MBA AF 628: Portfolio Analysis and Investment Management

Wall_st.gifThe primary purpose of this course is to provide a clear understanding of risk, return and arbitrage - the underpinning of any investment strategy. Financial models to measure and manage different dimensions of risk, identify arbitrage pricing relationships among various securities and implement portfolio strategies is emphasized.

The group project for this course is meant to bridge/connect classroom learning to events from the financial world. The goal here is to write a report you will be confident of taking with you to a job interview. The real point of this exercise is to develop the ability to think for yourself. Pursue any idea to a deliverable product.

The project must demonstrate your grasp of the material, your presentation skills and the originality of your approach.

Course topics:
  • Portfolio Theory: Rate of return, Risk and Risk Aversion / Capital allocation and optimal portfolios
  • Capital Asset pricing / Empirical Evidence & Performance evaluation / Security analysis: Equity valuation models
  • Option Markets / Option valuation / Futures Markets
  • Swaps / Fixed Income: Bond Prices and Yield / Fixed Income: Term structure of ROI

Researching Your Projects in Portfolio Analysis and Investment Management

Librarian available for email questions or in-person consultations: George Hart


Data falls into a few major categories. It's important to design a topic that is workable in terms of available data.

Major Data Categories

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..

Market data: stock prices

  • The easy, convenient way is to search Yahoo Finance and download the data to Excel
  • For company comparisons, and for comparing indices, Yahoo Finance is easy and efficient

Journal Articles

  • This category includes scanning for topics as well as researching background information on specific topics.
  • In general, journal articles reflect the professional concerns of money managers, or they report on news in the markets, or they incorporate academic theory into portfolio performance
  • You can clearly scan our databases for professional practice articles, news tracking, and theoretical treatments.
  • The search above includes an article that "examines the accounting and stock price performance of two Canadian airlines, WestJet and Air Canada, over a five year period, taking into account the aftermath of the systemic shock to the airline industry produced by the September 11, 2001 (9-11), terrorist attacks and subsequent events . . .and finds WestJet to be much less affected by catastrophic industry events. By decomposing each airline's return volatility, we observe that WestJet's systematic and unsystematic risk increased only slightly during the industry's post-9-11 turmoil when compared to Air Canada."
  • A second article in the above search examines if "investments in customer satisfaction lead to excess returns? If so, are these returns associated with higher stock market risk . . . and finds that customer satisfaction, as measured by the American Customer Satisfaction Index (ACSI), is significantly related to market value of equity."
  • Both of the articles above use COMPUSTAT data.
  • Exploratory searches in Business Source Premier are one essential way of effectively grounding the focus and scope of your project.
  • Please contact librarian George Hart if your database searches are not yielding good articles. There are other databases we can suggest.

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