Investment Analysis Management

02 Jul


Downloaded Data of Bank of Baroda and HDFC Bank from 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.

Sr. No Date Symbol Close Price Symbol Sr. No Date Close


1 1-Apr-97 BANKBARODA 56.75 HDFCBANK 1 1-Apr-97 46.45
2 1-Apr-98 BANKBARODA 108.35 HDFCBANK 2 1-Apr-98 72.8
3 1-Apr-99 BANKBARODA 45 HDFCBANK 3 1-Apr-99 67.6
4 3-Apr-00 BANKBARODA 47.4 HDFCBANK 4 3-Apr-00 247.15
5 30-Mar-01 BANKBARODA 60.45 HDFCBANK 5 2-Apr-01 223.15
6 1-Apr-02 BANKBARODA 50.45 HDFCBANK 6 1-Apr-02 233.65
7 1-Apr-03 BANKBARODA 86.45 HDFCBANK 7 1-Apr-03 234.3
8 1-Apr-04 BANKBARODA 250.45 HDFCBANK 8 1-Apr-04 384.35
9 1-Apr-05 BANKBARODA 221.85 HDFCBANK 9 1-Apr-05 551.55
10 3-Apr-06 BANKBARODA 232.95 HDFCBANK 10 3-Apr-06 773.85
11 30-Mar-07 BANKBARODA 215.05 HDFCBANK 11 30-Mar-07 954.15



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.

Period ( Years) Annual Returns (%)
Supertex Colourtex Wivetex
1 10 11 8
2 12 9 12
3 14 13 9
4 16 17 15



Pruthvi Hardware Ltd. Invested on 1-04-2006 in equity shares as below:-

Company Number of Shares Cost (Rs.)
Mafatlal .Ltd. 1000 (Rs.100 Each) 2,00,000
Natraja Pencil Ltd. 500 (Rs.10 each) 1,50,000.

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

a) Calculate the average return from the portfolio for the year ended 31-03-2007.

b) Advice P Ltd. Of the comparative risk of two investments by calculating the standard deviation in each case.



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?

Portfolio Return on Portfolio Standard Deviation Beta
Equity Fund 26 12 1.25
Mid Cap Fund 40 10 0.80
Infra – Fund 24 14 1.40
Market Index 18 1.00

Risk Free Rate of Return: 6%

1. 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.

2. 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.


B). Share of HDFC and BANK of Baroda display the following returns over the past two years:-

First Year 232 775
Second Year 215 955

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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