Sapm Asssignment 1

SAPM ASSSIGNMENT 1

Group 8: Sanjay Funde (PGP/12/254) Saurabh Kumar (PGP/12/261) Anand Sendhil (PGP/12/263) Manish Kumar (PGP/12/219)

Part A:

Part B:

1.

Methodology Data collection: 1. 2. 3.

2. 3.

Adjustment of stock values for Bonus,split and dividends Part A: 1. 2. 3. 4.

4.

Ri and Rm: BSE india website Rf: 90 day T bill rates from RBI website Bonus, split and dividend history for each stock from MoneyControl website

Calculation of average returns, variance, covariance and correlation Plotting of efficient frontiers using solver With out short selling: min. value of the weights set as 0 With short selling: value of the weights can be negative also

Part B: 1. 2. 3. 4.

Calculation of average monthly returns for five year periods starting from July’01 rolling till June’09 Calculate monthly excess return of the stock(Ri-Rf) and excess return of the market(Rm-Rf) Regress (Ri-Rf) with (Rm-Rf) and estimate beta foe each stock Find Jensen’s alpha for previous year (section 1) and next one year (section 2) using beta calculated above and CAPM

1.ICICI and Tata Steel eliminated from the portfolio for returns below 2.9% 2.Tata motors is eliminated above 3.81% 3.Infosys and ONGC are eliminated for returns above 4.04%

1.ICICI and Tata Steel eliminated have negative weights for returns below 2.89% 2.Tata motors has negative weight for returns above 3.81% 3.Infosys has negative weight for returns above 4.43% 4.ONGC has negative weight for returns above 4.93%

Analysis of results

Analysis of results(Part A)