DRM Group Assignment Deliverables

The following questions have to be address in your assignment.

First you have to identify the underlying equity asset using the derivative instrument. For example,
“CONCOR” is the equity futures instrument and its underlying equity asset is “Container Corporation
of India Ltd”. Please refer to file “DRM_Assignment_Group_Wise_Alloted_Companies” to find the
assigned instruments for your group assignment.
Group members should work together and compile the report properly. (This report should be
look like a professional investment advisory report. Follow the tips file for more conceptual
understanding)
**Zero marks will be awarded if the report is based on the individual work rather than group
work.

Study Period: 1st Nov 2021 to 31st October 2022 (12 Months = 1 Year).

Submission Deadline: 4th Dec-2022, 5:00 PM

Section-1 (Underlying Assets-Equity)

1) Write the underlying equity assets introduction on the following items
i) Nature of the business (Banking, software, manufacturing etc.)
ii) Public or private ownership
iii) When did these companies started & under what circumstances
iv) Which Industry they belongs? And their importance in the industry?
v) Overall greatness of the companies

2) Calculate the sample returns (Mean, Max, Min and Standard Deviation of the returns) on
daily, weekly and monthly frequency.
3) Adjust these returns with risk (Sharpe ratio) on daily, weekly and monthly frequency. You
need the T-bill rates, they are available in a separate excel sheet “T-Bill”. These are returns
(not the prices), so you do not have to calculate the returns. You can use them directly. Find
out the sample returns (Mean, Max, Min and Standard Deviation of the returns) on daily,
weekly and monthly frequency.

4) The economic interpretation of the difference between risk adjusted and risk-unadjusted
returns on daily, weekly and monthly frequency and conclude. Plot the daily, weekly and
monthly returns.
Section-2 (Equity Futures Instruments)
5) Write the Equity Futures Instrument introduction on the following items
i) When it is started
ii) Lot size and contract specifications.
 iii) Overall greatness of the Equity Futures Instrument
6) Calculate the sample returns (Mean, Max, Min and Standard Deviation of the returns) on
daily, weekly and monthly frequency.
7) Adjust these returns with risk (Sharpe ratio) on daily, weekly and monthly frequency. You
need the T-bill rates, they are available in a separate excel sheet “T-Bill. These are returns
and they are in percentages (not the prices), so you do not have to calculate the returns.
You can use them directly. Find out the sample returns (Mean, Max, Min and Standard
Deviation of the returns) on daily, weekly and monthly frequency.
8) The economic interpretation of the difference between risk adjusted and risk-unadjusted
returns on daily, weekly and monthly frequency and conclude. Plot the daily, weekly and
monthly returns.
9) Similarly, calculate the sample risk adjusted returns and unadjusted returns of the middle
and far month. Compare with the near month returns and also with the underlying asset
returns also.
Section-3
10) Compare the underlying risk adjusted and risk-unadjusted returns with Futures
instrument’s risk adjusted and risk-unadjusted returns and discuss on compared returns
on daily, weekly and monthly frequency. Also comment on the liquidity conditions of the
underlying assets, futures instrument (near month, middle month and far month).
Section-4
11) Does the futures instrument exhibits contango or backwardation? Explain why?
12) Does the frequency matters?
Section -5
Write the overall conclusion
Section-6 References
3 month treasury bill source
https://in.investing.com/rates-bonds/india-3-month-bond-yield-historical-data