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Course: Security Analysis & Portfolio Management (Spring 2019)
Regular classes: 20
Extra classes: 10
Total classes: 30
Class time: Tuesdays and Thursdays at 2:20 PM in room 901.
Class 1
Class 1
January 17, Room 901
Values and their classification.
Class 2
Class 2
January 22, Room 901, Time 14:30 – 15:35
Values (book value, market value, intrinsic value, and economic value). Assets (tangible, intangible assets). Real and financial assets. Securities.
Class 3
Class 3
January 24, Room 901, Time 14:30 – 15:35
Types of securities. Investment. Approaches of investment analysis. Top-down and bottom up approaches. Value of a security. Investment decisions.
Class 4
Class 4
January 29, Room 901, Time 14:30 – 15:35
Cash flows from a security (income and capital gain). Fixed income securities. Valuation of preferred stocks. The 15% rule. Intrinsic value of a perpetuity.
Class 5
Class 5
January 31, Room 901, Time 14:30 – 16:10
Growing perpetuities and their valuation. Bonds. PVIF and PVIFA. Valuation of bonds (short and long procedure).
Class 6
Class 6
February 5, Room 901, Time 14:30 – 16:00
Yield – what it is. Current yield. Yield to maturity. After tax yields.
Class 7
Class 7
February 7, Room 902, Time 14:35 – 15:10
Treasury STRIPS.
Class 8
Class 8
February 5, Room 901, Time 14:30 – 15:25
MCQ Quiz (1st test).
Class 9
Class 9
February 14, Room 902, Time 14:30 – 15:35
Various approaches of common stock valuation. gS, gH, and terminal growth (g).
Class 10
Class 10
February 19, Room 901, Time 14:30 – 15:30
gH, gS, and g (math). How to find RRR. Gordon growth model.
Class 11 (Extra)
Class 11 (Extra)
February 14, Room 901, Time 15:30 – 16:30
Multi stage Gordon growth model (math).
Class 12 (Extra)
Class 12 (Extra)
February 20, Room 901, Time 14:30 – 16:05
1st Model Test.
Class 13 (Extra)
Class 13 (Extra)
February 20, Room 602, Time 17:00 – 18:15
Solution to the model test.
Midterm Exam
Midterm Exam
February 25, Room B2-304/305
Syllabus: Chapter 1, 2, 3.
Class 14
Class 14
March 12, Room 901, Time 14:40 – 15:35
Finding the intrinsic value of a stock using the historical average PE method.
Class 15
Class 15
March 14, Room 901, Time 14:40 – 15:15
Categorization of common stocks traded on DSE. Ten types of risks involved with investment in financial assets.
Class 16
Class 16
March 19, Room 901, Time 14:30 – 16:00
Categorization of securities traded on DSE. Calculating the intrinsic value of a stock using industry average PE method. Various types of returns.
Class 17
Class 17
March 21, Room 901, Time 14:30 – 16:00
Closing price, month-end closing price, and average monthly price. TTM return (math). The concept of risk. Various proxies of risk: pros and cons.
An overview of the CFA Institute Investment Fundamentals Certificate.
Class 18
Class 18
March 28, Room 901, Time 14:35 – 16:10
Calculation of return and risk from only price and dividend data. Converting monthly return and risk into annualized return and risk. Coefficient of variation.
Class 19
Class 19
April 4, Room 901, Time 14:30 – 16:10
Ten sources of risk that may affect investment decision. How risk premium is estimated. The market. Market return. Beta (math). Risk free rate. Equilibrium return. Market risk premium. CAPM theory.
Class 20
Class 20
April 11, Room 901, Time 14:30 – 16:00
Beta vs. standard deviation. Equilibrium rate of return as a proxy of several variables. Expected and historical alpha. Math 1: Find out expected alpha when Beta is given. Math 2: Find out expected alpha when Beta is not given, RM and RF is annualized, and ERS is monthly.
Class 21 (Extra)
Class 21 (Extra)
April 16, Room 902, Time 12:30 – 13:45
Find beta, RRR, and alpha from market price, dividend, and index data only (math).
Class 22, Class 23 (Extra)
Class 22, Class 23 (Extra)
April 16,
Time 14:40 – 15:40 (Class 22) and 15:40 - 16:30 (Class 23)
What is portfolio? Portfolio management. Assumptions of portfolio theory. Return and risk of a two-asset portfolio. Return and risk of a three-asset portfolio.
Class 24 (Extra)
Class 24 (Extra)
April 18, Room 902, Time 13:00 – 14:20
Finding the risk of a portfolio of any size using the matrix method. Math: calculate the beta, return, risk, and CV of a three-asset portfolio using matrix method. Determinants of risk in a portfolio (explained with 4-asset and 10-asset portfolios).
Class 25, Class 26 (Extra)
Class 25, Class 26 (Extra)
April 18, Room 902,
Time 15:30 – 16:45 (Class 25) and 16:45 - 18:00 (Class 26)
Efficient portfolio -- what it is. Efficient frontier of two assets. Efficient frontier of many assets. Math: construct a minimum variance portfolio and find out the following (with interpretation): weights, number of shares to be purchased, return, risk, beta, CV, improvement factors based on CV, Sharpe ratio, improvement factors based on the Sharpe ratio, alpha, and M-square.
Announcement: Model test on April 23.
Class 27
Class 27
April 23, Room 901, Time 14:25 – 15:40
2nd model test.
Class 28 (Extra)
Class 28 (Extra)
April 23, Room 901, Time 16:10 – 17:40
Solution to the 2nd model test. Review of the final exam syllabus.
Final Exam
Final Exam
April 27, Time 10:30 – 12:30
Syllabus: Chapter 4, 5, 6, 7
Class 29 (Extra), Class 30 (Extra)
Class 29 (Extra), Class 30 (Extra)
NOTE: These two classes are not included in the attendance marks.
May 6, Room 701
Time:
16:00 – 17:15 (Class 29)
18:00 - 19:00 (Class 30)
Guideline and solution to the assignment.
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