Portfolio Management

Presented by:
Aakancha Sah
Anurup Sarkar
Harsha Tainwala
Shelly Jain
Rohan Alagh
NIFTY FMCG
• The NIFTY FMCG Index is designed to reflect the behaviour and
performance of FMCGs (Fast Moving Consumer Goods) which are
non-durable, mass consumption products and available off the shelf.
• The NIFTY FMCG Index comprises of 15 stocks from FMCG sector
listed on the National Stock Exchange (NSE).
• NIFTY FMCG Index is computed using free float market capitalization
method, wherein the level of the index reflects the total free float
market value of all the stocks in the index relative to particular base
market capitalization value.
• NIFTY FMCG Index can be used for a variety of purposes such as
benchmarking of fund portfolios, launching of index funds, ETFs and
structured products.
TOP 15 FMCG COMPANIES
1)BRITANIA
2)COLGATE PALMOLIVE
3)DABUR INDIA LTD
4)EMAMI LTD
5)GLAXOSMITHKLINE CONSUMER HEALTHCARE LTD
6)GODREJ CONSUMER PRODUCTS LTD
7)GODREJ INDUSTRIED LTF
8)HINDUSTAN UNILEVER LTD
9)ITC LTD
10)JUBLIANT FOODWORKS LTD
11)MARICO LTD
12)PROCTER & GAMBLE HYGIENE &HEALTHCARE LTD
13)TATA GLOBAL BEVERAGES LTD
14)UNITED BREWIERS LTD
15)UNITED SPIRIT LTD
ANALYSIS
• We have taken the opening and closing prices of all the industries to
calculate the expected return, variance, covariance .
• Expected return is nothing but the amount of profit or loss an
investor anticipates on an investment that has various known or
expected rates of return.
• The expected return in this case, is the difference between the
closing price and the opening price divided by the opening price
.Since, we have taken all the months from 2014 to august 2017, we
will multiply the expected return with 12 and get the final expected
return.
• We can see that all the companies are showing positive as well as
negative expected returns . Companies like United Brewiers ltd
,United Spirit ltd, Marico Ltd all are having positive as well as
negative returns. They are not following any trend .It is sometimes
positive and sometimes negative.
• Now, for calculating covariance, it is basically the measure of
the degree to which returns on two assets move in tandem.
• A positive covariance means the asset returns move together,
while a negative covariance means returns move inversely.
• We have prepared a variance – covariance matrix , where we
will keep all the 15 stocks together for calculating the
covariance.
• As we can see, we have calculated the covariance in the excel
sheet and we can see that mostly all the stocks are positive,
which means that the asset returns are moving the same
direction and some stocks are showing zero value .
• So, we will copy the matrix again at the bottom of it. We know
that variance –covariance matrix is symmetric and hence, we
will put all the values according to that and complete the
table. We will get the values of all the stocks from this.
• Efficient frontier is the set of optimal portfolios that offers the
highest expected returns for a defined level of risk for a given level
of expected return.
• Portfolios that lie below the efficient frontier are sub-optimal,
because they do not provide enough return for the level of risk.
• For calculating the points in the efficient frontier, We will make sure
that the expected returns and the variance-covariance matrix are in
its annualized form .
• We will check for solver constraints and set a series of portfolios
ranging from min E(r) of an asset to a max E(r).
• Set target equal to portfolios E(r) in the plot data area.
• We will run the Solver and obtain the result.
• We will keep repeating the last two steps until we are satisfied with
the graph.
• We will keep getting the weights, variance and the standard
deviation from it and all the points in the efficient frontier. We will
get a curved efficient frontier
Comparison between efficient
frontier to index return
35.00%

30.00%

25.00%

20.00%
Efficient Frontier
15.00% Index

10.00%

5.00%

0.00%
0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00%