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SAPM EM-16
1yr MBA-Executive 2016-17 T-III


Security Analysis & Portfolio Management (SAPM)-3 credit
Instructor: Prof. Santanu K Ganguli



COURSE OBJECTIVE :To familiarize the course participants with portfolio construction, management and maintenance to cater to various categories of Investors depending on the target return and risk appetite of the investors & Fundamental Analysis (involving Economy, Industry and Firm) for stock selection.

Learning Objective : At the end of the course the participants will be able to-

Ø Grasp the concept of trade-off between return and risk of a single asset as well as of portfolio.

Ø Understand basics of optimum portfolio construction based on risk appetite of investors.

Ø Get a basic idea of debt portfolio, risk attached to debt, duration, terms structure of interest, deriving future interest rate from spot rate Ø Understand rudiments of behavioural finance, how ‘irrational exuberance’ can take the market away from ‘fundamentals’, technical analysis. Ø Measure performance of portfolio objectively.
Pre-requisite: Fair amount of understanding of Financial Management, basics of Statistics,Quantitative Techniques, familiarity with line items of financial statements and interpretation and basic economics.



Session Topic Reading
    1
Asset class, financial instruments, Index ( Sensex, nifty in Indian context) Concepts of Portfolio and mutual fund Chapter 2 of the text book
    2
Trading of securities, bid-ask spread, primary market (IPO), secondary market, Margin, Short sales, Concept of holding period return (Ex-post and Ex-ante), Chapter 3
    3 and 4
Elaboration on Mutual fund, equity fund, pure debt fund, hybrid-income fund, ETF, concept of NAV, Asset return Arithmetic & Geometric Mean of Returns, comparison between the two, yieldChapter 4 and 5
    4
Risk aversion, capital allocation, Portfolio construction with two assets, implication of co-variance and co-relation, how & to what extent diversification reduces risk, limit to risk reductionChapter 6,
    5
Markowitz Efficient Frontier with n number of assets, how combination of risk-free assets with risky assets impact return and risk, risk pooling and insurance.Chapter 7
6, 7 and 8Capital allocation line, Single Factor Model, capital market line,Capital Asset Pricing Model (CAPM), beta, derivation of beta, equity risk premium, market price of risk, sharp ratio. Chapter 8-9
9Efficient Market Hypothesis (EMH)11
    10
Review & Revision of main topics & issues prior to Mid-term Examination, Problem solving and doubt clearing
MID –TERM EXAMINATION
11 Behavioural Finance – a challenge to EMH, Animal spirit, bubbles, PEAD, Momentum effect, day-of-the week effect etc, technical analysis , confidence index, moving averageChapter 12
    12
Bond, types of bond, Concept of Yield, Yield to Maturity (YTM), relation between interest rate and bond price , credit or default risk14
    13 and 14
 Term Structure of Interest, theories of term structure, yield curve, Interest Rate Futures15
    15
Duration, Construction & Management of Bond Portfolio, Immunization16
    17
Macro-economics, Industry and firm analysis and recapitulation of share valuation in the backdrop of macro-economics.17,18 and 19
    18
Portfolio Performance Evaluation24
    19
Hedge fund – basics, doubt clearing and problem solving
    20
Summing and project presentation
Comment: The above course outline is tentative one and may undergo some addition, alteration or modification depending upon progress.

Text book : Investments (8th Indian Edition) by Boodie, Kane, &Marcus (Publisher McGraw Hill).
Suggested websites for reading and reference:
a) www.nseindia.com
b) www.bseindia.com
c) https://in.finance.yahoo.com
d) www.moneycontrol.com
Important Note: The course participants should appreciate that it is an elective course. The students are expected to read articles and related literature that will be suggested from time to time.

Instruction: There will be lot of practice problems to be discussed and solved inside the class. So, the course participants are requested to bring scientific calculators having log, exponential, ^ and square root functions. Some excel modelling will be demonstrated for which prior intimation will be given. But otherwise the participants are not allowed to use laptop computers, cell phone during class. There will be zero tolerance in respect of cheating and plagiarism.

Evaluation : Component Weight
1. Quiz (Two quizzes) 10 ( each quiz will be
of 5 marks)
2. Mid term 25
3. End term 40
4. Group Project 20
5. Class participation 5


Dr. Santanu K. Ganguli
Instructor
Created By: Alora Kar on 07/14/2016 at 10:31 AM
Category: MBA(Exe.)16-T-III Doctype: Document

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