Investment Analysis & Portfolio Management
SUMMARY
The primary objective of the workshop is to enable participants to evaluate alternative investment strategies and develop a good understanding of the risk-return trade-off when investing in shares of companies listed on regional and other major stock markets. Topics include measuring risk and return, designing portfolios, measuring the minimum risk portfolio, determining efficient, inefficient and optimum portfolios, pricing risk, valuing equities, valuing fixed income securities (government bonds), assessing/measuring the performance of an investment fund (mutual fund). Participants will gain a good understanding of each of the topics through a variety of means; including quizzes, computer exercises, and case study discussions.
DAY 1
Introduction
- Risk/Return Trade-off
- Expected Return & Risk
- Diversification I
- Portfolios
- Risk & Diversification
- Average Return (Mean) and Standard-Deviation
Example 1: Risk/Return Trade-offs of Individual Securities listed on one of the Middle Easter Stock Exchanges.
Example 2: Constructing a Portfolio of Securities listed on one of the Middle Eastern Stock Exchanges.
Portfolio Theory & Capital Asset Pricing Model (CAPM)
- Mean-Variance Analysis
- Efficient Frontier
- Two-fund Separation Theorem
- Diversification II
- Market Portfolio & CAPM
Example 3: Estimating Market Risk (Beta factor), unique risk, and Other Relevant Variables for Portfolio Construction using companies listed on the local market.
Day 2
Valuation of Equities
- Types of Equities
- Dividend Valuation Model
- Constant Growth Model
- Valuation of Growth Stocks
- Earnings Valuation Model
- Price-Earnings Ratio & Stock Valuation
Are Stock Markets Efficient?
- Random Walk
- Forms of Market Efficiency
- Implications of market efficiency for investors & corporate financial managers.
Example 4: Valuing a Middle Eastern Listed Company
Day 3
Valuation of Risk Free Bonds
- Bond Prices
- Repayment Schedule
- Yield to Maturity
- Coupon Yields
- Calculation of Accrued Interest
- Spot & Forward Rates
- Discount Factors & Forward Rates
- Relationship between Bond Yields & Bond Prices
- Relationship between Coupon Rates & Bond Price Volatility
- Duration
- Immunisation
- Active Bond Portfolio Strategies
Example 5: Bond Portfolio Construction using US$, Euro, Yen etc government bonds
Portfolio Performance Measurement
- Risk-Return Trade-off
- Ex-ante & Ex-post Risk
- Active & Passive Investment Strategies
- Simple Measures of Performance
- Performance Measures
- Other Performance Related issues.
Example 6: Assessing the Performance of a Middle Eastern Mutual Fund