Professional Documents
Culture Documents
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Submitted By:
Mohan Chakradhar V
Enrolment No: 11810047
MBA Class of 2013
Department of Management Studies
Indian Institute of Technology, Roorkee
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
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EVALUATION SHEET
________________________
PROJECT GUIDE
___________________________
EXAMINER
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ACKNOWLEDGEMENT
I express my sincere gratitude to Mr. J.P. Singh who
helped me throughout this extensive project, gave me
the right guidance and his valuable suggestions
regarding the project.
Through this acknowledgment, I express my sincere
gratitude to my colleagues at Department of
Management Studies, IIT Roorkee who have helped me
in this project and made it a worthwhile experience.
Mohan Chakradhar V
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INDEX
1. INDUSTRY PROFILE
10
5. ANALYSIS OF INVESTMENT
11
11
11
14
5d. IMPORTANCE
16
19
32
7. PORTFOLIO
38
8. RANDOM PORTFOLIO
50
9. DEFENSIVE PORTFOLIO
53
56
59
12. DERIVATIVES
63
65
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66
67
69
14. PAYOFF FOR DERIVATIVES CONTRACT
70
72
16. HEDGING
74
17. SPECULATION
82
89
18a.COMPANY ANALYSIS
93
101
107
21. RECOMMENDATION
110
22. BIBLIOGRAPHY
111
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INDUSTRY PROFILE
Journey of Indian stock market
Indian Stock Markets are one of the oldest in Asia. Its history dates
back to nearly 200 years ago. The earliest records of security
dealings in India are meager and obscure. The East India Company
was the dominant institution in those days and business in its loan
securities used to be transacted towards the close of the eighteenth
century.
By 1830's business on corporate stocks and shares in Bank and
Cotton presses took place in Bombay. Though the trading list was
broader in 1839, there were only half a dozen brokers recognized
by banks and merchants during 1840 and 1850.
The 1850's witnessed a rapid development of commercial
enterprise and brokerage business attracted many men into the
field and by 1860 the number of brokers increased into 60.
In 1860-61 the American Civil War broke out and cotton supply from
United States of Europe was stopped; thus, the 'Share Mania' in
India begun. The number of brokers increased to about 200 to 250.
However, at the end of the American Civil War, in 1865, a disastrous
slump began (for example, Bank of Bombay Share which had
touched Rs 2850 could only be sold at Rs. 87).
At the end of the American Civil War, the brokers who thrived out of
Civil War in 1874, found a place in a street (now appropriately
called as Dalal Street) where they would conveniently assemble
and transact business. In 1887, they formally established in
Bombay, the "Native Share and Stock Brokers' Association" (which
is alternatively known as "The Stock Exchange "). In 1895, the
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Sr. As on 31st
No. December
No. of
1
Stock
Exchanges
2
No. of
Listed Cos.
1985
1991
1995
14
20
22
4344
6229
8593
No. of
Stock
1506 2111 2838 3230 3697 6174
8967
11784
Issues of
Listed Cos.
Capital of
Listed
270 753 1812 2614 3973 9723 32041 59583
Cos. (Cr.
Rs.)
Market
value of
Capital of
971 1292 2675 3273 6750 25302 110279 478121
Listed
Cos. (Cr.
Rs.)
Capital per
Listed Cos.
24
63
113 168 175
224
514
693
(4/2)
(Lakh Rs.)
Market
Value of
Capital per
Listed
86
107 167 211 298
582
1770
5564
Cos. (Lakh
Rs.)
(5/2)
Appreciated
value
of Capital
358 170 148 126 170
260
344
803
per
Listed Cos.
(Lakh Rs.)
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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: -
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Economic investments:These investments refer to the net addition to the capital stock of
the society.
This type of
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CHARACTERISICS OF INVESTMENT
Certain features characterize all investments. The following are the
main characteristic features in investments: -
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
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IMPORTANCE
In the current situation, investment is becomes necessary for
everyone & it is important & useful in the following ways:
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
Life insurance,
Development bonds,
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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.
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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 has 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
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Investment
Equity
Fixed Income
Deposits
Mutual Fund
Tax Sheltered
Life Insurance
Real Estate
Precious
Financial Derivatives
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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.
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are
Large
Dividend Yield for a stock is the ratio of dividend paid per share
to current market price. Low P/E stocks usually have high
dividend yields. In India, at least in the past, investors have
indicated a preference for the high dividend paying shares. What
matters to fund managers is the potential dividend yields based on
earnings prospects.
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Year
Market
Number Net Traded
Average
Average
Capitalisation
of
Value
Daily Value Trade Size
(Rs.crores) Trades (Rs.crores) (Rs.crores) (Rs.crores)
20052006
1,553,448
60,159
458,434.94
1,833.74
7.62
20042005
1,461,734 124,308
887,293.66
3,028.31
7.14
20032004
4,476.52
6.94
20022003
3,598.32
6.37
20012002
756,794 144,851
947,191.22
3,277.48
6.54
20002001
580,835
64,470
428,581.51
1,482.98
6.65
19992000
494,033
46,987
304,216.24
1,034.75
6.47
19981999
411,470
16,092
105,469.13
364.95
6.55
19971998
343,191
16,821
111,263.28
377.16
6.61
19961997
292,772
7,804
42,277.59
145.28
5.42
19951996
207,783
2,991
11,867.68
40.78
3.97
19941995
158,181
1,021
6,781.15
30.41
6.64
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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.
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DEPOSITS
TAX-SHELTERED
TAX-SHELTERED SAVING
SAVING SCHEMES
SCHEMES
It provides benefits to those who participate in them. The most
important tax sheltered saving schemes in India is:
Employee provident fund scheme
Public provident fund schemes
National saving certificate
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
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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: -
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Meaning of Risk
Risk & uncertainty are an integrate part of an investment
decision. Technically risk can be defined 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.
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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
Market Risk
Interest Rate Risk
Purchasing power Risk
UNSYSTAMATIC
Business Risk
Financial Risk
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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.
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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 environment
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
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Market
Investment
Risk
Business Interest
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
Power
Risk
Risk
L
L
L
L
L
L
L
L
L
M-H
H
H
Required
H
Purchasing
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.
PORTFOLIO
Meaning of portfolio:-
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Portfolio
A
combination
of
securities
with
different
risk
&
return
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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
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PORTFOLIO DESIGN
R1
Expected Returns
R2
Risk less
Investment
M1
M2
Risk
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 R 1, and if
the investor is taking the risk of M 2, 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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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.
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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.
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There is every chance that you may select a script that has a
very bad background in the market.
Not every time the tips pay off for you. You need to have
strong reason to select that script.
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There is always the possibly many scripts in the sector may not be
giving that much good attractive return as others. They may eat the
profits from other scripts.
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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.
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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
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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.
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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 scripts 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
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DEFENSIVE PORTFOLIO
SR
NO.
SCRIPT
Wi
ACC
0.72
530.45
9.68
CIPLA
0.78
440.00
10.48
DR REDDY
0.69
963.00
9.27
GRASIM
0.76
1375.3
10.22
HDFC BANK
0.76
713.45
10.22
ITC
0.81
285.65
10.89
RANBUXY
0.69
444.35
9.27
HERO HONDA
0.8
846.10
10.75
HDFC
0.82
1191.3
11.02
10
GLAXO
0.61
1111.6
8.20
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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 2-01-13
0.72
0.78
0.69
0.76
0.76
0.81
0.69
0.80
0.82
0.61
28-02-13 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
- 55 - 55 -
= 10,00,000
= 1166628.41
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 56 - 56 -
MODRATE PORTFOLIO
SR NO. SCRIPT
Wi
BHARTI
0.99
340.05
10.73
GUJARAT AMBUJA
0.86
79.30
9.32
BAJAJ AUTO
0.85
450.05
9.21
HLL
0.88
195.10
9.53
HINDALCO
1.00
146.20
10.83
LT
0.86
1825.65
9.32
MTNL
0.89
142.15
9.64
ZEE
0.90
157.90
9.75
1.00
1389.90
10.83
1.00
472.00
10.83
BHEL
9
10
PNB
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 57 - 57 -
BHARTI
GUJARAT AMBUJA
BAJAJ AUTO
HLL
HINDALCO
LT
MTNL
ZEE
BHEL
PNB
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
2-012013
0.99
0.86
0.85
0.88
1.00
0.86
0.89
0.90
1.00
1.00
340.05
79.30
450.05
195.10
146.20
1825.65
142.15
157.90
1389.90
472.00
28-02RETURN
13
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
- 58 - 58 -
= 10,00,000/- Rs..
= 1162912.70/- Rs.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 59 - 59 -
AGGRESSIVE PORTFOLIO
SR NO. SCRIPT
Wi
1.09
597.00
9.64
INFOSYS
1.07
2979.35
9.46
ONGC
1.02
1191.65
9.02
RELIANCE
1.05
441.05
9.28
SATYAM
1.23
731.55
10.88
SBIN
1.09
904.90
9.64
TATA POWER
1.11
434.20
9.81
TATA MOTER
1.19
639.55
10.52
TATA STEEL
1.13
379.00
9.99
10
WIPRO
1.33
461.70
11.76
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 60 - 60 -
2ND MONTH
SR NO. SCRIPT
1
2
3
4
5
6
7
8
9
10
BETA 2-01-2013
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
28-0213
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
- 61 - 61 -
= 10,00,000/- Rs.
=10,84,397.28/- Rs.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 62 - 62 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 63 - 63 -
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
- 64 - 64 -
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
- 65 - 65 -
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:
Location of settlement.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 66 - 66 -
Features
Forward Contract
Not
Operational
traded
Future Contract
on Traded on exchange
exchange
Mechanism
Differs from trade to Contracts
Contract
trade.
are
standardized
Specifications
contracts.
Exists
Counterparty Risk
by
Clearing
Corporation/ house.
Poor
Liquidation Profile
Liquidity
are
standardized
contracts.
fragmented.
FUTURE TERMINOLOGY
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 67 - 67 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 68 - 68 -
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.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 69 - 69 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 70 - 70 -
1220
0
Nifty
Loss
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 71 - 71 -
Profit
1220
0
Nifty
Loss
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 72 - 72 -
Basically there are eight basic modes of trading on the index futures
market;
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.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 73 - 73 -
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
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 74 - 74 -
HEDGING
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 75 - 75 -
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.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 76 - 76 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 77 - 77 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 78 - 78 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 79 - 79 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 80 - 80 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 81 - 81 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 82 - 82 -
SPECULATION
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 83 - 83 -
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 84 - 84 -
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 the portfolio BETA is
The Portfolio BETA = Wi * Beta
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 85 - 85 -
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. )
PROFIT ( % )
WITHOUT HEDGING
1,66,628
16.66 %
WITH HEDGING
91,418
9.14 %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 86 - 86 -
MODERATE PORTFOLIO
Amount of Nifty to be short = Investment * Portfolio Beta
The current Nifty level
= 162612.70* 0.93
2813.7
= 53.74 ~ 54
PROFIT ( % )
WITHOUT HEDGING
1,40,350
16.29 %
WITH HEDGING
1,15,280
11.53 %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 87 - 87 -
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.
PROFIT ( % )
WITHOUT HEDGING
84,397
8.44 %
WITH HEDGING
( 15,883)
(1.58 ) %
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 88 - 88 -
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
- 89 - 89 -
Industry analysis
Telecom sector
Objectives and targets of the New Telecom Policy
1999
The objectives of the NTP 1999 are as under:
Create
modern
and
efficient
telecommunications
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 90 - 90 -
Achieve
efficiency
and
transparency
in
spectrum
management.
Service Provider
1 BSNL All India
2 MTNL
3 Bharti Telesonic Ltd
Tamil Nadu,
Area of Operation
(Except Delhi & Mumbai)
Delhi & Mumbai
AP, MP, Delhi, Haryana,
Chennai, Karnataka,
Kerala, Gujarat,
Punjab, Maharashtra,
Mumbai, UP(E),
including Uttaranchal,
West Bengal and
Kolkata
4 Tata Teleservices
(Maharashtra) Ltd
5 Tata Teleservices Ltd
Maharastra, Mumbai
AP, TN, Chennai,
Karnataka, Gujarat,
and Kolkata
Punjab
Rajasthan
AP, Bihar,
Delhi,
Karnataka, Kerala,
MP, Maharashtra,
Mumbai, Orissa,
Punjab, Rajasthan, Tamil
Nadu, Chennai,
UP(E), West Bengal,
Kolkata
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 91 - 91 -
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
Market Share
Technology Used
Bharti
14.07
21.62
GSM
Reliance
12.99
19.96
GSM
&
12.38
19.03
GSM
&
Hutchison
9.71
14.92
GSM
IDEA
5.94
9.13
GSM
CDMA
BSNL
CDMA
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 92 - 92 -
37%
20%
14%
8%
5%
4%
3%
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 93 - 93 -
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
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 94 - 94 -
FINANCIAL PERFORMANCE
For the year
Mar-02
Mar-03
Mar-04
Mar-05
Operating
Income
62.97
71.35
62.98
8,142.44
Net Profit
62.97
0.22
0.37
1,210.67
Net Worth
4,816.27
4,819.75
4,823.55
4,134.07
No. of
Shares (in
crore)
185.34
185.34
185.34
185.34
Adjusted
EPS (Rs)
6.29
Book value
per Share
(Rs)
25.99
26.01
26.03
24.12
Dvdnd per
Share (Rs)
Net Profit
Margin (%)
0.19
0.58
0.58
14.83
74.86
668.08
233.91
0.51
0.1
0.98
Current
Ratio
Lt Debt
Equity
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 95 - 95 -
Telecom
531.00
289.00
30.15
13.73
878
10.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 96 - 96 -
FINANCIAL PERFOMANCE
For the year
Operating Income
Net Profit
Net Worth
No. of Shares (in crore)
02-Mar
228.2
15.68
70.52
1.42
03-Mar
285.5
18.56
85.06
1.42
04-Mar
394.5
32.67
110.5
1.42
05-Mar
323.8
24.92
128.1
1.42
12.13
13.06
23.29
13.73
65.44
75.66
93.55
105.9
2.5
4.5
4.5
6.06
5.78
8.24
7.65
Current Ratio
1.97
1.88
1.76
1.55
Lt Debt Equity
0.04
0.03
0.02
0.01
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 97 - 97 -
Telecom
444.60
161.00
31.18
12.21
2365926
10.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 98 - 98 -
FIANCIAL PERFOMANCE
For the year
Operating Income
Net Profit
02-Mar
6,508.09
1,407.42
03-Mar
4,538.55
780.07
04-Mar
3,163.54
377.66
05-Mar
3,303.04
756.37
Net Worth
4,834.54
No. of Shares (in 28.5
crore)
Adjusted EPS (Rs)
46.05
5,341.32
28.5
4,961.00
28.5
5,522.06
28.5
29.62
13.12
12.21
194.75
181.3
200.98
8.5
16.12
4.5
11.24
6
22.19
Current Ratio
Lt Debt Equity
2.67
0
1.59
0
1.84
0
2.45
0
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 99 - 99 -
Telecom
154.50
108.00
10.79
12.86
76690
10.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 100 - 100 -
FIANCIAL PERFOMANCE
For the year
Operating Income
02-Mar
6,145.07
03-Mar
5,807.26
04-Mar
6,370.40
05-Mar
5,593.25
Net Profit
1,300.68
877.16
1,234.60
948.43
7,795.60
8,250.63
8,947.49
9,492.66
63
63
63
63
20.3
14.05
18.24
12.86
150.75
163.93
173.71
4.5
4.5
4.5
Net Worth
No. of Shares
crore)
(in
20.56
14.61
18.79
16.1
Current Ratio
1.67
1.27
1.29
1.29
Lt Debt Equity
0.29
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 101 - 101 -
RATIO ANLYSIS
PER SHARE RATIO
Reported Cash EPS Ratio
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 102 - 102 -
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 103 - 103 -
Profitability Ratio
Operatig Margin in %
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 104 - 104 -
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Average
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 105 - 105 -
Bharti Tele
Tata Tele
VSNL
MTNL
02-01-06
340.05
27.8
381.15
142.15
28-02-06
361.05
24.75
364.95
142.65
Bharti Tele
TTML
VSNL
MTNL
6.175562417
-10.97122302
-4.250295159
0.351741119
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 106 - 106 -
We can see in the plotted graph that all the four script in the
sector portfolio are following a same kind of trend in the
given one month of the study. It is due to the fact that they all
belong to the same sector and they all face same systematic
risk as other in the sector. So the performance of the scripts
rightly indicates the need of diversification to remove the
systematic risk from the portfolio. As its gets highly risky
investment, such portfolio are very rarely been used by
individual in the general scenario.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 107 - 107 -
Random portfolio
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 108 - 108 -
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.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 109 - 109 -
Sector portfolio
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 110 - 110 -
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.
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 111 - 111 -
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
2. News Papers
-
Times of India
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 112 - 112 -
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
1,853.37
0.00
1,853.37
1,853.37
106.24
0.00
0.00
46.31
1,515.69
2,675.38
2,971.49
2,971.12
2,970.90
4,570.79
15.77
5.00
40.61
9,102.26
4,840.63 4,829.49
ASSETS
384.14
0.13
931.90
1,762.67
13,240.63
31.84
2.13
0.00
3,475.64
01/03(12)
4,864.88
41.82
1,710.06
0.34
22.52
13.30
1,467.79
1,899.67
794.47
28.02
24.73
0.00
0.00
0.00
17.29
13.79
10.51
9,762.86
14.56
16.83
17.51
994.46
0.10
30.62
0.00
0.00
7.40
17.33
4.36
2,348.99
3,688.36
3,341.31
3,040.22
893.90
58.35
1.30
4.74
7.99
0.00
14,480.70
5,467.12
4,831.01
4,987.91
1,723.36
3,017.26
4,874.99
4,085.39
2,695.06
34.89
460.83
1,434.63
382.95
590.00
415.52
472.71
334.24
38.79
473.21
155.32
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 113 - 113 -
of Qouted
Investment
14.23
2,675.38
216.00
02/03
14.23
14.23
14.23
2,971.49
2,971.12
2,970.90
167.34
113.68
91.48
01/03
14.23
1,515.69
77.04
366.75
101.57
300.48
221.38
ASSETS
32.42
87.17
184.63
133.64
19.39
21.65
9.09
0.09
0.09
0.05
66.93
41.90
65.62
36.04
61.53
28.33
57.87
27.80
0.11
57.21
25.82
25.03
29.58
0.12
33.20
333.91
0.00
294.88
0.00
213.41
0.00
180.56
0.00
173.87
0.72
470.32
18.46
411.84
279.33
3.08
230.06
3.28
227.74
15.47
9.09
0.09
0.09
0.05
0.00
0.00
0.00
0.00
0.72
9.64
0.12
30.06
0.00
31.39
0.00
0.00
0.12
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 114 - 114 -
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
285.00
285.00
4,882.18
5,265.42
4,758.98
1,976.65
1,708.24
2,062.85
01/03(12)
285.00
6,303.74
3,480.52
7,706.92
1,409.12
1,200.58
3,182.68
835.65
7,143.83 7,258.66
ASSETS
2,358.59
1,046.71
7,106.83
2,089.14
655.87
Fixed Assets
2,348.54 3,290.23
590.81
1,015.19
366.29
10,069.26
2,534.94
4,840.07
110.65
2,835.29
862.12
2,658.79
742.99
2,347.03
1,757.73
216.63
2,275.03
1,973.17
1,915.80
114.23
298.39
497.19
3,646.14
0.00
3,143.31
0.00
4,567.52
0.00
5,044.12
0.00
7,545.63
0.72
9,116.04
2,280.87
8,253.52
9,971.24
1,829.85
10,216.91
1,810.53
14,909.34
366.60
1,200.58
2,032.91
599.59
366.29
110.65
0.00
99.77
68.24
97.35
513.17
2,422.66
0.00
Equity Share
04/0303/0305/03(12)
(12)
(12)
CAPITAL & LIABILITIES
Owners' Fund
630.00
630.00
630.00
02/03(12)
630.00
01/03(12)
630.00
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 115 - 115 -
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
10,313.83
11,797.75
9,697.63
8,866.97
8,309.64
11,083.65
10,087.91
8,024.41
7,718.15
5,658.39
22,741.58
2,517.40
397.47
14,252.25
7,783.62
21,411.28
221.38
ASSETS
1,815.39
2,553.07
184.63
133.64
2,444.65
2,482.83
380.69
371.01
102.68
13,562.93
7,352.65
12,665.21
7,148.03
11,732.22
6,420.43
0.00
10,680.95
5,653.07
6,468.63
6,210.28
508.25
5,517.17
5,311.80
5,027.89
918.74
797.81
815.50
14,312.0
5
0.00
12,777.96
13,370.77
11,044.15
0.00
0.00
0.72
25,258.98
6,477.15
23,964.34
21,400.27
3,965.93
22,027.71
3,922.25
19,370.37
15.47
9.09
0.09
0.09
0.05
0.00
0.00
0.00
0.00
0.00
651.51
815.50
0.00
4,853.10
0.12
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 116 - 116 -
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
- 117 - 117 -
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
Analysis of Investment in Stock Market & Portfolio Management Using Instrument Derivatives Futures
- 118 - 118 -
47
48
49
50
UTIBANK
VIJAYABANK
INGVYSYABK
WOCKPHARMA
2,786,241,460
4,335,178,000
905,644,160
546,903,005
3.72%
1.01%
0.55%
2.29%
0.83
1.2
0.94
1.02
0.12
0.29
0.2
0.24
2.4
1.74
1.35
2.04