams, etc.).

Academic Integrity:

You are expected to be honest in all of your academic work. Please consult Brandeis University Rights and Responsibilitiesfor all policies and procedures related to academic integrity. Students may be required to submit work to TurnItIn.com software to verify originality. Allegations of alleged academic dishonesty will be forwarded to the Director of Academic Integrity. Sanctions for academic dishonesty can include failing grades and/or suspension from the university. Citation and research assistance can be found at LTS - Library guides.

Prerequisites:

Fin 201a (Investments) covering BKM Chapters 1-11, 14, 16, 18 and especially 20 (Options Markets: Introduction and 22 (Futures Markets)

Textbooks and Other Readings:

Required:

Global Investments, Solnik & McLeavey (SM) (6th edition, Pearson Prentice Hall, 2009).

Investments, Bodie, Kane & Marcus (BKM) (10th edition, McGraw Hill Irwin, 2014).

Case & article packet from Harvard Business School online

MSCI and the Chinese A Shares – order from The Case Centre

(see details on course website to order coursepack C-1139-274155-STU)

Recommended:

Wall Street Journal

Grades

Class Participation10%

Cases20%

Midterm30%

Final Exam40%

Total 100%

Class Participation and Homework Problems

Class participation will be based on the quality and quantity of a student's contribution to classroom discussions. All students are expected to come to class prepared (having already read and reviewed the material) and ready to discuss the assigned readings. No wall flowers allowed (i.e. everyone is expected to participate in class discussions). Laptop use in the classroom is discouraged because it thwarts active participation in class discussions. Class notes will be distributed (on LATTE) so students only have to add their own margin comments.

Homework problems are assigned for each class and are helpful both in boosting students’ mastery of investments and for exam preparation. Because of time constraints, only a limited number of homework problems will be discussed in class but solutions will be distributed (on LATTE). In addition, the teaching assistant(s) for this course will be available to review solutions to homework problems.

Classroom Etiquette

Name tents (last name, first name, American or nickname) – bring to every class

Cell phones and similar technology MUST always be turned off when you are in the classroom because they are a distraction to class discussions.

Students should view this class as a business meeting with corresponding expectations for what is expected of the professor and the other students. Business casual (e.g. leave the hats off). Just first names (e.g. Chris; no need for Dr. Alt or Professor Alt).

Cases

To prepare cases, you are expected to form groups (4-6 students) and work in a collaborative fashion. (Prior to second class, email me names of students in your group. If you don’t, I’ll assign you to a case group.) For each case, one or more students selected at random will be called upon ("cold calling") to present his (her) group’s analysis and proposed solution to the assigned case. Each group will also submit a written case analysis(by Sunday prior to class).

These situations simulate what happens in the real world when your boss calls you in at the end of the week and asks you and your team:

a. to have a report on a topic for him (her) at the scheduled staff meeting next week,

and, by the way,

b. "keep it short".

Most cases will be accompanied by case guidance questions (posted on Latte). Some cases will also have spreadsheet data supplements (also posted on Latte). Remember – spreadsheets NEVER explain themselves. That is your job in your case writeup. It is a key way in which you will be evaluated.

The cases must be typed and can be no longer than 5 pages plus exhibits. Cases must be submitted online (only one per case group; only one submission, no ‘redo’s).

For selected cases, only an abbreviated, summary case writeup needs to be submitted (by Sunday prior to class). For these case write-ups (1 page maximum), you need to: 1) “set the stage”, and 2) identify key issue(s) and make recommendations as to what the key decision-maker(s) should do.

Course Calendar

Alt Spring 2017

International Portfolio Management FIN 263

DATE / TOPICS / PREPARATIONS AND
ASSIGNMENTS
Mo 1/23 / Introduction
IntroductionDiscussion of Course Objectives
BKM Ch. #1 The Investment Environment / Review
BKM Ch. #2 Asset Classes and Financial
Instruments
/ Ch. #2; Probs 5-8,10,13,15
Mo 1/30 / Foreign Exchange
SM Ch. #1 Currency Exchange Rates / Ch. #1; Probs. 1, 4, 11, 15, 19
SM Ch. #2 Foreign Exchange Parity Relations / Ch. #2; Probs 2, 4, 8-9, 11, 15
FX Markets and Transactions / Desai article
Mo 2/6 / SM Ch. #3 Foreign Exchange Determination and Forecasting(skim pp. 91-103) / Ch. #3; Probs 3, 6-7, 9-10
FXgroup case analysis and summary writeup / Groupe Ariel S.A.: Parity Conditions and Cross-Border Valuation case

Course Calendar

Alt Spring 2017

International Portfolio Management FIN 263

DATE / TOPICS / PREPARATIONS AND
ASSIGNMENTS
Mo 2/13 / Investment Vehicles: Conventional and Selected Alternatives
BKM Ch. #4 Mutual Funds and Other Investment Companies / Ch. #4; Probs 2-3,7, 15-18
SM Ch. #8 Alternative Investments - ETFs
(skim pp. 332-378) / Ch. #8; Probs 1-2
Mo 2/20 / No class – Midterm Recess
Mo 2/27 / Equity Securities
SM Ch.#5 Equity: Markets and Instruments (skim pp. 166-177) / Ch. #5; Probs 2-4, 11, 13
ADRs - Kuemmerle article
ADR group case analysis and case writeup / Compania de Telefonos de Chile case
Mo 3/6 /

No class – Travel Conflict

Mo 3/13 /

Fixed Income Securities

BKM Ch. #16 Review of Bonds and Managing Bond Portfolios / Ch. #16; Probs 3-4,7-9, 12, 15-16
SM Ch. #7 Global Bond Investing
(skim pp. 265-268, 276-284, 300-307) / Ch. #7; Probs 3, 5, 9, 13, 17
Citicorp: 1985 group case analysis and summary writeup / Citicorp: 1985 case

Course Calendar

Alt Spring 2017

International Portfolio Management FIN 263

DATE / TOPICS / PREPARATIONS AND
ASSIGNMENTS
Midterm Exam
TBD / Midterm exam review session
Mo 3/20 / Midterm Exam
Derivatives and Risk Management
Mo 3/27 / BKM Ch. #22 Futures Contracts
BKM Ch. #23 Futures, Swaps, and Risk Management / Review
Ch. #23; Probs 6-7, 12, 21-22
SM Ch. #10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer(skim pp. 464-478)
FX Swaps – Kester article / Ch. #10; Probs 2, 5-7, 9
Global financing with swapsgroup case analysis and summary writeup / Walt Disney Company’s Yen Financing case
Mo 4/3 / SM Ch. #10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer (pp. 464-478) / Ch. #10; Probs 15-17, 19
FX hedging group case analysis and summary writeup / Hedging Currency Risk at AIFS
Mo 4/10 / No class – Midterm Vacation
Currency Risk Management
Mo 4/17 / SM Ch. #11Currency Risk Management / Ch. #11; Probs 3, 6, 12
FX hedging strategy group case analysis and writeup / Hedging Currency Risk at TT Textiles

Course Calendar

Alt Spring 2017

International Portfolio Management FIN 263

DATE / TOPICS / PREPARATIONS AND
ASSIGNMENTS
We 4/19 Brandeis Monday / International Diversification
BKM ch. #25 International Diversification / Ch. #25; Probs 1-4
SM Ch. #9 The Case for International Diversification / Ch. #9; Probs 1, 3, 6, 8, 20
MSCI group case analysis and summary writeup / MSCI and Chinese A Shares case
Mo 4/24 / Privatization
Privatization fundamentals
HBR privatization articles – Moore; Johnson/Loveman
Privatization group case analysis and summary writeup / Privatization of Rhone-Poulenc – 1993 case
Mo 5/1 / Portfolio Performance Evaluation
BKM Ch.#24 Portfolio Performance Evaluation / Ch. #24; Probs 5, 9-11
SM Ch. #12 Global Performance Evaluation
(skim pp. 523-534, 548-555, 568-569) / Ch. #12; Probs 3-5, 8-9
TBD / Final Exam Review Class
TBD
6-9pm
tentative / Final Exam

International Portfolio Management Fin 263 September 27, 20181