Portfolio Management
16
TERM PROJECT ON PORTFOLIO MANAGEMENT Presentation by Debasish Das(0811156)
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This is a abstract version of how to get promising return from Indian stocks. Anyone who wants details can reach me at +919945531655.
Transcript of Portfolio Management
TERM PROJECT ON
PORTFOLIO MANAGEMENT
Presentation by
Debasish Das(0811156)
PRODUCT DETAILS
Product type Long term capital growth
Benchmark Index BSE 100
Investment strategy 80-85% in risky assets & 15-20% in risk free assets
Review period 30 days
Required min. risk aversion value 1.227
Max. portfolio std. dev. limit 36.20
Investment Scope only BSE
ASSET CLASS DISTRIBUTION
83%
15%
2%
.
Risky AssetsRisk free AssetsCash or Equiva-lent
Target annual return: 15.23%
EQUITY SELECTION
Stage IStocks from BSE 500 with std. dev. lower than
45.00%Market cap : more than 100 cr
Stage IIP/E ratio : 17-28EPS : more than 20
Std. Dev. Company
0.372663 Asian Paints Ltd.
0.280716 Nestle India Ltd.
0.363593 H D F C Bank Ltd.
0.419103 Hero Honda Motors Ltd.
0.381122Glaxosmithkline Pharmaceuticals Ltd.
0.374815 Sun Pharmaceutical Inds. Ltd.
0.299387 Castrol India Ltd.
0.257319 Britannia Industries Ltd.
0.449604 Wyeth Ltd.
0.411682 Pfizer Ltd.
0.401892 Apollo Hospitals Enterprise Ltd.
0.441723 Ingersoll-Rand (India) Ltd.
FINAL STOCK LIST
CONSTRAINTS CONSIDERED
oMinimize the standard deviation
oMaintain 17% of investment in risk free assets
oInvest at least 3% in every shortlisted stock
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.450
0.05
0.1
0.15
0.2
0.25
0.3
0.35
Minimum variance frontier
CML
Linear (CML)
STD. DEV.= 24.5%
Expected Return = 28% per annum
OPTIMAL PORTFOLIO
FINAL WEIGHTAGE DISTRIBUTIONAssets Weight Available
Cash(Cr)Cash Allotted
(Cr)Portfolio
returnPortfolio std
dev
Asian Paints Ltd. 0.03
100
3.00
28% 24.5%
Nestle India Ltd. 0.03 3.00
H D F C Bank Ltd. 0.03 3.00
Hero Honda Motors Ltd. 0.11 10.89Glaxosmithkline Pharmaceuticals Ltd. 0.03 3.00Sun Pharmaceutical Inds. Ltd. 0.08 7.51
Castrol India Ltd. 0.03 3.00
Britannia Industries Ltd. 0.03 3.00
Wyeth Ltd. 0.04 3.73
Pfizer Ltd. 0.11 10.88Apollo Hospitals Enterprise Ltd. 0.03 3.00
Ingersoll-Rand (India) Ltd. 0.29 28.98
Total (risky assets) 0.83 87.00
Risk Free Asset 0.17
91 day t-bill 0.1 1.30
182 day t-bill 0.2 2.60
364 day t-bill 0.3 3.90
10 yr. t-bill 0.5 6.50
MARKET CAP DISTRIBUTION
25%
25%17%
25%
8%
1000-30003001-1000010001-2000020001-50000>50000
REVIEW TERMS
WHEN:
Net worth >= expected return do nothing
Net worth < 4% change the expected return amount
calculate the new weight distribution
Net worth change > 6.5% , then re-allocate the assets
When a t-bill matures allocate the amount either in new t-bill or
put it in saving account according to the market condition
REVIEW - I (7-FEB-2010)
Initial Amount
Net worth
Interest Earned 1.173
100 97.90116401capital Gain/Loss -2.82
Dividend Earned 0.00
Transaction Cost -0.46
Net Loss/Gain -2.09883599
Per chant-age change in Net worth
-2.10%
Action taken No action
REVIEW - II (7-MAR-2010)
Initial Amount
Net worth
Interest Earned 1.253937
100 104.32capital Gain/Loss 3.06
Dividend Earned 0.00
Transaction Cost 0.00
Net Loss/Gain 4.316862272
Per chant-age change in Net worth
6.21%
Action taken No action
PERFORMANCE EVALUATION(12-MAR-2010)
Initial Amount
Net worth
Interest Earned 0.20876
100 103.29capital Gain/Loss 3.06
Dividend Earned 0.00
Transaction Cost 0.00
Net Loss/Gain 3.271685272
Per chant-age change in Net worth
3.29%
Total Profit 3.29 crores
SHARE PRICE OF COMPANIESShare price data in Rs.
1/7/2010 2/8/2010 3/8/2010 3/12/2010
Asian Paints Ltd. 1,776.50 1,947.40 1,943.35 1,923.10
Nestle India Ltd. 2,512.95 2,658.75 2,712.55 2,723.30
H D F C Bank Ltd. 1,712.85 1,566.65 1,780.35 1,800.80
Hero Honda Motors Ltd. 1,653.35 1,583.65 1,913.45 1,918.45
Glaxosmithkline Pharmaceuticals Ltd. 1,647.95 1,525.50 1,770.10 1,731.85
Sun Pharmaceutical Inds. Ltd. 1,542.00 1,508.95 1,633.75 1,655.55
Castrol India Ltd. 594.9 656.3 695.75 684
Britannia Industries Ltd. 1,651.05 1,607.15 1,638.60 1,580.70
Wyeth Ltd. 722.9 714.6 741 747.7
Pfizer Ltd. 951.2 911.35 932.8 930
Apollo Hospitals Enterprise Ltd. 710.3 665.8 714.35 704.7
Ingersoll-Rand (India) Ltd. 358.45 337.15 354.2 350.2
OVERALL PORTFOLIO PERFORMANCE
Extrapolated annual return: 18.48%
Treynor Portfolio Performance Measure:
β of portfolio = σp / σm = 0.6532
Тm= Slope of market= (Rm-Rf)/ βm= 0.0733
Тp= Slope of portfolio= (Rp-Rf )/ βp= 0.1772
Sharpe Portfolio Performance Measure
portfolio standard deviation = 0.245
Ѕm= Slope of market= (Rm-Rf)/ σm = 0.197
Ѕp= Slope of portfolio= (Rp-Rf )/ σp = 0.472
THANK YOU
