QF427 / 428 Investment Practicum



Course Catalog Description

Introduction

  • Requirements: QF/BT 321, BT 425 and BT 426
  • Offered: Students may/must take the two semester sequence.
  • Textbook: TBD
  • Required Reading: WSJ daily.
  • Other publicly available information as relevant - e.g. Edgar, Bloomberg, Reuters, CRISP ( available through Hanlon lab).

The investment practicum is a student managed investment fund (SMIF) staffed by enrolled students and advised by a faculty advisory committee. The fund will start with an initial cash balance of at least $\$ 250,000$. The funds will be sourced from earmarked donation, with $\$ 50,000$ already informally pledged. A trading account will be established at Goldman Sachs with trading authority vested solely in the advisory committee. All enrolled students will have read only access to the account and positions. Students will be interviewed by the advisory committee and if selected will fill positions on teams similar to those in a real world investment fund. Teams will include macro strategy, industry and company research, asset allocation and risk management and legal and compliance. Team assignments may be rotated. Basic concepts from accounting, tax, corporate finance, investment science and securities valuation will be reviewed in early classes. These reviewed topics will include the Modigliani Miller Theorem, Markowitz portfolio model, CAPM, alpha, beta, diversification, correlation, and Sharpe ratios. Practical topics will include P/E, PEG and Price to cash flow and Interest to EBITDA ratios. Other Stevens faculty with relevant expertise will be encouraged to participate in these reviews and classes. Classes will also include "Monday Morning meetings " with student team presentations beginning with asset allocation, individual securities selection, position sizing, diversification and risk assessment. Outside investment professionals will also lecture the students and answer questions both on campus and on site on topics such as order execution, dark pools and high frequency trading. As Goldman Sachs advises on the Stevens endowment they have already agreed to on site training for this class. I have also received personal commitments from several other professionals to provide pro bono help including macro advisory (GS), accounting (Deloitte), Legal (Shearman and Sterling), Credit (S&P) and Capital Structure (Mizuho). The Students will also be encouraged to tap the considerable technological and Industry expertise of the Stevens Institute Faculty and Staff. By the end of the (two) semester (sequence), students will have a practical understanding if not a mastery of all the tools needed and functions required in running an investment fund. Weekly Class/Lecture Schedule - TBD once scope of review /prerequisites is determined. Presumably the early classes will cover the reviewed topics every other lecture and every other alternate lecture will be a "Monday morning meeting" as described above - but mechanics need to conform to the decision to have a one semester or two semester sequence. Could we perhaps run them concurrently after the first 427 required for 428?


Instructors

Professor Email Office
Jonathan Kaufman
Jonathan.Kaufman@Stevens.edu Babbio 303a

Grading

Grading Policies

The final grade in the class will be determined in the following manner:

  • Weekly Homework Assignments - 15%
  • Exam 1 - 15%
  • Exam 2 - 15%
  • Exam 3 - 15%
  • Final Comprehensive Exam (During Final Exam Period) - 30%
  • Surprise Short Quizzes - 10%
  • Total Grade - 100%

Lecture Outline

Topic Reading
Week 1 Chapter 1 and Chapter 2
Week 2 Chapter 2
Week 3 Chapter 9
Week 4 Chapter 2
Week 5 Exam 1 and Chapter 10
Week 6 Chapter 10
Week 7 Chapter 11
Week 8 Chapter 11
Week 9 Chapter 11
Week 10 Exam 2 and Chapter 12
Week 11 Chapter 12
Week 12 Chapter 12
Week 13 Chapter 12
Week 14 Exam 3 and Chapter 13
Week 15 Chapter 13