Kapoor Portfolio

Kapoor’s Portfolio
Isha Kapoor is a trainee portfolio manager. She has been assigned job to build an investment
portfolio based on equity returns of the firms listed on India's National Stock Exchange (NSE).
She has to consider various key sectors of Indian economy: Automobile, banking, capital goods,
consumers durables, fast moving consumer goods, health care, information technology, metal
and mining, oil and gas power, and telecommunications. Collect data on equity prices as listed
on NSE. Data has been considered from 1st January 2008 to 31st December 2014.Sectorwise
company details are:
Sector Company
Automotive Tata Motors
Banking HDFC Bank
Capital goods L&T
Consumer Durables TKK Prestige
Fast moving consumer
goods Dabur India Ltd
Health Care Pharmaceuticals
Information Technology Wipro
Metal and Mining Tata Steel
Oil and Gas Indian Oil
Power NTPC
Telecommunications Bharti Airtel
The data are presented in Open High low close format.
Kapoor Choose to follow adjusted closing prices (ADJCLOSE). Other details were taken from
general indexes of S&P CNX 500.
Analysis to be done.
 Calculate expected portfolio return in addition to the risk of investment.
 Calculate daily returns of different 11 sectors over 7 year period.
 Calculate expected mean return and standard deviation of each sector?
 Calculate beta for each sector (using the returns of the S&P CNX index for the expected
market returns?)
Analysis and interpretation done by Isha Kapoor.
 How should beta value be interpreted? Can beta be taken constant over entire period, or
do they have to be updated from year to year.
 How can the sectors with least systematic risk be identified?
 If analysis is done using logarithmic returns instead of simple returns. Will the result be
same?