MBA AF 628
Portfolio Analysis and Investment Management

This course presents capital market securities, operations, valuation, and investment techniques. Specifically, the course covers definitions of various investment vehicles, operation of the NYSE and NASDAQ markets, portfolio theory (CAPM and APT), valuation of stocks and bonds, and investor capital allocation decisions-including discussions of mutual fund selection.

The term project covers mutual fund/stock/bond returns.




Major Points on the Compass
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SBBI : Stocks, bonds, bills, and inflation

Ibbotson Associates, 2007
Location: Reserve Stacks (2nd floor)
Call Number: HG4501 .S7949 2007

Map out ASSET CLASSES broadly.



Illustrate the Trends

T_chart.png

Stock prices: historical data

Download to Excel from Yahoo Finance

Calculate returns; Dividends

May-09
$ 0.15 Dividend
May-09
4.15
5.74
4.01
5.23
694,500
5.23
Apr-09
4.06
5.00
3.52
4.15
771,300
4.03
Mar-09
5.40
5.40
2.36
3.92
916,600
3.81

S&P http://finance.yahoo.com/q/hp?s=%5EGSPC
DJIA http://finance.yahoo.com/q/hp?s=%5EDJI

Data Page (via Georgia Tech)




MSN Money Indexes Page
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Understand the Strategies: Portfolio Specifics, Taxes, Management Fees

Individual Funds

Use company web sites; i.e. Vanguard

Vanguard funds appearing on the Forbes "Best Buys" list




Be Aware of Macroeconomic Environment

International Financial Statistics Online Service:Reports for most countries of the world, current data needed in the analysis of problems of international payments and of inflation and deflation, i.e., data on exchange rates, international liquidity, money and banking, interest rates, prices, production, international transactions, government accounts, and national accounts.

This is a Healey Library subscription, access the service through:


Interest Rates
Percent Per Annum


Discount Rate (End of Period)

11160...ZF...

Federal Funds Rate

11160B..ZF...

Commercial Paper Rate

11160BC.ZF...

Treasury Bill Rate

11160C..ZF..



Individual Companies

Financial data from SEC filings (10-Ks and 10-Qs)
  • For this data, Healey Library subscribes to Mergent Online, an Internet-accessible subscription service covering 10,000 public companies and their SEC filings. These 10,000 companies are the mainstay of the U.S. equities markets. Mergent also includes an equivalent number of international firms, but be careful of differing accounting standards, etc.
  • This data is easy to retrieve and manipulate in Excel spreadsheets. The learning curve is very short.
  • This data consists of legally required corporate filings, and the financial data is drawn from the Balance Sheet, Income Statement,Retained Earnings and Cash Flow statements.
  • Market data, such as closing stock prices, are not included (see below for other sources)
  • Mergent lends itself to company comparisons, which are quite easy to manipulate; setting up financial screens (searches limited to financial criteria and ranges) is also possible.
  • As a rule of thumb, try some sample searches and screens before narrowing your project topic too much; i.e. see how the data lends itself to possible lines of analysis. For example, screening for firms with EBITDA > $1Billion yields 883 companies; how would you manage a data set this large?
  • You can often demonstrate your grasp of the material, your presentation skills and originality with smaller, malleable data sets..

Company Dossiers via the LexisNexis service, with detailed instructions

With LexisNexis we can find not only general information on a company, but also its Securities and Exchange Commission (S.E.C.) filings. Both the dossier and S.E.C. filings are important. The dossier will provide information about a company, including current news about the company, financial information, legal information, and even copyrights the company holds. The S.E.C. filings could also be important to you, as the filings are what the company officially has on record with the government. Of particular interest in an S.E.C. filing (form 10-K) are sections 7 and 7a. Section 7 is “Management’s discussion and Analysis of Financial Condition and Results of Operations,” and section 7a is “Quantitative and Qualitative Disclosures about Market Risk.” It’s easy to see why these sections are important—this is direct from company management. The information provided in sections 7 and 7a can provide a trustworthy “heads up” for investors or researchers.



Brokers Reports: Buy Hold Sell

LexisNexis Academic
Investext

Select SOURCES
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Select COMPANIES & ORGANIZATIONS
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Select COMPANY ANALYST REPORTS
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Select INVESTEXT CURRENT REPORTS
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Select: OK-CONTINUE
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Select Date Range, Search under company name

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Focus on topics and concepts

ScienceDirect


54 articles found for: TITLE(bond return)
Inflation and rates of return on long-term bonds
Economics Letters,
Volume 20, Issue 2, 1986, Pages 125-127

227 articles found for: TITLE(portfolio) and TITLE(management or performance or return)
The value of active portfolio management
Journal of Economics and Business,
Volume 56, Issue 4, July-August 2004, Pages 331-346
Ravi Shukla


24 articles found for: TITLE(treasury bond) Bond durations: Corporates vs. Treasuries
Journal of Banking & Finance, Volume 31, Issue 12, December 2007, Pages 3720-3741
Holger Kraft, Claus Munk






Business Source Premier

bonds_bills1.jpg

Defining the level of abnormal return underperformance that exists for issuers of high-yield bonds. Wolfe, David R.. Applied Financial Economics, May2009, Vol. 19 Issue 10, p779-794, 16p, 4 charts;

Returns-Based Style Analysis of Convertible Bond Funds. DOMIAN, DALE L.; REICHENSTEIN, WILLIAM.
Journal of Fixed Income, Winter 2009, Vol. 18 Issue 3, p52-64, 13p;