SIMSR

SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT

No Topic Session
1 RISK AND RETURN 2
Simple determination of stock market price using time values of money – simple one
period and multi period case.
Return on common stock under uncertainty, for a single stock Expected Return,
Variance of Return, Concept of Probability Distribution of Returns.
Co-movement of two Assets returns, Measuring of Covariance definition and Simple
Numerical Example, Correlation Coefficient.
Two Asset Portfolio Case, Expected return and variance of returns of a two asset
portfolio Simple Numerical Example and Graphical Illustration. Diversification of Risk;
Systematic and Unsystematic Risk.
2 MODERN PORTFOLIO THEORY 2
General N-asset Portfolio Problem, Marches Model: Objective Function and
Constraints, Meaning of Efficient Frontier / Set, Concept of CML (Capital Market
Line), Concept of Market Portfolio, Risk Free Rate, Borrowing and Leading Rates.
3 SHARPES’S SINGLE INDEX OR MARKET MODEL: 3
How Asset Returns move with the market.
How concept of Beta Measures this Variability.
Definition of Beta, Measuring Beta.
4 CAPITAL ASSET PRICING MODEL 3
How Asset Returns move with the market.
How concept of Beta Measures this Variability.
Definition of Beta, Measuring Beta.
5 RANDOM WALK THEORY 1
Weak, Semi-Strong and Strong form,
Empirical Evidence of EMH
Anomalies in the markets: Firm Size Effect, January Effect, Monday Effect.
6 TECHNICAL ANALYSIS 2
Different Types of Charts.
Study of different charts(Double Bottom, Head & Shoulder Pattern etc.)
Elliot Wave Theory
Dow Theory
7 PORTFOLIO PERFORMANCE MEASURES 7
Sharpe Index
Treynor Index
Jensen’s Measure
Empirical Test of Mutual Fund Performance and EMH
8 RESEARCH PRESENTATION 3
9 PROJECT SUBMISSION 1

No Assessment Marks
1 Research Paper & Presentation 30
2 Project 20
3 Final Exam 50
Total 100

No Title of Book Author

1 SAPM Gordon Fischer
2 Investments Bodie
3 Class Handouts Prof.Suyash Bhatt

Prof. Suyash Bhatt

 SIMSR

RESEARCH PAPER TOPICS

1 To study Impact of Performance of Commodity Markets on Equity Markets in

India.
2 To study Relation between Global Commodity Prices Vs US Dollar and its Impact
on Global Equity Markets.
3 To study Performance of Equity Diversified Funds w.r.t its benchmark Index,
Alpha, Beta and Return.
4 To study Performance of ULIP Vs ELSS Funds based on Cost, Return and Risk.
5 To study Index funds Performance w.r.t its benchmark Indices.
6 To study Impact of Commodity Price before and After its inclusion in Commodity
Markets in India.
7 To study Performance of Commodity Vs Commodity Companies w.r.t Return and
Risk.
8 To study Performance of Infrastructure Fund Vs Equity Diversified Fund w.r.t
Risk, Return and CAPM.
9 Detailed analysis of NIFTY in free float mode and its impact on stock prices.
10 To study Performance Sectoral Mutual Fund w.r.t its benchmark Index, Alpha,
Beta and Return.
11 To study Performance Mid-Cap Funds w.r.t its benchmark Index, Alpha, Beta and
Return.
12 To study and establish relation between different asset classes like Bullion,
Reality, Debt and Equity Markets.

Prof. Suyash Bhatt