CA Final SFM CA Mayank Kothari

13 Constant Ratio Plan - Portfolio Rebalancing 22

Theory
14 Beta, Standard Deviation using Single Index 22
Model and Modern Portfolio Theory
15 Variance, Portfolio return, Beta, Systematic and 23
Unsystematic Risk, Sharpe Ratio, Treynor Ratio
and Jensen's Alpha
16 Equity Arbitrage 24
Mutual Funds 1 Holding Period Return 25
2 Annual Rate of Earning 25
3 Dividend Reinvestment, Bonus and Growth Plan 26
4 Investors Return 27
5 Mutual Fund Return 27
6 Fund Manager Fee 27
7 Dividend Equalization 28
8 Net Asset Value 28
9 Net Asset Value 29
10 Front End and Back End Load 30
Derivatives 1 Initial Margin and Mark To Market 31
2 Open Interest 31
3 Premium of Option 32
4 Call and Put Option 32
5 Intrinsic Value and Time Value 33
6 Fair Value of Futures 33
7 Value of Cost of Carry 33
8 Fair Value of Forward & Arbitrage Opportunities 34
9 Fair Value of Forward, Futures & Arbitrage 34
Opportunities
10 Commodity Futures 34
11 Fair Value of Forward, and Gain or Loss in 35
Forward Contract
12 Hedging with Nifty & Portfolio Beta 35
13 Hedging with Nifty Futures 36
14 Beta of Portfolio, Fair Value of Futures, Partial 36
Hedging using Futures
15 Portfolio Beta and Hedging with Futures 37
16 Two Period Binomial Model 38
17 American Call Binomial Model 38
18 Portflio Replicating Theory 38
19 Black Scholes Model 39
20 Put Call Parity Theory 39
Interest Rate Risk 1 Forward Rate Agreement 40
Management
2 Interest Rate Futures 40
3 Interest Rate Futures 41
4 FRA and Interest Rate Futures 42