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7/23/2019 Future option anlysis
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COMPARATIVE STUDY OF RETURNS OF
STOCK WITH SECTORAL INDEX, MARKET
INDEX and RISK FREE BOND
January 04, 2016
Adarsh Chhajed (411)Apoorva Sharma (422)Anoop Kumar Sharma (420)Arpit Somani(423)ushi!esh Chinder!er (4"#)
7/23/2019 Future option anlysis
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Agenda
2
$% $ndustry overvie&
'ethodooy *i+ty $% per+ormanes - hoies o+ sto!s
'ethodooy
Correations - $n+erenes
7/23/2019 Future option anlysis
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Overve!
*i+ty "0 The CNX Nifty is a well diversied 50 stock index accounting
for 22 sectors of the economy.
t is used for a variety of !ur!oses such as "enchmarkingfund !ortfolios# index "ased derivatives and index funds.
.overnment Seurity
$overnment security %$&'ec( means a security created andissued "y the $overnment for the !ur!ose of raising a!u"lic loan or any other !ur!ose as notied "y the$overnment in the )*cial $a+ette and having one of thefollowing forms.
o a $overnment ,romissory Note %$,N( !aya"le to or to
the order of a certain !erson- oro a "earer "ond !aya"le to a "earer- or
o a stock- oro a "ond held in a ond /edger ccount %/(.
7/23/2019 Future option anlysis
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1
The Nifty IT index is computed using free float market capitalization
method with a base date of Jan 1, 199 indexed to a base !alue of1""" wherein the le!el of the index reflects total free float market !alue
of all the stocks in the index relati!e to a particular base market
capitalization !alue# The base !alue of the index was re!ised from
1""" to 1"" with effect from $ay %&, %""'# The method also takes into
account constituent changes in the index and importantly corporate
actions such as stock splits, rights, new issue of shares etc# withoutaffecting the index !alue#
(ffecti!e $ay %9, %"1), the index is computed with 1" companies and
weights of each company in the index are capped at %)*# +t the time
of rebalancing of shares change in index constituents change in
in!estable weight factors -I./s0, the weightage of the index
constituent -where applicable0 is capped at %)*# .eightage of such
stock may increase beyond %)* between the rebalancing periods#
Me"#$d$%$g&
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5
Company *ame /eiht ()
nfosys /td. 21.
Tata Consultancy 'ervices /td. 21.2
3C/ Technologies /td. 4.64
7i!ro /td. 42.68
Tech 9ahindra /td. 44.8
%he onstituents (sto!s) have een hosen ased on the&eihtae
7/23/2019 Future option anlysis
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Pr$'ed(re
Step 1 .et vaue o+ sto!s, a $nde
Step 2 Cauate daiy returns +rom ompany sto!prie, *i+ty "0, *i+ty $% and .Se
Step 3 %o otain oreation et&een sto! prieand various indees(*i+ty "0, .Se)
Step 4 Cauate desriptive statistis o+ a thereturns and ompare the 5aiy, Annua and "yearmean
Step " $n+erenes &ere enerated y usinstatisti too i!e t%est
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De)'r*"ve Ana%&))
5aiy Annua " 7ears
Averae *i+ty $% &0.0: &4.2: &6.54:
Averae *i+ty "0 &0.01: &40.02: &14.2;:
Averae . se 0.04: 4.6: .81:
Averae %CS &0.06: &20.06: &62.:
Averae %eh 'ahindra 0.02: 5.20: 24.11:
Averae /ipro &0.01: &44.40: &15.6:
Averae $n+y 0.06: 4;.0: 64.28:
Averae 8C9 &0.0: &46.04: &1.2:
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-5.0000% 0.0000% 5.0000% 10.0000%
-15.0000%
-10.0000%
-5.0000%
0.0000%
5.0000%
10.0000%
15.0000%
f(x) = 0.55xR² = 0.13
Return TCS- Nifty 50
-10.0000% -5.0000% 0.0000% 5.0000% 10.0000%
-15.0000%
-10.0000%
-5.0000%
0.0000%
5.0000%
10.0000%
15.0000%
f(x) = - 0.08xR² = 0
Return TCS- G sec
TCS
:artiuars :vaue $n+erene
*i+ty "0 0;406<100<" %he is no sini=ant di>erene et&eenmean o+ returns o+ *$?%7 "0 and %CS
*i+ty $% 0;6#2##@2#" %he is no sini=ant di>erene et&eenmean o+ returns o+ *$?%7 "0 and %CS
.Se 0;10#<30<@" %he mean o+ returns o+ *$?%7 $% and %CSare eua
7/23/2019 Future option anlysis
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TCS Return Nifty IT Return TCS
9ean &0.0005;121 &0.000;8
<ariance 0.00045146 0.00021;48
)"servations 408 408df 408 408
= 0.025;;6
= Critical one&tail
0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there isnt any signicant di?erence
"etween the variances on returns in Nifty T and TC' returns
Return Nifty 50 Return TCS
9ean &0.0008;18 &0.000;8
<ariance 0.00040;1 0.00021;48
)"servations 408 408
df 408 408
= 0.1865128;
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty 50 and TC'returns
?%est
t %est
Return Nifty IT Return TCS
)"servations 408 408
,ooled <ariance 0.000242545
df 202
t 'tat 0.241821144
,%T@At( one&tail 0.1454556
t Critical one&tail 4.1556;86,%T@At( two&tail 0.68084542
t Critical two&tail 4.;440;54
! value is 0.68 which is greater than al!ha 0.05 sonull hy!othesis acce!ted which im!lies that "oth
mean are eBual
Return Nifty 50 Return TCS
)"servations 408 408
,ooled <ariance 0.0004;58;
df 202
t 'tat 0.68;6018
,%T@At( one&tail 0.216;558
t Critical one&tail 4.1556;86,%T@At( two&tail 0.1;5;540
t Critical two&tail 4.;440;54
aily returns of "oth N=TD 50 and TC' are eBualwhich means whether we invest in N=TD 50 or TC'
for a day the returns are same or similar.
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-10.0000% -5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
0.0000%
20.0000%
0.0000%
!0.0000%
80.0000%
100.0000%
120.0000%
10.0000%
1!0.0000%
f(x) = 0.12xR² = 0
Return Tec" #$"inr$- G sec
-5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
0.0000%
20.0000%
0.0000%
!0.0000%
80.0000%
100.0000%
120.0000%
10.0000%
1!0.0000%
f(x) = 0.58xR² = 0.02
Return Tec" #$"inr$- Nifty 50
Te'# Ma#ndra
:artiuars :vaue $n+erene
*i+ty "0 0;6#1064##1 %he mean o+ returns o+ eturn *i+ty "0 and%eh 'ahindra are eua
*i+ty $% 0;""324#32# %he mean o+ returns o+ *$?%7 $% and %eh'ahindra are eua
.Se 0;@2<24#4"1 %he mean o+ returns o+ eturn . Se and%eh 'ahindra are eua
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Te'# Ma#ndra Return Nifty IT
Return TechMahindra
9ean &0.0005;121 0.00020854
<ariance 0.00045146 0.0022554;4)"servations 408 408
df 408 408
= 0.068;
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty T and Tech
9ahindra returns
Return Nifty IT Return Tech Mahindra
)"servations 408 408
,ooled <ariance 0.004245805
df 202
t 'tat &0.5550542
,%T@At( one&tail 0.2656;588
t Critical one&tail 4.1556;86
,%T@At( two&tail 0.54;41
t Critical two&tail 4.;440;54
! value is 0.5 which is greater than al!ha 0.05 so nullhy!othesis acce!ted which im!lies that "oth mean are
eBual
Return Nifty 50 Return HCL
9ean &0.0008;18 &0.0004164
<ariance 0.00040;1 0.0006165
)"servations 408 408
df 408 408
= 0.426;05;4
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty 50 and
3C/ returns
Return Nifty 50Return Tech
Mahindra
)"servations 408 408
,ooled <ariance 0.00446282;
df 202
t 'tat &0.8;;6126
,%T@At( one&tail 0.8115606t Critical one&tail 4.1556;86
,%T@At( two&tail 0.6;8484
t Critical two&tail 4.;440;54
aily returns of "oth N=TD 50 and Tech 9ah are eBualwhich means whether we invest in N=TD 50 or T9 for a
day the returns are same or similar.
?%est
t %est
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-5.0000% 0.0000% 5.0000% 10.0000%
-10.0000%
-5.0000%
0.0000%
5.0000%
10.0000%
15.0000%
f(x) = 0.5xR² = 0.1
Return &i'r- Nifty 50
-10.0000% -5.0000% 0.0000% 5.0000% 10.0000%
-10.0000%
-5.0000%
0.0000%
5.0000%
10.0000%
15.0000%
f(x) = 0.02x
R² = 0
Return &i'r- G Sec
W*r$
:artiuars :vaue $n+erene
*i+ty "0 0;@33"##<"6 %he mean o+ returns o+ eturn *i+ty "0 and
/ipro are eua
*i+ty $% 0;60@0431<< %he mean o+ returns o+ *$?%7 $% and /iproare eua
.Se 0;3"@3#<0<3 %he mean o+ returns o+ eturn . Se and/ipro are eua
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W*r$
Return NiftyIT
Return Wipro
9ean &0.0005;121 &0.00011056
<ariance 0.00045146 0.0002682)"servations 408 408
df 408 408
= 0.2;814828
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty T and 7i!roreturns
Return Nifty 50 Return Wipro
9ean &0.0008;18 &0.00011056
<ariance 0.00040;1 0.0002682
)"servations 408 408
df 408 408
= 0.8;22028
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty 50 and
7i!ro returns
Return Nifty IT Return Wipro
)"servations 408 408
,ooled <ariance 0.0002205
df 202
t 'tat &0.880;41;
,%T@At( one&tail 0.80155168
t Critical one&tail 4.1556;86,%T@At( two&tail 0.10;40;
t Critical two&tail 4.;440;54
! value is 0.1 which is greater than al!ha 0.05 sonull hy!othesis acce!ted which im!lies that "oth
mean are eBual
Return Nifty
50 Return Wipro
)"servations 408 408
,ooled <ariance 0.0004;10;;
df 202
t 'tat 0.0054542
,%T@At( one&tail 0.146;5245
t Critical one&tail 4.1556;86
,%T@At( two&tail 0.;18;018
t Critical two&tail 4.;440;54
aily returns of "oth N=TD 50 and 7i!ro areeBual which means whether we invest in N=TD50 or 7i!ro for a day the returns are same or
similar.
?%est
t %est
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-10.0000% -5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
-10.0000%
0.0000%
10.0000%
20.0000%
30.0000%
0.0000%
50.0000%
!0.0000%0.0000%
80.0000%
f(x) = 0.15x
R² = 0
Return *nfy- G sec
-5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
-10.0000%
0.0000%
10.0000%
20.0000%
30.0000%
0.0000%
50.0000%
!0.0000%0.0000%
80.0000%
f(x) = 0.!3x
R² = 0.03
Return *nfy- Nifty 50
In+$)&)
:artiuars :vaue $n+erene
*i+ty "0 0;2##010""" %he mean o+ returns o+ *$?%7 "0 and $n+osys areeua
*i+ty $% 0;14<"23"3# %he mean o+ returns o+ *$?%7 $% and $n+osys are
eua.Se 0;"313<#012 %he mean o+ returns o+ *$?%7 $% and $n+osys are
eua
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$n+osys Return Nifty IT Return Infy
9ean &0.0005;121 0.0006461
<ariance 0.00045146 0.0048051)"servations 408 408
df 408 408
= 0.481858214
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty T and nfy
returns
Return Nifty 50 Return Infy
9ean &0.0008;18 0.0006461
<ariance 0.00040;1 0.0048051)"servations 408 408
df 408 408
= 0.06861028
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty 50 and
nfy returns
Return Nifty IT Return Infy
)"servations 408 408
,ooled <ariance 0.00010582
df 202
t 'tat &4.205;1;24
,%T@At( one&tail 0.448;686t Critical one&tail 4.1556;86
,%T@At( two&tail 0.22;15;
t Critical two&tail 4.;440;54
! value is 0.226 which is greater than al!ha 0.05 sonull hy!othesis acce!ted which im!lies that "oth mean
are eBual
Return Nifty 50 Return Infy
)"servations 408 408
,ooled <ariance 0.000055
df 202
t 'tat &4.00;15;565
,%T@At( one&tail 0.45180
t Critical one&tail 4.1556;86
,%T@At( two&tail 0.84262414
t Critical two&tail 4.;440;54
aily returns of "oth N=TD 50 and nfy are eBualwhich means whether we invest in N=TD 50 or nfy
for a day the returns are same or similar.
?%est
t %est
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-5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
-10.0000%
0.0000%
10.0000%
20.0000%
30.0000%
0.0000%
50.0000%
!0.0000%
0.0000%
80.0000%
f(x) = 0.!xR² = 0.05
Return +C, Nifty 50
-10.0000% -5.0000% 0.0000% 5.0000% 10.0000%
-20.0000%
-10.0000%
0.0000%
10.0000%
20.0000%
30.0000%
0.0000%
50.0000%
!0.0000%
0.0000%
80.0000%
f(x) = 0.11x
R² = 0
Return +C, G sec
HCL
:artiuars :vaue $n+erene
*i+ty "0 0;<2103#<<4 %he mean o+ returns o+ *$?%7 "0 and 8C9 are eua
*i+ty $% 0;@4<311@01 %he mean o+ returns o+ *$?%7 $% and 8C9 are eua
.Se 0;3@"123164 %he mean o+ returns o+ *$?%7 $% and 8C9 are eua
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4
HCL Return Nifty IT Return HCL
9ean &0.0005;121 &0.0004164
<ariance 0.00045146 0.0006165
)"servations 408 408
df 408 408
= 0.20141
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty T and 3C/
returns
Return Nifty
50 Return HCL
9ean &0.0008;18 &0.0004164
<ariance 0.00040;1 0.0006165)"servations 408 408
df 408 408
= 0.426;05;4
= Critical one&tail 0.;02600;
= value is less than = critical so null hy!othesis isacce!ted# there is not any signicant di?erence
"etween the variances on returns in Nifty 50 and
3C/ returns
Return Nifty IT Return HCL
)"servations 408 408
,ooled <ariance 0.0005420;4
df 202
t 'tat 0.05585
,%T@At( one&tail 0.16428t Critical one&tail 4.1556;86
,%T@At( two&tail 0.;555521
t Critical two&tail 4.;440;54
! value is 0.;5 which is greater than al!ha 0.05 sonull hy!othesis acce!ted which im!lies that "oth
mean are eBual
Return Nifty
50Return HCL
)"servations 408 408
,ooled <ariance0.0001;44
5
df 202
t 'tat 0.8804165
,%T@At( one&tail0.8058
8
t Critical one&tail4.1556;8
6
,%T@At( two&tail0.148051
t Critical two&tail
4.;440;5
4 aily returns of "oth N=TD 50 and 3C/ are eBual
?%est
t %est