INDIAN INSTITUTE OF MANAGEMENT CALCUTTA

Investment Analysis and Portfolio Management

Term IV, 2014-2015
Course Outline, Instructor: Prof. Nivedita Sinha

Objective: This course has been designed to introduce students to the area of investment
in financial assets. No other segment of finance has been impacted more by the theories
of finance as this one. The course is a judicious blend of theory and practice. The latter
will be brought in through exposure to various institutional practices and also through
discussion of contemporary cases. The students, in this course, will be equipped with
tools for determining investment objectives, combining individual assets into portfolios,
managing the portfolio, mitigating risks through derivatives and finally, measuring the
portfolio performance. Students will have an opportunity to put into practice some of the
tools and also exploring original ideas in actually managing a dummy portfolio.

Those who are interested in fund management in asset management companies or in
financial institutions will find this course useful. Also this will come in handy for those
who aim for personal financial advising in an institution or in individual capacity.

Recommended Textbook: Investments - Bodie, Kane, and Marcus, 9
th
edition McGraw
Hill

Additional Material Reference:
Investment Analysis and Portfolio Management Reilly & Brown, 9
th
edition
(International Student Edition), Thompson South-Western.

Modern Portfolio Theory and Investment Analysis, Elton & Gruber, 5
th
edition, Wiley
publishers

Lecture schedule is as follows.
Lecture # Topics
1
Introduction to Portfolio Theory
Class slides and Chapter 7, some parts of Chapter 6
2
Portfolio Theory + Portfolio optimization (excel)
Reading: Class slides + Chapter 7
3
Capital Asset Pricing Model
Reading: Chapter 9
4
Factor Models I
Reading: Chapter 10
5 Bloomberg session + Factor Models continued (Chapter 10)
6 Case discussion: Dimensional Fund Advisors
7
Efficient Market Hypothesis , Empirical evidence on security returns
Reading: Chapter 11, 13
8 Technical Analysis
Reading: Chapter 12, Article: Technical Analysis in the Indian Capital
Market A survey Sehgal & Gupta, Decision, vol 32, no. 1, 91-122.
9
International Diversification
Reading: Chapter 25, Article presentation by groups
10 Assignment I presentation
11 Bloomberg Exercises I presentation
12
Passive Management & Theory of Active Portfolio Management
Readings: Chapter 27, Article presentation: What it takes to beat a
benchmark H.Wander, Brett, Journal of Investing, Fall 2003, Vol 12,
Issue 3.
13
Equity markets
Readings: Chapter 17,18,19
14
Fixed Income securities
Readings : Chapter 14,15,16
15
Derivatives in Portfolio Management
Reading: Chapter 20,21,22,23
16 Hedge funds Reading: Chapter 26
17
Portfolio Performance Measurement
Reading: Chapter 24
18
Portfolio Performance Measurement continued
Case/ Article on Portfolio Performance Measurement
19 Assignment II presentation by groups
20 Bloomberg Exercises II presentation

Articles, cases and Chapters may be added when it becomes necessary. You are expected
to be familiar with the reading material prior to attending the class. Questions will be
provided to groups as part of Bloomberg exercises.
Evaluation and distribution of weights:
Individual Activity
Quiz (1) : 20%
Final Examination : 30%
Group Activity
Bloomberg Exercises (2) : 20%
Assignments (2) : 20%
Case & Article Presentation : 10%