Professional Documents
Culture Documents
Project Report On Portfolio Management
Project Report On Portfolio Management
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Sr. As on 31st No. December No. of 1 Stock Exchanges No. of 2 Listed Cos. No. of Stock 3 Issues of Listed Cos. Capital of Listed 4 Cos. (Cr. Rs.) Market value of Capital of 5 Listed Cos. (Cr. Rs.) Capital per Listed Cos. 6 (4/2) (Lakh Rs.) Market Value of Capital per 7 Listed Cos. (Lakh Rs.) (5/2) Appreciate d value of Capital 8 per Listed Cos. (Lakh Rs.)
270
753
9723
32041
59583
971
129 2
267 5
327 3
675 0
25302
11027 9
478121
24
63
113
168
175
224
514
693
86
107
167
211
298
582
1770
5564
358
170
148
126
170
260
344
803
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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COMPANY PROFILE
Kotak Securities Ltd., a subsidiary of Kotak Mahindra Bank Limited, is one of Indias largest private brokerage and distribution house, set up in 1994, by Mr. Uday Kotak; it has equity participation from Goldman Sachs L. I. P. (25%). Kotak Securities is a corporate member of both the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). Its operations include stock broking, distribution of various Investment products including private and secondary placement of debt and equity, mutual funds, fixed deposits and the like. Currently Kotak Securities is one of the largest broking houses in India with offices in more than fifteen cities. In India as well as a presence in US, Europe and the Middle East (through our associate companies Kotak Mahindra U.K. Limited and Kotak Mahindra International Limited, Kotak Mahindra Inc). Our core strengths are our expertise in equity research and a wide retail distribution network. We have an outstanding research division involved in macro economic studies, industry and company specific equity research, with analyst specializing in particular economic sectors and large cap stocks.
In August 2000, Kotak Securities launched Kotakstreet.com, its e broking service for retail investors on the net and currently has over 20,000 registered users.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Kotak Securities Limited is one of the larger players in distribution of IPOs - it was ranked number One in 2003-04 as Book Running Lead Manager in public equity offerings by PRIME Database. It has also won the Best Equity House Award from Finance Asia - April 2004. The Company has a full-fledged Research division involved in macro economic studies, sectoral research and Company specific equity research combined with a strong and well networked sales force which helps deliver current and up-to-date market information and news. Kotak Securities Limited is also a depository participant with National Securities Depository Limited (NSDL) and Central Depository Services Limited (CDSL) providing dual benefit services wherein the investors can use the brokerage services of the Company for executing the transactions and the depository services for settling them. The Company has 113 branches servicing around 1,00,000 customers, through our own offices and a large franchisee network. Its has an Online presence through Kotakstreet.com where we offer Internet Broking services and also online IPO and Mutual Fund Investments. Kotak Securities Limited manages assets over Rs. 1700 crores through its Portfolio Management Services (PMS) servicing high net worth clients with a large investible surplus through its preferred client services in the mass affluent and wealth management segments.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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To provide basic idea of different stock market investment instruments to investor. To provide knowledge to investor about various type of risk associated with various investment instruments. To provide investor knowledge about P\E, P\BV and Beta that would help them in selection of script and creation of portfolio. To help investor in learning about derivative instrument future for the purpose of speculation and hedging.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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tracking the stock price of various script selected Secondary data :- Secondary data are collected from various journals , websites and financial news paper.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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The time duration given to complete the report was not sufficient. The report is basically is made between the horizon of two months and the situation of market is very dynamic so the conclusion or the return might not reflect the true picture.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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ANALYSIS OF INVESTMENT
WHAT IS INVESTMENT?
Investment is the activity, which is made with the objective of earning some sort of positive returns in the future. It is the commitment of the funds to earn future returns and it involves sacrificing the present investment for the future return. Every person makes the investment so that the funds he has increases as keeping cash with himself is not going to help as it will not generate any returns and also with the passage of time the time value of the money will come down. As the inflation will rise the purchasing power of the money will come down and this will result that the investor who does not invest will become more poor as he will not have any funds whose value have been increased. Thus every person whether he is a businessman or a common man will make the investment with the objective of getting future returns.
TYPES OF INVESTMENT:There are basically three types of investments from which the investors can choose. The three kinds of investment have their own risk and return profile and investor will decide to invest taking into account his own risk appetite. The main types of investments are: -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Economic investments:These investments refer to the net addition to the capital stock of the society. The capital stock of the society refers to the This type of investments made in plant, building, land and machinery which are used for the further production of the goods. investments are very important for the development of the economy because if the investment are not made in the plant and machinery the industrial production will come down and which will bring down the overall growth of the economy.
Financial Investments:This type of investments refers to the investments made in the marketable securities which are of tradable nature. It includes the shares, debentures, bonds and units of the mutual funds and any other securities which is covered under the ambit of the Securities Contract Regulations Act definition of the word security. The investments made in the capital market instruments are of vital important for the country economic growth as the stock market index is called as the barometer of the economy.
General Investments:These investments refer to the investments made by the common investor in his own small assets like the television, car, house, motor cycle. These types of investments are termed as the household investments. Such types of investment are important for the domestic economy of the country. When the demand in the domestic economy boost the over all productions and the manufacturing in the industrial sectors also goes up and this causes rise in the employment activity and thus boost up the GDP growth
B.R.C.M. College of Business Administration, Surat
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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rate of the country. The organizations like the Central Statistical Organization (CSO) regularly takes the study of the investments made in the household sector which shows that the level of consumptions in the domestic markets.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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CHARACTERISICS OF INVESTMENT
Certain features characterize all investments. The following are the main characteristics features if investments: -
1.Return: All investments are characterized by the expectation of a return. In fact, investments are made with the primary objective of deriving a return. The return may be received in the form of yield plus capital appreciation. The difference between the sale price & the purchase price is capital appreciation. The dividend or interest received from the investment is the yield. Different types of investments promise different rates of return. The return from an investment depends upon the nature of investment, the maturity period & a host of other factors.
2.Risk: Risk is inherent in any investment. The risk may relate to loss of capital, delay in repayment of capital, nonpayment of interest, or variability of returns. While some investments like government securities & bank deposits are almost risk less, others are more risky. The risk of an investment depends on the following factors. 0 1 The longer the maturity period, the longer is the risk. The lower the credit worthiness of the borrower, the higher is the risk. The risk varies with the nature of investment. Investments in ownership securities like equity share carry higher risk compared to investments in debt instrument like debentures & bonds.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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3. Safety: The safety of an investment implies the certainty of return of capital without loss of money or time. Safety is another features which an investors desire for his investments. Every investor expects to get back his capital on maturity without loss & without delay.
4. Liquidity: An investment, which is easily saleable, or marketable without loss of money & without loss of time is said to possess liquidity. Some investments like company deposits, bank deposits, P.O. deposits, NSC, NSS etc. are not marketable. Some investment instrument like preference shares & debentures are marketable, but there are no buyers in many cases & hence their liquidity is negligible. Equity shares of companies listed on stock exchanges are easily marketable through the stock exchanges. An investor generally prefers liquidity for his investment, safety of his funds, a good return with minimum risk or minimization of risk & maximization of return.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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IMPORTANCE
In the current situation, investment is becomes necessary for everyone & it is important & useful in the following ways:
1. Retirement planning: Investment decision has become significant as people retire between the ages of 55 & 60. Also, the trend shows longer life expectancy. The earning from employment should, therefore, be calculated in such a manner that a portion should be put away as a savings. Savings by themselves do not increase wealth; these must be invested in such a way that the principal & income will be adequate for a greater number of retirement years. Increase in working population, proper planning for life span & longevity have ensured the need for balanced investments.
2. Increasing rates of taxation: Taxation is one of the crucial factors in any country, which introduce an element of compulsion, in a persons saving. In the form investments, there are various forms of saving outlets in our country, which help in bringing down the tax level by offering deductions in personal income. For examples: 0 1 2 3 4 Unit linked insurance plan, Life insurance, National saving certificates, Development bonds, Post office cumulative deposit schemes etc.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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3. Rates of interest: It is also an important aspect for sound investment plan. It varies between investment & another. This may vary between risky & safe investment, they may also differ due different benefits schemes offered by the investments. These aspects must be considered before actually investing. The investor has to include in his portfolio several kinds of investments stability of interest is as important as receiving high rate of interest.
4. Inflation: Since the last decade, now a days inflation becomes a continuous problem. In these years of rising prices, several problems are associated coupled with a falling standard of living. Before funds are invested, erosion of the resource will have to be carefully considered in order to make the right choice of investments. The investor will try & search outlets, which gives him a high rate of return in form of interest to cover any decrease due to inflation. He will also have to judge whether the interest or return will be continuous or there is a likelihood of irregularity. Coupled with high rate of interest, he will have to find an outlet, which will ensure safety of principal. Beside high rate of interest & safety of principal an investor also has to always bear in mind the taxation angle, the interest earned through investment should not unduly increase his taxation burden otherwise; the benefit derived from interest will be compensated by an increase in taxation.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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5. Income: For increasing in employment opportunities in India., investment decisions have assumed importance. After independence with the stage of development in the country a number of organization & services came into being. For example: The Indian administrative services, Banking recruitment services, Expansion in private corporate sector, Public sector enterprises, Establishing of financial institutions, tourism, hotels, and education. More avenues for investment have led to the ability & willingness of working people to save & invest their funds.
6. Investment channels: The growth & development of country leading to greater economic activity has led to the introduction of a vast array of investment outlays. Apart from putting aside saving in savings banks where interest is low, investor have the choice of a variety of instruments. The question to reason out is which is the most suitable channel? Which media will give a balanced growth & stability of return? The investor in his choice of investment will give a balanced growth & stability of return? The investor in his choice of investment will have try & achieve a proper mix between high rates of return to reap the benefits of both. For example: 0 1 Fixed deposit in corporate sector Unit trust schemes.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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INVESTMENTS AVENUES:There are various investments avenues provided by a country to its people depending upon the development of the country itself. The developed countries like the USA and the Japan provide variety of investments as compared to our country. In India before the post liberalization era there were limited investments avenues available to the people in which they could invest. With the opening up of the economy the number of investments avenues have also increased and the quality of the investments have also improved due to the use of the professional activity of the players involved in this segment. Today investment is no longer a process of trial and error and it has become a systematized process, which involves the use of the professional investment solution provider to play a greater role in the investment process. Earlier the investments were made without any analysis as the complexity involved the investment process were not there and also there was no availability of variety of instruments. But today as the number of investment options have increased and with the variety of investments options available the investor has to take decision according to his own risk and return analysis. An investor has a wide array of Investment Avenue. They are as under:
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Investment
Equity
Fixed Income
Mutual Fund
Deposits
Tax Sheltered
Life Insurance
Real Estate
Precious
Financial Derivatives
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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EQUITY SHARES: -
Preference Shares
Unlike equity shares, preference shares entitle the holder to dividends at fixed rates subject to availability of profits after tax. If preference shares are cumulative, unpaid dividends for years of inadequate profits are paid in subsequent years. Preference shares do not entitle the holder to ownership privileges such as voting rights at meetings.
Equity Warrants
These are long term rights that offer holders the right to purchase equity shares in a company at a fixed price (usually higher than the current market price) within a specified period. Warrants are in the nature of options on stocks.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Based on companies' anticipated earnings and in the light of the investment management experience the world over, stocks are classified in the following groups: Cyclical Stocks are shares of companies whose earnings are
correlated with the state of the economy. Their earnings (and therefore, their share prices) tend to go up during upward economic cycles and vice versa. Cement or Aluminium producers fall into this category, just as an example. These companies may command relatively lower P/E ratios, and have higher dividend payouts. Growth Stocks are shares of companies whose earnings are expected to increase at rates that exceed normal market levels. They tend to reinvest earnings and usually have high P/E ratios and low dividend yields. Software or information technology company shares are an example of this type. Fund managers try to identify the sectors or companies that have a high growth potential. Value Stocks are shares of companies in mature industries and are expected to yield low growth in earnings. These companies may, however, have assets whose values have not been recognised by investors in general. Fund managers try to identify such currently under-valued stocks that in their opinion can yield superior returns later. A cement company with a lot of real estate and a company with good brand names are examples of potential value shares.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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FIXED INCOME SECURITIES Many instruments give regular income. Debt instruments may be secured by the assets of the borrowers as generally in case of Corporate Debentures, or be unsecured as is the case with Indian Financial Institution Bonds. A debt security is issued by a borrower and is often known by the issuer category, thus giving us Government Securities and Corporate Securities or FI bonds. Debt instruments are also distinguished by their maturity profile. Thus, instruments issued with short-term maturities, typically under one year, are classified as Money Market Securities. Instruments carrying longer than one-year maturities are generally called Debt Securities. Most debt securities are interest-bearing. However, there are securities that are discounted securities or zero-coupon bonds that do not pay regular interest at intervals but are bought at a discount to their face value. A large part of the interest-bearing securities are generally Fixed Income-paying, while there are also securities that pay interest on a Floating Rate basis.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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This segment provides trading facilities for a variety of debt instruments including Government Securities, Treasury Bills and Bonds issued by Public Sector Undertakings/ Corporates/ Banks like Floating Rate Bonds, Zero Coupon Bonds, Commercial Papers, Certificate of Deposits, Corporate Debentures, State Government loans, SLR and Non-SLR Bonds issued by Financial Institutions, Units of Mutual Funds and Securitized debt by banks, financial institutions, corporate bodies, trusts and others. Large investors and a high average trade value characterize this segment. Till recently, the market was purely an informal market with most of the trades directly negotiated and struck between various participants. The commencement of this segment by NSE has brought about transparency and efficiency to the debt market, along with effective monitoring and surveillance to the market.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Year 20052006 20042005 20032004 20022003 20012002 20002001 19992000 19981999 19971998 19961997 19951996 19941995
Market Number Net Traded Average Average Capitalisation of Value Daily Value Trade Size (Rs.crores) Trades (Rs.crores) (Rs.crores) (Rs.crores) 1,553,448 60,159 458,434.94 887,293.66 1,833.74 3,028.31 4,476.52 3,598.32 3,277.48 1,482.98 1,034.75 364.95 377.16 145.28 40.78 30.41 7.62 7.14 6.94 6.37 6.54 6.65 6.47 6.55 6.61 5.42 3.97 6.64
1,461,734 124,308
1,215,864 189,518 1,316,096.24 864,481 167,778 1,068,701.54 756,794 144,851 580,835 494,033 411,470 343,191 292,772 207,783 158,181 64,470 46,987 16,092 16,821 7,804 2,991 1,021 947,191.22 428,581.51 304,216.24 105,469.13 111,263.28 42,277.59 11,867.68 6,781.15
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Certificates of Deposit (CD) are issued by scheduled commercial banks excluding regional rural banks. These are unsecured negotiable promissory notes. Bank CDs have a maturity period of 91 days to one year, while those issued by FIs have maturities between one and three years. Commercial Paper Commercial paper (CP) is a short term, unsecured instrument issued by corporate bodies (public & private) to meet short-term working capital requirements. Maturity varies between 3 months and 1 year. This instrument can be issued to individuals, banks, companies and other corporate bodies registered or incorporated in India. CPs can be issued to NRIs on non-repatriable and nontransferable basis. Corporate Debentures The debentures are usually issued by manufacturing companies with physical assets, as secured instruments, in the form of certificates They are assigned a credit rating by rating agencies. Trading in debentures is generally based on the current yield and market values are based on yield-to-maturity. All publicly issued debentures are listed on exchanges.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Floating Rate Bonds (FRB) These are short to medium term interest bearing instruments issued by financial intermediaries and corporates. The typical maturity of these bonds is 3 to 5 years. FRBs issued by financial institutions are generally unsecured while those from private corporates are secured. The FRBs are pegged to different reference rates such as T-bills or bank deposit rates. The FRBs issued by the Government of India are in the form of Stock Certificates or issued by credit to SGL accounts maintained by the RBI. Government Securities These are medium to long term interest-bearing obligations issued through the RBI by the Government of India and state governments. The RBI decides the cut-off coupon on the basis of bids received during auctions. There are issues where the rate is pre-specified and the investor only bids for the quantity. In most cases the coupon is paid semi-annually with bullet redemption features. Treasury Bills T-bills are short-term obligations issued through the RBI by the Government of India at a discount. The RBI issues T-bills for different tenures: now 91 -days and 364-days. These treasury bills are issued through an auction procedure. The yield is determined on the basis of bids tendered and accepted. Bank/FI Bonds Most of the institutional bonds are in the form of promissory notes transferable by endorsement and delivery. These are negotiable certificates, issued by the Financial Institutions such as the IDBI/ICICI/ IFCI or by commercial banks. These instruments have
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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been issued both as regular income bonds and as discounted longterm instruments (deep discount bonds). Public Sector Undertakings (PSU) Bonds PSU Bonds are medium and long term obligations issued by public sector companies in which the government share holding is generally greater than 51%. Some PSU bonds carry tax exemptions. The minimum maturity is 5 years for taxable bonds and 7 years for tax-free bonds. PSU bonds are generally not guaranteed by the government and are in the form of promissory notes transferable by endorsement and delivery. PSU bonds in electronic form (demat) are eligible for repo transactions.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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DEPOSITS
It is just like fixed income securities earn a fixed return. However, unlike fixed income securities, deposits are negotiable or transferable. The important types of deposits in India are: Bank deposits Company deposits Postal deposits.
LIFE INSURANCE
In a broad sense, life insurance may be viewed as an investment. Insurance premiums represent the sacrifice & the assured sum the benefit. In India, the important types of insurance polices are: Endowment assurance policy Money back policy Whole life policy Premium back term assurance policy
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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REAL ESTATE
For the bilk of the investors the most important asset in their portfolio is a residential house. In addition to a residential house, the more affluent investors are likely to be interested in the following types of real estate: Agricultural land Semi-urban land
PRECIOUS OBJECTS PRECIOUS OBJECTS: It is highly valuable in monetary terms but generally they are small in size. The important precious objects are: Gold & silver Precious stones Art objects
FINANCIAL DERIVATIVES: -
FINANCIAL DERIVATIVES
A financial derivative is an instrument whose value is derived from the value of underlying asset. It may be viewed as a side bet on the asset. The most import financial derivatives from the point of view of investors are: Options Futures.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Meaning of Risk
Risk & uncertainty are an integrate part of an investment decision. Technically risk can be define as situation where the possible consequences of the decision that is to be taken are known. Uncertainty is generally defined to apply to situations where the probabilities cannot be estimated. However, risk & uncertainty are used interchangeably.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Types of risks
1. Systematic risk: Systematic risk is non diversifiable & is associated with the securities market as well as the economic, sociological, political, & legal considerations of prices of all securities in the economy. The affect of these factors is to put pressure on all securities in such a way that the prices of all stocks will more in the same direction. Example: During a boom period prices of all securities will rise & indicate that the economy is moving towards prosperity. Market risk, interest rate risk & purchasing power risk are grouped under systematic risk.
RISKS
SYSTAMATIC UNSYSTAMATIC Market Risk Interest Rate Risk Purchasing power Risk Business Risk Financial Risk
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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1. Systematic Risk (A) Market risk Market risk is referred to as stock variability due to changes in investors attitudes & expectations. The investor reaction towards tangible and intangible events is the chief cause affecting market risk. (B) Interest rate risk There are four types of movements in prices of stocks in the markets. These may termed as (1) long term, (2) cyclical (bull and bear markets), (3) intermediate or within the cycle, and (4) short term. The prices of all securities rise or fall depending on the change in interest rates. The longer the maturity period of a security the higher the yield on an investment & lower the fluctuations in prices. (C) Purchasing Power risk Purchasing power risk is also known as inflation risk. This risk arises out of change in the prices of goods & services and technically it covers both inflation and deflation periods. During the last two decades it has been seen that inflationary pressures have been continuously affecting the Indian economy. Therefore, in India purchasing power risk is associated with inflation and rising prices in the economy.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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2. Unsystematic Risk: The importance of unsystematic risk arises out of the uncertainty surrounding of particular firm or industry due to factors like labour strike, consumer preferences and management policies. These uncertainties directly affect the financing and operating enviourment of the firm. Unsystematic risks can owing to these considerations be said to complement the systematic risk forces. (A) Business risk Every corporate organization has its own objectives and goals and aims at a particular gross profit & operating income & also accepts to provide a certain level of dividend income to its shareholders. It also hopes to plough back some profits. Once it identifies its operating level of earnings, the degree of variation from this operating level would measure business risk. Example:If operating income is expected to be 15% in a year, business risk will be low if the operating income varies between 14% and 16%. If the operating income were as low as 10% or as high as 18% it would be said that the business risk is high. (B) Financial Risk: Financial risk in a company is associated with the method through which it plans its financial structure. If the capital structure of a company tends to make earning unstable, the company may fail financially. How a company raises funds to finance its needs and growth will have an impact on its future earnings and consequently on the stability of earnings. Debt financing provides a low cost source of funds to a company, at the same time providing financial
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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leverage for the common stock holders. As long as the earnings of the company are higher than the cost of borrowed funds, the earning per share of common stock is increased. Unfortunately, a large amount of debt financing also increases the variability of the returns of the common stock holder & thus increases their risk. It is found that variation in returns for shareholders in levered firms (borrowed funds company) is higher than in unlevered firms. The variance in returns is the financial risk.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Risk Return Of Various Investment Alternatives Managem ent Decision Required H H M M L L L L L O O O O O Growth stock Speculative common stock Blue chips Convertible referred stock Convertible debentures Corporate bonds Government bonds Short-term bonds Money market funds Life insurance Commercial banks Unit trusts Saving a/c Cash H H M M M L L L L L L L L L H H M M M L L L L L L L L L L L L L L H H L L L L L L L Investment
Market Risk
So, there are so many investment options & the different option have different benefits & limitations in the sense risk associated with it. So it is difficult for them to chose option, which give maximum return at minimum risk.
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Portfolio
A combination of securities with different risk & return
characteristics will constitute the portfolio of the investor. Thus, a portfolio is the combination of various assets and/or instruments of investments. The combination may have different features of risk & return, separate from those of the components. The portfolio is also built up out of the wealth or income of the investor over a period of time, with a view to suit his risk and return preference to that of the portfolio that he holds. The portfolio analysis of the risk and return characteristics of individual securities in the portfolio and changes that may take place in combination with other securities due to interaction among themselves and impact of each one of them on others. An investor considering investments in securities is faced with the problem of choosing from among a large number of securities. His choice depends upon the risk and return characteristics of individual securities. He would attempt to choose the most desirable securities and like to allocate is funds over this group of securities. Again he is faced with the problem of deciding which securities to hold and how much to invest in each. The investor faces an infinite number of possible portfolios or groups of securities. The risk and return characteristics of portfolio differ from those of individual securities combining to form a portfolio. The investor tries to choose the optimal portfolio taking in to consideration the risk return characteristics of all possible portfolios. As the economy and the financial environment keep changing the risk return characteristics of individual securities as well as portfolios also change. This calls for periodical review and revision of investment portfolios of investors. An investor invests his funds in a portfolio expecting to get a good return consistent with the risk
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that he has to bear. The return realized from the portfolio has to be measured and the performance of the portfolio has to be evaluated. It is evident that rational investment activity involves creation of an investment portfolio. Portfolio management comprises all the processes involved in the creation and maintenance of an investment portfolio. It deals specifically with the security analysis, portfolio analysis, portfolio selection, portfolio revision and portfolio evaluation. Portfolio management makes use of analytical techniques of analysis and conceptual theories regarding rational allocation of funds. Portfolio management is a complex process which tries to make investment activity more rewarding and less risky.
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PORTFOLIO DESIGN
Before designing a portfolio one will have to know the intention of the investor or the returns that the investor is expecting from his investment. This will help in adjusting the amount of risk. This becomes an important point from the point of view of the portfolio designer because if the investor will be ready to take more risk at the same time he will also get more returns. This can be more appropriately understood from the figure drawn below.
R1
Expected Returns
R2
From the above figure we can see that when the investor is ready to take risk of M1, he is likely to get expected return of R1, and if the investor is taking the risk of M2, he will be getting more returns i.e. R2. So we can conclude that risk and returns are directly related with each other. As one increases the other will also increase in same of different proportion and same if one decreases the other will also decrease.
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From the above discussion we can conclude that the investors can be of the following three types:
1. Investors willing to take minimum risk and at the same time are also expecting minimum returns. 2. Investors willing to take moderate risk and at the same time are also expecting moderate returns. 3. Investors willing to take maximum risk and at the same time are also expecting maximum returns.
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Your age will help you determine what a good mix is / portfolio is Age below 30 30 t0 40 40 to 50 50 to 60 above 60 Portfolio 80% in stocks or mutual funds 10% in cash 10% in fixed income 70% in stocks or mutual funds 10% in cash 20% in fixed income 60% in stocks or mutual funds 10% in cash 30% in fixed income 50% in stocks or mutual funds 10% in cash 40% in fixed income 40% in stocks or mutual funds 10% in cash 50% in fixed income
These aren't hard and fast allocations, just guidelines to get you thinking about how your portfolio should look. Your risk profile will give you more equities or more fixed income depending on your aggressive or conservative bias. However, it's important to always have some equities in your portfolio (or equity funds) no matter what your age. If inflation roars back, this will be the portion of your investments that protects you from the damage, not your fixed income. Also, the fixed income of your portfolio should be diversified. If you buy bonds and debentures directly or if you invest in FDs, then make sure you have at least five different maturities to spread out the interest rate risk.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Diversifying in equities and bonds means more than buying a number of positions. Each position needs to be scrutinized as to how it fits into the stocks or bonds that already are in your portfolio, and how they might be affected by the same event such as higher interest rates, lower fuel prices, etc. Put your portfolio together like a puzzle, adding a piece at a time, each one a little different from the other but achieving a uniform whole once the portfolio is complete.
1. Random portfolio
Random portfolio consists of the scripts that are randomly selected by the investor by its own knowledge and preference of the stocks. Here there is no analysis is done of the script, they are selected on the tips and buts received by the investors from the external sources.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Generally in India most of the portfolio are selected according to this random methods as no investor himself in that much analysis of the script.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Book value is based on historical costs, not current values, but can provide an important measure of the relative value of a company over time. Book value can be figured as assets minus liabilities, or assets minus liabilities and intangible items such as goodwill; either way, the figure that results is the company's net book value. This is contrasted with its market capitalization, or total share price value, which is calculated by multiplying the outstanding shares by their current market price. You can also compare a company's market value to its book value on a per-share basis. Divide book value by the number of shares outstanding to get book value per share and compare the result to the current stock price to help determine if the company's stock is fairly valued. Most stocks trade above book value because investors believe that the company will grow and the value of its shares will, too. When book value per share is higher than the current share price, a company's stock may be undervalued and a bargain to investors. In case of our sensex as we can see that it is currently trading at a P/B ratio of 4.41 this shows the average P/B ratio prevailing in the market. So any script trading below the P/B of 4.41 can said to be under valued if we keep the BSE SENSEX as bench mark. But it would be advisable for an investor to also look at the sector leaders P/B ratio to know what is the common industry P/B and based on that he can decide about whether to invest in the company or not. As such there is no guarantee that low P/B would able to give better return but this stocks are considered to be undervalued so one can think that this companies are undervalued so chances of appreciation are very high in case of low P/B scrip. Such companies having low P/B ratio can be considered as value stock and one can thin about investing in those companies.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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that SBI is trading at a very low P/E of around 8 but if you see that in banking sector that to public sector banks the normal industry P/E is 8 all most all banks are trading around 8 or bellow the P/E of 8. So always it is advisable to look at what is the P/E of industry in which we want to invest to get the better idea, because if we take the example of IT industry there almost you will find companies around P/E of 30. so if any IT company having of P/E would considered to be a cheap option for the investor to invest in to. So the investor should also look at the industry average P/E. The new investor can know about the industry P/E or any other companies P/E in any financial magazine or from the internet also if he does not know how to calculate the P/E or is not having the data available with them. The formula for calculating the P/E ratio is
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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RANDOM PORTFOLIO
Random portfolio consists of the scripts that are randomly selected by the investor by its own knowledge and preference of the stocks. Here there is no analysis is done of the script, they are selected on the tips and buts received by the investors from the external sources. We are considering BETA factor to design our Random Portfolio.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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beta of 1 or develop a portfolio that has stocks with betas greater than 1 and less than 1 so that they have the whole portfolio with an average beta of 1. A beta for a stock is derived from historical data. This means it has no predictive value for the future, but it does show that if the stock continues to have the same price patterns relative to the market in general as it has in the past, you've got a way of knowing how your portfolio will perform in relation to the market. And with a portfolio with an average beta of 1, you can create your own index fund since you'll move more or less in tandem with the market.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Interpretation of Beta
When B = 1 means that the scrip has same volatility as compared to Index. Suitable for moderate investor. When B>1 means that scrip is more volatile as compared to market suitable for aggressive investors. When B<1 then scrip is less volatile as compared to market and suitable for defensive investors. Beta of scrips plays vital role in scrip selection in Portfolio management. Portfolio can be created in many ways as sector wise, diversified in various sector, beta wise scrip portfolio. SO BASED ON THIS BETA NOW WE WILL PREPARE THREE PORTFOLIO TO MATCH THE RISK TAKING CAPACITY OF AN INVESTOR THAT IS PORTFOLIO
AGGRESSIVE
MODERATE
DEFENSIVE
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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DEFENSIVE PORTFOLIO
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 ACC CIPLA DR REDDY GRASIM HDFC BANK ITC RANBUXY HERO HONDA HDFC GLAXO
BETA PRICE ON 2-01-2006 0.72 0.78 0.69 0.76 0.76 0.81 0.69 0.8 0.82 0.61 530.45 440.00 963.00 1375.3 713.45 140.10 444.35 846.10 1191.3 1111.6
Wi 9.68 10.48 9.27 10.22 10.22 10.89 9.27 10.75 11.02 8.20
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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2ND MONTH
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 ACC CIPLA DR REDDY GRASIM HDFC BANK ITC RANBUXY HERO HONDA HDFC GLAXO BETA 2-01-06 0.72 0.78 0.69 0.76 0.76 0.81 0.69 0.80 0.82 0.61 28-02-06 RETURN IN % 530.45 626.30 18.07 440.00 552.15 25.49 963.00 1306.10 35.63 1375.30 1742.60 26.71 713.45 737.15 3.32 140.10 172.45 23.09 444.35 429.50 -3.34 846.10 889.30 5.11 1191.30 1365.65 14.64 1111.60 1315.55 18.35
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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MODRATE PORTFOLIO
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 PNB BHARTI GUJARAT AMBUJA BAJAJ AUTO HLL HINDALCO LT MTNL ZEE BHEL 1.00 1.00 1389.90 472.00 10.83 10.83 BETA PRICE ON 2-01-2006 0.99 0.86 0.85 0.88 1.00 0.86 0.89 0.90 340.05 79.30 450.05 195.10 146.20 1825.65 142.15 157.90 Wi 10.73 9.32 9.21 9.53 10.83 9.32 9.64 9.75
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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2ND MONTH
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 BHARTI GUJARAT AMBUJA BAJAJ AUTO HLL HINDALCO LT MTNL ZEE BHEL PNB
BETA 0.99 0.86 0.85 0.88 1.00 0.86 0.89 0.90 1.00 1.00
2-012006 340.05 79.30 450.05 195.10 146.20 1825.65 142.15 157.90 1389.90 472.00
28-02RETURN 06 IN % 361.05 6.18% 88.30 11.35% 550.10 22.23% 243.70 24.91% 153.35 4.89% 2396.95 31.29% 142.65 0.35% 196.60 24.51% 2027.00 45.84% 442.10 -6.33%
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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AGGRESSIVE PORTFOLIO
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 ICICI BANK LTD INFOSYS ONGC RELIANCE SATYAM SBIN TATA POWER TATA MOTER TATA STEEL WIPRO BETA PRICE ON 2-01-2006 1.09 1.07 1.02 1.05 1.23 1.09 1.11 1.19 1.13 1.33 597.00 2979.35 1191.65 441.05 731.55 904.90 434.20 639.55 379.00 461.70 Wi 9.64 9.46 9.02 9.28 10.88 9.64 9.81 10.52 9.99 11.76
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 ICICI BANK LTD INFOSYS ONGC RELIANCE SATYAM SBIN TATA POWER TATA MOTER TATA STEEL WIPRO
BETA 2-01-2006 1.09 1.07 1.02 1.05 1.23 1.09 1.11 1.19 1.13 1.33 597.00 2979.35 1191.65 441.05 731.55 904.90 434.20 639.55 379.00 461.70
RETURN IN % 2.05 -3.32 3.83 8.87 2.08 -2.05 8.66 10.77 6.72 14.73
2ND MONTH
28-0206
SR NO. SCRIPT 1 2 3 4 5 6 7 8 9 10 ICICI BANK LTD INFOSYS ONGC RELIANCE SATYAM SBIN TATA POWER TATA MOTER TATA STEEL WIPRO
BETA 2-01-2006 1.09 1.07 1.02 1.05 1.23 1.09 1.11 1.19 1.13 1.33 597.00 2979.35 1191.65 441.05 731.55 904.90 434.20 639.55 379.00 461.70
RETURN IN % 615.25 3.06 2828.95 -5.05 1136.40 -4.64 500.55 13.49 769.65 5.21 877.50 -3.03 511.20 17.73 816.20 27.62 431.00 13.72 520.45 12.72
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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So we can easily say that the investment in equity market is subject to market risk and any one having long-term investment horizon should only enter into equity market. This analysis that has been carried out was only for a period of two month there are chances that in the long run aggressive portfolio would outperform the other portfolio
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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DERIVATIVES
Derivatives is a product whose value is derived from the value of one or more basic variables, called bases (underlying asset, index, or reference rate), in a contractual manner. The underlying asset can be equity, forex or commodity or any other asset. For example, wheat farmer may wish to sell their harvest at a future date to eliminate the risk of a change in prices by the date. Such a transaction is an example of a derivative. The price of this derivative is driven by the spot price of wheat which is the underlying. In the Indian context the Securities Contracts (Regulation) Act. 1956 (SC(R)A) defines derivative to include 1. A security derived from a debts instrument, share, loan whether secured or unsecured, risk instrument or contract for differences or any other form of security. 2. A contract, which derives its value from the prices, or index of price, of underlying securities. The derivatives are securities under the (SC(R)A) and hence the trading of derivatives is governed by the regulatory framework under the (SC(R)A).
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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TYPES OF DERIVATIVES
The most commonly used types of derivatives are as follows: o Forwards: A forward contract is a customized contract between two entities, where settlement takes place on a specific date in the future at todays pre-agreed price. o Futures: A future contract is an agreement between two parties to buy or sell an asset at a certain time in the future at a certain price. Future contracts are special types of forward contract in the sense that the former are standardized exchange-traded contracts. o Options: Options are of two types call and put. Calls give the buyer the right but not the obligation to buy a gives quantity of the underlying asset, at a given price on or before a given future date. Plus give the buyer the right, but not the obligation to sell a given quantity of the underlying asset at a given price on or before a given date.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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INTRODUCTION TO FUTURE
Future markets were designed to solve the problems that exist in forward markets. A future contract is an agreement between two parties to buy or sell an asset at a certain time in the future at a certain price. But unlike forward contracts, the future contracts are standardized and exchange traded. To facilitate liquidity in the future contracts, the exchange specifies certain standard features of the contract. It is a standardized contract with standard underlying instrument, a standard quantity and quality of the underlying instrument that can be delivered, (or which can be used for reference purpose in settlement) and a standard time of such settlement. A future contract may be offset prior to maturity by entering into an equal and opposite transaction. More than 99% of future transactions ate offset this way. The standardized items in a future contract are: Quantity of the underlying. Quality of the underlying. The date and the month of delivery. The units of price quotation and minimum price change. Location of settlement.
FEATURES OF A FUTURE CONTRACT Future contracts are organized / standardized contracts, which are traded on the exchanges. These contracts, being standardized and traded on the exchanges are very liquid in nature. In futures market, clearing corporation/ house provides the settlement guarantee.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Future contracts are often confused with future contracts. The confusion is primarily because both serve essentially the same economic functions of allocating risk in the presence of future price uncertainty. However futures are a significant improvement over the forward contracts as they eliminate counterparty risk and offer more liquidity.
Features
Forward Contract
Future Contract
Not
traded
on Traded on exchange
Counterparty Risk
Exists
Liquidation Profile
Poor
Liquidity
Price Discovery
Poor; as markets are Better; as fragmented fragmented. markets are brought to the common platform.
FUTURE TERMINOLOGY
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Spot Price: The price at which an asset trades in the spot market.
Future Price: The price at which the future contracts trades in the market.
Contract Cycle: The period over which a contract trades. The index futures contracts on the NSE have one-month, two-months and three-months expiry cycle, which expire on the last Thursday of the month. Thus a January expiration contract would expire on the last Thursday of January and a February expiration contract would cease trading on the last Thursday of February. On the Friday following the last Thursday, a new contract having a three-month expiry would be introduced for trading.
Expiry Date: It is the date specified in the future contract. This is the last day on which the contract will be traded, at the end of which it will cease to exist.
Contract Size: The amount of asset that has to be delivered under one contract. For instance, the contract size on NSEs futures market is 200 Nifties.
Basis: Basis is usually defined as the spot price minus the future price. There will be a different basis for each delivery month for each contract. In a normal market, basis will be negative. This reflects that futures prices normally exceed spot prices.
Cost of Carry: The relationship between futures prices and spot prices can be summarized in terms of what is known as
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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the cost of carry. This measures the storage cost plus the interest that is paid to finance the asset less the income earned on the asset. Initial Margin: The amount that must be deposited in the margin account at the time a futures contract is first entered into is known as initial margin. Marking-to-Market: In the future market, at the end of each trading day, the margin account is adjusted to reflect the investors gain or loss depending upon the futures closing price. This is called marking-to-market. Maintenance Margin: This is somewhat lower than the initial margin. This is set to ensure that the balance in the margin account never becomes negative. If the balance in the margin account falls below the maintenance margin, investor receives a margin call and is expected to top up the margin account to the initial level before trading commences on the next day.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Profit
1220 0 Nifty
Loss
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Hedging
H1 Long stock, short Nifty futures H2 Short stock, long nifty futures H3 Have portfolio, short Nifty futures H4 Have funds, long Nifty futures
Hedge Terminology:
Long hedge- When you hedge by going long in futures market. Short hedge - When you hedge by going short in futures market. Cross hedge - When a futures contract is not available on an asset, you hedge your position in cash market on this asset by going long or short on the futures for another asset whose prices are closely associated with that of your underlying.
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Hedge Contract Month- Maturity month of the contract through which hedge is accomplished. Hedge Ratio - Number of future contracts required to hedge the position.
Speculation
Speculation is all about taking position in the futures market without having the underlying. Speculators operate in the market with motive to make money. They take: Naked positions - Position in any future contract. Spread positions - Opposite positions in two future contracts. This is a conservative speculative strategy. Speculators bring liquidity to the system, provide insurance to the hedgers and facilitate the price discovery in the market. S1 Bullish index, long Nifty futures S2 Bearish index, short Nifty futures
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HEDGING
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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If we think that WIPRO is under evaluated, the position LONG WIPRO is not purely about WIPRO; it is also partly about Nifty. Every trader who has a LONG WIPRO position is forced to be an index speculator, even though he may not have no interest in the index. Those who are bullish about the index should just buy Nifty futures; the need not trade individual stocks. Those who are bullish about WIPRO do wrong by carrying along a long position on Nifty as well. There is a simple way out. Every time we adopt a long position on a stock, we should sell some amount of Nifty futures. This will help in offsetting the hidden Nifty exposure that is every long-stock position. Once this is done, we will have a position which will be purely about the performance of the stock. The position LONG WIPRO + SHORT NIFTY is a pure play on the value of WIPRO, without any risk from fluctuation of the market index. When this will be done the stockpicker has hedged away his index exposure. The basic point of this hedging strategy is that the stockpicker proceeds with his core skill, i.e. picking stocks, at the cost of lower risk.
NOTE: hedging does not remove losses. The best that can be
achieved by using hedging is the removal of unwanted exposure, i.e. unnecessary risk. The hedged position will make less profit than the un-hedged position, half the time. One should not enter into a hedging strategy hoping profit for sure; all that can come out of hedging is reduced risk.
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Even if we think that WIPRO is overvalued, the position SHORT WIPRO is not purely about WIPRO; it is also about the Nifty. Every trader who has a SHORT WIPRO position is forced to be an index speculator, even though he may not have any interest in the index. Those who are bearish about the index should just sell Nifty futures; the need not trade individual stocks. Those who are bearish about WIPRO do wrong by carrying along a short position on Nifty as well. There is a simple way out. Every time we adopt a short position on a stock, we should buy some amount of Nifty futures. This will help in offsetting the hidden Nifty exposure that is every short-stock position. Once this is done, we will have a position, which will be purely about the performance of the stock. The position SHORT WIPRO + LONG NIFTY is a pure play on the value of WIPRO, without any risk from fluctuation of the market index. When this will be done the stockpicker has hedged away his index exposure. The basic point of this hedging strategy is that the stockpicker proceeds with his core skill, i.e. picking stocks, at the cost of lower risk.
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The idea here is that every portfolio contains a hidden index exposure. This statement is true for all portfolios, whether a portfolio is composed of index stock or not. In the case of portfolios, most of the portfolio risk is accounted for by index fluctuations. Hence a position LONG PORTFOLIO + SHORT NIFTY can often become one-tenth as risky as the LONG PORTFOLIO position. Is suppose we have a portfolio of Rs.1 billion, which is having a beta of 1.25. Then a complete hedge is obtained by selling Rs.1.25 million of Nifty futures.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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favorable prices. This takes time, and during this time, he is exposed to the risk of missing out if the Nifty goes up. 3. In some cases, such as land sale above, the person may not simply have cash to immediately buy the shares, hence he is forces to wait even if he feels that Nifty is unusually cheap. He is exposed to the risk of missing out if Nifty rises. The three alternatives that are available with an investor are as follows: The investor would obtain the desired equity exposure by buying index futures, immediately. A person who expects to obtain Rs.5 million by selling land would immediately enter into a position LONG NIFTY worth Rs.5 million. Similarly a close-end fund, which has just finished its initial public offering and has cash, which is not yet invested, can immediately enter into a LONG NIFTY to the extent it wants to be invested into equity. The index futures market is likely to be more liquid than individual stocks so it is possible to take extremely large position at a low impact cost. Later, the investor / close-end fund can gradually acquire stocks. As and when shares are obtained, one would scale down the LONG NIFTY position correspondingly. No matter how slowly the stocks are purchased, this strategy would fully capture a rise in Nifty, so there is no risk of missing out on a broad rise in the stock market while this process is taking place. Hence, this strategy allows the investor to take more care and spend more time in choosing stocks and placing aggressive limit orders.
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SPECULATION
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Now after learning about the futures what we can do is that as we are having our three portfolios we would see how we could hedge our position using the futures contract. As we know that Hedging
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does not always make money. The best way that can be achieved using hedging is the removal of unwanted exposure, i.e. unnecessary risk. The hedged position will make less profit than the unhedged position. One should not enter into a hedging strategy hoping to make excess profits for sure; all that can come out of hedging is reduced risk. So one should go for hedging only if the movement of market makes him uncomfortable. Here we are having a portfolio of script so to hedge our position we would have to know what is the portfolio BETA The Portfolio BETA = Wi * Beta
% Change in Market Return The BETA of a scrip can be easily found out from the website of National Stock Exchange and also from the website of Bombay stock exchange Here for the purpose of hedging we will have to short nifty futures as we are having the portfolio and the future contracts may not be available for all the scrip. But as we have seen earlier that all scrip have hidden exposure to nifty. So we will short the nifty future contract for the purpose of hedging our portfolio. The current nifty lot size is 200. Now for the purpose of hedging the portfolio we will have to decide about the number of lots of Nifty that the investor will have to sell in order to hedge his position. To find out that figure we will have to do the following calculations: -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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DEFENSIVE PORTFOLIO
Amount of Nifty to be short = Investment * Portfolio Beta The current Nifty level = 1000000 * 0.75 2813.7 = 266.55
As the nifty that are required to be short comes out to be 266.55 but as we know that the nifty is available in the lot size of 300 so this will give our portfolio a partial hedge as we are unable to short the exact nifty figure that we have calculated. During this two month the nifty has moved to 3064.4 this shows that nifty has increased by 250.70 in % terms nifty has gone up by 8.91 % Now as we have short position of one nifty contract we would require to pay the buyer of contract 250.70*300 =75,210Rs. If we take in to account the profit that we now earn is 1,66,628 75210= 91418/- Rs. So we can easily see that the hedging as reduced our profit we were earning 1,66,628 with hedging it has reduced to 75210. talking in % terms we can say that we were earning 16.66% but due to hedging the profit comes down to 9.14% PROFIT ( Rs. ) WITHOUT HEDGING WITH HEDGING 1,66,628 91,418 PROFIT ( % ) 16.66 % 9.14 %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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MODERATE PORTFOLIO
Amount of Nifty to be short = Investment * Portfolio Beta The current Nifty level = 162612.70* 0.93 2813.7 = 53.74 ~ 54
As the nifty that are required to be short comes out to be 54 but as we know that the nifty is available in the lot size of 100 so this will give our portfolio a partial hedge as we are unable to short the exact nifty figure that we have calculated. During 2 month the nifty has moved to 3064.4 this shows that nifty has increased by 250.70 in % terms nifty has gone up by 8.91 % Now as we have short position of one nifty contract we would require to pay the buyer of contract 250.70*100 =25,070 Rs. If we take in to account the profit that we now earn Is 1,40,350 25,070= 1,15,280Rs. So we can easily see that the hedging as reduced our profit we were earning 1,40,350 Rs. with hedging it has reduced to 25070. talking in % terms we can say that we were earning 16.29% but due to hedging the profit comes down to 11.53% PROFIT ( Rs. ) WITHOUT HEDGING WITH HEDGING 1,40,350 1,15,280 PROFIT ( % ) 16.29 % 11.53 %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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AGGRESSIVE PORTFOLIO
Amount of Nifty to be short = Investment * Portfolio Beta The current Nifty level = 10,00,000 *1.14 2813.7 = 405.16 As the nifty that are required to be short comes out to be 405.16 but as we know that the nifty is available in the lot size of 400 so this will give our portfolio a partial hedge as we are unable to short the exact nifty figure that we have calculated. During this two month the nifty has moved to 3064.4 this shows that nifty has increased by 250.70 in % terms nifty has gone up by 8.91 % Now as we have short position of one nifty contract we would require to pay the buyer of contract 250.70*400 =1,00,280Rs. If we take in to account the profit that we now earn is 84,397 1,00,280 = ( 15,883) Rs.
So we can easily see that the hedging as reduced our profit we were earning 84,397with hedging it has reduced to (15,883). talking in % terms we can say that we were earning 8.44% but due to hedging the profit comes down to ( 1.58 )% PROFIT ( Rs. ) WITHOUT HEDGING WITH HEDGING 84,397 ( 15,883) PROFIT ( % ) 8.44 % (1.58 ) %
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SECTOR PORTFOLIO
Sector specific portfolio includes securities of those companies which are in the same business. Sector portfolios are very useful when there is a particular sector which is doing very good and has a bright future a head. Sector portfolio has the securities of those companies that engage in same kind of business. e.g. In late 1990s sector that was providing the highest return was information technology. Investors who have invested their money in these securities had earned very high return. We are considering Telecom Sector as our Sector Portfolio.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Industry analysis Telecom sector Objectives and targets of the New Telecom Policy 1999 The objectives of the NTP 1999 are as under:
Access to telecommunications is of utmost importance for achievement of t he country's social and economic goals. Availability of affordable and effective communications for the citizens is at the core of the vision and goal of the telecom policy.
Strive to provide a balance between the provision of universal service to all uncovered areas, including the rural areas, and the provision of high-level services capable of meeting the needs of the country's economy;
Encourage development of telecommunication facilities in remote, hilly and tribal areas of the country; Create a modern and efficient telecommunications
infrastructure taking into account the convergence of IT, media, telecom and consumer electronics and thereby propel India into becoming an IT superpower;
Convert PCO's, wherever justified, into Public Teleinfo centres having multimedia capability like ISDN services, remote database access, government and community information systems etc.
Transform in a time bound manner, the telecommunications sector to a greater competitive environment in both urban and rural areas providing equal opportunities and level playing field for all players;
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Strengthen research and development efforts in the country and provide an impetus to build world-class manufacturing capabilities.
Achieve
efficiency
and
transparency
in
spectrum
management.
Protect defence and security interests of the country. Area of Operation (Except Delhi & Mumbai) Delhi & Mumbai AP, MP, Delhi, Haryana, Chennai, Karnataka,
Service Provider 1 BSNL All India 2 MTNL 3 Bharti Telesonic Ltd Tamil Nadu, Kerala, Gujarat,
Punjab, Maharashtra, Mumbai, UP(E), including Uttaranchal, West Bengal and Kolkata 4 Tata Teleservices (Maharashtra) Ltd 5 Tata Teleservices Ltd Delhi, Bihar, Orissa, Rajasthan, Punjab, Haryana, Himachal Pradesh, Kerala, Madhya Pradesh, U.P. (E), U.P (W) including Uttaranchal, West Bengal 6 HFCL Infotel Ltd 7 Shyam Telelink Ltd 8 Reliance Infocomm.Ltd. Gujarat, Haryana, HP, MP, Maharashtra, Mumbai, Orissa, Punjab, Rajasthan, Tamil Nadu, Chennai, UP(E), West Bengal, Kolkata and Kolkata Punjab Rajasthan AP, Bihar, Maharastra, Mumbai AP, TN, Chennai, Karnataka, Gujarat,
Delhi,
Karnataka, Kerala,
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Subscribers Base The Mobile (GSM and CDMA) Industry has reached the 65.07 million subscribers mark (GSM 50.86 million & CDMA 14.21 million) for the quarter ending 30th September 2005. Addition in Subscribers Base The subscribers base stood at 65.07 million as against 57.37 million for the quarter ending 30.9.2005. Around 7.70 million subscribers were added in this quarter. Growth Rate The growth rate for this quarter is 13.42% (13.16% in GSM and 14.37% in CDMA) as against 9.86% (9.44% in GSM and 12.43% in CDMA) for the quarter ending June 2005. M/s Bharti remains the largest mobile operator followed by M/s Reliance and M/s BSNL. Company wise Market Share: a) The Subscriber Base of different Mobile operators is given in Table 2.1. The top five Mobile operators on the basis of market share are as under: Cellular Group Subscribers Technology Used Bharti Reliance CDMA BSNL CDMA Hutchison IDEA 9.71 5.94 14.92 9.13 GSM GSM 12.38 19.03 GSM & 14.07 12.99 21.62 19.96 GSM GSM & Market Share
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Change in Market Structure M/s Bharti, M/s Reliance and BSNL/MTNL has licenses to offer mobile services in all 23 service area. The largest mobile operator, M/s Bharti is offering services in all the 23 service areas. M/s Reliance is presently offering services in all service areas except J&K circle. BSNL is also offering services in all its 21 circles (Except Delhi & Mumbai). M/s Tata Teleservices is offering services in all its licensed 20 service areas. M/s Tata Teleservices does not have license to offer access services in J&K, Assam & North East. Market share of all company Subscriber Base Bharat Sanchar Nigam Ltd. Mahanagar Telephone Nigam Ltd. Sify Ltd. Videsh Sanchar Nigam Ltd. Reliance Communications Infrastructure Ltd. Data Infosys others Bharti Televentures Ltd.(Bharti Infotel) 37% 20% 14% 8% 5% 4% 3%
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Company analysis Telecom sector 1. Bharti Tele-Ventures Ltd. Company at glance Industry: - Telecommunications 52 Week High: - 377.00 52 Week Low: - 195.80 Volume: - 59847 Face Value: - 10.00 P/E Ratio: - 57.24 EPS: - 6.29
Three Months chart The bellow given chart shows the performance of the script in the bse for last three months. It shows the volatility of the stock for the months of November, December and January.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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FINANCIAL PERFORMANCE For the year Operating Income Net Profit Net Worth No. of Shares (in crore) Adjusted EPS (Rs) Book value per Share (Rs) Mar-02 62.97 62.97 4,816.27 Mar-03 71.35 0.22 4,819.75 Mar-04 62.98 0.37 4,823.55 Mar-05 8,142.44 1,210.67 4,134.07
185.34
185.34
185.34
185.34
6.29
25.99
26.01
26.03
24.12
0.19
0.58
0.58
14.83
74.86 0
668.08 0
233.91 0.1
0.51 0.98
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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2. Tata Telecom Ltd. Company at glance Industry: 52 Week High: 52 Week Low: P/E Ratio: EPS: Volume: Face Value: Three Months chart The bellow given chart shows the performance of the script in the bse for last three months. It shows the volatility of the stock for the months of November, December and January. Telecom 531.00 289.00 30.15 13.73 878 10.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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FINANCIAL PERFOMANCE For the year Operating Income Net Profit Net Worth No. of Shares (in crore) Adjusted EPS (Rs) Book value per Share (Rs) Dvdnd per Share(Rs) Net Profit Margin (%) Current Ratio Lt Debt Equity 02-Mar 228.2 15.68 70.52 1.42 12.13 65.44 2 6.06 1.97 0.04 03-Mar 285.5 18.56 85.06 1.42 13.06 75.66 2.5 5.78 1.88 0.03 04-Mar 394.5 32.67 110.5 1.42 23.29 93.55 4.5 8.24 1.76 0.02 05-Mar 323.8 24.92 128.1 1.42 13.73 105.9 4.5 7.65 1.55 0.01
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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3. Videsh Sanchar Nigam Ltd. Industry: 52 Week High: 52 Week Low: P/E Ratio: EPS: Volume: Face Value: Three Months chart The bellow given chart shows the performance of the script in the bse for last three months. It shows the volatility of the stock for the months of November, December and January. Telecom 444.60 161.00 31.18 12.21 2365926 10.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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FIANCIAL PERFOMANCE For the year Operating Income Net Profit 02-Mar 6,508.09 1,407.42 03-Mar 4,538.55 780.07 5,341.32 28.5 29.62 194.75 8.5 16.12 04-Mar 3,163.54 377.66 4,961.00 28.5 13.12 181.3 4.5 11.24 05-Mar 3,303.04 756.37 5,522.06 28.5 12.21 200.98 6 22.19
Net Worth 4,834.54 No. of Shares (in 28.5 crore) Adjusted EPS (Rs) 46.05 Book value per Share 176.98 (Rs) Dvdnd per Share(Rs) 87.5 Net Profit Margin (%) 20.08
2.45 0
2.67 0
1.59 0
1.84 0
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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4. Mahanagar Telephone Nigam Ltd. Industry: 52 Week High: 52 Week Low: P/E Ratio: EPS: Volume: Face Value: Telecom 154.50 108.00 10.79 12.86 76690 10.00
Three Months chart The bellow given chart shows the performance of the script in the bse for last three months. It shows the volatility of the stock for the months of November, December and January.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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FIANCIAL PERFOMANCE For the year Operating Income Net Profit Net Worth No. of Shares crore) Adjusted EPS (Rs) (in 02-Mar 6,145.07 1,300.68 7,795.60 63 20.3 03-Mar 5,807.26 877.16 8,250.63 63 14.05 150.75 4.5 14.61 1.27 0 04-Mar 6,370.40 1,234.60 8,947.49 63 18.24 163.93 4.5 18.79 1.29 0 05-Mar 5,593.25 948.43 9,492.66 63 12.86 173.71 4.5 16.1 1.29 0
Book value per Share 141.9 (Rs) Dvdnd per Share(Rs) 4.5 Net Profit Margin (%) Current Ratio Lt Debt Equity 20.56 1.67 0.29
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Profitability Ratio
Average Return 50 40 30 20 10 0 Bharti Tele Tata VSNL MTNL tele Company Operatig Margin in % Gross Profit margin in % Net Profit Margin in % Return on long term fund in %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Random portfolio
After understanding the various concepts about what are the investments option and what are the risks associated with the various investment avenues. And also about how one can use Derivative to be specific Future for the purpose of Hedging and Speculation.
But it is advisable to use the direct equity investment only if the investors have adequate knowledge about selection of stocks. There task does not ends with the selection of script but they are also required to pay close attention to the various happening in the economy that have direct or indirect effect on stock market as we have learn that the price of the script is affected by two factor, one is company specific news and the other is economy specific news so any investor investing in the equity directly has to keep the close track of the economy as well as the company in which they invest to look out for any new development that take place
As in the theoretical way we have scene that the Beta shows the movement or change in the price of script vis--vis index. And a Beta >1 is more riskier and hence should give more return as compared to the script having Beta < 1. as the person is taking more risk then he should get more return.
B.R.C.M. College of Business Administration, Surat
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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But in our case we have scene that Moderate portfolio having Beta < 1 has given more return as compared to Aggressive Portfolio. So we can easily say that the investment in equity market is subject to market risk and any one having long-term investment horizon should only enter into equity market. This analysis that has been carried out was only for a period of two month there are chances that in the long run aggressive portfolio would outperform the other portfolio. And we have also scene the Derivative- Future how one can use it for the purpose of speculation and hedging. But hedging is only for the removal of unnecessary risk or exposure one should not go for hedging for earning excess return. So if one does not have enough knowledge, expertise & analytical capabilities then one should avoid going for direct equity investment as the chances of loss increases. And the other very important aspect is the regular monitoring of the portfolio and reviewing is also an important aspect that one needs to pay close attention to.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Sector portfolio
Sector portfolio has given negative return in the month of the study as there is systemic risk as very high in the sector portfolio because of non diversification. This portfolio has given -3.62% returns on the one month performance so it is advisable for the investor not to go for such a high risky investment options.
All the individual scripts and the portfolio showing very steady chart, there is very little movement in the performance chart.
There is a very high Beta of majority of the scripts in the portfolio edging more than 2 in most of the script. Only one script having a Beta under 1 but it is too low to give a good return on the investment. Because of that the overall portfolio Beta is also sizing more than 2.
In the sector portfolio the volatility of the majority of script is under 10. Thats shows less risk with the portfolio and also less fluctuation means less chance of return.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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RECOMMENDATION
From the above given findings and the conclusions of the study done by me, here are the list of recommendations that comes out of the study. Form the study it is also proven that even in short run sector portfolio is highly risky option for investment. Here in the study it is providing negative return. That shows that investors who want to have safe return must think twice before selecting sector portfolio for a long term investment.
Though random portfolio is having scripts with highest return and volatility, but for a long term prospect is becomes hard to fetch good return out of it as it is hard to take use of high volatility.
There is a requirement for frequent portfolio checking to maintain the higher return and to make use of high volatility.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Bibliography Books
1. Derivatives Module of NSE ( NCFM ) 2. Securities analysis and Portfolio Management -B.K. Bhalla
Web Bibliography
1. www.kotaksecurities.com 2. www.nseindia.com 3. www.bseindia.com 4. www.derivativesindia.com 5. www.moneycontrol.com 6. www.icicidirect.com
Others
1. Magazines Business World
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Annexure
Balance Sheet of BHARTI TELE VENTURE 05/0304/0303/0302/03(12) (12) (12) (12) CAPITAL & LIABILITIES Owners' Fund Equity Share Capital Share Application Money Reserves & Surplus Other Liabilities & Provisions Total Cash & Balances with RBI Investments Fixed Assets Gross Block Less: Revaluation Reserve Less: Accumulated Depreciation Net Block Capital Workin-progress Other Assets Miscellaneous Expenses not written off Total Contingent liabilities Book Value of Unqouted Investment Market Value 1,853.37 2.72 2,675.38 4,570.79 9,102.26 1,853.37 0.00 2,971.49 15.77 1,853.37 0.00 2,971.12 5.00 1,853.37 0.00 2,970.90 40.61 4,864.88 01/03(12)
4,840.63 4,829.49 ASSETS 0.13 1,762.67 31.84 0.00 0.34 1,467.79 30.62 0.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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of Qouted Investment
Balance sheet of TATA TELE 04/03 03/03 05/03 CAPITAL & LIABILITIES Owners' Fund Equity Share Capital Reserves & Surplus Other Liabilities & Provisions Total Cash & Balances with RBI Investments Fixed Assets Gross Block Less: Accumulated Depreciation Net Block Capital Workin-progress Other Assets Miscellaneous Expenses not written off Total Contingent liabilities Book Value of Unqouted Investment Market Value of Qouted Investment 14.23 2,675.38 216.00 14.23 2,971.49 167.34 14.23 2,971.12 113.68 02/03 01/03
14.23 1,515.69
77.04 366.75 300.48 221.38 ASSETS 32.42 87.17 0.09 65.62 36.04 0.09 61.53 28.33 184.63 19.39 21.65 0.05 57.87 27.80 0.11 57.21 25.82 25.03 0.72 333.91 0.00 29.58 0.12 294.88 0.00 33.20 0.12 213.41 0.00 30.06 0.00 180.56 0.00 31.39 0.00 173.87 0.72 133.64
0.00
0.00
0.00
0.00 0.12
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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04/0303/0302/0305/03(12) (12) (12) (12) CAPITAL & LIABILITIES Owners' Fund Equity Share Capital Reserves & Surplus Other Liabilities & Provisions Total Cash & Balances with RBI Investments Gross Block Less: Accumulated Depreciation Net Block Capital Workin-progress Other Assets Miscellaneous Expenses not written off Total Contingent liabilities Book Value of Unqouted Investment Market Value of Qouted Investment 285.00 5,443.05 1,978.87 285.00 4,882.18 1,976.65 285.00 5,265.42 1,708.24 285.00 4,758.98 2,062.85
01/03(12)
285.00 6,303.74
3,480.52 7,706.92 7,143.83 7,258.66 ASSETS 2,358.59 1,046.71 2,089.14 655.87 Fixed Assets 2,348.54 3,290.23 590.81 1,015.19 7,106.83 2,534.94 4,840.07 366.29 2,835.29 862.12 110.65 2,658.79 742.99 2,347.03 513.17 3,646.14 0.00 1,757.73 216.63 3,143.31 0.00 2,275.03 114.23 4,567.52 0.00 1,973.17 298.39 5,044.12 0.00 1,915.80 497.19 7,545.63 0.72 10,069.26
0.00
99.77
68.24
97.35 0.00
02/03(12)
01/03(12)
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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Equity Share Capital Reserves & Surplus Other Liabilities & Provisions Total Cash & Balances with RBI Investments Fixed Assets Gross Block Less: Accumulated Depreciation Net Block Capital Workin-progress Other Assets Miscellaneous Expenses not written off Total Contingent liabilities Book Value of Unqouted Investment Market Value of Qouted Investment
630.00 7,718.15
21,411.2 221.38 8 ASSETS 1,815.39 2,553.07 380.69 13,562.9 3 7,352.65 371.01 12,665.2 1 7,148.03
5,653.07 6,468.63 651.51 815.50 0.00 6,210.28 508.25 14,312.0 5 0.00 5,517.17 918.74 12,777.9 6 0.00 5,311.80 797.81 13,370.7 7 0.00 5,027.89 815.50 11,044.15 0.72
0.00
0.00
0.00
0.00 0.12
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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NIFTY VALUES
S.No 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 Security Symbol ABB ACC BAJAJAUTO BHARTI BHEL BPCL CIPLA DABUR DRREDDY GAIL GLAXO GRASIM GUJAMBCEM HCLTECH HDFC HDFCBANK HEROHONDA HINDALCO HINDLEVER HINDPETRO ICICIBANK INFOSYSTCH IPCL ITC JETAIRWAYS LT MARUTI M&M MTNL NATIONALUM ONGC ORIENTBANK PNB RANBAXY REL RELIANCE SAIL SATYAMCOMP SBIN SCI SUNPHARMA TATACHEM TATAPOWER TATATEA TATAMOTORS TCS TATASTEEL VSNL WIPRO Equity 423,816,750 1,851,909,460 1,011,835,100 18,933,749,010 2,447,600,000 3,000,000,000 599,740,466 573,302,784 383,034,985 8,456,516,000 847,030,170 916,736,360 2,705,593,000 644,351,768 2,494,075,020 3,127,855,080 399,375,000 1,159,684,963 2,201,243,793 3,393,300,000 8,896,209,860 1,372,625,815 2,482,256,220 3,755,157,950 863,340,110 273,798,272 1,444,550,300 2,360,812,020 6,300,000,000 6,443,096,280 14,259,339,920 2,505,397,000 3,153,025,000 1,862,370,965 2,019,042,510 13,935,080,410 41,304,005,450 646,924,048 5,262,988,780 2,823,024,300 927,578,150 2,151,026,510 1,978,978,640 562,198,570 3,767,922,890 480,114,809 5,534,728,560 2,850,000,000 2,841,478,198 Weightage % 0.75% 0.81% 1.84% 4.77% 3.46% 0.91% 1.15% 0.44% 0.70% 1.61% 0.78% 1.11% 0.83% 1.37% 2.37% 1.61% 1.24% 1.24% 3.74% 0.77% 3.82% 5.41% 0.40% 4.52% 0.59% 2.29% 1.66% 0.97% 0.63% 1.25% 11.30% 0.42% 0.97% 1.12% 0.87% 6.89% 1.84% 1.74% 3.22% 0.30% 1.01% 0.36% 0.71% 0.36% 2.14% 5.69% 1.66% 0.73% 5.16% Beta 0.71 0.78 0.82 0.98 1.09 0.69 0.83 0.98 0.7 1.05 0.7 0.86 0.97 1.15 0.84 0.79 0.81 1.16 0.89 0.81 1.16 1.03 1.16 0.86 0.75 0.94 1.14 0.95 1.04 1.27 1.03 0.96 1.23 0.82 1.09 1.06 1.44 1.26 1.19 0.79 0.47 0.81 1.27 0.78 1.29 1.03 1.23 1.65 1.26 R2 0.15 0.27 0.21 0.25 0.32 0.14 0.17 0.19 0.13 0.35 0.16 0.27 0.26 0.3 0.18 0.19 0.17 0.39 0.21 0.24 0.29 0.39 0.36 0.23 0.16 0.22 0.34 0.29 0.24 0.32 0.37 0.23 0.36 0.13 0.34 0.43 0.32 0.39 0.48 0.21 0.08 0.19 0.43 0.24 0.38 0.34 0.42 0.31 0.41 Volatility % 1.6 1.62 2.19 1.29 1.79 1.77 3.43 1.62 3.21 1.27 2.06 2.35 1.53 1.16 2.07 1.8 1.93 1.87 2.77 1.67 2.35 1.38 1.78 2.07 2.47 3.18 1.77 1.87 2.8 3.45 1.81 1.44 1.73 3.01 1.31 1.2 3.03 1.55 1.27 1.82 1.92 1.44 1.72 2.68 2.32 1.15 1.71 1.72 1.5
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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50
ZEETELE
412,505,012
0.51%
1.05
0.16
2.86
NIFTY JUNIOR
S. No. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46
Security Symbol ANDHRABANK APOLLOTYRE ASHOKLEY ASIANPAINT AUROPHARMA AVENTIS BANKBARODA BANKINDIA BEL BHARATFORG BIOCON BONGAIREFN CADILAHC CANBK CHENNPETRO CMC COCHINREFN CORPBANK CUMMINSIND GESHIPPING CONCOR I-FLEX IBP IDBI IFCI INGERRAND IOB JPASSOCIAT KOTAKBANK LICHSGFIN LUPIN MOSERBAER MPHASISBFL NICOLASPIR NIRMA PATNI PFIZER POLARIS PUNJABTRAC RAYMOND SIEMENS STER SYNDIBANK TTML TVSMOTOR UNIONBANK
Equity 4,850,000,000 383,379,770 1,189,294,200 962,789,280 266,350,000 230,306,220 3,670,000,000 4,874,002,000 800,000,000 441,018,830 500,000,000 1,998,179,000 314,034,270 4,100,000,000 1,489,432,000 151,500,000 1,384,697,800 1,434,400,000 396,000,000 1,903,424,050 649,913,970 380,429,100 221,473,690 7,236,162,580 6,386,757,620 315,680,000 5,448,000,000 1,855,970,840 3,092,166,250 849,326,000 401,411,340 1,115,129,440 1,606,343,030 418,035,212 793,824,840 275,596,798 298,414,400 490,710,810 607,557,000 613,808,530 331,384,030 556,549,450 5,219,682,820 15,205,344,350 237,543,557 4,601,179,000
Weightage % 1.73% 0.47% 1.86% 2.63% 1.21% 1.71% 3.34% 2.67% 3.59% 3.75% 1.98% 0.56% 1.37% 4.79% 1.36% 0.31% 0.99% 1.97% 1.82% 1.91% 3.83% 3.30% 0.50% 2.47% 0.29% 0.49% 2.25% 3.36% 2.89% 0.69% 1.53% 1.00% 1.14% 2.02% 1.58% 2.63% 1.23% 0.44% 0.58% 1.09% 6.11% 6.02% 1.99% 1.53% 1.16% 2.29%
Beta 1.17 0.62 1.24 0.4 0.94 0.65 1.55 1.81 1.01 1.19 0.56 0.98 0.44 1.37 1.08 0.5 0.76 1 0.91 0.86 0.41 0.83 0.62 1.4 1.55 0.72 1.15 1.23 1 1.02 0.75 0.92 0.94 0.94 0.81 0.97 0.5 1.44 0.67 0.8 0.76 1.27 1.26 1.19 1.1 1.23
R2 0.25 0.13 0.3 0.08 0.13 0.15 0.39 0.34 0.26 0.34 0.12 0.25 0.08 0.31 0.23 0.07 0.18 0.18 0.15 0.15 0.05 0.17 0.15 0.27 0.22 0.08 0.2 0.18 0.13 0.24 0.13 0.18 0.21 0.18 0.16 0.24 0.07 0.25 0.15 0.18 0.14 0.27 0.24 0.27 0.21 0.27
Volatility % 2.04 1.55 2.88 2.09 2.01 2.42 1.94 3.98 2.49 2.72 1.44 0.97 1.45 3.95 1.33 1.17 2.03 1.85 3.74 2.14 2.54 1.53 2.1 1.9 4.78 2.92 2.47 2.58 2.49 1.9 2.55 2.67 0.95 1.56 2.45 2.03 2.42 2.3 1.5 1.7 1.39 2.75 2.92 1.14 1.61 1.78
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47 48 49 50