ASSIGNMENT ON SECURITY

ANALYSIS AND PORTFOLIO

MANAGEMENT

Submitted By:

Pragya Jaiswal
PGFB0929
 COMPANY ANALYSIS REPORT

Risk analysis is a technique to identify and assess factors that may jeopardize the
success of a project or achieving a goal. This technique also helps to define
preventive measures to reduce the probability of these factors from occurring and
identify countermeasures to successfully deal with these constraints when they
develop to avert possible negative effects on the competitiveness of the company.

I have chosen S & P Nifty index. This analysis is done on the basis of Standard
Deviation, Alpha & Systematic & Unsystematic Risk.

Companies whose SD is high they are highly risky and Companies whose SD is
low they are low risky and we should invest in those companies whose SD is low.

Alpha is a risk adjusted measure of the so-called active return on an investment. It

is the return in excess of the compensation for the risk borne, and thus commonly
used to assess active managers’ performances.

If alpha is positive, then it can be said that the stock is undervalued and investment
can be made in that stock.

On the other hand, if alpha is negative, then the stock is said to be overvalued and
we should avoid investing in that stock.

Beta, of a stock, is a number describing the relation between the returns of the
stock and the financial market.

• Beta less than 0

Negative beta is possible but it is normally not preferred. People assume
that gold stocks should have negative betas but this is not true.
• Beta equal to 0
This means that cash is under your mattress without assuming inflation.
• Beta between 0 and 1
Low-volatility investments (e.g., utility stocks)
• Beta equal to 1
Matching the index (e.g., for the S&P 500, an index fund). This leads to
average risk investment
• Beta greater than 1
Anything more volatile than the index (e.g., small cap. funds) , leads to
above average risk investment.
 • Beta much greater than 1
This indicates that Beta is tending towards infinity. Impossible, because the
stock would be expected to go to zero on any market decline. 2-3 is
probably as high as you will get.

Also, it can be said that if Beta is less than 1, then the stock is aggressive in nature.
On the other hand, if Beta is greater than 1, then the stock is Defensive in nature.

A company who’s Unsystematic Risk is high, they are highly risky and we should
invest in those Companies whose unsystematic risk is low.
Analysis is done on the basis of following data:

List of company in which we will be invest on the basis Standard

Deviation
 Company Name SD
Idea Cellular Ltd. 23.97090791
G A I L (India) Ltd. 24.08547577
I T C Ltd. 29.30001195
Hindalco Industries Ltd. 30.62588244
Hindustan Unilever Ltd. 40.79902404
Ambuja Cements Ltd. 53.73513015
N T P C Ltd. 71.36467968
Unitech Ltd. 79.93318734
Power Grid Corpn. Of India Ltd. 82.20700881
Suzlon Energy Ltd. 101.4632496
Reliance Power Ltd. 102.1711591
Reliance Communications Ltd. 104.8320825
Cairn India Ltd. 152.7900787
Jaiprakash Associates Ltd. 170.1598677
Cipla Ltd. 182.7702561
Infrastructure Development Finance Co. Ltd. 190.262709
Steel Authority Of India Ltd. 204.5555213
Bharti Airtel Ltd. 209.1409525
Bharat Petroleum Corpn. Ltd. 233.7133786
D L F Ltd. 244.0027541
Sterlite Industries (India) Ltd. 261.5005035
H C L Technologies Ltd. 353.5625789
A B B Ltd. 363.0925294
Ranbaxy Laboratories Ltd. 366.9553497
Wipro Ltd. 393.9838147
Punjab National Bank 535.3845951
Mahindra & Mahindra Ltd. 546.6032884
A C C Ltd. 556.6702532
Siemens Ltd. 557.392388
Reliance Capital Ltd. 594.9158838
Sun Pharmaceutical Inds. Ltd. 693.2920209
Tata Steel Ltd. 696.7267497
Tata Consultancy Services Ltd. 729.8135049
Reliance Infrastructure Ltd. 756.8430837
Oil & Natural Gas Corpn. Ltd. 757.2154404
Kotak Mahindra Bank Ltd. 788.5062646
Hero Honda Motors Ltd. 798.9274374
Jindal Steel & Power Ltd. 822.0105355
Tata Motors Ltd. 838.7323039
Reliance Industries Ltd. 897.3401469
I C I C I Bank Ltd. 908.8000974
Axis Bank Ltd. 909.9775183
Tata Power Co. Ltd. 994.9802197
H D F C Bank Ltd. 1190.1683
State Bank Of India 1366.32862
Maruti Suzuki India Ltd. 1493.733061
Larsen & Toubro Ltd. 1503.366426
Bharat Heavy Electricals Ltd. 1736.018214
Infosys Technologies Ltd. 2248.780387
Housing Development Finance Corpn. Ltd. 2421.491956
List of Companies on the basis of Alpha in which we should
Invest

ALPHA UNDERVALUED/OVERVALUED INVESTMENT DECISION

-0.264386613 OVERVALUED AVOID
0.542999935 UNDERVALUED INVEST
-0.017357336 OVERVALUED AVOID
0.204682048 UNDERVALUED INVEST
-0.1511444 OVERVALUED AVOID
0.035438854 UNDERVALUED INVEST
-0.11545885 OVERVALUED AVOID
-0.274574348 OVERVALUED AVOID
0.017574261 UNDERVALUED INVEST
-0.273926701 OVERVALUED AVOID
-0.363700658 OVERVALUED AVOID
-1.503990015 OVERVALUED AVOID
-0.352875188 OVERVALUED AVOID
-0.204642144 OVERVALUED AVOID
0.514515438 UNDERVALUED INVEST
0.095533104 UNDERVALUED INVEST
0.07463103 UNDERVALUED INVEST
-0.679290722 OVERVALUED AVOID
1.023645634 UNDERVALUED INVEST
-1.500300947 OVERVALUED AVOID
0.270557888 UNDERVALUED INVEST
0.671591678 UNDERVALUED INVEST
-0.112041052 OVERVALUED AVOID
0.30189855 UNDERVALUED INVEST
0.894894063 UNDERVALUED INVEST
-0.519943247 OVERVALUED AVOID
 1.241890762 UNDERVALUED INVEST
0.508908445 UNDERVALUED INVEST
0.169384045 UNDERVALUED INVEST
-2.367160314 OVERVALUED AVOID
1.457396261 UNDERVALUED INVEST
0.318306958 UNDERVALUED INVEST
1.593871878 UNDERVALUED INVEST
-2.272216172 OVERVALUED AVOID
0.400650373 UNDERVALUED INVEST
0.409725546 UNDERVALUED INVEST
1.235259956 UNDERVALUED INVEST
1.370649982 UNDERVALUED INVEST
1.074350205 UNDERVALUED INVEST
-0.470939249 OVERVALUED AVOID
-0.425290857 OVERVALUED AVOID
-0.415457248 OVERVALUED AVOID
0.70751167 UNDERVALUED INVEST
1.134665457 UNDERVALUED INVEST
-3.912589067 OVERVALUED AVOID
2.813304604 UNDERVALUED INVEST
0.301037014 UNDERVALUED INVEST
1.836232529 UNDERVALUED INVEST
5.099281613 UNDERVALUED INVEST
1.932182461 UNDERVALUED INVEST

List of Companies on the basis of Beta

Company Name BETA AGGRESSIVE/DEFENCIVE

Idea Cellular Ltd. 0.004807877 DEFENSIVE
G A I L (India) Ltd. 0.074632085 DEFENSIVE
I T C Ltd. 0.016948774 DEFENSIVE
Hindalco Industries Ltd. 0.052641108 DEFENSIVE
Hindustan Unilever Ltd. 0.002066979 DEFENSIVE
Ambuja Cements Ltd. 0.013420813 DEFENSIVE
N T P C Ltd. 0.018100025 DEFENSIVE
Unitech Ltd. 0.020331423 DEFENSIVE
Power Grid Corpn. Of India Ltd. 0.021302474 DEFENSIVE
Suzlon Energy Ltd. 0.025444348 DEFENSIVE
Reliance Power Ltd. 0.026326471 DEFENSIVE
Reliance Communications Ltd. 0.020772889 DEFENSIVE
Cairn India Ltd. 0.038962001 DEFENSIVE
Jaiprakash Associates Ltd. 0.044432352 DEFENSIVE
Cipla Ltd. 0.046619675 DEFENSIVE
Infrastructure Development Finance Co. Ltd. 0.050084832 DEFENSIVE
Steel Authority Of India Ltd. 0.053767745 DEFENSIVE
Bharti Airtel Ltd. 0.051818833 DEFENSIVE
Bharat Petroleum Corpn. Ltd. 0.055206124 DEFENSIVE
D L F Ltd. 0.060839513 DEFENSIVE
Sterlite Industries (India) Ltd. 0.068761621 DEFENSIVE
H C L Technologies Ltd. 0.092527563 DEFENSIVE
A B B Ltd. 0.091768997 DEFENSIVE
Ranbaxy Laboratories Ltd. 0.094314284 DEFENSIVE
Wipro Ltd. 0.103410988 DEFENSIVE
Punjab National Bank 0.13873617 DEFENSIVE
Mahindra & Mahindra Ltd. 0.143259977 DEFENSIVE
A C C Ltd. 0.142759456 DEFENSIVE
Siemens Ltd. 0.146736158 DEFENSIVE
Reliance Capital Ltd. 0.153831005 DEFENSIVE
Sun Pharmaceutical Inds. Ltd. 0.172227877 DEFENSIVE
Tata Steel Ltd. 0.183011129 DEFENSIVE
Tata Consultancy Services Ltd. 0.191624557 DEFENSIVE
Reliance Infrastructure Ltd. 0.194343719 DEFENSIVE
Oil & Natural Gas Corpn. Ltd. 0.196473156 DEFENSIVE
Kotak Mahindra Bank Ltd. 0.207183084 DEFENSIVE
Hero Honda Motors Ltd. 0.201609401 DEFENSIVE
Jindal Steel & Power Ltd. 0.215513682 DEFENSIVE
Tata Motors Ltd. 0.220177092 DEFENSIVE
Reliance Industries Ltd. 0.235016041 DEFENSIVE
I C I C I Bank Ltd. 0.238479136 DEFENSIVE
Axis Bank Ltd. 0.238070861 DEFENSIVE
Tata Power Co. Ltd. 0.259521879 DEFENSIVE
H D F C Bank Ltd. 0.311531383 DEFENSIVE
State Bank Of India 0.351386512 DEFENSIVE
Maruti Suzuki India Ltd. 0.390323132 DEFENSIVE
Larsen & Toubro Ltd. 0.395328434 DEFENSIVE
Bharat Heavy Electricals Ltd. 0.453549581 DEFENSIVE
Infosys Technologies Ltd. 0.59040474 DEFENSIVE
Housing Development Finance Corpn. Ltd. 0.631174318 DEFENSIVE

List of Companies on the basis of Unsystematic Risk

Company Name Systematic Risk Unsystematic Risk

Idea Cellular Ltd. 330.4919602 14296976.98
G A I L (India) Ltd. 79635.26172 14217672.21
I T C Ltd. 4107.057965 14293200.41
Hindalco Industries Ltd. 39619.07157 14257688.4
Hindustan Unilever Ltd. 61.08386106 14297246.39
Ambuja Cements Ltd. 2575.205551 14294732.26
N T P C Ltd. 4683.954054 14292623.52
Unitech Ltd. 5910.031559 14291397.44
Power Grid Corpn. Of India Ltd. 6488.052527 14290819.42
Suzlon Energy Ltd. 9256.288986 14288051.18
Reliance Power Ltd. 9909.222201 14287398.25
Reliance Communications Ltd. 6169.472855 14291138
Cairn India Ltd. 21703.8495 14275603.62
Jaiprakash Associates Ltd. 28226.22857 14269081.24
Cipla Ltd. 31073.68423 14266233.79
Infrastructure Development Finance Co.
Ltd. 35864.6586 14261442.81
Steel Authority Of India Ltd. 41333.09208 14255974.38
Bharti Airtel Ltd. 38391.00856 14258916.46
Bharat Petroleum Corpn. Ltd. 43574.13435 14253733.34
D L F Ltd. 52920.71678 14244386.75
Sterlite Industries (India) Ltd. 67599.96503 14229707.51
H C L Technologies Ltd. 122404.2533 14174903.22
A B B Ltd. 120405.4734 14176902
Ranbaxy Laboratories Ltd. 127177.1827 14170130.29
Wipro Ltd. 152893.0117 14144414.46
Punjab National Bank 275190.641 14022116.83
Mahindra & Mahindra Ltd. 293429.6585 14003877.81
A C C Ltd. 291382.8761 14005924.59
Siemens Ltd. 307842.477 13989464.99
Reliance Capital Ltd. 338331.173 13958976.3
Sun Pharmaceutical Inds. Ltd. 424093.0477 13873214.42
Tata Steel Ltd. 478860.7658 13818446.7
Tata Consultancy Services Ltd. 524996.7115 13772310.76
Reliance Infrastructure Ltd. 540001.8839 13757305.59
Oil & Natural Gas Corpn. Ltd. 551900.3868 13745407.08
Kotak Mahindra Bank Ltd. 613709.497 13683597.97
Hero Honda Motors Ltd. 581133.3691 13716174.1
Jindal Steel & Power Ltd. 664054.8438 13633252.63
Tata Motors Ltd. 693104.1839 13604203.29
Reliance Industries Ltd. 789676.5999 13507630.87
I C I C I Bank Ltd. 813120.7348 13484186.74
Axis Bank Ltd. 810338.9999 13486968.47
Tata Power Co. Ltd. 962946.6131 13334360.86
H D F C Bank Ltd. 1387579.461 12909728.01
State Bank Of India 1765324.026 12531983.44
Maruti Suzuki India Ltd. 2178225.495 12119081.97
Larsen & Toubro Ltd. 2234448.561 12062858.91
Bharat Heavy Electricals Ltd. 2941059.409 11356248.06
Infosys Technologies Ltd. 4983723.376 9313584.094
Housing Development Finance Corpn. Ltd. 5695775.931 8601531.539