611 - Ryerson University

FIN 611

Applied Investment Analysis WINTER 2010 COURSE OUTLINE Prerequisite: FIN 501 COURSE REPEATS: Academic Council GPA policy prevents students from taking a course more than three times. (i.e., registered initially, repeated once, repeated twice = 3 registrations) If you fail a required course for the third time, you will be assigned an academic standing of Withdrawn, and will be ineligible to continue in your program. For complete GPA policy see Policy #46 at http://www.ryerson.ca/acadcouncil/policies.html. INSTRUCTOR INFORMATION: Instructor: Class: Office Hours: E-mail:

Edward H. Blinder Mondays 8:00 am to 11:00 am Mondays from 11:00 am to 1:00 pm in TRS 2-113 [email protected]

METHOD OF POSTING GRADES: Students who wish not to have their course grades posted must inform the instructor in writing before January 25th. All final grades will be available on the web at my.ryerson.ca (RAMSS) at the end of each term, approximately 10 days after the date of the final examination. Grades will not be faxed. E-MAIL USAGE & LIMITS: Your e-mail must include in the subject line of your e-mail message the following: FIN 611, Winter 2010, (subject) For instance the subject line of your e-mail may read: FIN300, Winter 2010, missed midterm. Please do not send any attachments whatsoever. If you have not received a response within 2 business days please send me a follow-up e-mail, or drop by and see me at the office.

CALENDAR COURSE DESCRIPTION: This course examines some of the emerging ideas in investment management. Students will review recent, theoretical and empirical developments in investments management. By the end of the course, the students will have learned the necessary skills to examine a large number of investment strategies using currently available resources.

COURSE OVERVIEW: We have decided to turn this course into a specialized course in fixed income securities for this term. We will review the standard material in the first few classes (i.e. pricing, yield, duration, convexity, term structure) – I assume that you have already been exposed to these concepts. They are important since they form the basis for analyzing the different fixed income securities we will cover in the course. We will then do an overview of Treasury securities, corporate bonds, international bonds and mortgage backed securities before the midterm exam. Note that this is a US based book – so this is really an overview of the US fixed income markets. Similar securities are available here in Canada. After the midterm we will continue our look at the options embedded in bonds (i.e. call, put and prepayment options) as well as bond portfolio management strategies (active vs. passive). TEXTS & READING LISTS: Required Text: Bond Markets, Analysis and Strategies, 7th edition, by Frank J. Fabozzi, Pearson, 2010. Other materials will be handed out in class or placed on Blackboard. Evaluation: On-line Quizzes 20% Midterm Exam 25% Final Exam 55% On-Line Quizzes: (20%): There will be 4 on-line quizzes throughout the term. Each quiz will consist of approximately 5 multiple choice questions. You will typically have a week to complete each quiz. These quizzes are designed to be a learning experience rather than a formal test – I encourage you to work with each other in determining the answers. Midterm Test (25%): The midterm exam will be 100% multiple choice and will cover material up to and including lecture #6. The midterm examination is closed book, but you are permitted to bring a one-page (8½ by 11) cheat sheet (both sides). If you miss the mid-term you will receive a grade of zero. If you have a valid medical reason for missing the mid-term and you deliver the appropriate documentation to your instructor for review, a makeup test will be given at the designated time. If you cannot attend the makeup test, with a valid medical certificate, your final exam mark will be counted as 80% of your total grade, otherwise you will receive a grade of zero on the midterm test. We will make every attempt to post midterm test results on Blackboard before the start of the 8th class. Makeup Midterm Test: The makeup test will be held on Friday March 26th, 2009 starting at 6 p.m. Final Exam (55%) – The final exam will be 100% multiple choice and will cover material from the entire course. The final examination is closed book, but you are permitted to bring a twopage (8 by 11.5) cheat sheets (both sides).

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TOPICS – TENTATIVE SEQUENCE & SCHEDULE: Class 1

Chapter Chapter 1 Chapter 2 Chapter 3

Topic to Covered Introduction to Bond Markets, Features and Risks. Bond Pricing, Quotes and Accrued Interest. Yield Measurements, Potential Sources of Return on a Bond

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Chapter 4

Bond Price Volatility, Duration, Convexity

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Chapter 5

Term Structure of Interest Rates Quiz #1 due Sunday Jan. 24th at midnight

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Chapter 6 Chapter 7 Chapter 9

Treasury and Agency Securities Corporate Debt Instruments Non-US Bonds

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Chapter 10 Chapter 11

Residential Mortgage Loans Agency Mortgage Pass-Through Securities Quiz #2 due Sunday Jan. 7th at midnight

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Agency Collateralized Mortgage Obligations and Stripped Mortgage Backed Securities Non-Agency Residential Mortgage–Backed Securities Reading Week – No Class

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Midterm Test – To be held in class Note: Makeup Test Date: Friday, March 26th starting at 6 p.m.

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Chapter

Asset Backed Securities Collateralized Debt Obligations

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Analysis of Bonds with Embedded Options Analysis of Residential Mortgage-Backed Securities

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Chapter 23

Active Bond Portfolio Management Strategies Quiz #3 due Sunday 14th at midnight

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Chapter 24

Indexing

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Chapter 25

Liability Driven Strategies Quiz #4 due Sunday 29th at midnight

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Review

Review

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TEACHING METHODS: This course is taught using a combination of lectures and problem solving. The goal is to encourage you to think, analyze, evaluate, and problem-solve, not memorize. Answers to assigned questions will be posted on Blackboard. OTHER COURSE ISSUES: Every effort will be made to manage the course as stated. However, adjustments may be necessary during the term at the discretion of the instructor. If so, students will be advised and alterations will be discussed prior to implementation. Students will be informed of any alterations by email and/or announcements on blackboard. Class Preparation: It is assumed that you will prepare by reading the assigned chapters before you come to class. Students are responsible for all of the problems at the end of the chapters. You are advised to attend class and to ask questions since the concepts discussed in the reading material will be developed in class. Also, material covered in class may not be otherwise covered in the reading materials. ACADEMIC INTEGRITY: • Students are required to adhere to all relevant University policies, such as the Student Code of Academic Conduct. University regulations concerning unacceptable academic conduct (cheating, plagiarism, impersonation, etc.) will be followed. Refer to the following online documents: o Student Code of Academic Conduct:  http://www.ryerson.ca/acadcouncil/current/pol60.pdf o Student Code of Non-Academic Conduct:  http://www.ryerson.ca/acadcouncil/current/pol61.pdf o Statement of Student Rights and Responsibilities:  http://www.ryerson.ca/acadcouncil/studentrights.pdf for more explanation. •

Plagiarism is a serious academic offence and penalties range from zero in an assignment all the way to expulsion from the university. Students should review the guidelines regarding academic misconduct - visit the Academic Integrity website for more information at http://www.ryerson.ca/academicintegrity. They should ensure that they understand the conventions for referencing sources, in footnotes and bibliographies. In addition to citing quotations from all sources, whether from written materials, interviews or electronic networks, students must credit with footnotes or in-text references all facts and ideas that are not their own, EVEN IF THEY ARE IN YOUR OWN WORDS. If you do not, it is considered plagiarism. In any academic exercise, plagiarism occurs when one offers as one’s own work the words, data, ideas, arguments, calculations, designs or productions of another without appropriate attribution or when one allows one’s work to be copied. (See the Ryerson Library for APA style guide references: http://www.ryerson.ca/library/ref/style.html)

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It is assumed that all examinations and work submitted for evaluation and course credit will be the product of individual effort, except in the case of team projects arranged for and approved by the course instructor. Submitting the same work to more than one course, without instructors’ approval, is also considered plagiarism.

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Students who have committed academic misconduct will, at a minimum receive a “0” on the work, and an instructor may assign an “F” in the course. The Academic Integrity Seminar may also be assigned. Students will have the notation Disciplinary Notice (DN) placed on their academic record and official transcript. The notation shall remain until the students graduate, or for eight (8) years, whichever comes first. If you receive this in the first half of your program, you may undergo a petition process to have it removed in your last year. Students who commit academic misconduct a second time shall be placed on Disciplinary Suspension (DS) for up to two years, at which time they may apply for reinstatement to a program. The designation DS shall be placed on their permanent academic record and official transcript. The notation shall remain until students graduate, or for eight (8) years, whichever comes first. Disciplinary Withdrawn standing (DW) shall be permanently noted on students’ academic records and official transcripts. Expulsions shall be permanently noted on students’ academic records and official transcripts.

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o NOTE: Students may not drop a course when they have been notified of the suspicion of academic misconduct. If a student attempts to drop the course, the Registrar’s office will re-register the student in that course until a decision is reached. •

When an instructor has reason to suspect that an individual piece of work has been plagiarized, the instructor shall be permitted to submit that work to any plagiarism detection service.

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CHEATING ON AN EXAM OR TEST: Ryerson’s Examination Policy requires that all students have a valid student identification card or other photo identification on their desk at all times when taking an examination. If it is suspected that someone is impersonating a student, the photo identification of that person will be checked, and the person will be asked to sign the exam paper for further verification. If it is suspected that the identification is not valid, students may be asked to provide alternate photo identification. Security may be called, if circumstances warrant.

E-MAIL ACCOUNTS: Students are required to activate and maintain a Ryerson Matrix e-mail account. This shall be the official means by which you will receive university communications. See www.ryerson.ca/acadcouncil/current/pol157.pdf. ACCOMODATION OF STUDENTS WITH DISABILITIES: In order to facilitate the academic success and access of students with disabilities, these students should register with the Access Centre http://www..ryerson.ca/accesscentre/index.html. 5

They should also inform their instructor through an “Accommodation Form for Professors” that they are registered with the Access Centre and what accommodations are required. STUDENT RESPONSIBILITIES IN ACADEMIC APPEALS: • Students should read the Undergraduate Academic Consideration and Appeals policy at www.ryerson.ca/acadcouncil/current/pol134.pdf. • It is the student’s responsibility to notify and consult with either the instructor, or the Chair/Director of the teaching department/school, depending on the situation, as soon as circumstances arise that are likely to affect academic performance. It is also the student’s responsibility to attempt to resolve all course related issues with the instructor and then, if necessary, with the Chair/Director of the teaching department/school as soon as they arise. An appeal may be filed only if the issue cannot be resolved appropriately. Failure to deal with a situation as soon as it arises will jeopardize any appeal. • Students who believe that an assignment, test, or exam has not been appropriately graded must review their concerns with their instructor within 10 working days of the date when the graded work is returned to the class. STANDARD FOR WRITTEN WORK: • Students are expected to use an acceptable standard of business communication for all assignments. You are encouraged to obtain assistance from the Writing Centre (http://www.ryerson.ca/writing-centre) for help with your written communications as needed. See the Ryerson Library for APA style guide references online at http://www.ryerson.ca/library/ref/style.html . LATE ASSIGNMENTS: Students must submit assignments on time. Failure to do so will result in a penalty of a grade of zero. All assignments submitted for grading will be handed back within two weeks, except for the final exam. MISSED TERM TEST/FINAL EXAM: You need to inform your instructor of any situation which arises during the semester which has an adverse effect on your academic performance and you must request any necessary considerations or accommodations. A doctor’s certificate is required to substantiate illness. See http://www.ryerson.ca/acadcouncil/Other.html/medical.pdf for the required Ryerson certificate. Religious Observance requests are to be made formally within the first two weeks of class. See www.ryerson.ca/acadcouncil/current/pol150.pdf. If you are missing a term test you must do the following: Inform your instructor by e-mail prior to the test. Present the completed official Ryerson medical certificate to your instructor within three working days or no later than the next scheduled class. If you are missing the final exam you must do the following: Inform your instructor by e-mail prior to the exam. Within three business days of the final exam, please resent the completed official Ryerson medical certificate to your instructor. The instructor will determine if you are eligible for an Incomplete (INC) grade. 6

An INC can be awarded only when the completion of the outstanding work or an alternate final examination may result in a passing grade. The outstanding work or alternate examination must be completed by a specified date within three months of the submission of the INC. The INC will be replaced by an official course grade when the work is completed. If the work is not completed by the deadline, the INC will become a grade of F. If your instructor has assigned an incomplete (INC), it is the student’s responsibility to arrange with the instructor to write a makeup exam at the first available opportunity. MAINTAINING A PROFESSIONAL LEARNING ENVIRONMENT: • Laptop computers, cell phones, or other devices should not be used in the classroom as they are distracting to other students, speakers and your instructor. Otherwise, the student will be asked to leave the class.

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ACADEMIC GRADING POLICY: Evaluation of student performance will follow established academic grading policy outlined in the Ryerson GPA Policy at http://www.ryerson.ca/acadcouncil/current/pol46.pdf. The grading system is summarized below: Definition

Excellent

Good

Satisfactory

Marginal

Unsatisfactory

Letter Grade

Grade Point

Conversion Range

A+

4.33

90-100

A

4.00

85-89

A-

3.67

80-84

B+

3.33

77-79

B

3.00

73-76

B-

2.67

70-72

C+

2.33

67-69

C

2.00

63-66

C-

1.67

60-62

D+

1.33

57-59

D

1.00

53-56

D-

0.67

50-52

F

0.00

0-49

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