The document summarizes William Sharpe's single index model from 1963, which simplified Harry Markowitz's earlier portfolio selection model. The single index model assumes that only one macroeconomic factor, represented by a market index like the S&P 500, influences the systematic risk of stock returns. It expresses the return of a security as the sum of its expected excess return, its sensitivity to market movements, and random error. This allows estimating portfolio variance and minimum variance portfolios based only on market risk rather than the full covariance matrix.
There are several types of mutual fund schemes. Schemes are categorized based on maturity period as open-ended or close-ended funds. Open-ended funds allow continuous subscription and redemption, while close-ended funds have a fixed duration. Schemes are also categorized based on investment objective as growth/equity oriented (focusing on capital appreciation), income/debt oriented (focusing on fixed income securities), balanced (combining equity and debt), money market/liquid (prioritizing capital preservation and liquidity), gilt (investing in government securities), and index funds (replicating the components of a market index). The document provides details on each type of scheme.
The document discusses the Arbitrage Pricing Theory (APT). APT assumes an asset's return depends on various macroeconomic, market, and security-specific factors. It uses a linear regression formula to model the relationship between an asset's expected return and its sensitivity to different risk factors. While more flexible than other models, APT requires accurately identifying risk sources and examining assets individually. It generates a lot of data but does not guarantee profitable outcomes.
The document provides information about mutual funds in India, including their history and structure. It discusses how a mutual fund is a trust that pools money from investors and invests it in securities like stocks and bonds. It then summarizes the five phases of growth of the mutual fund industry in India from 1963 to 2003 and how regulations evolved. It also outlines the key constituents of mutual funds in India - sponsors, trustees, asset management companies and custodians - and their roles. Finally, it categorizes mutual fund types by structure, nature and investment objective.
The document discusses portfolio management and asset allocation strategies. It defines a portfolio as a collection of investments that can include stocks, mutual funds, bonds, and cash. It then describes different types of portfolios including a market portfolio and a zero investment portfolio. The main phases of portfolio management are outlined as security analysis, portfolio analysis, portfolio selection, portfolio revision, and portfolio evaluation. Asset allocation strategies focus on establishing an appropriate mix of asset classes in a portfolio to optimize risk and return based on an investor's goals.
Presentation On Mutual funds and its typesGurmeet Virk
The document summarizes a seminar presentation on mutual funds and their types. It defines a mutual fund as a trust that pools investor savings and invests in stocks, bonds, and other securities. It outlines the history of mutual funds in India in four phases from 1964 to the present. It also describes the different types of mutual funds based on maturity period (open-ended or closed-ended) and investment objectives (growth, income, balanced, money market, gilt, and index funds). Finally, it lists some major Indian mutual fund companies and the advantages of investing in mutual funds.
The document summarizes William Sharpe's single index model from 1963, which simplified Harry Markowitz's earlier portfolio selection model. The single index model assumes that only one macroeconomic factor, represented by a market index like the S&P 500, influences the systematic risk of stock returns. It expresses the return of a security as the sum of its expected excess return, its sensitivity to market movements, and random error. This allows estimating portfolio variance and minimum variance portfolios based only on market risk rather than the full covariance matrix.
There are several types of mutual fund schemes. Schemes are categorized based on maturity period as open-ended or close-ended funds. Open-ended funds allow continuous subscription and redemption, while close-ended funds have a fixed duration. Schemes are also categorized based on investment objective as growth/equity oriented (focusing on capital appreciation), income/debt oriented (focusing on fixed income securities), balanced (combining equity and debt), money market/liquid (prioritizing capital preservation and liquidity), gilt (investing in government securities), and index funds (replicating the components of a market index). The document provides details on each type of scheme.
The document discusses the Arbitrage Pricing Theory (APT). APT assumes an asset's return depends on various macroeconomic, market, and security-specific factors. It uses a linear regression formula to model the relationship between an asset's expected return and its sensitivity to different risk factors. While more flexible than other models, APT requires accurately identifying risk sources and examining assets individually. It generates a lot of data but does not guarantee profitable outcomes.
The document provides information about mutual funds in India, including their history and structure. It discusses how a mutual fund is a trust that pools money from investors and invests it in securities like stocks and bonds. It then summarizes the five phases of growth of the mutual fund industry in India from 1963 to 2003 and how regulations evolved. It also outlines the key constituents of mutual funds in India - sponsors, trustees, asset management companies and custodians - and their roles. Finally, it categorizes mutual fund types by structure, nature and investment objective.
The document discusses portfolio management and asset allocation strategies. It defines a portfolio as a collection of investments that can include stocks, mutual funds, bonds, and cash. It then describes different types of portfolios including a market portfolio and a zero investment portfolio. The main phases of portfolio management are outlined as security analysis, portfolio analysis, portfolio selection, portfolio revision, and portfolio evaluation. Asset allocation strategies focus on establishing an appropriate mix of asset classes in a portfolio to optimize risk and return based on an investor's goals.
Presentation On Mutual funds and its typesGurmeet Virk
The document summarizes a seminar presentation on mutual funds and their types. It defines a mutual fund as a trust that pools investor savings and invests in stocks, bonds, and other securities. It outlines the history of mutual funds in India in four phases from 1964 to the present. It also describes the different types of mutual funds based on maturity period (open-ended or closed-ended) and investment objectives (growth, income, balanced, money market, gilt, and index funds). Finally, it lists some major Indian mutual fund companies and the advantages of investing in mutual funds.
The Markowitz Model assists investors in selecting efficient portfolios by analyzing possible combinations of securities. It helps reduce risk through diversification by choosing securities whose price movements are not perfectly correlated. The model determines the efficient set of portfolios and allows investors to select the optimal portfolio based on their preferred risk-return tradeoff. Markowitz introduced diversification and showed holding multiple lower-risk securities can reduce overall portfolio risk compared to a single higher-risk security. The model calculates expected returns, variances, and correlations between securities to determine the minimum risk portfolio for a given level of return.
The document discusses Sharpe's single index model for portfolio optimization. It relates individual security returns to a single market index and uses a characteristic line equation to define the relationship between security returns and market returns. The model simplifies earlier approaches by using a single market index rather than complex matrices but has practical limitations in compiling expected returns and covariances of securities.
Here I am Sharing Presentation about Mutual Fund Which is beneficial for Finance Student. Who one want to know details of mutual fund can see this slide this will be helpful to the student of finance.
All The Best
The document discusses various aspects of securities markets and financial markets. It describes the key components and participants in primary and secondary markets. The primary market, also called the new issue market, deals with the initial sale of new securities to investors. Major functions of the primary market include origination, underwriting, and distribution of new securities issues. Common methods to float new issues include public issues, rights issues, and private placements. The secondary market provides for the trading of previously-issued securities among investors.
The document discusses the Arbitrage Pricing Theory (APT), which assumes an asset's return depends on various macroeconomic, market, and security-specific factors. The APT model estimates the expected return of an asset based on its sensitivity to common risk factors like inflation, interest rates, and market indices. It was developed by Stephen Ross in 1976 as an alternative to the Capital Asset Pricing Model. The APT formula predicts an asset's return based on factor risk premiums and the asset's sensitivity to each factor.
The document discusses various aspects of the new issue market in India including initial public offerings (IPO) where firms issue stock to the public for the first time, and seasoned equity offerings (SEO) where already public firms issue additional stock. It covers the key functions of origination, underwriting, and distribution in new stock issues. It also discusses the roles of various intermediaries that facilitate new issues such as merchant bankers, brokers, and underwriters.
The document discusses Harry Markowitz's model for portfolio selection and William Sharpe's Single Index Model. Markowitz developed the Mean-Variance model in 1952 to select portfolios that reduce risk by diversifying across assets with low covariance. Sharpe later extended this with the Single Index Model, which assumes returns are explained by just one market factor. The document also outlines the assumptions, parameters, efficient frontier, and criticisms of both models.
The document discusses various investment options available to Indian investors including banks, post office schemes, company fixed deposits, and the stock market. It then provides an overview of mutual funds, highlighting their benefits such as professional management, diversification, potential for returns, liquidity, transparency, affordability, and regulation. Mutual funds offer various types of schemes categorized by structure (open-end, closed-end, interval funds) and investment objective (growth, income, balanced, money market, tax saving, industry/sector specific, index funds). The document positions mutual funds as offering several advantages over other investment options for individual investors.
- The document provides an overview of mutual funds including their concept, workings, history, structure, types, and regulations in India.
- Mutual funds pool money from investors and invest it professionally in securities like stocks and bonds. They provide investors diversification, professional management, and low costs.
- The mutual fund industry in India has grown significantly since the 1990s and is now regulated by SEBI. Key entities involved include sponsors, trustees, asset management companies, and custodians.
- Mutual funds can be categorized by structure (open-ended or closed-ended), investment objective (growth, income, balanced), or type (equity, debt, liquid/money market funds). Regulations govern
The document discusses stock exchanges in India. It defines a stock exchange as a market where existing securities are traded and outlines some key stock exchanges in India like Bombay Stock Exchange. It describes the functions of stock exchanges like providing liquidity and safety for investors. The document also discusses concepts like listing of securities on an exchange, online trading systems, demat accounts, and the roles of different participants in stock trading like brokers and speculators.
The document summarizes key concepts in portfolio theory including the efficient market theory, Markowitz portfolio analysis, Sharpe's optimum portfolio construction model, and the Capital Asset Pricing Model (CAPM). It provides details on calculating excess return to beta ratios to select securities for an optimal portfolio using Sharpe's single index model. Specifically, it ranks 14 securities based on their ratios, includes the top 7 in the optimal portfolio, and calculates the proportion of funds to invest in each. In the end, it outlines the assumptions of CAPM for calculating the expected return of an asset given its beta, the risk-free rate, and expected market return.
A mutual fund is a professionally-managed investment scheme that pools together money from investors and invests it in stocks, bonds, and other securities. Mutual funds allow small investors to participate in diversified market investments and benefit from professional management. The key benefits of mutual funds include mobilizing savings, professional management, diversification of risk, liquidity, and potential tax benefits. Mutual funds in India follow a three-tier structure involving sponsors, trustees, and asset management companies.
Behavioral finance is the study of how psychology impacts financial decision-making and markets. It developed in response to anomalies observed in conventional finance theories which assume rational decision-making. Behavioral finance draws on insights from psychology and microeconomic theory to understand irrational behaviors like herding, overconfidence, and loss aversion. It aims to better explain market phenomena like bubbles, crashes, and the high average returns of stocks relative to predicted risk levels. The scope of behavioral finance includes understanding market anomalies, identifying investor personalities, analyzing the effects of biases, and developing tools to hedge against behavioral risks. Its objectives are to critically examine standard finance theories, protect stakeholders, and develop more tailored investment advice and products.
The Capital Asset Pricing Model (CAPM) uses beta to measure the non-diversifiable risk of a security and determine its expected return. CAPM assumes investors want to maximize returns and only consider systematic risk. It models expected return as the risk-free rate plus a risk premium based on the security's beta. The Security Market Line graphs this relationship between beta and expected return. Some researchers like Fama and French have expanded CAPM with additional size and value factors.
Watch full video on Youtube - https://youtu.be/Qmw15cG2Mv4
This video enhances your knowledge on portfolio management. It explains the meaning, types, process and objective of managing portfolio which comprises of stocks, mutual funds, commodities, metal, real estate etc. diversified sort of investments.(portfolio management)
Thank You
Stock exchanges play several important roles in the secondary market including raising capital for businesses, facilitating investment opportunities, and acting as an indicator of economic conditions. Major players in the secondary market include various types of brokers, financial intermediaries such as banks and mutual funds, and individual investors. Common instruments traded in the secondary market include fixed income assets like bonds and deposits, variable income assets like equities and derivatives, and hybrid income assets such as mutual funds.
1. The document discusses portfolio selection using the Markowitz model.
2. The Markowitz model aims to find the optimal portfolio, which provides the highest return and lowest risk. It does this by analyzing different combinations of securities to identify efficient portfolios.
3. The document provides details on the tools and steps used in the Markowitz model for portfolio selection, including analyzing expected returns, variance, standard deviation, and coefficients of correlation between securities.
Portfolio management is a process that aims to optimize investment returns while reducing risk. It involves five phases: security analysis, portfolio analysis, portfolio selection, portfolio revision, and portfolio evaluation. The security analysis phase involves classifying and examining individual securities. Portfolio analysis identifies possible portfolio combinations and assesses their risks and returns. The optimal portfolio is then selected during the portfolio selection phase. Portfolio revision makes changes due to funds or risk adjustments. Finally, portfolio evaluation compares objectives and performance to improve the process.
article 10 nov 2022 An empaical study on NSE Nifty 50.pdfEducational
RABINDRA BHARATI JOURNAL OF PHILOSOPHY
ISSN : 0973-0087
Vol. : XXIII, No:24, 2022 63
AN EMPARICAL STUDY ON CONSTRUCTION OF OPTIMAL PORTFOLIO USING
SHARPE’S SINGLE INDEX MODEL FOR NIFTY 50 STOCKS
Dr. UMA.K Assistant professor & Research scholar
The Markowitz Model assists investors in selecting efficient portfolios by analyzing possible combinations of securities. It helps reduce risk through diversification by choosing securities whose price movements are not perfectly correlated. The model determines the efficient set of portfolios and allows investors to select the optimal portfolio based on their preferred risk-return tradeoff. Markowitz introduced diversification and showed holding multiple lower-risk securities can reduce overall portfolio risk compared to a single higher-risk security. The model calculates expected returns, variances, and correlations between securities to determine the minimum risk portfolio for a given level of return.
The document discusses Sharpe's single index model for portfolio optimization. It relates individual security returns to a single market index and uses a characteristic line equation to define the relationship between security returns and market returns. The model simplifies earlier approaches by using a single market index rather than complex matrices but has practical limitations in compiling expected returns and covariances of securities.
Here I am Sharing Presentation about Mutual Fund Which is beneficial for Finance Student. Who one want to know details of mutual fund can see this slide this will be helpful to the student of finance.
All The Best
The document discusses various aspects of securities markets and financial markets. It describes the key components and participants in primary and secondary markets. The primary market, also called the new issue market, deals with the initial sale of new securities to investors. Major functions of the primary market include origination, underwriting, and distribution of new securities issues. Common methods to float new issues include public issues, rights issues, and private placements. The secondary market provides for the trading of previously-issued securities among investors.
The document discusses the Arbitrage Pricing Theory (APT), which assumes an asset's return depends on various macroeconomic, market, and security-specific factors. The APT model estimates the expected return of an asset based on its sensitivity to common risk factors like inflation, interest rates, and market indices. It was developed by Stephen Ross in 1976 as an alternative to the Capital Asset Pricing Model. The APT formula predicts an asset's return based on factor risk premiums and the asset's sensitivity to each factor.
The document discusses various aspects of the new issue market in India including initial public offerings (IPO) where firms issue stock to the public for the first time, and seasoned equity offerings (SEO) where already public firms issue additional stock. It covers the key functions of origination, underwriting, and distribution in new stock issues. It also discusses the roles of various intermediaries that facilitate new issues such as merchant bankers, brokers, and underwriters.
The document discusses Harry Markowitz's model for portfolio selection and William Sharpe's Single Index Model. Markowitz developed the Mean-Variance model in 1952 to select portfolios that reduce risk by diversifying across assets with low covariance. Sharpe later extended this with the Single Index Model, which assumes returns are explained by just one market factor. The document also outlines the assumptions, parameters, efficient frontier, and criticisms of both models.
The document discusses various investment options available to Indian investors including banks, post office schemes, company fixed deposits, and the stock market. It then provides an overview of mutual funds, highlighting their benefits such as professional management, diversification, potential for returns, liquidity, transparency, affordability, and regulation. Mutual funds offer various types of schemes categorized by structure (open-end, closed-end, interval funds) and investment objective (growth, income, balanced, money market, tax saving, industry/sector specific, index funds). The document positions mutual funds as offering several advantages over other investment options for individual investors.
- The document provides an overview of mutual funds including their concept, workings, history, structure, types, and regulations in India.
- Mutual funds pool money from investors and invest it professionally in securities like stocks and bonds. They provide investors diversification, professional management, and low costs.
- The mutual fund industry in India has grown significantly since the 1990s and is now regulated by SEBI. Key entities involved include sponsors, trustees, asset management companies, and custodians.
- Mutual funds can be categorized by structure (open-ended or closed-ended), investment objective (growth, income, balanced), or type (equity, debt, liquid/money market funds). Regulations govern
The document discusses stock exchanges in India. It defines a stock exchange as a market where existing securities are traded and outlines some key stock exchanges in India like Bombay Stock Exchange. It describes the functions of stock exchanges like providing liquidity and safety for investors. The document also discusses concepts like listing of securities on an exchange, online trading systems, demat accounts, and the roles of different participants in stock trading like brokers and speculators.
The document summarizes key concepts in portfolio theory including the efficient market theory, Markowitz portfolio analysis, Sharpe's optimum portfolio construction model, and the Capital Asset Pricing Model (CAPM). It provides details on calculating excess return to beta ratios to select securities for an optimal portfolio using Sharpe's single index model. Specifically, it ranks 14 securities based on their ratios, includes the top 7 in the optimal portfolio, and calculates the proportion of funds to invest in each. In the end, it outlines the assumptions of CAPM for calculating the expected return of an asset given its beta, the risk-free rate, and expected market return.
A mutual fund is a professionally-managed investment scheme that pools together money from investors and invests it in stocks, bonds, and other securities. Mutual funds allow small investors to participate in diversified market investments and benefit from professional management. The key benefits of mutual funds include mobilizing savings, professional management, diversification of risk, liquidity, and potential tax benefits. Mutual funds in India follow a three-tier structure involving sponsors, trustees, and asset management companies.
Behavioral finance is the study of how psychology impacts financial decision-making and markets. It developed in response to anomalies observed in conventional finance theories which assume rational decision-making. Behavioral finance draws on insights from psychology and microeconomic theory to understand irrational behaviors like herding, overconfidence, and loss aversion. It aims to better explain market phenomena like bubbles, crashes, and the high average returns of stocks relative to predicted risk levels. The scope of behavioral finance includes understanding market anomalies, identifying investor personalities, analyzing the effects of biases, and developing tools to hedge against behavioral risks. Its objectives are to critically examine standard finance theories, protect stakeholders, and develop more tailored investment advice and products.
The Capital Asset Pricing Model (CAPM) uses beta to measure the non-diversifiable risk of a security and determine its expected return. CAPM assumes investors want to maximize returns and only consider systematic risk. It models expected return as the risk-free rate plus a risk premium based on the security's beta. The Security Market Line graphs this relationship between beta and expected return. Some researchers like Fama and French have expanded CAPM with additional size and value factors.
Watch full video on Youtube - https://youtu.be/Qmw15cG2Mv4
This video enhances your knowledge on portfolio management. It explains the meaning, types, process and objective of managing portfolio which comprises of stocks, mutual funds, commodities, metal, real estate etc. diversified sort of investments.(portfolio management)
Thank You
Stock exchanges play several important roles in the secondary market including raising capital for businesses, facilitating investment opportunities, and acting as an indicator of economic conditions. Major players in the secondary market include various types of brokers, financial intermediaries such as banks and mutual funds, and individual investors. Common instruments traded in the secondary market include fixed income assets like bonds and deposits, variable income assets like equities and derivatives, and hybrid income assets such as mutual funds.
1. The document discusses portfolio selection using the Markowitz model.
2. The Markowitz model aims to find the optimal portfolio, which provides the highest return and lowest risk. It does this by analyzing different combinations of securities to identify efficient portfolios.
3. The document provides details on the tools and steps used in the Markowitz model for portfolio selection, including analyzing expected returns, variance, standard deviation, and coefficients of correlation between securities.
Portfolio management is a process that aims to optimize investment returns while reducing risk. It involves five phases: security analysis, portfolio analysis, portfolio selection, portfolio revision, and portfolio evaluation. The security analysis phase involves classifying and examining individual securities. Portfolio analysis identifies possible portfolio combinations and assesses their risks and returns. The optimal portfolio is then selected during the portfolio selection phase. Portfolio revision makes changes due to funds or risk adjustments. Finally, portfolio evaluation compares objectives and performance to improve the process.
article 10 nov 2022 An empaical study on NSE Nifty 50.pdfEducational
RABINDRA BHARATI JOURNAL OF PHILOSOPHY
ISSN : 0973-0087
Vol. : XXIII, No:24, 2022 63
AN EMPARICAL STUDY ON CONSTRUCTION OF OPTIMAL PORTFOLIO USING
SHARPE’S SINGLE INDEX MODEL FOR NIFTY 50 STOCKS
Dr. UMA.K Assistant professor & Research scholar
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
Security Analysis and Portfolio Management ( PDFDrive ) (1).pdfMALLIKARJUNAE
This document provides an overview of the course "Security Analysis and Portfolio Management".
The course involves studying the Indian securities market, optimal asset allocation using modern portfolio theory, and analyzing securities within asset classes. It focuses on the primary and secondary markets, corporate debt market, derivatives trading, security pricing, portfolio selection, capital asset pricing model, and common stock and bond valuation. The objective is to provide an end-to-end study of the investment decision process.
EVALUATING PERCEPTION OF INVESTORS TOWARDS MUTUAL FUNDS & PERFORMANCE OF THE ...Nishant Kumar
This study has investigated into the perception of the investors in Indian markets towards Mutual Funds and has evaluated the returns of the top Mutual Fund performers in India over period of last 3 years – January 1, 2016 to December 31, 2018. It has helped us to conclude on how different schemes attract investors of different age groups and how the impact of different characteristics are known by investors.
This study looks specifically into open-ended equity schemes. Returns have been calculated using daily closing values of NAV of the selected schemes. BSE-Sensex has been chosen as the market portfolio as a comparison basis here. Based on Sharpe, Treynor, and Jensen’s measure the historical performance of the selected schemes are evaluated, whose results will be useful for investors for taking better investment decisions.
1) This research analyzes optimal asset allocation in the Saudi stock market using modern portfolio theory.
2) The researcher collected monthly price data for the top 20 companies from 2008-2013 and calculated returns to analyze risk and expected return.
3) Descriptive statistics showed non-normal return distributions with positive skewness and excess kurtosis. Variance analysis used minimum variance, efficient frontier, and tangency portfolio models to determine optimal allocations.
Investment portfolio of risky security and efficient frontierRavi kumar
The document discusses investment portfolios containing risky securities and the efficient frontier. It defines key investment terms like portfolio and outlines the main investment options. Factors that influence investment selection are discussed like risk appetite and investment horizon. The performance of investment portfolios depends on decisions by portfolio managers regarding investment policies, stock selection, and market timing. The efficient frontier shows the optimal portfolios that offer the highest expected return for a given level of risk or lowest risk for a given return. It is found by calculating the standard deviation and mean return of individual stocks.
A Study on Empirical Testing of Capital Asset Pricing ModelProjects Kart
A Study on Empirical Testing of Capital Asset Pricing Model is compared with many blue chip companies with the help of detailed questionnaire to understand the problem statement. Visit http://www.projectskart.com/p/contact-us.html for more information.
A STUDY ON RISK RETURN ANALYSIS OF SELECTED STOCKSShrikumar Gowda
This document summarizes a study on analyzing the risk and return of selected stocks. The objectives are to analyze risk and return, measure financial performance, and suggest potential stocks. Various tools are used to measure risk through standard deviation and beta values, and financial performance through ratios. Key findings include sectors like IT performing better than others, with TCS being more stable. The study helps investors pick stocks based on their risk appetite. Suggestions include watching the benchmark index, investing in consistently performing stocks, avoiding volatile stocks, and choosing high beta stocks depending on market conditions.
5_Saurabh-Agarwal-Sarita v.pdf a study on portfolio management & financial se...vaghasiyadixa1
This research report about portfolio management & financial sector including all the requirements of making research report as per University required.
48407540 project-report-on-portfolio-management-mgt-727 (1)Ritesh Kumar Patro
This document provides an overview of portfolio management. It discusses key concepts like portfolio construction, types of assets, and the portfolio management process. The main points are:
1) Portfolio construction involves setting objectives, defining a policy, applying a strategy, selecting assets, and assessing performance. The main asset classes are cash, bonds, equities, derivatives, and property.
2) Portfolio management deals with security analysis, portfolio analysis, selection, revision, and evaluation. The goal is to maximize returns for a given level of risk through diversification.
3) Derivatives like futures and options derive their value from underlying assets and allow investors to take long or short positions to profit from price movements.
48407540 project-report-on-portfolio-management-mgt-727 (1)Ritesh Patro
This document provides an overview of portfolio management. It begins with an introduction that defines portfolio management and discusses its key aspects like security analysis, portfolio construction, selection, and evaluation. It then discusses the steps in portfolio construction, including setting objectives, defining an investment policy, and applying a portfolio strategy. The next sections cover topics like types of assets, phases of portfolio management, and security and portfolio analysis. It concludes with a discussion of portfolio selection, revision, and evaluation. The overall summary emphasizes that portfolio management aims to maximize returns for a given risk level through diversification and balancing different asset classes.
The document summarizes research on building an optimal portfolio using the Markowitz Model of companies listed on the Nifty 50 index in India. It discusses the key assumptions of Markowitz's Modern Portfolio Theory and how it aims to maximize return for a given level of risk through diversification. The methodology section outlines using the Sharpe Index Model and secondary data from Yahoo Finance to evaluate risk and return of top BSE companies to identify stocks and their proportions in the optimal portfolio. Literature reviews of past research applying similar models in markets like Malaysia are also summarized.
The document provides an overview of TAG Benefit Advisors' investment recommendations and process for selecting investment managers and constructing investment menus for 401(k) retirement plans. It describes their rigorous quantitative and qualitative manager selection process, the diversified range of recommended investment styles and funds, and commentary on each recommended manager.
This document discusses a descriptive study of mutual funds and investors' perceptions about investing in mutual funds. It provides an overview of the mutual fund industry and how mutual funds work. It discusses the different types of mutual funds and risks associated with them. The objectives and timeline of the study are outlined. Research methodology, sample design, data analysis and findings are presented. Limitations and scope for further study are also discussed along with recommendations. A sample questionnaire used for the study is included.
This document discusses a descriptive study of mutual funds and investors' perceptions about investing in mutual funds. It provides an overview of the mutual fund industry and how mutual funds work. It discusses the different types of mutual funds and risks associated with them. The objectives and timeline of the study are outlined. Research methodology, sample design, data analysis and findings are presented. Limitations and scope for further study are also discussed along with recommendations. A sample questionnaire used for the study is included.
Portfolio Investment can be understood easily.Sonam704174
Portfolio Investment can be understood as a bunch of different financial securities (including assets, stocks, government bonds, corporate bonds, mutual funds, other money market instruments, cash and cash equivalents, cryptocurrencies, commodities, and bank certificates of deposit.), bought with an expectation to gain either in the form of return or increased value, or both.
This document summarizes a research article that analyzes the performance of mutual fund schemes in India. It discusses how the mutual fund industry in India grew significantly in the pre-recession period from 2006-2007 due to overall GDP growth and positive investor sentiment. However, during the recession period of 2008-2009, the industry witnessed a decline as markets fell. After the recession, the industry struggled to regain its previous growth. The document also examines the use of principal component analysis to identify relevant variables that influence mutual fund performance.
This document provides a summary of a student's summer training report on measuring the performance of mutual funds using statistical parameters. The report analyzes the performance of top mutual funds like HDFC, ICICI, UTI, Reliance, and Birla Sun Life over the past 3 years using tools like beta, standard deviation, R-squared, and coefficient of variation. Based on the analysis, Birla Sun Life Frontline Fund and Reliance Equity Fund showed the best performance. The report recommends Reliance and ICICI funds as the top performers and most recommended based on the primary and secondary data analysis. It suggests that UTI needs to strengthen its fund allocation and management to better compete against high performing funds like R
Reimagining Your Library Space: How to Increase the Vibes in Your Library No ...Diana Rendina
Librarians are leading the way in creating future-ready citizens – now we need to update our spaces to match. In this session, attendees will get inspiration for transforming their library spaces. You’ll learn how to survey students and patrons, create a focus group, and use design thinking to brainstorm ideas for your space. We’ll discuss budget friendly ways to change your space as well as how to find funding. No matter where you’re at, you’ll find ideas for reimagining your space in this session.
A review of the growth of the Israel Genealogy Research Association Database Collection for the last 12 months. Our collection is now passed the 3 million mark and still growing. See which archives have contributed the most. See the different types of records we have, and which years have had records added. You can also see what we have for the future.
Main Java[All of the Base Concepts}.docxadhitya5119
This is part 1 of my Java Learning Journey. This Contains Custom methods, classes, constructors, packages, multithreading , try- catch block, finally block and more.
How to Manage Your Lost Opportunities in Odoo 17 CRMCeline George
Odoo 17 CRM allows us to track why we lose sales opportunities with "Lost Reasons." This helps analyze our sales process and identify areas for improvement. Here's how to configure lost reasons in Odoo 17 CRM
This presentation was provided by Steph Pollock of The American Psychological Association’s Journals Program, and Damita Snow, of The American Society of Civil Engineers (ASCE), for the initial session of NISO's 2024 Training Series "DEIA in the Scholarly Landscape." Session One: 'Setting Expectations: a DEIA Primer,' was held June 6, 2024.
How to Build a Module in Odoo 17 Using the Scaffold MethodCeline George
Odoo provides an option for creating a module by using a single line command. By using this command the user can make a whole structure of a module. It is very easy for a beginner to make a module. There is no need to make each file manually. This slide will show how to create a module using the scaffold method.
How to Make a Field Mandatory in Odoo 17Celine George
In Odoo, making a field required can be done through both Python code and XML views. When you set the required attribute to True in Python code, it makes the field required across all views where it's used. Conversely, when you set the required attribute in XML views, it makes the field required only in the context of that particular view.
This presentation includes basic of PCOS their pathology and treatment and also Ayurveda correlation of PCOS and Ayurvedic line of treatment mentioned in classics.
4. SECURITY
The term security was originally used to describe financial
instruments secured by physical assets.
Securities are broadly categorized into:
Debt securities (such as banknotes, bonds and debentures
Equity securities, e.g., common stocks; and
Derivative contracts, such
as forwards, futures, options and swaps.
5. PORTFOLIO
The term portfolio refers to any collection of financial
assets such as stocks, bonds, and cash. A portfolio is
designed according to the investor's risk tolerance, time
frame and investment objectives. A portfolio's asset
allocation may be managed by many of the investment
approaches and principles.
6. PORTFOLIO
CONSTRUCTION
Portfolio construction is investing in a variety of funds
or investment options that work together to meet the
requirements of the investor. As the risk element of
individual securities as well as portfolios change the
invinvestmentestor must periodically review and revise
the portfolios. Here the main focus is on Equity
portfolio construction. Portfolio constructions are of
two types, they are Traditional Approach and Modern
Approach
7. Traditional Vs. Modern Approach
Traditional Approach
• is based on Current Income,
Capital Appreciation, Tax
Considerations, Liquidity and
Safety
• begins with the analysis of
constraints
• determining the objectives of
investment
• type of portfolio is selected
• the risk and return of the
selected type is assessed
• diversification
Modern Approach
• Markowitz Model of
portfolio construction
• Sharpe Index Model of
portfolio construction .
• Capital Asset Pricing
Model of portfolio
construction
8. PORTFOLIO MANAGEMENT
• Portfolio management comprises all the processes involved in
the creation and maintenance of an investment portfolio.
• It deals specifically with the security analysis, portfolio
analysis, portfolio selection, portfolio revision & portfolio
evaluation.
• Portfolio management objectives can be divided into Risk
minimization, Safeguarding capital, Capital Appreciation,
Choosing optimal mix of securities and Keeping track on
performance.
9. SHARPE SINGLE INDEX
MODEL
By William Sharpe in 1963
The return of an individual security is assumed to depend on the return
on the market index. The return of an individual security may be
expressed as:
Ri = αi + βi Rm + ei
Where,
αi= The component of security’s return that is independent of the
market’s performance
Rm= The rate of return on the market index
Βi= The constant that measures the expected change in stock
return(Ri) given a change in market return(Rm).
ei= The error term representing the random or residual return, i.e. the
unexpected return resulting from influences not identified by the model
10. The desirability of any stock is directly related to its excess
return-to-beta ratio.
If the stocks are ranked from highest to lowest order by excess
return to beta that represents the desirability of any stock's
inclusion in a portfolio.
The number of stocks selected depends on a unique cutoff rate
such that all stocks with higher ratios will be included and all
stocks with lower ratios excluded
11. LITERATURE REVIEW
• AJ Du Plessis, M Ward (2009)
• G Van der Hoek, AHG Rinnooy Kan, GT Timmer (1983)
• Francesc J Ortí , José Sáez, Antonio Terceño (2002)
• Alina Lucia Trifan (2009) A Bilbao, M Arenas, M Jiménez,
B Perez Gladish and MV Rodriguez (2005)
• Varadharajan P (2011)
• Rajan Bahadur Paudel and Sujan Koirala (2006)
12. RATIONALE OF
STUDY
Through this research an attempt
has been made to construct an
optimal portfolio using Sharpe
Single Index Model with special
reference to NSE 50 securities
and to make the investors aware
of the functioning of various
securities which may help the
investors in taking decisions. The
report will try justifying that
rather keeping all the investment
in one security, the investor
should compare the risks and
expected yield on various
instruments while taking
investments decisions.
13. OBJECTIVE OF STUDY
Optimal Portfolio Construction using Sharpe Single Index
Model with special reference to NSE 100 securities
14. METHODOLOGY
THE STUDY
This research will be empirical in
nature. It will establish
relationship with various variables
and its impact on the others. The
variables under study would be
return (dependent variable) and
market return (independent
variable). These variables will be
studied over a period of time to
understand relationship between
these variables, which would help
the investors take timely decisions.
THE TOOLS
FOR DATA
COLLECTION
FOR DATA ANALYSIS
Mean
Standard deviation
Beta
Sharpe Single Index
Model
15. CONCLUSION
As it is clear that the construction of optimal portfolio investment by
using Sharpe’s Single Index Model is an easy mechanism of
constructing an optimal portfolio of stocks for a rational investor by
analyzing the reason behind the inclusion of securities in the portfolio
with their respective weights. This model can show how risky a security
is, if the security is held in a well-diversified portfolio. This study is
made on the basis of small sample (n<100) i.e. 50 sampled securities. It
can be extended to a large sample to get a more accurate result. Hope
this study will contribute a little about a lot in the field of investment
finance.
16. Company Beta of the Portfolio Return of the Portfolio Variance of the Portfolio
Tata Motors ltd 0.0744 1.0889 0.0031
Adani 0.2613 3.8192 0.0385
Bharat Petroleum Corp ltd 0.0728 1.0647 0.0030
SBI 0.1275 1.8638 0.0094
Reliance 0.6608 9.6508 0.2878
Shree Cement ltd 0.0762 1.1129 0.0038
Maruti Suzuki India ltd 0.0635 0.9275 0.0027
M & M ltd 0.0701 1.0251 0.0034
ONGS ltd 0.0360 0.5261 0.0009
Bajaj Finance ltd 0.0229 0.3347 0.0004
UltraTech ltd 0.0362 0.5287 0.0010
Grasim Industries ltd 0.0245 0.3575 0.0004
Bharti Airtel ltd 0.0145 0.2118 0.0002
ICICI 0.0175 0.2553 0.0002
Eicher Motors ltd 0.0100 0.1458 0.0001
1.567935168 22.9127 0.3549
The beta, return and risk (in the form of variance) of the portfolio are:
17. REFERENCES
Sharpe, William (January 1963). "A simplified Model of Portfolio Analysis". Management Science.
http://www.primejournal.org/BAM/abstracts/2011/dec/Varadharajan.htm
www.wikipedia.org/wiki/Single-index_mode
Construction of equity portfolio of large caps companies of selected sectors in India with
reference to the Sharpe Index Model, IJPSS Journal, volume 2, issue 8, by P.Varadharajan and
Ganesh
Application of Markowitz and Sharpe Models in Nepalese Stock Market, The Journal of Nepalese
Business Studies Vol. III No. 1 Dec. 2006 by Rajan Bahadur and Paudel Sujan Koirala
http://oaithesis.eur.nl
www.sage.com
www.indianmba.com
Security analysis and portfolio management, Punithavarthy Pandian
Security analysis and portfolio management, Donald E. Ficher and Ronald J. Jordan