Syllabus for Final Term Exams Fall 2022

Asset Pricing Models

• CAL/CML Model
• CAPM
• 3 Factor Fama French Model
• 4 Factor Carhart Model
• Cost of Equity / Required rate of Returns calculation through CAPM/3FFFM/4FCM
• Cost of Equity / Required rate of Returns calculation through CAL/CML Model
• Beta Calculation

Efficient Market Hypothesis

• What is EMH
• How it is linked with Investing Styles (Active vs Passive)
• Who are Active Investors (Alpha Hunters)
• Who are Passive Investors (Beta Grazers)
• How Can We Construct Passive Portfolio?
• What is Alpha Return?
• What is Jensen’s Alpha

Portfolio Optimization & Allocation

• Strategic Vs Tactical Asset Allocation

• Portfolio Risk and Return for N Asset Portfolio Using Matrix Algebra Functions in Excel
• Portfolio Optimization (Minimize Variance, Maximize Return, Maximize Sharpe, Maximize
Utility)
• Portfolio Optimization: Construction of Investment Possibility Set (Cloud of Portfolios)
• Portfolio Optimization: Construction of Corner Portfolios (Efficient Frontier)
• Portfolio’s Performance Measures (VaR, Roy’s SFR, Shortfall Risk, Sharpe, Treynor, M2, Alpha,
Tracking Error, Information Ratio)

Technical Analysis

• Underlying Assumptions of Technical Analysis

• Implications of EMH on the usability of Technical Analysis
• Trading Rules for Contrarians and for Follow the Smart Money Traders
• Momentum Indicators
Security Valuation (Fundamental Analysis)

• Fundamental Analysis
• Implications of EMH on the usability of Fundamental Analysis
• Stock/Asset Valuation using DCF Approach (Based on Dividend, FCFF, FCFE and Cash flow
measures)
o Zero Growth Model
o Constant Growth Model
o Variable Growth Model
• Stock/Asset Valuation using Relative Valuation Technique (P/E, P/CF, P/BV, P/S)
• Stock/Asset Valuation using Hybrid (Intrinsic or Justified P/E Approach)
• How to calculate g (Sustainable growth Rate) (RRxROE)

Financial Statement Analysis (Fundamental Analysis): Just Review based on Previous Knowledge

• Ratio Analysis
• Dupont Analysis