Escolar Documentos
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Presented By: Nirali Mehta(M00144) Harsh desai(M00148) Sanjay Thacker(M00130) Umang Chavda(M00131)
FLOW OF PRESENTATION
Flow of Presentation Scope of the project Introduction of the topic Industry Profile Company Profile Research Methodology Findings Suggestions Learnings References
Other Market
Financial Market Derivatives Market OTC
Stock Market
Foreign Exchange
http://www.icra.in/
BROKERAGE INDUSTRY
Two type of market The primary market The Secondary market Stock exchange is the part of an auction market Market Capitalization: $989 bn., Listed Companies: 1635 Turn over of equity: 25% proprietary, 30% retail, 45% institutional Trading in NSE and BSE
Cash NSE BSE 34% 14% Equity 48% 07% Debt 31% 26%
Both
52%
45%
43%
Growth in equity brokerage: Decrease 46%(in 2011) to 5%(in 2012), and increase in 2013 to 16%.
http://www.icra.in/
http://www.icra.in/
STRATEGIC ANALYSIS
New entrants
buyer Avg.
Substitute product
Authors own compilation
Competitors
MARKET STRUCTURE
FOLLOW ER: The players like 5 paisa, Motilal Oswal, HDFC Securities, Kotakstreet are the followers.
LEADER
ICICIdirect.com is a leader in the online account which is having 1, 24,000 accounts in the country. While in offline account Share khan is leading with 64,000 offline accounts.
NICHER
ICICIdirect.com and Kotak street.com are the two stock broking houses which are focusing only on online investors.
Sharekhan, Kotakstreet and Indiabulls come under this head. Sharekhan challenges competitors by providing quality services and research based CHALLEN advice. Indiabulls is also challenging with low brokerage rates and class one services. GER
COMPARATIVE ANALYSIS
A/c Brokerage COMPANY Opening (Intraday, Charges Delivery) Marwari Share khan NIL NIL 3p,30p 5p,50p AMC Trading Interest Debit Mode of Margin Exposure Rate Period Trading Money 5 times 18% 19% T+2 T+4 Online/ Rs 5000 Offline Online/ Rs 5000 Offline Online/ Offline NIL Rs 350pa
50p,75p
18%
T+2
India bulls
Angel broking
Rs 900
Rs 660
3-4p, 30-40p
3p,20p
NIL
Rs 225
4-5 times
4-6 times
17%
18%
T+2
T+2
Online/ Offline
Both
NIL
Rs 5000/ 10,000
INTRODUCTION TO RESEARCH
Objective of Secondary Research To know the best performing script in the market on the Basis of Sharpe Ratio Four type of Indices: 1. Broad-Based Index 2. Sector Indices 3. Thematic Indices 4. Strategy Indices
RESEARCH METHODOLOGY
Population: 66 Indices & 5286 stocks listed on NSE and BSE
Sample size:
We have analyzed 35 indices to know that which index is more profitable. We have analyzed scripts of all Sector indices. Our sample size is 35 indices & 149 stocks
Sharpe ratio
Sharpe ratio Describe how much excess return you are receiving for the extra volatility that you endure for holding a riskier assets. S(X) = (Rx-Rf )/Stdev(x) Where, X = investment Rx = average rate of return of X Rf = best available rate of return of a risk free security Stdev (x) = standard deviation of Rx
http://www.investopedia.com/articles/07/sharpe_ratio.asp
SECTORIAL INDICES
Return AUTO BANK ENERGY FINANCE FMCG IT MEDIA METAL PHARMA PSU BANK REALTY 0.32 0.23 0.17 0.26 0.24 0.27 0.15 0.38 0.18 0.15 -0.12 Risk 0.66 0.42 0.42 0.47 0.24 0.60 0.51 0.92 0.25 0.42 0.55 Sharp Ratio 0.37 0.35 0.21 0.40 0.70 0.31 0.14 0.33 0.38 0.18 -0.36
Sectorial indices
2.00 1.50 1.00 0.50 0.00 -0.50 auto bank energy finance fmcg IT media metal pharma psu bank realty
Return
Risk
Sharp Ratio
Return: Metal, IT, Finance Sharp Ratio: FMCG, Finance, Pharma Authors own compilation
SCRIPT ANALYSIS
AUTO SECTOR
RETURN RISK SHARPE RATIO
AMARA RAJA
BOSCH AMTEK BAJAJ HERO MOTOCORP EICHER MOTORS M&M MRF EXIDE ASHOK MOTHERSON APOLLO MARUTI BHARAT TATA
0.423
0.272 0.120 0.727 0.045 0.527 0.322 0.464 0.189 0.214 0.152 0.153 0.310 0.123 0.490
0.939
0.191 0.692 1.554 0.067 0.660 1.061 0.745 0.766 0.892 0.493 0.670 0.731 0.885 1.419
0.365
1.005 0.058 0.416 -0.528 0.677 0.228 0.515 0.143 0.151 0.145 0.110 0.315 0.049 0.289
CONT.
Auto
2.00 1.50 1.00 0.50 0.00 -0.50
-1.00
Return Risk Sharp Ratio
Return- Bajaj, Eicher Motors, TATA Sharp Ratio: Bosch, Eicher Motors, MRF
Bank
RETURN SBI HDFC AXIS KOTAK INDUS ICICI UBI PNB BOB CANARA BOI 0.222 0.211 0.180 0.387 0.571 0.260 0.123 0.098 0.210 0.144 0.179 RISK 0.497 0.525 0.586 0.930 1.111 0.521 0.472 0.344 0.508 0.527 0.411 SHARPE RATIO 0.286 0.250 0.171 0.330 0.442 0.346 0.092 0.053 0.256 0.121 0.242
Bank
1.20 1.00 0.80 0.60 0.40 0.20 0.00
ubi kotak
pnb
SBI
icici
axis
HDFC
BOB
Return
Risk
Sharp Ratio
Canara
indus
BOI
FINANCE SECTOR
RETURN REL CAP BAJAJ HDFC SHREE RAM MAHINDRA LIC PFC IDFC REC LTD 0.632 0.500 0.156 0.690 0.195 0.297 0.178 0.349 0.514 RISK 1.377 0.677 0.537 1.023 0.639 1.013 0.586 0.937 1.091 SHARPE RATIO 0.401 0.621 0.141 0.596 0.180 0.214 0.168 0.287 0.398
Finance
1.50 1.00 0.50 0.00
Return
Risk
Sharp Ratio
Return: Shree Ram, Rel. Capital, Rec. Ltd. Sharp Ratio: Bajaj, Shree Ram, Rel. Capital
FMCG SECTOR
COMPANY NAME HINDUNILVR Return 0.18 Risk 0.10 Sharp Ratio 1.01
ITC
DABUR COLPAL GODREJCP EMAMILTD
0.02
0.18 0.25 0.27 0.19
0.42
0.57 0.31 0.53 0.58
-0.13
0.17 0.56 0.35 0.19
BRITANIYA
TATA EID GSK UBL
0.12
0.20 0.00 0.40 0.83
0.45
0.50 0.59 0.47 0.99
0.09
0.25 -0.14 0.69 0.76
PGHH
JUBL FOOD MCD MCLEODRUSS
0.25
0.30 0.84 0.58
0.43
0.37 1.31 1.58
0.40
0.60 0.58 0.32
CONT.
FMCG
2.00 1.50 1.00
0.50
0.00 -0.50
Return Return: MCD, UBL, Mcleodruss. Sharp Ratio: Hindunilvr, UBL, GSK
Risk
Sharp Ratio
IT SECTOR
POLARISE HCL KPIT ECLERX MINDTREE OFSS INFI TCS NIITTECH WIPRO NAUKRI MPHSIS TECHM PERSISTANCE HEXAWARE CMC COREDUTEC FINATECH ROLTA RETURN 0.245 0.395 0.334 0.653 0.481 0.928 0.171 0.139 0.268 0.121 0.190 0.425 0.432 0.411 0.272 0.539 -0.354 0.161 0.309 RISK 1.175 0.870 1.393 1.482 0.982 1.791 0.471 0.430 0.652 0.740 0.780 1.457 1.284 0.587 1.307 1.247 0.824 0.924 0.901 SHARPE RATIO 0.140 0.362 0.182 0.387 0.408 0.473 0.192 0.137 0.289 0.056 0.141 0.236 0.274 0.564 0.147 0.368 -0.527 0.088 0.254
CONT.
IT
2.00
1.50 1.00 0.50
0.00
persistance
mphsis
hexaware
mindtree
ofss
niittech
hcl
wipro
naukri
techm
finatech
polarise
eclerx
-0.50 -1.00
Return
Risk
Sharp Ratio
Return: OFSS, ECLERX, CMC Sharp Ratio: PERSISTANCE, OFSS, MindTree Authors own compilation
coredutec
rolta
infi
tcs
cmc
kpit
MEDIA SECTOR
RETURN D.B. CORP LTD 0.071 RISK 0.315 SHARPE RATIO -0.028
PVR
DEN NETWORK LTD ENTERTAINMENT NETWORK EROS INTERNATIONAL LTD HATHWAY CABLE AND DATACOM LTD HINDUJA VENTURE LTD HT MEDIA
0.401
0.513 0.225 0.039 0.412 0.176 -0.038
0.765
1.711 0.663 0.233 1.023 0.885 0.586
0.419
0.253 0.218 -0.175 0.324 0.108 -0.201
0.226
0.213 -0.535 0.019 -0.029 0.128
0.888
1.255 0.378 0.642 0.335 0.629
0.164
0.106 -1.625 -0.095 -0.325 0.075
CONT.
Media
2.00 1.50
1.00
0.50 0.00
-0.50
-1.00 -1.50 -2.00 Return Risk Sharp Ratio
Return: Den Network Ltd., Hathway Cable and datacom Ltd., PVR. Sharp Ratio: PVR, Hathway Cable and data com Ltd., Den Network Ltd. Authors own compilation
METAL
RETURN BHUSHAN STEEL LIMITED COAL INDIA LIMITED GUJARAT MINERAL DEVELOPMENT CO. HINDALCO INDUSTRY HINDUSTAN COPPER LIMITED JINDAL SAW LIMITED JINDAL STEEL & POWER LIMITED JSW STEEL LIMITED MOIL LIMITED 0.771 -0.016 0.244 0.240 -0.392 -0.018 0.418 0.767 -0.164 Risk 1.644 0.183 0.963 1.035 0.140 0.782 0.624 1.451 0.468
SHARPE RATIO
0.420 -0.523 0.170 0.154 -3.367 -0.125 0.542 0.474 -0.522
0.082
0.135 0.578 0.268 -0.591
0.724
0.813 1.729 0.821 0.246
0.002
0.068 0.288 0.230 -2.728
CONT.
2.00 1.00
Metal
0.00 -1.00
-2.00 -3.00 -4.00
Return
Risk
Sharp Ratio
Return: Bhushan Steel Limited, Jsw Steel Limited, Seel Authority of India Limited. Sharp Ratio: Jindal Steel & Power Ltd., Jsw Steel Limited, Bhushan Steel Limited Authors own compilation
PHARMA
RETURN CADILA CIPLA DIVI'S LAB. 0.016 0.080 0.067 RISK 0.295 0.369 0.491 SHARPE RATIO -0.217 0.000 -0.026
Pharma
0.80 0.60 0.40 0.20 0.00 -0.20 -0.40 Return Risk Sharp Ratio
DR.REDDY
GLEXO GLEN MARK LUPIN RENBEXY SUN PHARMA
0.210
0.136 0.102 0.144 0.009 0.088
0.531
0.228 0.489 0.570 0.499 0.381
0.245
0.244 0.045 0.113 -0.143 0.021
Return: Dr.reddy, Glexo, Lupin. Sharp Ratio: Dr.reddy, Glexo and Lupin.
REALTY
SHOBHA GODHRAGE OBEROI THE PHOENIX ANANT RAJ LTD UNITECH LTD INDIA BULLS DLF PRESTIGE HOUSING DEV. RETURN 0.155 -0.234 0.002 0.158 -0.157 0.110 -0.103 -0.173 0.279 0.047 RISK 0.783 0.440 0.322 0.872 0.789 0.981 0.650 0.390 1.099 1.106 SHARPE RATIO 0.096 -0.712 -0.242 0.090 -0.301 0.030 -0.282 -0.649 0.181 -0.030
Realty
2.00 1.00 0.00 -1.00 Return Risk Sharp Ratio
ENERGY SETOR
CAIRN INDIA GAIL NTPC BPCL INDIAN OIL PGCI ONGC RELIENCE TATA POWER REL. POWER RETURN 0.077 0.164 0.096 0.018 -0.041 -0.028 0.035 0.176 0.169 -0.028 RISK 0.322 0.555 0.353 0.362 0.360 0.257 0.484 0.556 0.742 0.365 SHARPE RATIO -0.009 0.151 0.046 -0.170 -0.336 -0.422 -0.093 0.172 0.120 -0.295
Return: Reliance, Tata Power and Gail Sharp Ratio: Reliance, Gail and Tata Power
ENERGY
1.500 Axis Title 1.000 0.500 0.000 -0.500 SHARPE RATIO RISK RETURN
PSU SECTOR
SHARPE RETURN RISK RATIO Syndicate Bank INDIAN oVERSEAS Bank Indian Bank Orient bank Andhra Bank IDBI Allahabad Bank 0.133 0.194 0.123 0.066 0.065 0.102 0.189 0.457 0.595 0.472 0.506 0.487 0.630 0.652 0.115 0.191 0.092 -0.028 -0.030 0.036 0.167
PSU BANK
1.500 1.000 0.500 0.000
DERIVED SCRIPTS
AUTO BANK FINANCE FMCG IT METAL
HINDUNILVR, COLPAL, GODREJCP, GSK, UBL, PGHH, JUBL FOOD, MCD, MCLEODRUSS
HCL, ECLERX, MINDTREE, OFSS, PERSISTAN CE, CMC, PVR, HATHWAY CABLE AND DATACOM LTD
BHUSHAN STEEL LIMITED, JINDAL STEEL & POWER LIMITED, JSW STEEL LIMITED
We have derived these scripts who have Sharpe ratio more than 0.30. Some sector like media, realty, PSU bank, energy, pharma etc are not giving good Sharpe ratio so we have ignore those all sector Authors own compilation
RESEARCH METHODOLOGY
Objective
This Study is Conducted by us for understanding that how professionals are creating portfolios
Population: This study is limited to interviewing the Financial Advisor who is creating their own portfolio for their clients. Sample size: We haveTaken 5 interview for understanding creation of portfolio
Company ING VYSYA Shree investment Name Kunal joshi Shailesh Mittal ICICI Bank Vikash Verma Angel broking Marwadi shares Bipin Rajput Bhavik Shah
FINDINGS
we are able to know that portfolio functioning was based on Market risk, so one can get the help from the professional portfolio manager or merchant banker if required before investment because applicability of practical knowledge through analysis can help an investor to reduce risk.
Researcher told us that in a selection of securities main three parameters we should consider they are as follows,
Economy Industry Company They are also considering investors interest area
If we see the elimination part than we are able to know that it depends on the risk taking capacity of the investors and performance of the company as well as growth of industry. For elimination of script they are also considering BCG Matrix(Company Growth Rate, Industry Growth Rate)
PORTFOLIO THEORY
PORTFOLIO
Portfolio means a collection of securities owned by an investor . It represents the total holdings of a securities belonging to any person.
Types of Portfolio
Conservative portfolio and aggressive portfolio Domestic portfolio and International portfolio Optimal portfolio and Minimum variance portfolio
P O R T F O L I O
Security analysis
First step of portfolio management. Mainly involves evaluation and the risk return features of individual securities Types: Equity share, preference share, debentures and bonds Include fundamental analysis and technical analysis. Portfolio refers to a group of security. After analyzing securities Investor can make more then one combination of securities. Evaluate each combination according to risk and return . This phase require Statistical calculation for calculate risk and return Third and most important phase of portfolio creation. Done on the bases evaluation of all combination. Select the combination which give maximum return at lowest possible risk Risk taking ability of investor is also impact on selection of portfolio.
Portfolio analysis
Portfolio Selection
Portfolio revision
Economy and financial market both are not stable Because of the changes in both factor revision of portfolio require. Because of this changes it may arise new opportunities for the investor. Other securities may also promise high return with low risk Investor have choice to sell existing security and purchase new security
Check performance of portfolio Record performance of portfolio over a selected period of time in term of risk and return This shows result of investment decisions taken by investor. This helps investor to improve his decision making
Portfolio evaluation
M A N A G E M E N T
Advantages
Disadvantages
Asset choice
Lower maintenance
Missed windfall
Increased exposure
http://wiki.fool.com/Advantages_and_Disadvantages_of_a_Diversified_Portfolio
PORTFOLIO CREATION
5 MRF 0.46 0.75 0.52 0.03 16 GODREJCP 0.27 0.53 0.35 0.03 27 persistance Maruti 6 Suzuki India 0.31 0.73 0.32 0.03 17 gsk 0.40 0.47 0.69 0.03 28 cmc 7 Kotak 0.39 0.93 0.33 0.03 18 ubl 0.83 0.99 0.76 0.03 29 PVR Hathway cable 8 Indus 0.57 1.11 0.44 0.03 19 pghh 0.25 0.43 0.40 0.03 30 and datacom ltd Bhushan Steel 9 Icici 0.26 0.52 0.35 0.03 20 jubl food 0.30 0.37 0.60 0.03 31 Limited Jindal Steel & 10 rel cap 0.63 1.38 0.40 0.03 21 mcd 0.84 1.31 0.58 0.03 32 Power Limited mcleodrus Jsw Steel 11 Bajaj 0.50 0.68 0.62 0.03 22 s 0.58 1.58 0.32 0.03 33 Limited
Calculate V (Step 2)
Standard Deviation Matrix Correlation Matrix V = ((D*C)*D) Excel Formula V =MMULT(MMULT(D,C),D) Matrix Step 2.xlsx
CONT.
CONT.
CONT.
EFFICIENT PORTFOLIOS
Sr. No SCRIPT Return 1 BOSCH LIMITED 0.27 2 EICHER MOTORS LIMITED 0.53 3 HINDUNILVR 0.18 4 COLPAL 0.25 5 GSK 0.4 6 UBL 0.83 7 PGHH 0.25 8 JUBL FOOD 0.3 9 MCD 0.84 10 PERSISTENCE 0.41 11 PVR 0.4 JINDAL STEEL & POWER 12 LIMITED 0.42
RETURN S.D. R. S.R.
Risk 0.19 0.66 0.1 0.31 0.47 0.99 0.43 0.37 1.31 0.59 0.77
0.62
Sharpe Sharpe Sharpe Sharpe Sharpe ratio 2 ratio 3 ratio 4 ratio 5 ratio 6 0.64 0.67 0.66 0.63 0.61 0.02 0.01 0 0 0 0.05 0.06 0.06 0.07 0.07 0.02 0.01 0 0 0 0.02 0.02 0.01 0.01 0.01 0.04 0.01 0 0 0 0.01 0 0 0 0 0.01 0 0 0 0 0.01 0 0 0 0 0.04 0.06 0.08 0.1 0.11 0.02 0.01 0 0 0 0.12 1 0.33 0.16 2 0.16 1 0.31 0.1 3 0.18 1 0.31 0.08 4 0.19 1 0.31 0.06 5 0.2 1 0.31 0.05 6
LEARNINGS
We learnt different types of indices available in the stock market. We learnt about levels at which invest and sell a particular stock. We learnt about the market factors which impact the stock market. We learnt to use MS. Excel with the advanced statistical tools and techniques. We learnt to use advanced tools like Solver and Data Analysis in MS. Excel. We learnt to find a risk and return of Scripts. We learnt to find the Expected Return and Expected Standard Deviation of a portfolio. We learnt to use the DCD Matrix Method to find out the Expected Return and Expected Standard Deviation of a portfolio.
We learnt to find a Matrix Co-relation and Co-variance for forming a portfolio. We learnt the theory of portfolio and got detailed knowledge regarding following topics: Efficient Portfolio Inefficient Portfolio Optimal Portfolio We learnt that portfolio was depends on the behavior of an Investor. Portfolio was suggested on the basis of the risk taking ability. We learnt to form portfolio for different type of investors on the basis of the risk taking ability.
Industrial production(GDP)
Money supply
Direct Relation
SUGGESTION
For the investors who want highest return and also capable to cover higher risk than portfolio with Sharp Ratio 1 was optimal for them.
For the investors who want normal risk so we suggest the portfolio between Sharp Ratio 2 to 5.
CONCLUSION
Fluctuation in Financial Market Impact of Domestic & international Crises Efficient portfolio and Optimum portfolio are different from each other but all efficient portfolios can be a optimum portfolio. Portfolio creation can not be possible without analysis of Investors Behavior We are concluding that if an investor want to invest in equity market then he should invest money for long period of time then and then only he can earn maximum profit.
Thank you