1

FIN4115AppliedPortfolioManagement:SecurityAnalysisandValuation
SEM1,2015CourseSyllabus(Version1)
Instructor:JosephCherian

Room:758,BIZ1
Email:bizjc@nus.edu.sg

Tel:65165991(O)
rd

Section:Tuesday3pm6pm,CAMRILab,3 Floor,BIZ1(MRB)
TA:MrShaoYuping<yuping.shao@u.nus.edu>
CourseDescription:ThisAdvancedSeminarinPortfolioManagementmodulewillserveasa
comprehensiverealworldexaminationofthequantitative,fundamental,behavioral,andmodelbased
approachesutilizedforperformingsecurityvaluation&portfoliomanagementinthefinancialindustry.
MajortopicscoveredincludeRelativeValuation,MultifactorModels,LiquidityandValueEnhancement
Strategies.Lectureswillinvolvefrequentinteractionwithpractitionersfromtheindustry,handsonlab
projects,andreallifeexamples.Studentsarealsoexpectedtoresearch,write,andpublishequity
investmentreports(preferablyonAsiancompanieswithlimitedresearchanalystcoverage)and/or
portfolioinvestmentstrategies.Theseindividualequityreportsandapresentationintheformofa
teambasedstockpitchcouldsubsequentlybepresentedbythestudentstoapanelofseniormembers
fromtheSingaporeinvestmentmanagementindustrysoastoshowcase&ascertainstudentsequity
researchandstockpickingskills.Theremayalsobeanopportunitytoputyourskillstothetestand
managerealmoney(i.e.,aliveCAMRIStudentManagedFund)duringthecourseofthesemester.
Studentswillbedividedintosectorteamsandtheirfundamentalanalysis&recommendations
(appropriatelyformatted)willbeincorporatedintotheCAMRIStudentManagedFundportfolio
optimizationprocess.Thiscourseissuitableforstudentsinterestedinacareerasafinancialanalyst
(bothonthebuysideandsellside),orasaportfoliomanager.
1. MultifactorModels(MFM)inPortfolioManagement
EconomicrationaleforMFM
TypesofmodelsAPT,RelativeValuation,Fundamental
Diversificationofthemes
Testingforefficacy,monotonicity,transitions,downsiderisk

2. BehavioralFinance
Anchoring,overandunderreaction,overconfidence,lossaversion
Herding
Mentalaccounting
ConfirmationandHindsightBias

3. LiquidityandAssetPrices
Howwedefineandmeasureliquidity
Howliquidityaffectsvaluationofassetprices
Flighttoliquidityversusflighttoquality

4. HedgefundsandAlternativeInvestments
Investmentstrategies

DATED:7July2015

Performanceandriskmanagement,particularlyevaluatingdownsiderisk

5. ReadingMaterials

InvestmentValuation(RevisedandUpdated),byAswathDamodaran(AD),3rdUniversity
Ed.,WileyFinance,2012.Thistextservesastheprimaryreferenceguide.
WorryfreeInflationIndexingforSovereigns:HowGovernmentsCanEffectivelyDeliver
InflationIndexedReturnstoTheirCitizensandRetirees,(Z.Bodie,J.CherianandW.K.
Chua),LifecycleInvesting:FinancialEducationandConsumerProtection(CFAInstitute),The
ResearchFoundationofCharteredFinancialAnalysts(CFA)InstitutePublicationsSeries,
2012,Z.Bodie,L.B.SiegelandL.Stanton(Editors)
ATailofTwoCities:OntheDownsideRiskandLossProfileofAsianandNorthAmerican
HedgeFunds,2014,(J.Cherian,C.KonandW.Weng),CAMRIWorkingPaper,NUSBusiness
School(SSRNAbstractID2520354;http://ssrn.com/abstract=2520354)
LiquidityandPortfolioManagement,(J.Cherian,S.MahantiandM.Subrahmanyam),
March2012,CAMRIWorkingPaper,NUSBusinessSchool
CAMRI'sguidefornewusersofBloombergisavailablebyclickinghere.MoreBloomberg
resourcesareavailablehereforyoutodownload
Barraresourcesareavailableforyoutodownload(passwordprotected).Youcanalsoview
theBarraTrainingVideo.Lastly,clickhereforaCAMRIdevelopedGuidetoBarraAegis
PortfolioManagerandaCAMRIdevelopedGuidetoBarraAegisPerformanceAnalyst
Thecoursewillalsohavemyoverheads&variouscurrentarticlesdistributedviaIVLE.

LearningOutcomes

Indepthknowledgeofdistinctsecurityvaluationapproaches
Methodologies&modelsusedintheoryandinpracticeRelativeValuation,MultifactorModels,
andValueEnhancementStrategies,BehavioralFinance.
Howliquidityaffectsvaluation
Abilitytovaluevariousassetsandstochasticcashflowsrelatedtothefirm(decisionmakingunder
conditionsofuncertainty)
Handsoncomputationalfinance,risk&portfoliomanagement,andtradingabilities

Studentsareexpectedto:
1. Research,write,andpublishinvestmentreports(preferablyoncompanieswithlimitedresearch
analystcoverage)usingbothquantitativeandfundamentaltechniques
2. Performlive&backtestedportfolioinvestmentstrategiestodevelopequityresearchandstock
pickingskillsusingfinancialapplicationssuchasBloombergandBarra
3. Performportfoliooptimizationandriskmanagementroutinesandanalysis
4. Explorethelatestthinkingininvestmentmanagementsystemsandprocesses

CAMRI Lab: Located at Level 3 of BIZ 1 (MRB), the CAMRI Investment Management & Trading Lab
enhancesstudentsportfolioresearch&managementexperienceandactivity.TheLabhas31student
workstations+1Instructorworskstation,Bloomberglivefeeds,livefinancialdatatickers,investmentand
risk management software modules, and various other trading and portfolio management software

DATED:7July2015

applications.TheaimistoenableNUSBusinessSchoolstudentstohavefirsthandexperienceandtraining
withthebesttoolsavailabletotheprofessionalinvestmentcommunity,andasaresult,bestpreparethem
for the investments, financial, and wealth management job markets. Financial Software & Datasets
available in the CAMRI Lab include: Bloomberg and Barra installed on all the 32 PCs. (Bold indicates
studentsshouldhaveacquireddeepknowledgeofthesesoftwarebysemestersend.)Fortheweblinks
anddownloadabletrainingmaterialsontheaforementionedsoftware,pleasevisit:
SMFWebsite:http://bschool.nus.edu/CAMRI/StudentManagedFund.aspx
NUSRecessWeekisfromSeptember1927,2015
TheMidtermQuizison27October2015.ThereisnoFinalExaminthisclass.
GUESTSPEAKERS:Wewillhavenumerousguestspeakersfromtheportfoliomanagement,trading,asset
allocation,externalmanagerselection,backofficeoperationsandprivateequityindustrysharingwithus
whattheiraveragedayislike.
Grading:
Type
MidtermQuiz(Oct27thinclass)
Case
FundamentalEquityResearchReport1
FundamentalEquityResearchReport2
ClassParticipation
TOTAL

Quantity
1
1
1
1
1

Points
40
10
10
10
30
100

AlsovisitpastStudentEquity&TradingReportsavailableattheCAMRIwebsite:
http://bschool.nus.edu.sg/ResearchPublications/ResearchCentres/CAMRI/StudentEquityReports.aspx

PotentialHBSCases:
1. DimensionalFundAdvisors,2002CaseNo:9203026
2. SmithBreedenAssociates:TheEquityPlusFund(A)CaseNo:9297089

DATED:7July2015

APPENDIXA

ACADEMICHONESTY&PLAGIARISMAWORDFROMYOURSPONSOR
Academicintegrityandhonestyisessentialforthepursuitandacquisitionofknowledge.TheUniversity
andSchoolexpecteverystudenttoupholdacademicintegrity&honestyatalltimes.Academicdishonesty
isanymisrepresentationwiththeintenttodeceive,orfailuretoacknowledgethesource,orfalsification
ofinformation,orinaccuracyofstatements,orcheatingatexaminations/tests,orinappropriateuseof
resources.
Plagiarismisthepracticeoftakingsomeoneelse'sworkorideasandpassingthemoffasone'sown'(The
NewOxfordDictionaryofEnglish).TheUniversityandSchoolwillnotcondoneplagiarism.Studentsshould
adoptthisruleYouhavetheobligationtomakecleartotheassessorwhichisyourownwork,andwhich
istheworkofothers.Otherwise,yourassessorisentitledtoassumethateverythingbeingpresentedfor
assessmentisbeingpresentedasentirelyyourownwork.Thisisaminimumstandard.Incaseofany
doubts,youshouldconsultyourinstructor.
Additionalguidanceisavailableat:
http://www.nus.edu.sg/registrar/adminpolicy/acceptance.html#NUSCodeofStudentConduct
OnlineModuleonPlagiarism:
http://emodule.nus.edu.sg/ac/

DATED:7July2015

APPENDIXBSMFTrack
AllstudentsareencouragedtoalsotakethefollowingcoursesinSEMS1or2,whichispartoftheStudent
ManagedFundTrackatCAMRIandtaughtbyformerseniorfundmanagers,chiefinvestmentofficersand/or
captainsoftheinvestmentsindustry.TheyarenowadjunctprofessorsatCAMRI:
CAMRIproposedBBAclassesifyouareinterestedtofindajobintheassetmanagementindustry!

APPENDIX C CAMRIEResumeBook (SMFTrack)

CAMRI will be disseminating an SMF eresume book for BBA Honours students who will graduate in
December2015orMay2016toourpartners:IMAS,AIMA,CFASingapore,CAMRIBoardMembers,etc.,
aroundNovember.
Thosewhoareeligible,pleaseformatyourresumestotheBBAHonourstemplate,whichcanbe
obtainedfromNUSBizCareerServicesOffice(CSO).FortheDec2015graduates,pleaseexplicitlylistall
yourpastandcurrentSMFTrackclassestakenintheCAMRILab.ForMay2015graduates,pleaselist
allyourpastandcurrentSMFTrackclasses,andyourintendedSMFTrackclassesinSEM2(JanMay
2016).Andforallstudents,pleasestateifyouarefamiliarwithBloomberg,Barra,aresittingforany
CFAorCAIAexams,havestudentCP(FSP)experiencesandawards.TheStudentManagedFundTrack
modulescanbefoundhere.AlsostudentsshouldtakethemockinterviewsessionsofferedfromCSO.

DATED:7July2015

ThoseofyouwhohavedonesomeorallofthefollowingcoursesaspartoftheStudentManagedFund
TrackatCAMRIshouldstatethisexplicitlyinyourCV.Example,StudentManagedFundTrackcourses
takenatCAMRI:
1. ModuleCode:FIN3130
ModuleTitle:FinancialModellingPROFLEEHONSING
2. ModuleCode:FIN3132

ModuleTitle:ValueInvestingInAsiaPROFROBLEWIS

3. ModuleCode:FIN4112K
ModuleTitle:AppliedPortfolioManagementTechniquesPROFRICHARDYEH
4. ETC.
SAMPLESOFINFORMATIONYOURCVSHOULDCONTAIN:
1. CAMRIStudentManagedFundTrackCoursesCompleted:
a.
b.
c.
d.

FIN3130:FinancialModellingbyProfLeeHonSing
FIN3132:ValueInvestingInAsiabyProfRobLewis
FIN4112:AppliedPortfolioManagementTechniquesbyProfRichardYeh
FIN4115:AdvancedPortfolioManagementbyProfJoeCherian

2. AwardedCAMRI/CAIAScholarshiptotakeCAIALevel1ExaminationinMarch2016
3. CompletedCFALevel1orTakingCFALevel1ExaminationinDecember2015
4. ComputerSkills:Bloomberg,MSCIBarra,R,Stata,Etc.Etc.

DATED:7July2015