Business Statistics for Managers

Term Paper
Group 5:
241108 Sumanth Kiran Kumar Choda

241154 Thouti Saiteja Goud

Selected Companies and their Sectors:

The 10 companies that we choose to work with from different sectors are as follows:

BHEL-Manufacturing, Britania-FMCG, Canara-Banking, JSW Energy- Renewable Energy, JSW-Steel,

L&T-Construction, Mahindra and Mahindra-Automobile, Dr. Reddy’s-Pharmaceutical, TCS-Service,
Ultratech- Cement

Study-Period considered: We have taken 5 years of data from the BSE website to work with.
References:
1. https://www.bseindia.com/markets/equity/EQReports/StockPrcHistori.aspx?
scripcode=512289&flag=sp&Submit=G
2. https://www.bseindia.com/indices/IndexArchiveData.html
Q1) Graphically represent the data for the Closing Price
The following Graph contains the Closing Prices of 10 companies taken over the period of 5 years
from April 2019 to April 2024:

Closing Stock
10000
8000
6000
4000
2000
0

1 9 19 19 19 20 20 20 20 20 21 21 21 21 21 22 22 22 22 23 2 3 23 23 23 24 24
p r- n- p- v- b- pr- ul- p- c- b- y- ul- ct- c- ar- y- g- ct- n- pr- n- p- v- b- pr-
A -Ju Se No Fe A -J Se De Fe Ma -J O De M Ma Au O -Ja A -Ju Se No Fe A
1- 17 2- 8- 3- 20- 6 1- 7- 2- 0- 26 11- 7- 4- 0- 5- 31- 16 3- 19 4- 0- 5- 22-
1 2 2 1 2 1 3 1 2

Bhel Britania Canara Jsw Energy jsw

L&T M&M Dr.Reddys tcs Ultratech

Interpretation: From the graph we can interpret that the Ultratech cement showed the highest
growth, crossing over 10,000 units, followed by significant increases in Dr. Reddy's and Britannia. Dr.
Reddy's, and M&M's performance decided to stay at a growth rate. BHEL and JSW showed relatively
flat performance, not crossing 2000 units throughout the period.

Q3) Provide descriptives for all stock returns.

Descriptive Statistics for the 10 Stocks

Bhel Britania Canara Jsw jsw L&T M&M Dr.Redd tcs Ultratec
Energy ys h
Mean 73.3519 3761.36 238.313 213.269 540.307 1816.06 964.067 4411.78 3014.30 6320.25
5393 2788 2645 9762 1485 394 9905 1652 9055 6434
Standard 1.43702 19.1068 3.29033 4.10707 6.44230 20.4079 11.6649 27.6571 18.1454 51.8833
Error 5377 7607 4614 6806 1847 2951 7731 3345 1786 7961
Median 58.5 3633.55 221.3 235.65 651.15 1633.15 832.35 4476.1 3211.6 6571.35
Mode 51.25 3155.15 228.8 67.1 277.35 1460.55 597.4 2550.6 2245.6 4593.2
Standard 50.9890 677.957 116.748 145.728 228.588 724.122 413.901 981.341 643.842 1840.94
Deviation 9486 6285 936 901 2666 1139 2743 1952 7931 631
Sample 2599.88 459626. 13630.3 21236.9 52252.5 524352. 171314. 963030. 414533. 3389083
Variance 7795 5461 1406 1258 9563 8358 2648 5415 5422 .316
Kurtosis 4.53268 - 1.43891 - - 0.42946 - - - -
0927 0.66373 8177 0.72868 1.50101 3192 0.45832 0.53190 1.10469 0.89578
0915 2648 7569 8359 8517 833 5061
Skewness 2.20364 0.35938 1.15462 0.46387 - 1.01296 0.68702 - - 0.16568
1272 9016 0123 993 0.34374 3933 3386 0.32233 0.39666 3517
6488 4057 7537
Range 261.75 3229.55 545.6 590.55 765.5 3128.55 1887.05 3956.2 2581.4 7491.2
Minimum 19.9 2133.35 76.25 39.2 140 708.3 269.25 2492.8 1636.1 3011.95
Maximum 281.65 5362.9 621.85 629.75 905.5 3836.85 2156.3 6449 4217.5 10503.1
5
Sum 92350.1 4735555 300036. 268506. 680246. 228642 1213761 5554433 3795015 7957202
1 .75 4 9 7 4.5 .6 .1 .1 .85
Count 1259 1259 1259 1259 1259 1259 1259 1259 1259 1259
Q4) Identify which stock is highly volatile.
Stock Coefficient of Variance
Bhel 69.51293337
Britania 18.02425522
Canara 48.98969273
Jsw Energy 68.33071565
jsw 42.30709648
L&T 39.87316185
M&M 42.9327888
Dr.Reddys 22.24364832
tcs 21.35954812
Ultratech 29.12771545

The highest variance coefficient is contributed by BHEL, which has a value of 69.51%. This indicates
that the stock is very volatile and is easily affected by the market values. Then the Jsw Energy is at
68.33%. In comparison, the stock prices of Britannia and TCS have a low variance of 18.02% and
21.36%, respectively. Stocks with lower variances like Dr. Reddy's and TCS indicate that there is more
stability; whereas higher values reflect the risk and fluctuation in prices over the period observed.

Q5) Construct a portfolio of 10 stocks you have chosen with equal weights.
Optimise the risk return.
Bhel Britan Canar Jsw jsw L&T M&M Dr.Re tcs Ultrat
ia a Energ ddys ech
y
Average 0.1526 0.0477 0.0970 0.2118 0.1150 0.0901 0.1167 0.0764 0.0624 0.0876
3353 7477 63956 82514 58293 50457 37307 58094 76904 61178
Standar 3.1318 1.5720 2.7225 2.8904 2.3322 1.7787 2.1368 1.6145 1.5621 1.7832
d 27774 42602 7203 07003 88216 45876 71728 10514 18975 44831
Deviatio
n

Weights Average Standard Deviation

Bhel 0.1 0.15263353 3.131827774
Britania 0.1 0.04777477 1.572042602
Canara 0.1 0.097063956 2.72257203
Jsw Energy 0.1 0.211882514 2.890407003
jsw 0.1 0.115058293 2.332288216
L&T 0.1 0.090150457 1.778745876
M&M 0.1 0.116737307 2.136871728
Dr.Reddys 0.1 0.076458094 1.614510514
tcs 0.1 0.062476904 1.562118975
Ultratech 0.1 0.087661178 1.783244831
1

Portfolio Expected Return 0.1057897

Portfolio Risk Return 1.806744746

Interpretation: For calculating the Portfolio Risk Return, we need to use Averages and weights of the
respective Rate of Return. The weights are taken equally for all the stocks to diversify the funds
across 10 companies. The portfolio risk-return is 1.807 for investing the same amount in all the stocks
as of now. The higher risk-return is often associated with greater risk, so for that reason, we will
diversify our funds in a way that we have a minimized risk return.

To have the minimized risk return by utilizing the funds in an efficient way we first need to identify
the weights of the company to invest in them. For this purpose, we use Solver to find the minimum
risk along with the weights of the company.

Minimum Risk: After using the solver we got the new Portfolio Risk Return as 1.1433, which is less
than the previous risk return(1.807), this states that the minimum risk associated with these 10
companies is 1.1433, for which we have to invest in the stocks in such a way that we remove the
high-risk stocks like Bhel, Canara and JSW, and we invest the amount in the remaining companies in
the weights associated with them in the formed solution.

The following is the Answer sheet generated by the solver:

Microsoft Excel 16.0 Answer
Report Worksheet:
[TermPaper.xlsx]Q5 Report
Created: 13-09-2024 3.37.04
PM
Result: Solver found a solution. All Constraints and optimality conditions are
satisfied. Solver Engine
Engine: GRG
Nonlinear Solution
Time: 0.812 Seconds.
Iterations: 11
Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001, Use Automatic Scaling
Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward,
Require Bounds
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell
(Min)
Cell Name Original Value Final Value
$N$21 Portfolio Risk Return Weights 1.806744746 1.143296742

Variable Cells
Cell Name Original Value Final Value Integer
$N$7 Bhel Weights 0.1 0 Contin
$N$8 Britania Weights 0.1 0.235690602 Contin
$N$9 Canara Weights 0.1 0 Contin
$N$10 Jsw Energy Weights 0.1 0.050816775 Contin
$N$11 jsw Weights 0.1 0 Contin
$N$12 L&T Weights 0.1 0.10860647 Contin
$N$13 M&M Weights 0.1 0.026097344 Contin
$N$14 Dr.Reddys Weights 0.1 0.257005485 Contin
$N$15 tcs Weights 0.1 0.272388465 Contin
$N$16 Ultratech Weights 0.1 0.04939486 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$N$17 Weights 1 $N$17=1 Binding 0
$N$7 Bhel Weights 0 $N$7<=1 Not Binding 1
$N$8 Britania Weights 0.235690602 $N$8<=1 Not Binding 0.764309398
$N$9 Canara Weights 0 $N$9<=1 Not Binding 1
$N$10 Jsw Energy Weights 0.050816775 $N$10<=1 Not Binding 0.949183225
$N$11 jsw Weights 0 $N$11<=1 Not Binding 1
 $N$12 L&T Weights 0.10860647 $N$12<=1 Not Binding 0.89139353
$N$13 M&M Weights 0.026097344 $N$13<=1 Not Binding 0.973902656
$N$14 Dr.Reddys Weights 0.257005485 $N$14<=1 Not Binding 0.742994515
$N$15 tcs Weights 0.272388465 $N$15<=1 Not Binding 0.727611535
$N$16 Ultratech Weights 0.04939486 $N$16<=1 Not Binding 0.95060514
$N$7 Bhel Weights 0 $N$7>=0 Binding 0
$N$8 Britania Weights 0.235690602 $N$8>=0 Not Binding 0.235690602
$N$9 Canara Weights 0 $N$9>=0 Binding 0
$N$10 Jsw Energy Weights 0.050816775 $N$10>=0 Not Binding 0.050816775
$N$11 jsw Weights 0 $N$11>=0 Binding 0
$N$12 L&T Weights 0.10860647 $N$12>=0 Not Binding 0.10860647
$N$13 M&M Weights 0.026097344 $N$13>=0 Not Binding 0.026097344
$N$14 Dr.Reddys Weights 0.257005485 $N$14>=0 Not Binding 0.257005485
$N$15 tcs Weights 0.272388465 $N$15>=0 Not Binding 0.272388465
$N$16 Ultratech Weights 0.04939486 $N$16>=0 Not Binding 0.04939486

Q6) Compute the beta risk for each stock. Interpret the result.
Multiple R R Square Intercept Bse_index
Bhel 0.43548 0.18964 0.08629 1.124018
Britania 0.483724 0.23399 0.01072 0.627183
Canara 0.6066 0.36796 0.01659 1.3611
Jsw Energy 0.32587 0.10619 0.16622 0.775951
jsw 0.633501 0.40132 0.04311 1.217483
L&T 0.692508 0.47957 0.03017 1.01475
M&M 0.598119 0.35775 0.05452 1.053782
Dr.Reddys 0.32126 0.10321 0.05126 0.427485
tcs 0.550308 0.30284 0.0206 0.70868
Ultratech 0.644512 0.4154 0.03169 0.946988