Investment Management: Theories, Models, and Portfolio Analysis

This report critically analyzes various investment theories and models, including the Capital Asset Pricing Model (CAPM), single-index model, Arbitrage Pricing Theory (APT), and the Fama-French three-factor model. It examines the application of these theories in portfolio management, considering the choice of assets from cyclical and defensive industries based on economic indicators. The report calculates call and put option prices using the Black-Scholes model and discusses the implications of mark-to-market settlements in the futures market. Additionally, it evaluates portfolio performance using metrics like the Treynor measure, Sharpe ratio, Jensen’s alpha, and the Information ratio, alongside Morningstar's risk-adjusted return model. The report provides a comprehensive overview of investment strategies, risk management, and financial analysis techniques.