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Security Portfolio
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International School of Business and Media
Nande Campus, Pune
Faculty: Dr. Abhilasha Srivastava
Email:
Subject: SECURITY ANALYSIS & PORTFOLIO MANAGEMENT
The subject ‘Security Analysis and Portfolio Management’ focuses at introducing the students about the various basic aspects of security analysis and portfolio management, introduction to practical concepts, tools and applications to Indian Securities Market, techniques to facilitate the managers in managing their portfolio, etc.
A) Objectives: 1. To acquaint students in respect to the investment decisions related to financial assets, the
risks and returns involved, to make aware about the functioning of securities market alongside the theories and concepts involved in portfolio management.
2. To develop the skills required for portfolio management so as to be able to judge the competitive position of the firms in capital market and review the related business decisions.
B) Teaching Methodology: 1. Interactive teaching methodology.2. Briefing on the previous day’s topic, before the start of each class by the faculty.3. Understanding of the basic concepts is monitored by surprise test/MCQS.4. Case studies on each topic are discussed in detail to improve conceptual understanding
reasoning and application of the theoretical aspects, by the student groups.5. Regular exercises /Internet exercises to be worked out by the students.
C) Evaluation Methodology: ( Will Change) The breakup of evaluation for assessment of the students will be as follows:
Quizzes, Assignments, Class Participation
35%
Tutorials 10%
Live Project 25%
End Term examination 30%
D) Reference Books:
Sr. No.
Name Edition Author Publication
1. Investments 8th Zvi Bodie, Alex Kane, Alan J. Marcus, Pitabas Mohanty
Mc. Graw Hill
2. Investment Analysis & Portfolio Management
8th Reilly/ Brown South western cengage learning
3. Security Analysis & Portfolio Management
6th Donald E. Fisher, Ronald J. Jordan
Pearson
4. Practical Investment Management
3rd Robert A. Strong Thomson South-Western
5. Investment Analysis & Portfolio Management
3rd Prasanna Chandra Mc. Graw Hill
E) Websites: 1. www.moneycontrol.com 2. www.yahoofinance.com 3. www.bseindia.com 4. www.nseindia.com 5. www.indiaipo.com 6. www.capitalmarket.com 7. www.equitymaster.com
F) Magazines and Journals to refer: Journal of Finance Capital Market Outlook Money Business India Dalal Street The Economic Times
SECURITY ANALYSIS AND INVESTMENT MANAGEMENT
Module 1: Introduction to Securities & Capital Market
Lesson 1: Introduction
Lesson 2: Risk & Return
Lesson 3: Introduction to Financial Market and SEBI & its guidelines
Module 2: Security Analysis
Lesson 1: Macro Economic Analysis
Lesson 2: Industry & Company Analysis
Lesson 3: Fundamental & Technical Analysis
Lesson 4: Nature of Stock Market (EMH) & Valuation of equity shares
Module 3: Portfolio Management
Lesson 1: Introduction to portfolio
Lesson 2: Calculation of beta
Lesson 3: CAPM & APT, Markowitz’s pricing Theory and Single Index Theory
Lesson 4: Portfolio Management and Performance Evaluation
Module 4: Derivative & other Investment Options
Lesson 1: Derivatives
Lesson 2: Fixed Income Securities
Lesson 3: Mutual Funds
Lesson 4: International Investing
Session wise detailed plan
MODULE 1: Introduction to Securities & Capital Market
Topic: Introduction
Session : 1
Pre-session Reading
The investment environment, Investment Vs Speculation
Bodie, Kane,Marcus, MohantyPgs 2-12Fisher,JordanPg14-15
Classroom Session
Introduction to investment and securities. Financial Instruments Investment Objectives Role of Securities in economy Financial players
Group Work(In Classroom)
Recent trends in investment environment
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding the various investment instruments and importance of investment in economy.
MODULE 1: Introduction to Securities & Capital Market
Topic: Risk & Return + Tut. 1
Session : 2
Pre-session Reading
What is risk and what are the different types of risk?
Risk Management,MacmillanPgs 109-203
Classroom Session
Analysis of different types of risks and Return. Measures of Return and Risk. Determinants of Required Rate of Return. Risk free rate and factors influencing the risk free rate; Risk Aversion.
Group Work(In Classroom)
Systematic Risk Identification in Securities Market Authored by Werner Bijkerk, Rohini Tendulkar, Samad Uddin, Shane Wornerhttps://www.iosco.org/library/pubdocs/pdf/IOSCOPD461.pdf
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Solving numerical problems
Learning Outcome
Understanding of : Volatility in market prices Value-at-Risk and its implications Statistically measure risk & analyze applications Risk Management issues in investments
MODULE 1: Introduction to Securities & Capital Market
Topic: Introduction to Financial Market
Session : 3
Pre-session Reading
SEBI and Government Guidelines
Financial Institutions & Markets,Bhole &Mahakud Pgs 220-231
Classroom Session
Capital market- primary and secondary market. Stock exchanges in India- structure- functions- BSE,
NSE, ISE, OTCEI & NSDL. Listing of securities – new issue market. Stock market indices
Group Work(In Classroom)
SEBI Regulations Updated 2015 : SEBI (Prohibition of Insider Trading) Regulations, 2015
AssignmentsVisit SEBI website : www.sebi.gov.in
Conceptual Exercises/ Application Exercises/Case Study
Securities Scam: Genesis, Mechanics and Impact Authored by Samir K. Barua & Jayanth R. Varmahttp://www.iimahd.ernet.in/~jrvarma/papers/vik18-1.pdf
Learning Outcome
Understanding of Indian capital market, its operations, instruments & regulations
MODULE 2: Security Analysis
Topic: Economic Analysis
Session : 4
Pre-session Reading
Domestic Macro economyFiscal policy & Monetary policy
Bodie, Kane,Marcus, MohantyPg-589
Classroom Session
Economic Series and Stock Prices. The Cyclical Indicator Approach. Monetary Variables, the Economy and Stock Prices. Inflation, interest rate and security prices.
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Students will be able to analyze how macro economic variables affect the stock market.
MODULE 2: Security Analysis
Topic: Industry & Company Analysis + Tut 2
Session : 5
Pre-session Reading
Industry Life Cycle & SWOT Analysis
Classroom Session
Industry Analysis Introduction; Business Cycle and Industry Sectors. Analysis of Industry Competition. Estimation of Industry Rates of Return.
Company Analysis Firm Competitive Strategies. Analysis of Growth and Value Companies.
Group Work(In Classroom)
AssignmentsSelect a stock exchange listed company and analyze its prospects.
Conceptual Exercises/ Application Exercises/Case Study
Analysis of : Banking Sector & Automobile Sector
Learning Outcome
Analysis of industry and company prospects
MODULE 2: Security Analysis
Topic: Technical Analysis
Session : 6
Pre-session Reading
Assumptions, Advantages and Challenges. Reilly/BrownPgs583-585
Classroom Session
Technical Trading Rules and Indicators. Technical Analysis of Equity Markets. Technical Analysis - moving averages – MACD –
oscillators – RSI – charts – trend reversals – Head and shoulders – Tops and bottoms
Dow Theory.
Group Work(In Classroom)
Interpretation of various types of charts.
Assignments Evaluate technical analysis
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding the use of chart analysis to identify buy & sell opportunities.Understand of breadth indicators & market sentiments indicators to assess the technical condition of the market
MODULE 2: Security Analysis
Topic: Nature of Market & Valuation of Equity Shares + Tut 3
Session : 7 & 8
Pre-session Reading
Efficient capital markets, Alternative Efficient market hypothesis
Bodie, Kane,Marcus, MohantyPg- 370
Classroom Session
Versions of EMH: weak form, semi-strong & strong form, event studies, implications of EMH.Role of portfolio management in an efficient market
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding how the competition among analysts leads naturally to market efficiencyImplications of efficient market hypothesis for investment policy.
Pre-session ReadingFinancial Statement Analysis : Ratio Analysis & Balance sheet valuation ,
Reilly/BrownPgs301-309
Classroom Session
Theory of Valuation. Discounted Cash Flow MethodEarning Multiplier ApproachAlternative Valuation Methods.
Group Work(In Classroom)
Assignments Practical application of above discussed methods
Conceptual Ex./ Application Ex./Case Study
Solving the problems using excel
Learning Outcome Calculating the value of stock using various models
MODULE 3: Portfolio Management
Topic: Introduction to Portfolio Management
Session : 9
Pre-session Reading
What is a portfolio and asset mix?
Bodie, Kane,Marcus, MohantyPgs 211
Classroom Session
Approaches in Portfolio ManagementDetermination of ObjectivesSelection of Portfolio
Group Work(In Classroom)
Assignments Create an active & a passive portfolio for yourself
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding of technique of constructing active & passive portfolio
MODULE 3: Portfolio Management
Topic: Calculation of Beta + Tut :4
Session : 10
Pre-session Reading
CAPM assumptionsReilly/BrownPg-229
Classroom Session
The CAPM modelThe APT model, security valuation with APT, Empirical Tests of APT
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Evaluating CAPM model using excel
Learning Outcome
Use of multifactor models to estimate expected risk premium of a security or portfolio.
MODULE 3: Portfolio Management
Topic: CAPM Models + Tut 5
Session : 11
Pre-session Reading
CAPM assumptionsReilly/BrownPg-229
Classroom Session
The CAPM modelThe APT model, security valuation with APT, Empirical Tests of APT
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Evaluating CAPM model using excel
Learning Outcome
Use of multifactor models to estimate expected risk premium of a security or portfolio.
MODULE 3: Portfolio Management
Topic: Markowitz’s pricing Theory and Single Index Theory + Tut 6
Session : 12
Pre-session Reading
CAPM assumptionsReilly/BrownPg-229
Classroom Session
The CAPM modelThe APT model, security valuation with APT, Empirical Tests of APT
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Evaluating CAPM model using excel
Learning Outcome
Use of multifactor models to estimate expected risk premium of a security or portfolio.
MODULE 3: Portfolio Management
Topic: Portfolio Evaluation + Tut 7
Session : 13
Pre-session Reading
Markowitz Pricing TheoryReilly/Brown pgs:202-222
Classroom Session
Sharpe’s Performance IndexTreynor’s Performance IndexJensen’s Performance IndexThe Formula PlanRevision & the cost
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Students will be able to : evaluate the portfolio using different models.With the help of these models student will be able to revise the portfolio within their cost limit.
MODULE 4: Derivatives & Other Investment Options
Topic: Derivatives
Session: 14
Pre-session Reading
Brief History of Derivatives, Evolution of Commodity, Currency, Stocks and Interest Rate Derivatives
Reilly/Brown pgs:802
Classroom Session
Structure of Derivative Markets, Forwards, Futures, Options, Swaps, etc. Options and Futures Applications in IndiaStructure of Indian Stock Markets and the Operational Efficiency of Options and Futures
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding of the importance of financial derivatives and the institutional structure of the markets on which they are traded as well as developing the analytical tools necessary to price such instruments.
MODULE 4: Derivatives & Other Investment Options
Topic: Fixed Income Securities + Tut 8
Session : 15
Pre-session Reading
Government securities market, features of a government securities market
Reilly/Brown pgs:646
Classroom Session
Fixed Income Markets, Arrangements, Market Participants and Instruments, Investors Perspectives, & Market Conventions,
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Students will be able to: understand the importance of fixed income securities in portfolio.Calculate various measures of bond yield.Identify the risk in bonds.
MODULE 4: Derivatives & Other Investment Options
Topic: Mutual Funds
Session : 16
Pre-session Reading
Mutual Funds and other investment companies
Bodie, Kane,Marcus, MohantyPgs 666-675
Classroom Session
Types of investment companiesCosts incurred in issuing mutual fundsExchange traded fundsFinancial analysis, investment strategy, Sharpe ratio, Treynor ratio. Jensen’s alpha, Expenses ratio
Group Work(In Classroom)
Choosing a mutual fund, w.r.t different criterion.
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Investment styles of mutual funds and their turnover from one period to another.
MODULE 4: Derivatives & Other Investment Options
Topic: International Investing
Session : 16
Pre-session Reading
NASDAQ, NYSE & London Stock Exchange
Classroom Session
International Financial Instruments ADR’s, IDR’s Pros & cons of Global InvestingImportance of Global InvestingRisk & Return of Global Investments
Group Work(In Classroom)
Assignments
Conceptual Exercises/ Application Exercises/Case Study
Construction of portfolios in different market
Learning Outcome
Understanding the importance of global investment and procedure for investing
Topic: Strategies of successful investors
Session : 17
Pre-session Reading
Classroom Session
Investment Strategies of :Warren BuffetHarold SimmonsMickhail ProkhoravChaitany DalmiaRakesh Jhunjhunwala etc.
Group Work(In Classroom)
Group presentation
Assignments Generate your own investment strategy and explain.
Conceptual Exercises/ Application Exercises/Case Study
Learning Outcome
Understanding the strategies of successful investors.
One Day Work shop on:Advance Excel with reference to SAPM.