CO

MBA3

A Repot submitted in partia

SC
CHRIST
 CONTINUOUS INTERNAL ASSESSMENT - III
MBA341F: Security Analysis and Portfolio Management

epot submitted in partial fulfilment of the requirement for the degree of

Master of Business Administration

By
MRIGANK MAULI
2128265
Under the Guidance of
DR. NISHA SHANKAR

MBA PROGRAMME
SCHOOL OF BUSINESS AND MANAGEMENT
CHRIST (DEEMED TO BE UNIVERSITY), BANGALORE
 
April 2022
Date TITAN ITC Balram Chini TATA Powers Adani Green
2/22/2022 2450.100 214.850 397.250 222.650 1971.950
2/23/2022 2495.700 215.950 407.750 221.200 1987.350
2/24/2022 2406.600 208.500 377.150 204.300 1849.750
2/25/2022 2468.450 213.950 391.900 220.000 1923.500
2/28/2022 2546.550 215.850 397.000 223.050 1843.400
3/2/2022 2592.650 215.300 410.450 225.400 1882.550
3/3/2022 2574.250 219.400 424.900 226.600 1950.900
3/4/2022 2441.000 225.500 420.650 221.450 1894.300
3/7/2022 2389.700 224.950 443.800 216.200 1803.750
3/8/2022 2371.250 226.900 433.200 226.950 1783.950
3/9/2022 2433.650 229.250 445.800 229.250 1828.750
3/10/2022 2467.800 232.000 449.300 232.250 1881.850
3/11/2022 2493.600 236.350 487.350 233.150 1860.050
3/14/2022 2539.000 239.000 502.050 231.550 1822.400
3/15/2022 2556.950 237.850 466.700 227.400 1798.750
3/16/2022 2587.300 242.600 485.500 230.450 1833.650
3/17/2022 2703.000 244.900 479.350 231.750 1901.200
3/21/2022 2707.250 244.500 499.550 227.950 1876.050
3/22/2022 2712.750 249.750 491.400 231.400 1877.450
3/23/2022 2690.000 252.000 494.450 234.300 1921.400
3/24/2022 2618.500 254.850 490.000 239.500 1911.400
3/25/2022 2523.900 253.350 478.550 241.350 1921.250
3/28/2022 2535.900 257.050 479.150 239.600 1930.850
3/29/2022 2538.800 254.600 471.700 239.100 1923.300
3/30/2022 2523.150 249.200 481.200 241.700 1857.150
3/31/2022 2536.150 250.650 489.400 238.650 1914.700
4/1/2022 2520.850 253.300 482.850 245.450 1945.100
4/4/2022 2517.000 255.450 505.100 251.950 2110.450
4/5/2022 2549.200 259.450 502.950 273.600 2189.800
4/6/2022 2540.050 259.600 511.500 289.800 2197.400
4/7/2022 2458.350 256.650 515.750 277.800 2166.000
4/8/2022 2509.950 267.800 511.050 278.100 2321.850
4/11/2022 2489.850 267.500 516.950 282.900 2665.150
4/12/2022 2488.200 264.800 500.350 275.150 2792.400
4/13/2022 2461.350 269.550 482.950 273.100 2864.300
4/18/2022 2493.450 270.100 491.250 257.900 2970.500
4/19/2022 2452.600 261.550 484.800 246.450 2911.950
4/20/2022 2482.700 259.550 483.400 249.650 2810.850
4/21/2022 2521.000 260.400 496.700 258.850 2811.500
NIFTY TITAN Returns ITC Returns Balram Returns TATA Returns Adani Returns Nifty Returns
17092.199
17063.250 0.0186114245 0.005119809 0.02643171806 -0.0065124502 0.00780954151 -0.001693709
16247.950 -0.0357013482 -0.0344987131 -0.0750459988 -0.0764014206 -0.0692379187 -0.047781038
16658.400 0.02570009577 0.0261390743 0.0391091084 0.07684775707 0.03987025274 0.02526166
16793.900 0.03163932814 0.0088806218 0.01301353937 0.01386365 -0.0416428261 0.008134034
16605.949 0.01810286549 -0.0025480796 0.03387912343 0.01053571382 0.0212379432 -0.011191633
16498.051 -0.0070969482 0.0190431535 0.03520521763 0.00532392206 0.03630712237 -0.006497577
16245.350 -0.0517626493 0.0278031275 -0.0100023536 -0.0227273118 -0.0290122376 -0.015317032
15863.150 -0.0210159971 -0.0024390377 0.05503386267 -0.0237073835 -0.0478013233 -0.023526685
16013.450 -0.007720614 0.0086685798 -0.0238845793 0.04972247988 -0.0109771581 0.009474776
16345.350 0.02631519325 0.0103570122 0.02908581637 0.01013440419 0.02511283961 0.02072629
16594.900 0.01403248141 0.0119956379 0.0078510545 0.01308615049 0.02903621381 0.015267387
16630.449 0.01045467562 0.0187500259 0.08468733367 0.00387510872 -0.0115843065 0.002142154
16871.301 0.0182065689 0.0112121596 0.03016308981 -0.0068624964 -0.0202414043 0.014482565
16663.000 0.00706969319 -0.0048116904 -0.0704112675 -0.0179227335 -0.0129774054 -0.012346456
16975.350 0.01186964883 0.0199705692 0.04028281019 0.01341250255 0.01940237609 0.0187451
17287.051 0.04471841256 0.0094805768 -0.0126673409 0.00564115 0.03683905114 0.018361988
17117.600 0.00157232704 -0.0016332953 0.04214036038 -0.0163969924 -0.0132284361 -0.009802202
17315.500 0.00203158186 0.0214723926 -0.0163146716 0.01513488504 0.00074619651 0.011561223
17245.650 -0.0083863238 0.009009009 0.00620679291 0.01253245063 0.0234094512 -0.004033935
17222.750 -0.0265799257 0.0113095476 -0.0089999229 0.02219375558 -0.0052045383 -0.001327894
17153.000 -0.0361275914 -0.005885815 -0.0233673714 0.00772445094 0.00515327816 -0.004049876
17222.000 0.00475454672 0.014604231 0.00125380005 -0.0072508803 0.00499673442 0.00402262
17325.301 0.00114363623 -0.00953115 -0.0155483295 -0.0020868113 -0.0039101572 0.005998187
17498.250 -0.0061643874 -0.0212097756 0.02013991893 0.01087407334 -0.0343940224 0.009982466
17464.750 0.00515229 0.0058186076 0.01704069367 -0.0126189617 0.03098830264 -0.001914477
17670.449 -0.0060326892 0.0105725476 -0.0133837108 0.02849362318 0.01587717438 0.011777965
18053.400 -0.0015273014 0.0084879352 0.04608056275 0.02648197221 0.08500847105 0.021671841
17957.400 0.01279298808 0.0156587005 -0.0042565709 0.08592978471 0.03759866372 -0.005317558
17807.650 -0.003589323 0.0005781229 0.01699967749 0.05921045923 0.00347056938 -0.00833918
17639.551 -0.0321647013 -0.0113636823 0.00830889541 -0.0414078692 -0.014289571 -0.009439741
17784.350 0.02098962757 0.0434443571 -0.0091129656 0.00107997845 0.07195295383 0.008208759
17674.949 -0.0080080692 -0.0011201942 0.01154490586 0.0172599349 0.14785614467 -0.006151498
17530.301 -0.0006627495 -0.0100935028 -0.0321114336 -0.0273948397 0.04774590724 -0.008183811
17475.650 -0.0107908743 0.0179380673 -0.0347756446 -0.0074504381 0.02574851365 -0.003117482
17173.650 0.01304156326 0.0020405046 0.01718601883 -0.0556573111 0.03707710407 -0.017281188
16958.650 -0.0163828646 -0.0316550086 -0.0131297954 -0.0443970425 -0.0197105029 -0.012519179
17136.551 0.01227262978 -0.0076467218 -0.0028877765 0.01298436616 -0.0347189528 0.010490245
17392.600 0.01542677317 0.0032749221 0.027513484 0.03685164118 0.0002312119 0.014941678
 Mean Returns Mean Risk
TITAN 0.001 0.020270573438522
ITC 0.005 0.015474675752481
Balram Chini 0.006 0.032175355680306
TATA Powers 0.004 0.032521208124818
Adani Green 0.010 0.039675156071228
NIFTY 0.001 0.01463708565986

Covariance Matrix
TITAN ITC Balram Chini
TITAN 0.000410896148 0.000101175733825 0.0002047139997133
ITC 0.000101175734 0.000239465589644 0.0001452155655427
Balram Chini 0.000204714 0.000145215565543 0.0010352535131542
TATA Powers 0.000230616252 0.000232078062088 0.0002713267100658
Adani Green 0.000223551518 0.000233756343156 0.0001888601816033
NIFTY 0.000177278205 0.000112183560895 0.0001603194740364
Beta of the Stock 0.827458301688 0.523624540493834 0.748302249050146

Equal Weights(A) Random Weights (B) Random Weights (C)

TITAN 20% 25% 22%
ITC 20% 15% 11%
Balram Chini 20% 32% 19%
TATA Powers 20% 16% 31%
Adani Green 20% 12% 17%
SUM 100% 100% 100%

Portfolio Return 0.005429364208 0.00499675744867 0.0051070306610546

Portfolio Variance 0.00035158225 0.000350354765412 0.0003949454951723
Portfolio Risk 0.01875052667 0.018717766036891 0.0198732356492933
Risk free rate 0.000108490411
Sharpe Ratio -0.00035662852 -0.000799362170791 -0.0003520909874507
Beta of Portfolio 0.857813282244 0.841915852613776 0.944074690623973
TATA Powers Adani Green NIFTY
0.000230616 0.000223552 0.000177278
0.000232078 0.000233756 0.000112184
0.000271327 0.00018886 0.000160319
0.001057629 0.000404803 0.000290778
0.000404803 0.001574118 0.000178348
0.000290778 0.000178348 0.000214244
1.357227951 0.832453369
Date TITAN ITC Balram Chini TATA Powers Adani Green
2/22/2022 2450.100 214.850 397.250 222.650 1971.950
2/23/2022 2495.700 215.950 407.750 221.200 1987.350
2/24/2022 2406.600 208.500 377.150 204.300 1849.750
2/25/2022 2468.450 213.950 391.900 220.000 1923.500
2/28/2022 2546.550 215.850 397.000 223.050 1843.400
3/2/2022 2592.650 215.300 410.450 225.400 1882.550
3/3/2022 2574.250 219.400 424.900 226.600 1950.900
3/4/2022 2441.000 225.500 420.650 221.450 1894.300
3/7/2022 2389.700 224.950 443.800 216.200 1803.750
3/8/2022 2371.250 226.900 433.200 226.950 1783.950
3/9/2022 2433.650 229.250 445.800 229.250 1828.750
3/10/2022 2467.800 232.000 449.300 232.250 1881.850
3/11/2022 2493.600 236.350 487.350 233.150 1860.050
3/14/2022 2539.000 239.000 502.050 231.550 1822.400
3/15/2022 2556.950 237.850 466.700 227.400 1798.750
3/16/2022 2587.300 242.600 485.500 230.450 1833.650
3/17/2022 2703.000 244.900 479.350 231.750 1901.200
3/21/2022 2707.250 244.500 499.550 227.950 1876.050
3/22/2022 2712.750 249.750 491.400 231.400 1877.450
3/23/2022 2690.000 252.000 494.450 234.300 1921.400
3/24/2022 2618.500 254.850 490.000 239.500 1911.400
3/25/2022 2523.900 253.350 478.550 241.350 1921.250
3/28/2022 2535.900 257.050 479.150 239.600 1930.850
3/29/2022 2538.800 254.600 471.700 239.100 1923.300
3/30/2022 2523.150 249.200 481.200 241.700 1857.150
3/31/2022 2536.150 250.650 489.400 238.650 1914.700
4/1/2022 2520.850 253.300 482.850 245.450 1945.100
4/4/2022 2517.000 255.450 505.100 251.950 2110.450
4/5/2022 2549.200 259.450 502.950 273.600 2189.800
4/6/2022 2540.050 259.600 511.500 289.800 2197.400
4/7/2022 2458.350 256.650 515.750 277.800 2166.000
4/8/2022 2509.950 267.800 511.050 278.100 2321.850
4/11/2022 2489.850 267.500 516.950 282.900 2665.150
4/12/2022 2488.200 264.800 500.350 275.150 2792.400
4/13/2022 2461.350 269.550 482.950 273.100 2864.300
4/18/2022 2493.450 270.100 491.250 257.900 2970.500
4/19/2022 2452.600 261.550 484.800 246.450 2911.950
4/20/2022 2482.700 259.550 483.400 249.650 2810.850
4/21/2022 2521.000 260.400 496.700 258.850 2811.500
NIFTY TITAN Returns ITC Returns Balram Returns TATA Returns Adani Returns Nifty Returns
17092.199
17063.250 0.0186114245 0.005119809 0.02643171806 -0.0065124502 0.00780954151 -0.001693709
16247.950 -0.0357013482 -0.0344987131 -0.0750459988 -0.0764014206 -0.0692379187 -0.047781038
16658.400 0.02570009577 0.0261390743 0.0391091084 0.07684775707 0.03987025274 0.02526166
16793.900 0.03163932814 0.0088806218 0.01301353937 0.01386365 -0.0416428261 0.008134034
16605.949 0.01810286549 -0.0025480796 0.03387912343 0.01053571382 0.0212379432 -0.011191633
16498.051 -0.0070969482 0.0190431535 0.03520521763 0.00532392206 0.03630712237 -0.006497577
16245.350 -0.0517626493 0.0278031275 -0.0100023536 -0.0227273118 -0.0290122376 -0.015317032
15863.150 -0.0210159971 -0.0024390377 0.05503386267 -0.0237073835 -0.0478013233 -0.023526685
16013.450 -0.007720614 0.0086685798 -0.0238845793 0.04972247988 -0.0109771581 0.009474776
16345.350 0.02631519325 0.0103570122 0.02908581637 0.01013440419 0.02511283961 0.02072629
16594.900 0.01403248141 0.0119956379 0.0078510545 0.01308615049 0.02903621381 0.015267387
16630.449 0.01045467562 0.0187500259 0.08468733367 0.00387510872 -0.0115843065 0.002142154
16871.301 0.0182065689 0.0112121596 0.03016308981 -0.0068624964 -0.0202414043 0.014482565
16663.000 0.00706969319 -0.0048116904 -0.0704112675 -0.0179227335 -0.0129774054 -0.012346456
16975.350 0.01186964883 0.0199705692 0.04028281019 0.01341250255 0.01940237609 0.0187451
17287.051 0.04471841256 0.0094805768 -0.0126673409 0.00564115 0.03683905114 0.018361988
17117.600 0.00157232704 -0.0016332953 0.04214036038 -0.0163969924 -0.0132284361 -0.009802202
17315.500 0.00203158186 0.0214723926 -0.0163146716 0.01513488504 0.00074619651 0.011561223
17245.650 -0.0083863238 0.009009009 0.00620679291 0.01253245063 0.0234094512 -0.004033935
17222.750 -0.0265799257 0.0113095476 -0.0089999229 0.02219375558 -0.0052045383 -0.001327894
17153.000 -0.0361275914 -0.005885815 -0.0233673714 0.00772445094 0.00515327816 -0.004049876
17222.000 0.00475454672 0.014604231 0.00125380005 -0.0072508803 0.00499673442 0.00402262
17325.301 0.00114363623 -0.00953115 -0.0155483295 -0.0020868113 -0.0039101572 0.005998187
17498.250 -0.0061643874 -0.0212097756 0.02013991893 0.01087407334 -0.0343940224 0.009982466
17464.750 0.00515229 0.0058186076 0.01704069367 -0.0126189617 0.03098830264 -0.001914477
17670.449 -0.0060326892 0.0105725476 -0.0133837108 0.02849362318 0.01587717438 0.011777965
18053.400 -0.0015273014 0.0084879352 0.04608056275 0.02648197221 0.08500847105 0.021671841
17957.400 0.01279298808 0.0156587005 -0.0042565709 0.08592978471 0.03759866372 -0.005317558
17807.650 -0.003589323 0.0005781229 0.01699967749 0.05921045923 0.00347056938 -0.00833918
17639.551 -0.0321647013 -0.0113636823 0.00830889541 -0.0414078692 -0.014289571 -0.009439741
17784.350 0.02098962757 0.0434443571 -0.0091129656 0.00107997845 0.07195295383 0.008208759
17674.949 -0.0080080692 -0.0011201942 0.01154490586 0.0172599349 0.14785614467 -0.006151498
17530.301 -0.0006627495 -0.0100935028 -0.0321114336 -0.0273948397 0.04774590724 -0.008183811
17475.650 -0.0107908743 0.0179380673 -0.0347756446 -0.0074504381 0.02574851365 -0.003117482
17173.650 0.01304156326 0.0020405046 0.01718601883 -0.0556573111 0.03707710407 -0.017281188
16958.650 -0.0163828646 -0.0316550086 -0.0131297954 -0.0443970425 -0.0197105029 -0.012519179
17136.551 0.01227262978 -0.0076467218 -0.0028877765 0.01298436616 -0.0347189528 0.010490245
17392.600 0.01542677317 0.0032749221 0.027513484 0.03685164118 0.0002312119 0.014941678
 Mean Returns Mean Risk
TITAN 0.001 0.020270573438522
ITC 0.005 0.015474675752481
Balram Chini 0.006 0.032175355680306
TATA Powers 0.004 0.032521208124818
Adani Green 0.010 0.039675156071228
NIFTY 0.001 0.01463708565986

Covariance Matrix
TITAN ITC Balram Chini
TITAN 0.000410896148 0.000101175733825 0.0002047139997133
ITC 0.000101175734 0.000239465589644 0.0001452155655427
Balram Chini 0.000204714 0.000145215565543 0.0010352535131542
TATA Powers 0.000230616252 0.000232078062088 0.0002713267100658
Adani Green 0.000223551518 0.000233756343156 0.0001888601816033
NIFTY 0.000177278205 0.000112183560895 0.0001603194740364

Portfolio Return 0.006157115112

Portfolio Variance 0.000268024852
Portfolio Risk 0.016371464556
risk free rate 0.000108490411
Sharpe Ratio 0.369461429675
Beta of Portfolio 0.605405533845

Capital Allocation
Risky Portfolio
rp 0.006157115112
Sigma P 0.016371464556
return on Capital (rc) 0.006157115112
Risk on Capital (Sigma C 0.016371464556
P (Proportion) 1

Risk free Portfolio

rf 0.000108490411
Proportion (1-P) 0

Utility 0.005956096473

A 1.5
TATA Powers Adani Green NIFTY Beta of the StockWeights for optimum portfolio (O)
0.000230616 0.000223552 0.000177278 0.827458301688 0%
0.000232078 0.000233756 0.000112184 0.523624540494 70%
0.000271327 0.00018886 0.000160319 0.74830224905 14%
0.001057629 0.000404803 0.000290778 1.357227950578 0%
0.000404803 0.001574118 0.000178348 0.832453369409 16%
0.000290778 0.000178348 0.000214244 sum 100%
 Portfoli
Equal Weights (A)
Rf 0.00011 Portfolio A
Return 0.005429364208233
Risk 0.018750526670323

Beta 0.857813282243871

Portfolio
X Equal Weights (A)
Ratios Portfolio A
Sharpe Ratio 0.283771964960102
Treynor Ratio 0.006202834471572
Jensen Ratio 0.004930429864672
M2 0.00369843264825
 Portfolio Summary
Random Weights (B) Random Weights (C) Optimal Market
Portfolio B Portfolio C Portfolio 0 Nifty 50
0.00499675744867048 0.0051070306610546 0.0061571151 0.00056365232
0.0187177660368908 0.0198732356492933 0.0163714646 0.01463708566

0.841915852613776 0.944074690623973 0.6054055338 1

Portfolio Evaluation
Random Weights (B) Random Weights (C) Optimal Market
Portfolio B Portfolio C Portfolio 0 Nifty 50
0.26115654122812 0.251521208639895 0.3694614297 0.03109648473
0.00580612304963218 0.00529464490441109 0.0099910298 0.00045516191
0.00499675744867048 0.0051070306610546 0.0061571151
0.00336740875385127 0.00322637556539618 0.0049526767
 PORTFOLI
PORTFOLI O WEIGHT
O WEIGHT FOR RISK-
FOR RISKY FREE
ASSETS ASSETS
EQUAL WEIGHT (A) 0.7806 0.2194
RANDOM WEIGHT (B) 0.7820 0.2180
RANDOM WEIGHT (C) 0.7365 0.2635
OPTIMUM POTFOLIO (O) 0.8941 0.1059