Finance 725 Home Page

This course provides a systematic and applied approach to active portfolio management. The focus of the course is on the active management of a portfolio of equity securities. However, the principles covered are broadly applicable to the active management of any portfolio of financial securities. The course synthesizes three key elements:

• The role of the theory and technical skills taught in UMBS accounting and finance courses to active portfolio management;

• Mastery of the most popular and powerful financial technology available to today's investment professionals; and

• The application of the first two elements above to the management of a real equity portfolio.

The first element is the most important of the three. This is the element that will give you a comparative advantage over most other investment professionals. The skills taught in accounting and investments courses are particularly important. I will assume some knowledge of the material covered in these courses. For those needing a refresher in the material covered in these courses, I have listed the appropriate chapters from the textbooks used in these courses as 'background reading' throughout the course outline.

This course's focus on active portfolio management may seem at odds with the efficient market hypothesis (EMH), covered in the core finance classes. We will adopt a pragmatic perspective and develop a systematic approach to active management, assuming that this is a worthwhile goal. Worthwhile, but certainly not easy. Indeed, it is competition among many sophisticated active investors that makes the EMH a useful first approximation to actual security market behavior. Thus, we will adopt the perspective that successful active portfolio management is difficult, but not impossible. We will also look at empirical evidence bearing on this issue.

Many of the materials used in F725 will be available on this page. You will need a password to follow a number of the links below. If you are a student in F725 and you forgot what the password is, or if you need access to my class notes for some other reason, call me for the password at (734) 763-4129. The course notes are in Adobe Acrobat (.pdf) format. To download a free copy of the Acrobat reader, visit Adobe's web site.

Items of interest to potential students

• Course Syllabus

Items of interest to current students
(password protected)

Sector Assignments

Instructions for Students that Miss a Class in April

• Course Notes
  1. Introduction
  2. Sector Overviews
  3. Forecasting Returns 1
  4. Forecasting Returns 2
  5. Forecasting Returns 3
  6. Modeling and Forecasting Risk
  7. Portfolio Optimization
  8. Advanced Portfolio Strategies
  9. Taxes and Transactions Costs
• Assignments
  1. Sector Overview Assignment
  2. Universal Screening Assignment
  3. Fundamental Valuation Assignment
  4. BARRA Risk Analysis Assignment
  5. Risk Analysis Regression Assignment
  6. Spreadsheet (fidmagellan.xls) for Risk Analysis Regression Assignment
  7. Portfolio Optimization Assignment
  8. Final Stock Pitch Assignment
  9. Standardized UMBS Student Fund Coversheet
• Study Helps
  1. Sector Overview Suggestions
  2. Screening Assignment Suggestions
  3. Valuation Assignment Suggestions
  4. Barra Risk Analysis Assignment Suggestions
  5. Portfolio Optimization Assignment Suggestions
  6. Sample Quiz Questions
• Overview Reports
  1. Sales and Trading
  2. Economist/Strategist
  3. Telecommunications
  4. Information Technology
  5. Industrials
  6. Consumer Staples
  7. Consumer Staples Slides
  8. Banks
  9. Consumer Discretionary
  10. Consumer Discretionary Slides
  11. Energy
  12. Utilities
  13. Health
• Final Stock Pitch Reports
  1. Economist\Strategist
  2. Telecommunications
  3. Information Technology
  4. Industrials
  5. Consumer Staples
  6. Banks
  7. Consumer Discretionary
  8. Energy
  9. Utilities
  10. Healthcare
  11. Materials
  12. Non-Bank Financials
• Coursepack Items
  1. Overview of the Investment Management Process
  2. Overview of UMBS Student Managed Fund
  3. eSignal Basics
  4. Bloomberg Cheat Sheets
  5. Goldman Sachs Guide to Understanding US Economic Statistics
  6. Are Financial Markets Efficient?
  7. What Works on Wall Street - Ranking the Strategies
  8. Economic Margin: The Link Between EVA and CFROI
  9. The New Morningstar Style Box Methodology
  10. BARRA U.S. Equity Model Handbook
  11. BARRA Aegis Portfolio Manager Guide
  12. The Use of Derivatives in Managing Equity Portfolios
  13. Hedge Fund Primer
  14. An Overview of Long-Short Equity Investing
  15. The Market Impact Model
  16. BARRA After-Tax Optimization Theory
  17. Tax Externalities of Mutual Funds

Relevant Links

• Tozzi Center - Financial Research and Trading Room

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