EPGDM Assignment: SAPM – JANUARY-2022 NOTE: Pl. follow the Instructions carefully….. 1. Select Any 10 stocks (each from Different Industry) from BSE “SENSEX” List (As given in Annexure 1). 2. Download...


Portfolio Assignment for the Subject "Security Analysis and Portfolio Management" Attached




EPGDM Assignment: SAPM – JANUARY-2022 NOTE: Pl. follow the Instructions carefully….. 1. Select Any 10 stocks (each from Different Industry) from BSE “SENSEX” List (As given in Annexure 1). 2. Download their prices (BSE DATA only) from 1st April, 2020 to 28th January, 2022. Save each company data in a separate Excel Worksheet and Label each sheet as [”Sr.No.” “Company Name”]. For example, if you select Reliance Industries Ltd. as the first stock, the sheet will be named as “1 RIL”. Thus, there will be 10 work sheets with company data. Also download SENSEX data for the corresponding period and put it in sheet labelled as “11 SENSEX”. 3. From the price data sheets downloaded above, use only the closing price of the day. Perform data normalization (edit data for price changes due to issue of bonus share and/or share split besides taking care of missing dates). Show in a single EXCEL worksheet “12 Master Data”: all the Dates (1st Column), 10 selected Stocks prices (Column 2 to 11) and SENSEX Values (Column 12). NOTE: So far, you would have created 12 excel worksheets in the same Excel File….Another 4 are also needed as below…. 4. Now, do the following computations – Label it as “13 RRB COMP” Sheet: (a) Risk-Return: Calculate for each one of the 10 individual stock and the SENSEX (These computations can be performed in the individual stock or SENSEX excel sheets): Expected Return (using log normal returns) and Risk (Look up your book / material / web for how to calculate them). (b) Compile all the 11 risks and returns (stocks and NIFTY) data in a single table [TABLE 1] in “13 RRB COMP” Sheet. Interpret the results in your own words. (c) Beta Computation: Calculate Beta of each of the individual 10 stocks w.r.t. the Market Index (SENSEX) [The Beta of the reference market index is always taken as 1]. Tabulate the 10 Betas and sort them in decreasing order [TABLE 2]. Divide the list in two parts with first 5 as “High Betas” [TABLE 3] and next 5 as “Low Betas” [TABLE 4] and Comment on your results. All the 4 tables are put in “13 RRB COMP” Sheet. 5. Beta Low & High Portfolio Analysis: (a) Beta-H Sheet and Beta-L Sheet: Next, Form two portfolios based on 5 high and 5 low beta stocks. Call them “Portfolio Beta-H” and “Portfolio Beta-L”. Adopt equal weightage (1/5) for computing the portfolio Risk and Return for “Portfolio Beta-H” and “Portfolio Beta-L” [Use Separate EXCEL Sheets for each Portfolio computation as “14 Port.B.H” and “15 Port.B.L”]. Compare the risk and return profiles of these two portfolios and state your interpretation. (b) Superior-P Sheet: Finally, answer, which of the two portfolios was found to be superior and Why? Use Sharpe Ratio and Rf = 6% for your answer. Show your Answer and working in Excel Sheet – “16 Superior-P”! ALL THE BEST!!! ANNEXURE 1 BSE SENSEX 30 LIST OF STOCKS AS ON 28-01-2022 SR.NO. COMPANY NAME INDUSTRY 1 ASIAN PAINTS PAINTS 2 AXIS BANK BANKING 3 BAJAJ FINANCE FINANCE 4 BAJAJ FINSERV FINANCE 5 BHARTI AIRTEL TELECOM 6 DR. REDDYS LAB PHARMA 7 HCL TECHNOLOGIES SOFTWARE 8 HDFC FIN. INSTITUTIONS 9 HDFC BANK BANKING 10 HUL FMCG 11 ICICI BANK BANKING 12 INDUSIND BANK BANKING 13 INFOSYS SOFTWARE 14 ITC FMCG 15 KOTAK MAHINDRA BANK BANKING 16 L&T ENGINEERING 17 M&M AUTO 18 MARUTI SUZUKI AUTO 19 NESTLE FOOD BEVERAGES 20 NTPC POWER 21 POWER GRID POWER 22 RELIANCE IND. ENERGY 23 SBI BANKING 24 SUN PHARMA PHARMA 25 TATA STEEL STEEL 26 TCS SOFTWARE 27 TECH MAHINDRA SOFTWARE 28 TITAN CONSUMER DURABLES 29 ULTRATECH CEMENT CEMENT 30 WIPRO SOFTWARE
Feb 13, 2022
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