Investment Analysis and Portfolio Management

Course Description:

This course is intended to provide the students with the foundations of portfolio management and
insights into the alternative portfolio building and security selection approaches. The course combines
conceptual understanding with practical exposure to portfolio construction and evaluation. The
students will also be able to understand and compare various investment strategies based on
theoretical developments and empirical evidence.

Course Code

Course Title Investment Analysis and Portfolio Management

Course Dr. Sachin Mathur

Instructor/s

Credit Value 3 credits ( 100 marks paper )

Programme & FT MBA II Yr Trimester V

Trimester

Pre-requisite NA

Learning By the end of this course, it is expected that the student will be able to understand/do:
Objectives
a. Basic portfolio mathematics, the effect of diversification on portfolio performance
b. Risk and returns characteristics of asset classes, history of returns
c. How to create optimal portfolios
d. Capital market theories & their implications for investment management
e. Various investment approaches & strategies
f. Performance measurement and evaluation of managed portfolios

Session Plan Session Topic Pre read/Class Activity

no.

Session Topic Reading Material

1-2 Introduction Lecture & Class

Overview of investment process & discussion
the value chain in investment
management
Overview of fund management CH-5 BKM
industry
Risk and return characteristics of
various asset classes, history of Reading: McKinsey
returns Global Institute report
How to set long term return Diminishing returns
expectations for various asset
classes?

3-6 Basic Portfolio Mathematics Lecture, Excel Modelling,

 Return & risk measures
Diversification: intuition & maths
Risk aversion & utility functions
Markowitz Portfolio Theory
Efficient frontier
Capital market line
Investor preferences & asset
allocation
Implementing Portfolio Optimisation
Markowitz mean-variance
optimisation (MVO) for an investor
Limitations of MVO &
improvements (Treynor-Black and
Black-Litterman models)
7-10 Implications of Capital Market Theories
for Investment Analysis & Management
CAPM & Multifactor models
Implications of EMH & Behavioural
Finance
Alternative Investment Approaches
Passive vs Active Management
Quantitative vs Qualitative analysis
Top-down vs bottom-up selection
Investment Analysis
How to make DCF valuations more
robust?
Justified relative valuation
Incorporating qualitative factors
11-15 Investing Strategies
Value investing: rationale,
evidence, execution
Momentum investing: rationale,
evidence, execution
Low volatility investing: rationale,
evidence, execution
Passive Investing
Index funds & ETFs
Hedge Fund Strategies
Market-neutral & other strategies
16-18 Portfolio Performance Measurement
Sharpes ratio, tracking error,
information ratio
Jensens alpha, Treynors ratio,
Measures for asymmetric return
distribution, upside & downside
capture
Portfolio Performance Attribution
Case Discussion
CH-6, 7, 8 BKM
Exercise : Creating
Markowitz efficient
frontier using MS-Excel,
Case Study: Thompson
Asset Management
Lecture, Excel modelling,
Readings
Ch 9 to 13 BKM
Excel implementation:
Calculating alpha, beta,
systematic & residual risk
Reading: Summary Note
on Usefulness of Stock
Analyst Research in India
Reading: Damodarans
blog Why Good (Bad)
Companies can be Bad
(Good) Investments?
Lecture, Excel modelling,
Reading, Cases
Ch 26, 27 BKM
Using Bloomberg &
Excel: Building value &
momentum screens
Reading: Understanding
Smart Beta, Smart Beta
Guide, Blackrock
Case Study: Martingale
Asset Management LP in
2008, 130/30 Funds & a
Low-Volatility Strategy
Lecture, Excel modelling,
Readings, Case study
Ch 24 BKM
Using Bloomberg &
Excel: Evaluating fund
performance
 Attribution of active returns to asset Reading: S&P BSE
allocation & security selection; Indices SPIVA India
style analysis Scorecard

Case Study:
Extraordinary Value
Partners, LLC

Reading: Morningstar
Style Indexes FAQ

Using Excel for

attribution: Exercises
using MSCI Barra data &
data for an Indian fund
19-20 Project Presentations
Portfolio construction &
performance measurement
Teaching / The course is delivered using combination of lectures, problems solving (in the class
Learning and take home), case analysis and project/take home assignments.
Methodology

Assessment Specific % weight

methods assessments/methods age
Continuous assessment 100 %
Investment Project 30%
Report & Presentation
Class Tests 20%
Assignments 10%
Final exam 40%
Reading List and Text Book/Major Reference Book
References
Bodie, Kane, Marcus & Mohanty, Investments, 10e, McGraw-Hill, Or

Bodie, Kane & Marcus, Essentials of Investments, 9th Indian Edition, McGraw-Hill

Reference Books

Reilly & Brown, Investment Analysis and Portfolio Management, 8e, Cengage
Learning.
Damodaran, Investment Valuation, 2e, Wiley Publication.

Website References
1. www.nseindia.com
2. www.bseindia.com
3. www.sebi.gov.in
4. www.moneycontrol.com
5. www.amfiindia.com
6. www.morningstar.in
7. www.wealthfront.com
8. www.vanuguard.com
9. www.hedgefundresources.com
Faculty Signature:

SACHIN MATHUR

Approved by:

Area Chairperson

Program Chairperson

Dean, SBM