Course Outline: Portfolio Management (FIN2102)

Area: Finance | Credit: 3

Programme: PGDM | Duration: October 2022-January 2023 | Term: V
_______________________________________________________________________
Instructor(s) Name : Mr. Surendra Poddar
Email : s.poddar@imi-k.edu.in
Phone (Extn no.) : 03366529607
Meeting Hours : Mon – Fri: 10:00 a.m. – 5:00 p.m.
_______________________________________________________________________

PART 1
INTRODUCTION

This course will outline the portfolio management process. This course will focus on equity
portfolio management, fixed income portfolio management and alternative assets portfolio
management. In the initial part of the course, stress would be on importance of portfolio
management, process of portfolio management, portfolio theories. In the later part of the
course, we would be dealing with practical portfolio management models, portfolio
management strategies and portfolio evaluation.
This course is aimed at candidates aspiring for careers in mutual fund industry, wealth
management, financial advisory services, personal financial planning.
It will also be useful for candidates who have other career interests but are serious about
managing their own or family wealth.

COURSE OBJECTIVES (CO)

a. To understand the concept of risk and return in the portfolio context

b.To understand , explain and test the efficiency of capital markets and its role in portfolio
management

c. To understand the meaning and importance of asset allocation in portfolio performance

d.To understand different equity and fixed income portfolio strategies

e. To construct and manage the portfolio of individual and institutional investors

f. To evaluate and communicate portfolio performance

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 COURSE LEARNING OUTCOMES (CLO)
At the end of this course, students would be able to

CLO1- Understand the concepts , theories and models of portfolio optimization (Markowitz,
Black Litterman) and Efficient Market Hypothesis and its relevance to portfolio management.
(PLO1)
CLO 2- Construct a customised portfolio comprising different asset classes for individual and
institutional investors (PLO2, 3, 4&5).
CLO3-Perform portfolio measurement, evaluation and attribution analysis (PLO2, 3&4)

COURSE CONTENT
 Portfolio Management Process
 Role and importance of Asset allocation in portfolio management
 Efficient market hypothesis and its implication on portfolio management ( active vs
passive )
 Portfolio optimization and its models
 Equity Portfolio Management Strategies
 Fixed Income Portfolio management strategies
 Alternative assets portfolio management strategies
 Portfolio execution and rebalancing
 Portfolio measurement , evaluation and attribution analysis

PRESCRIBED TEXT BOOK

Investments : Bodie , Kane, Marcus, Mohanty (BKMM)

OTHER READINGS AND REFERENCES

i. Managing Investment Portfolios , CFA Investment Series (CFA series)
ii.Analysis of Investments & Management of Portfolios 10th Edition By Reilly Brown
Published by Cengage Learning

iii.Modern Portfolio Theory and Investment Analysis : Elton , Gruber (EB)

iv.Five Rules for Successful Investing Pat Dorsey
v.Common Stocks Uncommon Profits , Phil Fischer
vi.Margin of Safety by Seth Klarman
vii.Financial Shenanigans- How to Detect Accounting Gimmicks & Fraud in Financial Reports
viii.The Little Book That beats the Markets by Joel Greenblatt - Interesting idea
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ix.Expectations Investing By Rappaport and Maubossin
x.Skin in the Game Naseem Taleb
xi.Poor Charlie’s Almanac
g. Journals
i.Financial Analysts Journal
ii.Journal of Portfolio Management
iii.Journal of Finance
iv.Journal of Financial Economics
v.The Review of Financial Studies
vi.Journal of Financial and Quantitative Analysis
h. Magazines
i.The Economist
ii.Business Today
iii.Business World

POLICY ON PLAGIARISM:
Plagiarism of any kind and to any extent would attract penalties. The assessment would be
‘zero’ for that particular component, with no further opportunity to improve. Repetition of the
offence would result in failure in the subject.

ASSESSMENT SCHEME AND WEIGHTAGE:

END-TERM

Weightage Duration (in Open/close CLO

Evaluation
(%) minutes) Book Tested

CL01 ,
CLO2 ,
End-Term 40 120 Closed CL03

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 {b} OTHER ASSESSMENTS

Sl. Unit of
Evaluation Item Weight Time CLO
No. Evaluation

CL01
1 Quiz 1 Individual 10% 10th Session

CL02
4 Group Project 1 Group 25% 15th Session

CL03
th
5 Group Project 2 Group 25% 20 Session

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Session Pedagogy
Topic(s) Readings/Tasks
No.
Introduction to Portfolio Class
Management Discussion
 Scope
1.  Coverage Ch 1 BKMM
 Application
 Overview of the course

Overview of Investment Process : Class

 Concept of Risk and Return (single Discussion
asset and portfolio)
 Different measures of risk (
standard deviation , volatility , beta
, duration , Value at Risk )
 Relevance of selection of which
measure of risk to use for which
asset classes
 Understanding, computing and
2 applying different measures of Ch 5 BKMM
return : ( Historical return Vs
expected Return ) Arithmetic Mean
Vs Geometric Mean
 Different Steps In Investment
Management ( Identification of
Financial Goal , Measuring Risk
Tolerance , Asset Allocation ,
Portfolio Execution , Portfolio
rebalancing and Portfolio
measurement and Attribution)

Asset Allocation Decision : Class

 Understanding of different asset Discussion
classes and their characteristics and Class
( risk , return , liquidity and Exercise
correlation with other asset
3 classes) Ch 5 BKMM
 Meaning of Asset allocation
 Importance of Asset Allocation
 Empirical evidence on Asset
Allocation

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  Role of Asset allocation in
meeting financial goals
Efficient Market Hypothesis: Theory, Class
tests , results, behavioral biases and Discussion
implications
 Meaning of efficient market and
its three different forms
 Tests and empirical evidence of Ch 11 &13 BKMM
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the three forms of Efficient
markets
 Relevance of EMH for
technical analysis , fundamental
analysis and portfolio
management
Optimal Portfolio Selection Class
(Markowitz Portfolio theory) Discussion
 Concept of optimization of and Class
portfolio ( highest return for Exercise
given risk or minimum risk for
given return )
5 Ch 6 & 7 BKMM
 Role of pair wise covariance in
reducing risk
 Concept and computation of
efficient frontier for three or
more assets in a portfolio

Index Models, CAPM, Relationship Class

between systematic risk and return: Discussion
 Expected return beta and Class
relationship Exercise Ch 8 &9 BKMM
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 Estimating the SCL
 Estimating the SML
 Meaning and estimation of
CML
Arbitrage Pricing Theory and Class
Multifactor Models: Discussion
 Concept of APT models and its and Class
7 different implementations Exercise Ch 10 BKMM
 Multifactor models
 Fama French 3 factor model
and its extensions
8-9 Equity Portfolio Management Class
Ch 16 RB , Ch 7 (
Strategies Discussion
CFA series)
 Passive Vs Active Management

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  Active Equity Portfolio and Class
management strategies Exercise
( Value vs Growth)
 Core and Satellite Approach
 Implemention of Passive approach
through ETFs and Index mutual
funds
 Implementation of Active approach
through actively managed mutual
funds and Portfolio Management
services (PMS ).
 Suitability of different approaches
for different types of investors
Quantitative Equity Portfolio Class
Management Discussion
 Meaning and growing use of and Class
QEPM Exercise
 How different and similar Reading to be
10-11 QEPM is with traditional provided
approach of Portfolio
Management
 Illustation of sequential ad
Simultaneous screener approach
in QEPM
Fixed Income Portfolio Class
Management Discussion
 How fixed income portfolio and Class
management is different Exercise
from Equity portfolio
management
 Concept and Illustration of Ch 19 RB , Ch 6
12-13
Immunization (CFA series)
 Understanding and
illustration of Duration and
Convexity as measure of
Fixed income Portfolio risk
 Bond indices

Alternative Investments Portfolio Class

Management Discussion
( focus on REITs)
14 Ch 8 (CFA series)
 Overview of different asset
classes other than public equity
and Debt like gold , real estate ,

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 managed futures , hedge funds ,
private equity
 Characteristics of these asset
classes in comparison with
traditional asset classes and
importance in portfolio
 Overview of REITs , meaning ,
listing , investment and
suitability of investors
Portfolio Execution , Revision/ Class
Rebalancing Discussion
 Portfolio implementation
choices ( directly buying
securities or via mutual funds)
and its trade offs
 Concept and importance of Ch 10 ,11 (CFA
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Liquidity ( impact cost ) series)
 Different Types of orders ( limit
, market etc)
 Overview of algorithmic
trading
 When to rebalance the portfolio
and how to rebalance portfolio
Portfolio Performance Evaluation Class
 Portfolio performance measures Discussion
(Treynor ratio, Sharpe ratio, and Class
Jensen’s Alpha, Information Ratio Exercise
etc.)
 Performance Attribution Analysis (
relative importance of asset
allocation , market timing and
Ch 24 BKMM
16-17 security selection in portfolio
Group Assignment 2
performance)
 Market Timing ( importance and
measurement)
 Style Analysis (meaning,
importance and measurement) .
Focused discussion wrt to SEBI
decision on multi cap funds

International Portfolio Management Class

 Differences between investing Discussion
18 Ch 25 BKMM
in developed markets and
emerging markets

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  Role of international securities
in portfolio and its impact on
efficient frontier
 Additional risks in international
investment ( exchange rate risk
, geopolitical risk )
 International Investing and
portfolio performance
attribution
Regulations in Portfolio Class
Management Discussion
19 Sebi website
SEBI (Portfolio Managers) and Class
Regulations, 2020 (PMS Regulations) Exercise
20 Group Project Presentation

PART 3: SUPPLEMENTARY INFORMATION

Group Project 1:
Each group (comprising 5-6 members) of students is required to work on a group assignment.
Each group would be assigned real life case of an individual or institutional client whose
portfolio needs to be constructed using the principles studied in the course. All relevant
information regarding the client would be provided in the case. The Group would be required
to
1. Construct an Investment Policy Statement (IPS) of the client keeping in mind the
objectives and the constraints of the client.
2. Mention the scope and limitations of the IPS
3. Frequency of review of the IPS

CLO mapping: This project is mapped to CLO2

Group Project 2:
Each group (comprising 5-6 members) of students is required to work on a group project .Each
group would be required to conduct a performance evaluation and attribution analysis of a
mutual fund.
Groups would be assigned a mutual fund and they would be required
1. To measure, risk and return for different holding periods and compare and comment on
the performance with the benchmark and with peer group.

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 2. To compute different metrics of performance like Jensen’s alpha , Treynor’s ratio ,
Sharpe’s ratio and comment on the performance
3. To identify the style strategy used by the fund and comment whether there has been
any drift from the stated strategy
CLO mapping: This project is mapped to CLO3

PLO MAPPING FOR THE COURSE

Addressed CLO
by No.
PLO# Program Objective
Course?
(Yes / No)
Application of Fundamentals
PLO1 Traits: Demonstrate application of functional / conceptual knowledge Yes CLO1
to business situations
CLO2
Problem Identification and Solution CLO3
PLO2 Traits: Demonstrate ability to identify a problem, critically assess Yes
various alternatives and suggest appropriate solution

Integrative Thinking CLO2,

Traits: Demonstrate ability to identify inter-linkages among functional CL03
PLO3 No
areas within an enterprise and assess the impact of external
environment on its performance
CLO2,
Effective Communication CL03
PLO4 Traits: Demonstrate proficiency in Oral and Written Communication No

Ethical Responsibility CLO2

PLO5 Traits: Demonstrate awareness and assess impact of ethical behavior No
on business
Leadership
PLO6 Traits: Demonstrate capability to take leadership role in a business NO
situation

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