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.