Security Analysis & Portfolio Management-Mid-Term

Guidelines:
1. Answer all questions and the weighate for each question is as follows. Problem-1(5 Markks), Problem
2. For each question solving, you can use specified spread sheet only.
3. Any interpretations or explanations, you can write in the same spread sheet only.
4.After solving all questions, you can save the spread sheet with your register number and must be uplo
5. Only uploaded documents in the moodle will be considerd for final evaluation.

Note Without any interpreatation, the final results will not be considered for evaluation.
ment-Mid-Term
Total-40 Marks
blem-1(5 Markks), Problem-2 (10 Marks), Problem-3 (15 Marks), Problem-4 (10 Marks)

r number and must be uploaded in the moodle.

An investor uses rupee-cost averaging by purchasing Rs.3,000 worth of shares of the Sun Pharmaceutical Industries Limited at
(fraction of buying shares is not allowed), so any cash left over everymonth should be saved.The leftover amount for everymon
rupess) has the investor made? what is the total networth of the investments after Mar-15 purchaes (including shares and savi

Monthly
Date Closing Shares(3000/share prActual no of Shares Total Investment Savings
price
Apr-13 270.28 11.10 11 2973.08 26.92
May-13 300.67 9.98 9 2706.03 293.97
Jun-13 340.32 8.82 8 2722.56 277.44
Jul-13 330.12 9.09 9 2971.08 28.92
Aug-13 370.39 8.10 8 2963.12 36.88
Sep-13 340.33 8.81 8 2722.64 277.36
Oct-13 380.49 7.88 7 2663.43 336.57
Nov-13 380.39 7.89 7 2662.73 337.27
Dec-13 420.14 7.14 7 2940.98 59.02
Jan-14 410.75 7.30 7 2875.25 124.75
Feb-14 430.37 6.97 6 2582.22 417.78
Mar-14 410.07 7.32 7 2870.49 129.51
Apr-14 420.69 7.13 7 2944.83 55.17
May-14 450.8 6.65 6 2704.8 295.2
Jun-14 510.09 5.88 5 2550.45 449.55
Jul-14 500.75 5.99 5 2503.75 496.25
Aug-14 520.22 5.77 5 2601.1 398.9
Sep-14 510.62 5.88 5 2553.1 446.9
Oct-14 490.9 6.11 6 2945.4 54.6
Nov-14 530.57 5.65 5 2652.85 347.15
Dec-14 510.77 5.87 5 2553.85 446.15
Jan-15 500.6 5.99 5 2503 497
Feb-15 540.97 5.55 5 2704.85 295.15
Mar-15 580.46 5.17 5 2902.3 97.7
aceutical Industries Limited at the end of each month for two years. Below is the closing price of each month. The investor can buy only wh
leftover amount for everymonth shouldn't be carry forward for next month purchases. How many total shares are purchased, and how mu
haes (including shares and savings, Assuming no interest on savings)

Monthly Investment 3000

Total Amount 72000

Total No of Shares 158 Price (Mar 15)

Total Investment in Shares 65773.89

Total Savings 6226.11

Total Networth without Savings 91712.68

Total Networth with Savings 97938.79

Total profit only in investments in shares 25938.79

Total Profit as whole 25938.79

nvestor can buy only whole shares of stock
purchased, and how much profit (in

580.46
Compute the portfolio expected return and standard devation of a portfolio consisting of Yes bank, Infosys and ITC
stocks. Compute the portfolio risk and return for each of the five portfolios made of the following weights.

Portfolio Yes Bank Infosys ITC

I 0.50 0.25 0.25
II 0.25 0.50 0.25
III 0.80 0.10 0.10
IV 0.33 0.33 0.33
V 0.15 0.15 0.70

1 month total return (%)

Date Yes Bank Infosys ITC Portfolio Yes Bank
Mar-15 0.16 12.64 -7.62 I
Feb-15 12.02 6.62 10.44 II
Jan-15 3.19 4.79 -28.25 III
Dec-14 -1.98 5.84 3.48 IV
Nov-14 33.25 7.39 26.52 V
Oct-14 3.39 1.52 29.39
Sep-14 1.77 9.24 13.74
Aug-14 -2.06 -1.34 -8.49
Jul-14 2.10 3.33 -21.45
Jun-14 0.00 1.34 2.25
May-14 15.63 1.75 9.35
Apr-14 7.63 -8.04 -12.38
Mar-14 1.16 7.01 8.20
Feb-14 -6.61 11.19 0.94
Jan-14 3.26 11.71 -0.27
Dec-13 4.80 7.67 -17.08
Nov-13 -8.04 -9.69 18.22
Oct-13 8.28 8.06 36.81
Sep-13 3.18 -11.67 -1.59
Aug-13 43.94 22.15 54.66
Jul-13 -19.62 -8.00 13.89
Jun-13 0.00 4.12 -11.95
May-13 13.81 13.56 -2.15
Apr-13 51.75 22.46 20.39
Sum of returns 171.01 123.65 137.05
Average returns for
1 month
7.125417 5.152083 5.710417
bank, Infosys and ITC
wing weights.

Infosys ITC

4
The share prices of Tata Motors stock is given below for the period 1 April 2019 to 30 June 2019. The maximum invested am
By using monte-Carlo simulation method Calculate Value at Risk (VaR) at 1% and 5% significance level. You are expected to

Date Share Price HPR HPR(%)

4/1/2019 187.350006
4/2/2019 202.949997 0.08327 8.33%
4/3/2019 201.350006 -0.00788 -0.79% Monte Carlo simulation F
4/4/2019 206.149994 0.02384 2.38% Exp((Rf-0.5*Variance)*T+(SD*Sqrt(T)*N
4/5/2019 205.149994 -0.00485 -0.49%
4/8/2019 200.550003 -0.02242 -2.24%
4/9/2019 205.899994 0.02668 2.67%
4/10/2019 216.050003 0.04930 4.93%
4/11/2019 218.199997 0.00995 1.00%
4/12/2019 215.949997 -0.01031 -1.03%
4/15/2019 231.75 0.07317 7.32%
4/16/2019 230.5 -0.00539 -0.54%
4/18/2019 236.25 0.02495 2.49%
4/22/2019 234.850006 -0.00593 -0.59%
4/23/2019 231.649994 -0.01363 -1.36%
4/24/2019 223.600006 -0.03475 -3.48%
4/25/2019 221.850006 -0.00783 -0.78%
4/26/2019 215.600006 -0.02817 -2.82%
4/30/2019 214.300003 -0.00603 -0.60%
5/2/2019 207.300003 -0.03266 -3.27%
5/3/2019 209.449997 0.01037 1.04%
5/6/2019 199.800003 -0.04607 -4.61%
5/7/2019 190.949997 -0.04429 -4.43%
5/8/2019 185.100006 -0.03064 -3.06%
5/9/2019 186.350006 0.00675 0.68%
5/10/2019 185.899994 -0.00241 -0.24%
5/13/2019 180.75 -0.02770 -2.77%
5/14/2019 184.5 0.02075 2.07%
5/15/2019 169.449997 -0.08157 -8.16%
5/16/2019 175.399994 0.03511 3.51%
5/17/2019 176.850006 0.00827 0.83%
5/20/2019 190.149994 0.07520 7.52%
5/21/2019 176.800003 -0.07021 -7.02%
5/22/2019 179.100006 0.01301 1.30%
5/23/2019 175.149994 -0.02205 -2.21%
5/24/2019 182.300003 0.04082 4.08%
5/27/2019 181.350006 -0.00521 -0.52%
5/28/2019 180.25 -0.00607 -0.61%
5/29/2019 176.350006 -0.02164 -2.16%
5/30/2019 175.149994 -0.00680 -0.68%
5/31/2019 172.600006 -0.01456 -1.46%
6/3/2019 174.5 0.01101 1.10%
6/4/2019 173.25 -0.00716 -0.72%
6/6/2019 169.699997 -0.02049 -2.05%
 6/7/2019 169.5 -0.00118 -0.12%
6/10/2019 166.199997 -0.01947 -1.95%
6/11/2019 170.75 0.02738 2.74%
6/12/2019 169.050003 -0.00996 -1.00%
6/13/2019 167.399994 -0.00976 -0.98%
6/14/2019 164.199997 -0.01912 -1.91%
6/17/2019 158.75 -0.03319 -3.32%
6/18/2019 158.300003 -0.00283 -0.28%
6/19/2019 154.649994 -0.02306 -2.31%
6/20/2019 159.25 0.02974 2.97%
6/21/2019 158.899994 -0.00220 -0.22%
6/24/2019 159.300003 0.00252 0.25%
6/25/2019 160.449997 0.00722 0.72%
6/26/2019 161.100006 0.00405 0.41%
6/27/2019 165.850006 0.02948 2.95%
6/28/2019 162.550003 -0.01990 -1.99%

VaR-Monte Carlo Simulation VaR-MC

1%
Investment 2,500,000 5%
Risk free rate(Rf) 6.5%
Expected Voltality(Standard deviation) 0.0307
Time(Days) 59
Based on the risk free rate and standard de
returns,maximum loss that can be incurred in inv
using monte carlo simulation at 99% and 95%

Absolute loss caculated above is the maximum loss that can b

2019. The maximum invested amount in stock is 25,00,000 and estimated risk free rate is 6.5%.
cance level. You are expected to write meaningful interpretation for your all findings.

Seed Value
Iteration 1.0241343844
Monte Carlo simulation Formula 1 1.000337393
Rf-0.5*Variance)*T+(SD*Sqrt(T)*Norm.S.Inv((Rand()))) 2 1.0268371669
3 1.0096277421
4 0.9877011031
5 1.0035028148
6 0.9971802876
7 1.0181006892
8 1.0043370244
9 0.9921211056
10 1.0131356389
11 1.0050719149
12 1.0055852066
13 1.0058838105
14 1.0135603567
15 1.018971391
16 1.0189493587
17 1.0288808832
18 1.0298501474
19 1.049682339
20 1.0281807649
21 1.0019681684
22 1.0298487399
23 1.0043046947
24 1.027076544
25 1.0156403672
26 1.0193472688
27 1.0199441858
28 1.0151279494
29 1.0238661711
30 1.0377713279
31 1.025586948
32 1.017575242
33 0.9928735144
34 1.0260568007
35 0.9787360971
36 0.9969639378
37 0.9842738802
38 1.0148065054
39 1.0120568894
40 0.9934867988
41 1.0353666265
42 1.0113040321
 43 1.0090342097
44 1.0018973711
45 0.9983996899
46 1.0009561913
47 1.0059525197
48 0.9984007281
49 1.0138607061
50 1.0023019898
51 1.0389503619
52 1.0074669831
53 1.0180563154
54 1.0259468693
55 1.0107007389
56 0.9963024128
57 1.0247105032
58 1.0239866862
59 1.0185627749
60 1.0167372812
Percent Loss Absolute Loss 61 1.0353844609
1.67% 41668.86 62 1.0114749142
0.78% 19415.08 63 1.02028087
64 1.0058704986
65 1.0149637431
66 1.008806475
he risk free rate and standard deviation of stock
m loss that can be incurred in investments is calculated 67 0.9888939466
carlo simulation at 99% and 95% confidence level 68 1.0036793147
69 1.0059736966
e is the maximum loss that can be incurred 70 1.0228775523
71 1.0220323594
72 1.0378075629
73 1.0022485958
74 1.0283607055
75 1.0223108292
76 1.0372183055
77 0.9981430009
78 0.9982541048
79 1.0090533902
80 1.0223887188
81 1.0051563459
82 1.0129071039
83 1.0344420459
84 1.0310463225
Warren Buffett, arguably the most famous investor in the United States, is the CEO of Berkshire Hathaway (BRK), a company th
price. Below are the actual year-end stock prices for BRK-A from 1965 through 2011. (Yes, these are the actual stock prices, bel
given below. Estimate yearly returns (in percent) for BRK-A stock and S&P 500 index . Calculate alpha and beta for the BRK-A st
move up 15 percent in the year 2012, How much return would you expect from BRK-A stock?

Year BRK-A Stock S&P 500

1965 16.25 42.1
1966 17.5 46.2
1967 20.25 50.2
1968 37 56.3
1969 42 64.29
1970 39 81.52
1971 70 100.31
1972 80 107.2
1973 71 111.52
1974 40 93.98
1975 38 83.36
1976 94 102.77
1977 138 98.42
1978 157 89.21
1979 320 101.59
1980 425 102.09
1981 560 136
1982 775 111.96
1983 1310 152.96
1984 1275 159.18
1985 2470 180.66
1986 2820 238.9
1987 2950 291.7
1988 4700 258.89
1989 8675 294.87
1990 6675 339.94
1991 9050 375.22
1992 11750 403.69
1993 16325 451.67
1994 20400 445.77
1995 32100 500.71
1996 34100 645.5
1997 46000 757.12
1998 70000 1101.75
1999 56100 1286.37
2000 71000 1498.58
2001 75600 1160.33
2002 72750 1147.39
2003 84250 848.18
2004 87900 1126.21
2005 88620 1180.59
2006 109990 1294.83
2007 141600 1420.86
2008 96600 1322.7
2009 99200 797.87
2010 120450 1169.43
2011 114755 1325.83
away (BRK), a company that has enjoyed great success in terms of its stock
he actual stock prices, believe it or not.). The end value of S&P 500 is also
a and beta for the BRK-A stock. Suppose S&P 500 index is expected to