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CASE STUDY 1
Downloaded
Data of Bank of Baroda and HDFC Bank from www.nseindia.com of last 11
years has been summarized as follows. You are required to analyze the data
using appropriate statistical tools, interpret the results and provide
necessary advice to the investors as research analyst.
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Sr.No
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Date
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Symbol
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Price
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Symbol
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Sr.No
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Date
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Price
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1
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1-Apr-97
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BANKBARODA
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56.75
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HDFCBANK
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1
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1-Apr-97
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46.45
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2
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1-Apr-98
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BANKBARODA
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108.35
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HDFCBANK
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2
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1-Apr-98
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72.8
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3
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1-Apr-99
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BANKBARODA
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45
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HDFCBANK
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3
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1-Apr-99
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67.6
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4
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3-Apr-00
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BANKBARODA
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47.4
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HDFCBANK
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4
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3-Apr-00
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247.15
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5
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30-Mar-01
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BANKBARODA
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60.45
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HDFCBANK
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5
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2-Apr-01
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223.15
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6
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1-Apr-02
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BANKBARODA
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50.45
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HDFCBANK
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6
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1-Apr-02
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233.65
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7
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1-Apr-03
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BANKBARODA
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86.45
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HDFCBANK
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7
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1-Apr-03
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234.3
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8
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1-Apr-04
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BANKBARODA
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250.45
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HDFCBANK
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8
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1-Apr-04
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384.35
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9
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1-Apr-05
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BANKBARODA
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221.85
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HDFCBANK
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9
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1-Apr-05
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551.55
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10
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3-Apr-06
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BANKBARODA
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232.95
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HDFCBANK
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10
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3-Apr-06
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773.85
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11
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30-Mar-07
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BANKBARODA
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215.05
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HDFCBANK
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11
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30-Mar-07
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954.15
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CASE
STUDY 2
Given below are the
returns on the three stocks Supertex, Colourtex and Wivetex for a four year
period. Compute the average returns, variance and standard deviation if a
portfolio is constructed such that the stock has lowest standard deviation
accounts for 50% of the funds, a stock having the next lowest standard
deviation accounting for 30% and the third stock accounting for 20% of the
funds.
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Period ( Years)
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Annual Returns (%)
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Supertex
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Colourtex
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Wivetex
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1
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10
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11
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8
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2
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12
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9
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12
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3
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14
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13
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9
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4
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16
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17
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15
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CASE
STUDY 3
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Pruthvi
Hardware Ltd. Invested on 1-04-2006 in equity shares as below:-
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Company
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Number of Shares
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Cost (Rs.)
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Mafatlal .Ltd.
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.1000 (Rs.100 Each)
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2,00,000
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Natraja Pencil Ltd.
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500 (Rs.10 each)
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1,50,000.
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In
September 2006, Mafatlal Ltd. Paid 10% dividend and in October, 2006 Nataraj
Ltd. Paid 30% dividend. On 31-3-2007, market price of shares of Mafatlal Ltd.
And Nataraj Ltd. Were Rs.220 and Rs.290 respectively.
Pruthvi Hardware
ltd. have been informed by their investment advisor that :-
1)
Dividend s from Mafatlal L Ltd. And
Nataraj Ltd. For the year ending 31-03-2008 are likely to be 20% and 35%
respectively.
You
are required to
1)
Calculate the average return from
the portfolio for the year ended 31-03-2007.
2)
Advice P Ltd. Of the comparative
risk of two investments by calculating the standard deviation in each case.
CASE
STUDY 4
A) The
following table provides details about three mutual fund portfolios. Find out
the Sharpe, Treynor and Jensen Index and rank them. What are your
suggestions to the investors?
(10 Marks)
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Portfolio
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Return on
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Standard Deviation
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Beta
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Portfolio
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Equity Fund
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26
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12
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1.25
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Mid Cap
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40
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10
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0.80
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Fund
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Infra – Fund
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24
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14
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1.40
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Market Index
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18
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1.00
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Risk Free Rate of Return : 6%
- The beta of
Equity fund is higher than the Beta of Mid Cap fund but the returns are
higher in Mid Cap Fund than Equity Fund. Do you agree with this statement?
If yes, explain with reasonable examples.
- The beta of Infra – Fund is the
highest among all three fund but the returns is the lowest among all three
fund. Explain with reasonable examples.
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YEAR
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HDFC
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BANK OF BARODA
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First Year
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232
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775
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Second Year
|
215
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955
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1)
What is the expected return on a
portfolio made up of 40% of Pepsi and 60% of Coca-Cola?
2)
What is the standard deviation of
each share?
3)
What is the covariance of Share of
Pepsi and Coca-Cola?
4)
What is the correlation
coefficient?
5)
Interpret the results in each case
and advice the investors for investment decision?
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