GOA INSTITUTE OF MANAGEMENT

Post Graduate Diploma in Management (PGDM)

Term IV

COURSE NAME
Security Analysis & Portfolio Management

Instructor: Dr. Neeraj Amarnani

 Course Name : Security Analysis & Portfolio Management
Class of: 2017-19 Academic Year: 2018-19
Course Code: Term: IV
Credit: 3.0 credit-hours Sessions: 24

Objective:
This course discusses financial markets and investment in financial securities with the
participants. It covers dimensions of security analysis and valuation, portfolio theory and
practice and risk assessment in financial investments. Participants will gain exposure to
aspects of asset allocation, types of financial assets, market mechanisms. They will understand
the intricacies of performance evaluation, as well as discuss various views on market
efficiency and their implications as juxtaposed to investor psychology and behaviour.

The emphasis of the study will be on equity and related instruments, and a couple of sessions
would be allotted to hedge funds and alternative investments as well.

Learning Outcomes
After going through this course, students should be able to
 Examine the range of alternative investment products / strategies available
 Quantify investment risk and return for financial securities
 Interprete the valuation of Equity and related instruments
 Relate the effect of significant economic and political events to the Indian and Global
Capital Markets
 Develop a perspective on market efficiency, behavioural finance and their impact on
asset prices
 Assess investment managers’ performance critically using a range of measures.

Text Book and Reference Reading:

 Textbook : Bodie, Z., A. Kane, A. Marcus and P. Mohanty, (2015) Investments, Tata
McGraw-Hill, New Delhi (referred to as Bodie)
 Reference books
 Reilly, F.K. and K. C. Brown, (2012) Investment Analysis and Portfolio Management,
Cengage Learning, New Delhi (referred to as Reilly)
 Chandra, P., (2012) Investment Analysis and Portfolio Management, Tata McGraw-Hill,
New Delhi (referred to as Chandra)
 Elton, E. and M. J. Gruber, (1996) Modern Portfolio Theory and Investment Analysis, John
Wiley & Sons, New York

Evaluation Scheme
Components Weight
Mid-term Paper 25%
End-term Examination 30%
Group Assignments 20%
Term Group Project 25%
Detailed Syllabus:
 Investments: Risk, Return and Portfolio Theory:
o Introduction to investments, Styles, Successful investment approaches
o Definition and measures of Return: Holding Period Return, Dollar weighted
returns, Time weighted returns. Arithmetic and Geometric returns
o Definition and measures of Risk: Standard Deviation, Variance, Skewness,
Kurtosis, VaR, CTE, LPSD
o Portfolio Theory: Risk aversion and capital allocation, Markowitz Portfolio
Theory and application
 Asset Pricing Theories
o Single factor and multifactor asset pricing theories: CAPM and APT, concepts
and applications
 Security Selection
o Fundamental Analysis – Economy and industry Analysis, Security Analysis,
Valuation basics
 Market Efficiency and Investor Behaviour
o Efficient market hypothesis – Definition, forms of market efficiency, studies to
support / question market efficiency and their implications
o Investor behaviour – Introduction to school of behavioural finance, forms of
heuristics and biases, investment implications, Implications for Technical
Analysis
 Asset Allocation, Active Portfolio Management and Portfolio Performance Evaluation
o Principles of asset allocation, Passive and Active asset allocation
o Active Portfolio management theories
o Measures of Portfolio Performance Evaluation – Sharpe, Treynor, Jensen’s
Alpha, Information ratios, and their limitations
o Dynamic measures - Timing abilities of fund managers, Style analysis,
Attribution analysis

Session Plan
Sn # Topics /Sub topics Readings / References
1-2 Introduction to Investment Bodie: The Investment Environment
Management: Meaning and Rd: (a) Investment Philosophy @
Philosophy http://pages.stern.nyu.edu/~adamodar
Investment Gurus and Investment (b) Chandra: Ch 26
Strategies (c) Research Paper to be distributed
3-4 Risk and Return Bodie: Risk, Return and the Historical Record
(pp 146-171)
Ex: At random from Text
 Sn # Topics /Sub topics Readings / References
5 (a) Financial Markets & Bodie: Asset Classes & Financial Instruments;
Instruments How Securities are Traded
(b) Mutual Funds (MFs) Rd: (a) Indian Securities Market, A Review
(c) Capital Market Indices (ISMR): available at www.nseindia.com
(b) MF Factsheets, Valueresearchonline,
Morningstar websites
(c) Reilly: pp 115-128 & Details on indices on
websites of NSE & BSE
6-7 Risk Aversion and Capital Bodie: Capital Allocation to Risky Assets (pp
Allocation 178-206)
8-10 (a) Portfolio Theory: Markowitz Bodie: Optimal Risky Portfolios (pp 216-249)
Model Simulation exercise from market data
(b) Portfolio Construction using
Spreadsheets
11-12 Asset Pricing:
(a) Capital Asset Pricing Model (a) Bodie: The Capital Asset Pricing Model
(CAPM) (b) Bodie: Arbitrage Pricing Theory &
(b) Multifactor models of risk and Multifactor models of risk and return
return: Arbitrage Price Theory
(APT)
12 Fundamental Analysis: Economy Reilly: (a) Macroanalysis (pp 350-359)
and Industry (b) Industry Analysis (pp 396-407)
Rd: Industry sector reports
13 Fundamental Analysis: Reilly: Company Analysis & Stock Valuation
Company Analysis (pp 437-482)
Rd: Equity Research Reports
14 Market Efficiency Bodie: The Efficient Market Hypothesis
Rd: Academic Papers
15 Behavioural Finance: Investor Bodie: Behavioral Finance (pp 404-414)
Irrationalities and implications CASE: Behavioral Finance at JP Morgan
16-19 Performance Evaluation of Bodie: Portfolio Performance Evaluation (pp
Managed Portfolios 864-909)
Rd: Mutual Fund Fact Sheets;
www.valueresearchindia.com
Ex: At random from Text
21-22 Hedge Funds & Alternative Bodie: Hedge Funds (pp 958-979)
Investments Rd: www.sebi.gov.in : Guidelines on
Alternative Investment Funds
22-23 Guest Faculty – Industry practices
in portfolio management
24 Project Presentations
End Term Exam