Securities Analysis

and Presented By
Kajol Agrawal
Portfolio Management Sachin Tyagi
MBA III- C

Project Presentation
Companies For
analysis
 About Auto industry

• The Automobile industry consists

of a wide range of companies and
organizations involved in the
designing and developing, of
motor vehicles. It is considered as
one of the world’s most important
economic sectors in terms of
revenue
Tata Motors Limited is an Indian multinational automotive manufacturing
company, headquartered in the city of Mumbai, India which is part of Tata
Group. The company produces passenger cars, Trucks, Vans, Coaches, buses,
luxury cars, Sports Cars, Construction equipment

The opening price of share of the Company on 01-Jul-2021 is 341.5

The closing price of share of the company on 27-Oct-2021 is 497.9

In last Four Months the Price of share is increased by 46%

 Mahindra & Mahindra Limited is an Indian multinational
automotive manufacturing corporation headquartered
in Mumbai, Maharashtra, India. It was established in 1945 as Mahindra
& Muhammad and later renamed as Mahindra & Mahindra. It is one of
the largest vehicle manufacturers by production in India.

The opening price of share of the Company on 01-Jul-2021 is 778

Mahindra & The closing price of share of the company on 27-Oct-2021 is 886.8

Mahindra
In last Four Months the Price of share is increased by 14%
 • Maruti Suzuki India Limited, formerly known
as Maruti Udyog Limited, is an
Indian automobile manufacturer, based in New
Delhi. It was founded in 2001 and owned by
the Government of India until 2003, when it was
sold to the Japanese automaker Suzuki motor
corporation.

Maruti • The opening price of share of the Company on 01-

Jul-2021 is 7500
Suzuki • The closing price of share of the company on 27-
Oct-2021 is 7356.25
• In last Four Months the Price of share is decreased
by 2%
 • Bajaj Auto Limited is an Indian Multinational two-
wheeler and three-wheeler manufacturing company
based in Pune, Maharashtra. It
manufactures motorcycles, scooters and auto
rickshaws. Bajaj Auto is a part of the Bajaj Group.
It was founded by Jamnalal Bajaj in Rajasthan in
the 1940s.
• The opening price of share of the Company on 01-
Bajaj Auto Jul-2021 is 4141
• The closing price of share of the company on 27-
Oct-2021 is 3776.5
• In last Four Months the Price of share is decreased
by 9%
 • Individual and Portfolio Returns

• Risks (Standard Deviation, Alpha, Beta, Covariance)

Tools used for • Portfolio Risk

data analysis • Portfolio construction ( Taking two stocks at a time)

• Portfolio Evaluation (Sharpe’s and Treynor’s

formula)

• Moving Average
TATA
• Beta is greater than 1 so stock is highly volatile
• Alpha is more than 0 that means stock is good and can expected more
return in Market
• avg. return 0.005 that means stock give moderate return
• Positive covim that means the price is moving same direction of market
Tata (Moving
Avg.)
•Buy Signal: seen on 07-aug-2021

•Sell Signal: Seen on 16 oct 2021

 Bajaj

• Beta is less than 1 so stock is less volatile than market

• Alpha is negative it means generate return at same rate
• avg. return is negetive
• Positive cov. that means the price is moving same direction of
market
 Bajaj
(Moving Avg.)
•Buy Signal: seen on 07-oct-2021

•Sell Signal: Seen on 15 oct 2021

Maruti
• Beta is less than 1 so stock is less volatile than market sd of ri 0.014620435
• Alpha is negative it means generate return at same rate
• avg. return is negetive sd of rm 0.011165509
• Positive cov. that means the price is moving same direction
of market covim 9.67481E-05

beta 0.785865917
Avg. return -0.00139101
alpha -0.00095518
 Maruti
(Moving Avg.)
•Buy Signal: seen on 23-sept-2021

•Sell Signal: Seen 29 july2021

Mahindra &Mahindra
sd of ri 0.015471527

• Beta is 1 so stock volatility means security price tends to sd of rm 0.011165509

move with the market
• Alpha is positive it means fund returned more than its
covim 0.00011491
expected return,
• avg. return is positive
• Positive cov. that means the price is moving same direction beta 0.933393225
of market
alpha 0.000687259

Avg. return 0.004025045

Mahindra & Mahindra
(Moving Avg.)
•Buy Signal:seen on16-23 sept-21

•Sell Signal: Seen 18 oct 2021

 TATA BAJAJ
AVERAGE RETURN 0.005208833 -0.001271289
S.D. 0.035448145 0.011894678
CORRELAION -0.05180416
Portfolio-1 BETA 0.120352238 0.092902617
RISK FREE RATE(RF) 0.048661528
EQUITY MARKET RETURN 0.000862428
MARKET RETURN PREMIUM(Rm) -0.0477991

expected return under CAPM 0.042908799 0.044220866

PORTFOLIO RETURN (Rp) 0.043433626

PORTFOLIO BETA (BP) 0.10937239
Interpretation
• Avg. return of tata is higher in comparison of bajaj
• Beta of tata is higher in comparison of bajaj
• Expected return are similar
• Portfolio return is positive but less then risk free rate
 TATA MARUTI
AVERAGE RETURN 0.005209 -0.00139

Portfolio-2 S.D.
CORRELAION
0.035448 0.01462
0.216935
BETA 0.120352 0.43581
RISK FREE RATE(RF) 0.048662
EQUITY MARKET RETURN 0.000862
MARKET RETURN PREMIUM(Rm) -0.0478

expected return under CAPM 0.042909 0.02783

PORTFOLIO RETURN (Rp) 0.039893

PORTFOLIO BETA (BP) 0.031283
Interpretation
• Avg. return of tata is higher in comparison of Maruti
• Beta of Maruti is higher in comparison of tata
• Expected return are similar
• Portfolio return is positive but less then risk free rate
 TATA MAHINDRA
AVERAGE RETURN 0.005209 0.004025
S.D. 0.035448 0.0154715
CORRELAION 0.53809
Portfolio-3 BETA
RISK FREE RATE(RF)
0.120352 0.091469
0.048662
EQUITY MARKET RETURN 0.001499
MARKET RETURN PREMIUM(Rm) 0.047163

expected return under CAPM 0.054338 0.0529754

PORTFOLIO RETURN (Rp) 0.053793

PORTFOLIO BETA (BP) 0.108799
 BAJAJ MARUTI
AVERAGE RETURN -0.00127 -0.00139
Portfolio-4 S.D.
CORRELAION
0.011895 0.01462
0.401614
BETA 0.092903 0.43581
RISK FREE RATE(RF) 0.048662
EQUITY MARKET RETURN 0.001499
MARKET RETURN PREMIUM(Rm) 0.047163

expected return under CAPM 0.053043 0.069215

PORTFOLIO RETURN (Rp) 0.056278

PORTFOLIO BETA (BP) 0.161484
 BAJAJ MAHINDRA
AVERAGE RETURN -0.00127 0.004025
S.D. 0.011895 0.0154715
Portfolio-5 CORRELAION 0.312175
BETA 0.092903 0.0929026
RISK FREE RATE(RF) 0.048662
EQUITY MARKET RETURN 0.001499
MARKET RETURN PREMIUM(RM) 0.047163

expected return under CAPM 0.053043 0.0530431

PORTFOLIO RETURN (RP) 0.053043

PORTFOLIO BETA (BP) 0.014398
 MARUTI MAHINDRA
AVERAGE RETURN -0.00139101 0.004025
S.D. 0.014620435 0.0154715

Portfolio-6 CORRELAION
BETA
0.251268688
0.435809639 0.091469
RISK FREE RATE(RF) 0.048661528
EQUITY MARKET RETURN 0.001498982
MARKET RETURN PREMIUM(Rm) 0.047162545

expected return under CAPM 0.06921542 0.0692154

PORTFOLIO RETURN (Rp) 0.06921542

PORTFOLIO BETA (BP) 0.015301308
 Portfolio Values

Portfolio 1 0.000464518

Portfolio 2 0.000804
Markovitz Portfolio 3 0.000490664
Model
Portfolio 4 0.000121449

Portfolio 5 0.000154

Portfolio 6 0.000179934
 Portfolio Value Ranking

Portfolio-1
-0.055213245 Rank-5
Portfolio-2
-0.087564343 Rank-6
Portfolio-3
0.050385595 Rank-4
Sharpe Model Portfolio-4
0.143616162 Rank-2
Portfolio-5
0.080053554 Rank-3
Portfolio-6
0.341517979 Rank-1
 Portfolio Value Ranking
Portfolio-1 -0.0477991 Rank-4
Portfolio-2 -0.280297794 Rank-5
Portfolio-3
Treynar Model 0.047162545 Rank-2
Portfolio-4
0.047162545 Rank-2
Portfolio-5
0.304304781 Rank-1
Portfolio-6
0.01949053 Rank-3
 Excel
Workbook

• https://docs.google.com/spreadsheets/d/1bd2-rlH2NPYsSzzJyufXMtRY-
cqtuMcM/edit?
usp=sharing&ouid=105431172710557788113&rtpof=true&sd=true

• https://docs.google.com/spreadsheets/d/
14ef0OGQDJ_s6jbFYTwLVFv1asigGaGd/edit?
usp=sharing&ouid=105431172710557788113&rtpof=true&sd=true
Thank You