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    DM22118 - Dinakaran S

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    Dinakaran
    The document summarizes an internship presentation on portfolio management. It discusses using the CAPM model and Markowitz portfolio theory to determine the optimal asset allocation strategy for investors based on their goals and risk tolerance. It then shows the results of applying CAPM to analyze different companies and constructing 10 sample portfolios with varying asset allocations, returns, risks, and Sharpe ratios. It finds that portfolio 5 has the highest Sharpe ratio at 1.64, indicating it is the most viable portfolio option that provides the best risk-adjusted return.

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    DM22118 - Dinakaran S

    Uploaded by

    Dinakaran
    22 views11 pages
    The document summarizes an internship presentation on portfolio management. It discusses using the CAPM model and Markowitz portfolio theory to determine the optimal asset allocation strategy for investors based on their goals and risk tolerance. It then shows the results of applying CAPM to analyze different companies and constructing 10 sample portfolios with varying asset allocations, returns, risks, and Sharpe ratios. It finds that portfolio 5 has the highest Sharpe ratio at 1.64, indicating it is the most viable portfolio option that provides the best risk-adjusted return.

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    The document summarizes an internship presentation on portfolio management. It discusses using the CAPM model and Markowitz portfolio theory to determine the optimal asset allocation strategy for investors based on their goals and risk tolerance. It then shows the results of applying CAPM to analyze different companies and constructing 10 sample portfolios with varying asset allocations, returns, risks, and Sharpe ratios. It finds that portfolio 5 has the highest Sharpe ratio at 1.64, indicating it is the most viable portfolio option that provides the best risk-adjusted return.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    22 views11 pages

    DM22118 - Dinakaran S

    Uploaded by

    Dinakaran
    The document summarizes an internship presentation on portfolio management. It discusses using the CAPM model and Markowitz portfolio theory to determine the optimal asset allocation strategy for investors based on their goals and risk tolerance. It then shows the results of applying CAPM to analyze different companies and constructing 10 sample portfolios with varying asset allocations, returns, risks, and Sharpe ratios. It finds that portfolio 5 has the highest Sharpe ratio at 1.64, indicating it is the most viable portfolio option that provides the best risk-adjusted return.

    Copyright:

    © All Rights Reserved
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    of 11

    Internship Presentation

    Growth arrow
    April 15- June 15, 2021

    DM22118- Dinakaran S
    Portfolio Management
    Objectives:
    To create an ideal portfolio with the highest possible return and
    the lowest possible risk.
    Weights (asset allocation) that are appropriate to the investors'
    goals
    Approach:
    Used CAPM model and Markowitz portfolio theory to come up
    with the best asset allocation strategy
    Constructed an efficient frontier based on multiple portfolio
    returns and standard deviations to determine the best portfolio for
    the investor depending on their investment goals.
    Portfolio selection
    Two factors must be considered while picking sectors for portfolio management:

    • Invest in stocks that are unrelated to each other, such as IT vs. FMCG.
    • Look for equities that have a negative correlation, such as IT vs Infrastructure.

    Few other criterias:


    • Portfolio should have a mix of small , mid-cap and large cap stocks
    • Portfolio should have a mix of over-valued and undervalued stocks.
    Key Ratios
    Company Market Cap (in Cr) ROE P/E Industry P/B ROCE
    (in %) Ratio P/E Ratio (in %)

    Ambuja 62359 10.1 22.63 20.28 2.74 18.3


    Cements
    Asian Paints 250682 25.67 91.18 34.48 24.75 33.8
    Bharti Airtel 296855 -47.3 NA 17.91 3.82 5.45

    Dabur India 95777 23.62 60.1 40.02 14.5 27.9


    Dmart 188266 15.61 197.61 37.35 16.99 20.4
    HDFC Bank 812107 16.49 25.56 14.48 3.87 6.76
    HUL 565862 83.95 75.91 37.6 63.34 39.2
    INFY 575808 27.29 29.29 29.76 7.42 35.2
    ITC 251470 22.96 18.94 37.6 3.85 32.6
    L&T 190830 13.78 16.62 7.51 2.86 12.6
    Maruti Suzuki 198335 8.61 45.19 21.94 3.78 10.6
    Ltd
    Pidilite 93917 25.95 95.61 34.48 21.08 34.6
    Reliance 1283135 9.37 29.13 17.04 2.69 10.7
    Industries Ltd
    SBI 320751 9.45 13.83 14.48 1.28 4.99
    TCS 1152347 38.03 35.91 29.76 13.52 48.9
    Results from CAPM MODEL
    Company CAPM Average Variance Annualized Annualized Historical Beta coefficient
    Return Daily Variance SD
    Volatility

    Ambuja 16.07% 2.24% 0.05% 12.54% 35.42% 0.85


    Cements
    Asian Paints 16.27% 1.82% 0.03% 8.28% 28.78% 0.5

    Bharti Airtel 27.40% 2.36% 0.06% 13.92% 37.31% 0.76

    Dabur India 17.69% 2.11% 0.04% 11.13% 33.36% 0.61

    Dmart 43.42% 2.06% 0.04% 10.61% 32.57% 1.11

    HDFC 28.32% 2.04% 0.04% 10.40% 32.26% 0.81

    HUL 12.73% 1.82% 0.03% 8.28% 28.78% 0.54

    INFY 45.22% 2.41% 0.06% 14.52% 38.11% 0.78

    ITC 14.70% 2.03% 0.04% 10.30% 32.10% 0.66

    L &T 30.76% 2.30% 0.05% 13.23% 36.37% 1.16

    Maruti Suzuki 33.24% 2.11% 0.04% 11.13% 33.36% 0.96

    Pidilite 26.78% 2.18% 0.05% 11.88% 34.47% 0.74

    RIL 26.92% 2.25% 0.05% 12.66% 35.58% 1.05

    SBI 23.16% 2.40% 0.06% 14.40% 37.95% 1.22

    TCS 17.72% 1.85% 0.03% 8.56% 29.25% 0.51


    Portfolio- Asset allocation,Return,
    Standard deviation,
    Sharpe Ratio
    Company P1 P2 P3 P4 P5 P6 P7 P8 P9 P10
    Ambuja 4.00% 5.00% 3.00% 2.00% 1.00% 0.00% 2.00% 2.00% 0.00% 2.00%
    Cements

    Asian Paints 4.00% 5.00% 3.00% 2.00% 1.00% 2.52% 2.00% 2.00% 5.04% 2.00%
    Bharti Airtel 4.00% 5.00% 3.00% 2.00% 1.00% 0.00% 2.00% 2.00% 0.00% 2.00%
    Dabur India 4.00% 5.00% 3.00% 2.00% 1.00% 0.00% 2.00% 2.00% 0.00% 2.00%
    Dmart 41.04% 30.00% 43.41% 45.91% 47.32% 15.00% 10.00% 15.00% 12.00% 40.00%
    HDFC 4.00% 5.00% 3.00% 2.00% 1.00% 1.57% 4.46% 2.00% 1.10% 2.00%
    HUL 4.00% 5.00% 3.00% 2.00% 1.00% 15.00% 10.00% 15.00% 12.00% 2.00%
    INFY 4.00% 5.00% 3.00% 2.34% 3.02% 5.43% 7.44% 5.99% 7.12% 3.36%
    ITC 4.00% 5.00% 3.00% 2.00% 3.36% 12.40% 8.78% 8.27% 11.41% 3.42%
    L &T 4.00% 5.00% 3.00% 2.00% 1.00% 0.00% 2.00% 2.00% 0.00% 2.00%
    Maruti Suzuki 4.00% 5.00% 3.00% 2.00% 1.00% 3.38% 9.72% 2.00% 10.09% 2.00%
    Pidilite 4.00% 5.00% 3.00% 2.00% 1.00% 1.64% 9.61% 2.00% 5.25% 2.00%
    RIL 4.00% 5.00% 3.00% 2.00% 1.00% 13.06% 10.00% 9.74% 12.00% 2.00%
    SBI 6.96% 5.00% 17.59% 27.75% 35.31% 15.00% 10.00% 15.00% 12.00% 31.22%
    TCS 4.00% 5.00% 3.00% 2.00% 1.00% 15.00% 10.00% 15.00% 12.00% 2.00%
    Expected 31.98% 29.87% 32.34% 32.79% 33.12% 24.77% 26.28% 25.03% 25.60% 31.60%
    Return

    Standard 25.39% 27.22% 22.74% 20.31% 17.81% 23.47% 30.00% 24.48% 26.83% 19.90%
    deviation

    Sharpe Ratio 1.10 0.95 1.25 1.42 1.64 0.88 0.74 0.86 0.81 1.39
    Findings

    •Sharpe Ratio Benchmarks • Portfolio 4 and 5 are shortlisted


    • Mean variance criterian analysed
    • Less than 1 – Not a good portfolio
    • Portfolio 5 is the viable option.
    • 1 – 1.99 - Good Portfolio
    • 2 – 2.99 – Very good portfolio
    • More than 3 – Excellent Portfolio
    Value addition

    Extensive knowledge about Familiarity with financial


    stock investments models
    Thank you

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