Blown Up Syllabus for MFA II SEM 2.

4 Securities Analysis and Portfolio Management

Objectives: 1) To enable the student to develop skills in analyzing various types of securities. 2) To make the student apply the knowledge of portfolio theory in portfolio management. Module 1: Investment management Nature and scope of Investment, Features, Investment objectives Investment process Investment planning Ingredients of successful investment strategy, Investment Constraints Investment avenues - Financial forms of investment (marketable forms- Bonds, Debentures, Equity Shares, Mutual funds, government securities) and Non-financial forms of investment (non marketable forms Bank deposits, post office, time deposit, monthly income scheme of post office, Kisan vikas patra, National Saving Certificate, Company Deposit, Employee Provided Fund scheme, Public Provident Fund Scheme, Ten year social security certificates, Indra Vikas Patra, Twelve year National Savings Annuity Certificates), Real Assets- Property, Precious Stones, Artifacts Components of investment risk- Meaning Primary and Secondary Market, BSE, NSE, OTCEI, SEBI, SENSEX 12 hrs 10Hrs

Module 2: Valuation of Securities

Time Value of Money Future Value of Single amount, Present Value of single amount, Future Value of an annuity, Present Value of an annuity- (Numericals) Risk and return- Analysis of risk & return, concept of total risk, factors contributing to total risk, systematic and unsystematic risk, default risk, interest rate risk, market risk, management risk, purchasing power risk.

Measures of Risk Standard Deviation, Coefficeint of Variation, Co-Variance, Correlation, Beta (Numercials) Valuation of Fixed income securities- Bonds (Numercials in Value of Bond and YTM

only) Bonds - Types of Bonds, Bond Prices -bond pricing theorems, Duration of bond, Immunization of interest risk, term structure of interest rate, determination of yield curves, basic numericals on bond valuation (Numericals on duration or immunization not included). Valuation of equity shares-dividend discount model-single period valuation model,multi period valuation model, zero growth model, constant growth model(Gordon Model),two stage growth model, H-Model, Earnings multiplier approach, basic numericals on equity valuation and preference shares(Dividend & CAPM)- (Numericals) Module 3: Securities Analysis - Analysis of Variable income securities Fundamental Analysis Concept of Intrinsic Value - Objectives and Beliefs Steps o Tools of monetary policies Macro economic analysis Industry analysis industry life cycle analysis study of structure of analysis of industry profit potential of industries o Company analysis Valuation multiples (Price to Earning ratio, Price to Book value ratio) Evaluation of management o Estimation of intrinsic values Expectation risk index obstacles in the way of an analyst Technical Analysis of equity stock Meaning- Differences between fundamental and technical analysis- Assumptions of Technical analysis- Uses o Charting techniques - Dow Theory, line chart, points and figures chart, bar chart and RSA, RSI, Moving average analysis, Japanese Candlesticks o Technical Indicators and Evaluation of technical analysis Behavior of stock market prices meaning of Efficient Market, the Efficient Market Hypothesis - empirical evidence o Forms of Efficient Market Hypothesis -Weak Form, Semi-Strong Form, Strong Form o Weak form (serial correlation test, run test, filter rules test), empirical evidence Economy -Industry -Company framework 14hrs

o Semi strong form (Event study, portfolio study) Emphircal evidence o Strong form( price over reactions, calendar anonalies, excess volatility, interest rates, stock behavior), Implications of efficient market hypothesis Module 4: Portfolio theory Calculation of portfolio risk: 2 security case, efficient frontier, optimal portfolio (Numercials) Utility analysis assumptions indifference curve, efficient portfolio and efficient frontier Markowitzs Portfolio analysis - Modern portfolio theory Asset allocation decision. Dominant & Efficient portfolio simple diversification, Markowitz Model (Numericals) Assumptions Portfolio analysis (portfolio return and portfolio risk- co variance, correlation, standard deviation, minimum and zero risk portfolio) Selection of portfolio - Selecting an optimal portfolio William Sharpes Model (single index model)- portfolio return and portfolio risk( no numericals), Determination of corner portfolio, selection of optimal portfolio (Numericals- Sharpes Optimization model ) Asset pricing theories - Capital Asset Pricing model (Basic numericals) Assumptions, Capital market line, Security market line, relationship between CML and SML Portfolio insurance and Portfolio management for individual and institutions. Portfolio performance evaluation - Sharpes portfolio performance measure, Treynors portfolio performance measure, Jensens investment performance measure (Numericals on Performance Evaluation) Portfolio management, Phases of portfolio, Portfolio management Process Plan, Implement, Monitor Portfolio revision Active and passive strategies & Types of formula plans in portfolio revision 16 hrs

Module 5:

08 hrs

Analysis of alternative investments- Hedging and Arbitrage pricing theories Meaning,

Assumptions (No numericals) Factor model Single factor model, Multiple Factor model- Meaning and Assumptions (No Numericals) Financial futures- Meaning (No Numericals) Option Pricing Model- Black and Scholes Model (Only Numericals on Black and Scholes Model) International portfolio management and Emerging opportunities

CORE BOOKS 1. Security Analysis and Portfolio Management S Kevin Prentice Hall 2. Investment Analysis and Portfolio management Prasanna Chandra TMH - 2nd Edition, 2005 RECOMMENDED BOOKS 1. Security Analysis & Portfolio Management, Donald E. Fischer and Ronald J. Jordon Prentice Hall 2. Security Analysis & Portfolio Management - V K Bhalla 3. Investment Management, Preeti Singh HPH REFERENCE BOOKS 1. Stanley S.C. Huang Maury Stall: Investment Analysis and Management, Allyn and Bacon Inc., Massachusetts. 2. Timoty E. Johnson: Investment Principles, Prentice Hall, New Jersey. 3. Jerome B. Cohen and Edward D. Zinbarg etal: Investment Analysis and Portfolio Management, Richard D. Irwon Ind., Illinois. 4. William F. Sharps: Portfolio Theory and Capital Markets, McGraw Hill, New York. 5. J.C. Francis: Investment Analysis and Management. 6. Haim Levy and Marshall Sarnat: Portfolio and Investment Selection Theory and Practice, Prentice Hall, International New Jersey. 7. Graham B. D. Dodd and S. Bolts: Securities Analysis, McGraw Hill, New York. 8. Pandyan Puneethavathy, Securities Analysis & Portfolio Management, Vikas Pub. House. 9. Fuller & Farrel, Modern Investments and Security Analysis, McGraw Hill International. 10. Strong R.A, Portfolio Management Handbook. 11. A. Brahmiah & P. Subba Rao, Financial Futures and Options, HPH. 12. Hampton John: Modern Financial Theory, Perfect and Imperfect Markets, Roston Publishing Co., New Delhi.

13. Chandra Prasanna, Managing Investments, Tata McGraw Hill. 14. Punithavathy