Portfolio Evaluation and Revision

8/18/2019 Portfolio Evaluation and Revision

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Portfolio Management –

Revision and EvaluationMASTER OF COMMERCE

BANKING & FINANCE

SEMESTER 4

(2015-16)

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EXECUTI+E SUMMAR,

SC-PE - T/E STUD,0

Te !"%"+e!e%t ,#t*i " !"%$ ",ect Te ,#t*i te#$ #e*"te t eicie%t

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'ecii%

-12ECTI+ES - T/E STUD,0

• Te ./ectie 'i%+ ti ,#/ect i t #e*"te te .i te#ie it te "ctu"*

#t*i !"%"+e!e%t

•

T % te i!,#t"%ce ,#t*i !"%"+e!e%t

• T u%'e#t"%' ,#ce ,#t*i !"%"+e!e%t "#e i!,*e!e%te'

• T u%'e#t"%' te #i%+ ,#t*i !"%"+e!e%t

• T t"e !"/# 'ecii% i% ,#t*i !"%"+e!e%t

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MET/-D--3,

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IMITATI-NS - T/E STUD,0

• i!it"ti% ti!e

• Te ,#t*i !"%"+e!e%t i " u+e c%ce,t t # %

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INTR-DUCTI-N

I% I%'i"3 #t*i M"%"+e!e%t i ti** i% it i%"%c$ B"##i%+ " e I%'i"% ."%3 "%' #ei+%

."% "%' 7TI3 % te# "+e%c$ "' ,#ei%"* #t*i !"%"+e!e%t u%ti* 189: Ate# te

ucce Mutu"* Fu%' i% Mutu"* Fu%'3 i%ce ;< 189:3 #ei%"* #t*i M"%"+e!e%t3

."ce' .$ c!,ete%t #ee"#c t" .ec"!e te #'e# te '"$ Ate# te ucce Mutu"*

Fu%' i% #t*i M"%"+e!e%t3 " %u!.e# .#e# "%' I%et!e%t C%u*t"%t !e

! "#e "* ,#ei%"**$ =u"*iie' "e .ec!e #t*i M"%"+e# Te$ "e !"%"+e'

te u%' c*ie%t % .t 'ic#eti%"#$ "%' %%'ic#eti%"#$ ."i It " u1' t"t !"%$

te!3 i%c*u'i%+ Mutu"* Fu%' "e +u"#"%tee' " !i%i!u! #etu#% # c",it"* ",,#eci"ti%

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,ecu*"tie e# t#"'i%+ "%' i%i'e# t#"'i%+3 'icu%t3 etc3 t "ciee tei# t"#+ete' #etu#%

t te c*ie%t3 ic "#e "* ,#i.ite' .$ SEBI Te #ece%t CBI ,#.e i%t te ,e#"ti%

!"%$ !"#et 'e"*e# " #ee"*e' te u%c#u,u*u ,#"ctice .$ ."%3 'e"*e# "%' .#e# i%

tei# #t*i O,e#"ti% Te SEBI " te% i!,e' t#icte# #u*e3 ic i%c*u'e' tei##e+it#"ti%3 " c'e c%'uct "%' !i%i!u! i%#"t#uctu#e3 ex,e#ie%ce "%' ex,e#tie etc It i

% *%+e# ,i.*e # A%$ u%e!,*$e' $ut3 # #eti#e' ,e#% # e*-t$*e' c%u*t"%t t

e%+"+e i% #t*i M"%"+e!e%t itut te SEBI


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Portfolio Management

#t*i !"%"+e!e%t #ee# t te !"%"+e!e%t # "'!i%it#"ti% " ,#t*i ecu#itie

t ,#tect "%' e%"%ce te "*ue te u%'e#*$i%+ i%et!e%t It i te !"%"+e!e%t

"#iu ecu#itie ("#e3 .%' etc) "%' te# "et (e+ #e"* et"te)3 t !eet ,eciie'

i%et!e%t +"* # te .e%eit te i%et# It e*, t #e'uce #i itut "c#iici%+

#etu#% It i%*e " ,#,e# i%et!e%t 'ecii% it #e+"#' t "t t .u$ "%' e** It

i%*e ,#,e# !%e$ !"%"+e!e%t It i "* %% " I%et!e%t M"%"+e!e%t

#t*i !"%"+e!e%t i%*e 'eci'i%+ "t "et t i%c*u'e i% te ,#t*i3 +ie% te

+"* te ,#t*i %e# "%' c"%+i%+ ec%!ic c%'iti% Se*ecti% i%*e 'eci'i%+

"t "et t ,u#c"e3 !"%$ t ,u#c"e3 e% t ,u#c"e te!3 "%' "t "et t

'iet Tee 'ecii% "*"$ i%*e !e #t ,e##!"%ce !e"u#e!e%t3 !t

t$,ic"**$ ex,ecte' #etu#% % te ,#t*i3 "%' te #i "ci"te' it ti #etu#% (ie te

t"%'"#' 'ei"ti% te #etu#%) T$,ic"**$ te ex,ecte' #etu#% #! ,#t*i 'ie#e%t"et .u%'*e i c!,"#e'

Te u%i=ue +"* "%' ci#cu!t"%ce te i%et# !ut "* .e c%i'e#e' S!e i%et#

"#e !#e #i "e#e t"% te#

Mutu"* u%' "e 'ee*,e' ,"#ticu*"# tec%i=ue t ,ti!i@e tei# ,#t*i *'i%+

Te "#t "%' cie%ce !"i%+ 'ecii% ".ut i%et!e%t !ix "%' ,*ic$3 !"tci%+

i%et!e%t t ./ectie3 "et "**c"ti% # i%'ii'u"* "%' i%tituti%3 "%' ."*"%ci%+ #i

"+"i%t ,e##!"%ce

#t*i !"%"+e!e%t i "** ".ut t#e%+t3 e"%ee3 ,,#tu%itie "%' t#e"t i% te

cice 'e.t e=uit$3 '!etic i%te#%"ti%"*3 +#t "et$3 "%' !"%$ te#

t#"'e e%cu%te#e' i% te "tte!,t t !"xi!i@e #etu#% "t " +ie% ",,etite # #i

#t*i !"%"+e!e%t i%*e !"i%t"i%i%+ " ,#,e# c!.i%"ti% ecu#itie ic

c!,#ie te i%et#


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Need of Portfolio and Portfolio Management

Te ,#t*i i %ee'e' # te e*ecti% ,ti!"*3 ,#t*i .$ #"ti%"* #i "e#e

i%et# ie .$ i%et# "tte!,t t !"xi!i@e tei# ex,ecte' #etu#% c%ite%t it

i%'ii'u"**$ "cce,t".*e ,#t*i #i Te ,#t*i i ee%ti"* # ,#t*i c%t#ucti% Te

,#t*i c%t#ucti% #ee# t te "**c"ti% u%' "!%+ " "#iet$ i%"%ci"* "et

,e% # i%et!e%t #t*i c%ce#% ite* it te ,#i%ci,*e +e#%i%+ uc "**c"ti%

Te ./ectie te ,#t*i te#$ i t e*".#"te te ,#i%ci,*e i% ic te #i c"% .e

!i%i!i@e'3 u./ect t te 'ei#e' *ee* #etu#% % te ,#t*i # !"xi!i@e te #etu#%3

u./ect t te c%t#"i%t " t*e#".*e *ee* #i

Te %ee' # ,#t*i !"%"+e!e%t "#ie 'ue t te ./ectie te i%et# Te

e!,"i ,#t*i !"%"+e!e%t "#ie #! i%et# t i%et# S!e "%t i%c!e3

!e c",it"* +"i% "%' !e c!.i%"ti% .t ee#3 te ,#t*i "%"*$i e%".*e te

i%et# t i'e%ti$ te ,te%ti"* ecu#itie3 ic i** !"xi!i@e te **i%+ ./ectie

Secu#itie ,#i%ci,"*3 t".i*it$ i%c!e3 c",it"* +#t3 !"#et".i*it$3 *i=ui'it$ "%'

'ie#iic"ti%

Tu te ."ic %ee' ,#t*i i t !"xi!i@e $ie*' "%' !i%i!i@e $ie*' "%' !i%i!i@e te

#i Te te# "%ci**"#$ %ee' "#e " **

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#i'i%+ !"#et".i*it$ "%' *i=ui'it$

4 Mi%i!i@i%+ te t"x *i".i*it$

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3-AS - P-RT-I- MANA3EMENT

1 +alue Ma4imi5ation

A**c"te #eu#ce t !"xi!i@e te "*ue te ,#t*i i" " %u!.e# e$

./ectie uc " ,#it".i*it$3 ROI3 "%' "cce,t".*e #i A "#iet$ !et' "#e

ue' t "ciee ti !"xi!i@"ti% +"*3 #"%+i%+ #! i%"%ci"* !et' t c#i%+

!'e*

2 1alan6e

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tec%*+ie T$,ic"* !et' ue' t #ee"* ."*"%ce i%c*u'e .u..*e 'i"+#"!3

it+#"! "%' ,ie c"#t

1usiness Strateg7 Alignment

E%u#e t"t te ,#t*i ,#/ect #e*ect te c!,"%$


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-12ECTI+ES - P-RT-I- MANA3EMENT

Te ./ectie ,#t*i !"%"+e!e%t i t !"xi!i@e te #etu#% "%' !i%i!i@e te #i

Tee ./ectie "#e c"te+#i@e' i%t

1 B"ic O./ectie

2 Su.i'i"#$ O./ectie

!. 1asi6 -9:e6tives

Te ."ic ./ectie " ,#t*i !"%"+e!e%t "#e u#te# 'ii'e' i%t t i%' i@

(") M"xi!i@e $ie*'

(.) Mi%i!i@e #i

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,#t*i %e# A 'ei#e' #etu#% # " +ie% #i *ee* i .ei%+ t"#te' Te *ee* #i "

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c",it"* ",,#eci"ti%

#. Su9sidiar7 -9:e6tives

Te u.i'i"#$ ./ectie " ,#t*i !"%"+e!e%t "#e ex,ecti%+ " #e"%".*e i%c!e3

",,#eci"ti% c",it"* "t te ti!e 'i,"*3 "et$ te i%et!e%t "%' *i=ui'it$ etc Te

./ectie i%et# i t +et " #e"%".*e #etu#% % i i%et!e%t itut "%$ #i A%$

i%et# 'ei#e #e+u*"#it$ i%c!e "t " c%ite%t #"te ee#3 it !"$ %t "*"$ .e

,i.*e t +et uc i%c!e Ee#$ i%et# " t 'i,e i *'i%+ "te# " ti,u*"te'

,e#i' ti!e # " c",it"* ",,#eci"ti% C",it"* ",,#eci"ti% " i%"%ci"* "et i i+*$

i%*ue%ce' .$ " t#%+ .#"%' i!"+e3 !"#et *e"'e#i,3 +u"#"%tee' "*e3 i%"%ci"* t#e%+t3

"%' *"#+e ,* #ee#e3 #et"i%e' e"#%i%+ "%' "ccu!u*"te' ,#it te c!,"%$ Te

i'e" +#t tc i te #i+t iue i% te #i+t i%'ut#$3 .u+t "t te #i+t ti!e A

,#t*i !"%"+e!e%t 'ei#e te "et$ te i%et!e%t Te ,#t*i ./ectie i t t"e

te ,#ec"uti%"#$ !e"u#e ".ut te "et$ te ,#i%ci,"* ee% .$ 'ie#iic"ti% ,#ce

Te "et$ te i%et!e%t c"** # c"#eu* #eie ec%!ic "%' i%'ut#$ t#e%'

i=ui'it$ te i%et!e%t i !t i!,#t"%t3 ic !"$ %t .e %e+*ecte' .$ "%$

i%et#;,#t*i !"%"+e#

A% i%et!e%t i t .e *i=ui'3 it !ut " te#!i%"ti% "%' !"#et".*eD "ci*it$ "%$ ti!e

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SC-PE - P-RT-I- MANA3EMENT

#t*i !"%"+e!e%t i " c%ti%uu ,#ce It i " '$%"!ic "ctiit$ Te **i%+ "#e te

."ic ,e#"ti% " ,#t*i !"%"+e!e%t

1 !%it#i%+ te ,e##!"%ce ,#t*i .$ i%c#,#"ti%+ te *"tet !"#et c%'iti%

2 I'e%tiic"ti% te i%et#


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PR-CESS ;STEPS - P-RT-I- MANA3EMENT

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PROCESS/STEPS OF PORTFOLIO

Specifcation o Investment objective and

Selection o Asset i!

Form"lation o Portolio

Selection o Sec"rities

Portolio E!ec"tion

Portolio Revision

Portolio Eval"ation


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Te i%et!e%t #i@% i te ti!e e% te i%et!e%t # ,"#t it i ,*"%%e' t

*i=ui'"te t !eet " ,eciic %ee' F# ex"!,*e3 te i%et!e%t #i@% # te% $e"# t

u%' te ci*'


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.%'3 %"ti%"* "i%+ ce#tiic"te3 Ki"% Hi" "t#"3 ."% 'e,it3 ,u.*ic

,#i'e%t u%'3 ,t ice "i%+3 etc

Sto6?s0

Stc i%c*u'e e=uit$ "#e "%' u%it;"#e e=uit$ ce!e !utu"* u%' It

i%c*u'e i%c!e "#e3 +#t "#e3 .*ue ci, "#e3 etc

Real estate0

Te !t i!,#t"%t "et # i%'ii'u"* i%et# i +e%e#"**$ " #ei'e%ti"* ue I%

"''iti% t ti3 te !#e "*ue%t i%et# "#e *ie*$ t .e i%te#ete' i% te# t$,e

#e"* et"te3 *ie c!!e#ci"* ,#,e#t$3 "+#icu*tu#"* *"%'3 e!i-u#."% *"%'3 etc

Pre6ious o9:e6ts and ot>ers0

#eciu ./ect "#e ite! t"t "#e +e%e#"**$ !"** i% i@e .ut i+*$ "*u".*e i% !%et"#$

te#! It i%c*u'e +*' "%' i*e#3 ,#eciu t%e3 "#t ./ect3 etc Ote# "et i%c*u'e

*ie t"t i%"%ci"* 'e#i"tie3 i%u#"%ce3 etc

%. -RMUATI-N - P-RT-I- STRATE3,0

Ate# e*ecti% "et !ix3 #!u*"ti% ",,#,#i"te ,#t*i t#"te+$ i #e=ui#e'

Te#e "#e t t$,e ,#t*i t#"te+ie3 "ctie ,#t*i t#"te+$ "%' ,"ie ,#t*i

t#"te+$

Actie ,"ie

St#"te+ic t"ctic"* "et "**c"ti%

ACTI+E P-RT-I- STRATE3,0

Mt i%et!e%t ,#ei%"* ** "% "ctie ,#t*i t#"te+$ "%' "++#eie i%et#

t#ie t e"#% u,e#i# #etu#% "te# "'/ut!e%t # #i Te u# ,#i%ci,"* ect#

"% "ctie t#"te+$ "#e

1 M"#et Ti!i%+

2 Sect# Rt"ti%

Secu#it$ Se*ecti%

4 7e " ,eci"*i@e' c%ce,t

!. Mar?et timing0

M"#et ti!i%+ i ."e' % "% ex,*icit # i!,*icit #ec"t +e%e#"* !"#et !e!e%t

Te "'c"te !"#et ti!i%+ e!,*$ " "#iet$ t* *ie .ui%e c$c*e "%"*$i3

"'"%ce-'ec*i%e "%"*$i3 !i%+ "e#"+e "%"*$i3 "%' ec%!et#ic !'e* Te #ec"t

te +e%e#"* !"#et !e!e%t 'e#ie' it te e*, %e # !#e tee t* "#e

te!,e#e' .$ te u./ectie /u'+!e%t te i%et# Ote%3 cu#e3 te i%et# !"$

+ *"#+e*$ .$ i !"#et e%e

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#. Se6tor Rotation0

Te c%ce,t ect# #t"ti% c"% .e ",,*ie' t tc " e** " .%' It i ee#3

ue' !#e c!!%*$ it #e,ect t tc c!,%e%t ,#t*i e#e it ee%ti"**$

i%*e iti%+ te ei+ti%+ # "#iu i%'ut#i"* ect# ."e' % tei# "ee'

ut* F# ex"!,*e i it i "u!e' t"t ce!e%t "%' ,"#!"ceutic"* ect# u*' '

e** c!,"#e' t te# ect# i% te #tc!i%+ ,e#i'3 %e !"$ e#ei+t tee

ect#3 #e*"tie t tei# ,iti% i% !"#et ,#t*i it #e,ect t .%'3 ect# #t"ti%

i!,*ie " it i% te c!,iti% te .%' ,#t*i i% te#! =u"*it$3 cu,% #"te3

te#! t !"tu#it$ "%' % F# ex"!,*e3 i te#e i " #ie i% te i%te#et #"te3 te#e !"$

.e it i% *%+ te#! .%' t !e'iu! te#! # ee% #t-te#! .%' But e u*'

#e!e!.e# t"t " *%+-te#! .%' i !#e e%itie t i%te#et #"te "#i"ti% c!,"#e' t "

#t-te#! .%'

%. Se6urit7 Sele6tion0

Secu#it$ e*ecti% i%*e " e"#c # u%'e#,#ice' ecu#itie I "% i%et# #e#t t

"ctie tc e*ecti%3 e !"$ e!,*$ u%'"!e%t"* "%' # tec%ic"* "%"*$i t i'e%ti$

tc t"t ee! t ,#!ie u,e#i# #etu#% "%' e#ei+t te tc c!,%e%t i

,#t*i % te! ieie3 tc t"t "#e ,e#ceie' t .e u%"tt#"ctie i** .e u%'e#

ei+te' #e*"tie t tei# ,iti% i% te !"#et ,#t*i A "# " .%' "#e c%ce#%e'3

ecu#it$ e*ecti% c"** # ci%+ .%' t"t e# te i+et $ie*' t !"tu#it$ "t "

+ie% *ee* #i

'. Use of a s8e6iali5ed Investment Con6e8t0

A u#t ,i.*e ",,#"c t "ciee u,e#i# #etu#% i t e!,*$ " ,eci"*i@e' c%ce,t

# ,i*,$3 ,"#ticu*"#*$ it #e,ect t i%et!e%t i% tc A C"#*e E**i #'

"$3 " ,i.*e "$ t e%"%ce #etu#% i t 'ee*, " ,#u%' "%' "*i' i%i+t i%t

te #ce t"t '#ie " ,"#ticu*"# +#u, c!,"%ie # i%'ut#ie "%' $te!"tic"**$

ex,*it t"t i%et!e%t i%i+t # c%ce,t

PASSI+E P-RT-I- STRATE3,0

Te ,"ie t#"te+$ #et % te te%et t"t te c",it"* !"#et i "i#*$ eicie%t it

#e,ect t te ""i*".*e i%#!"ti% Te ,"ie t#"te+$ i i!,*e!e%te' "cc#'i%+ t te

**i%+ t +ui'e*i%e

1 C#e"te " e**-'ie#iie' ,#t*i "t " ,#e'ete#!i%e' *ee* #i

2 *' te ,#t*i #e*"tie*$ u%c"%+e' e# ti!e3 u%*e it .ec!e i%"'e=u"te*$

'ie#iie' # i%c%ite%t it te i%et#


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Strategi6 versus ta6ti6al asset allo6ation

A% "et "**c"ti% cue % 'ete#!i%i%+ te !ixtu#e "et c*"e t"t i

Mt *ie*$ t ,#i'e " c!.i%"ti% #i "%' ex,ecte' #etu#% t"t i ,ti!"* # te

I%et# Aet "**c"ti% i " .it 'ie#e%t #! 'ie#iic"ti% It cu i %

I%et!e%t i% "#iu "et c*"e ie#iic"ti%3 i% c%t#"t3 te%' t cu !#e %

Secu#it$ e*ecti% e*ecti%+ te ,eciic ecu#itie t .e e*' iti% "% "et c*"

Aet c*"e e#e i u%'e#t' " +#u, ecu#itie it i!i*"# c"#"cte#itic "%'

#,e#tie (# ex"!,*e3 c!!% tc? .%'? 'e#i"tie3 etc) Aet "**c"ti%

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16/32

#cee' te# ",,#"ce t i%et!e%t ,#t*i !"%"+e!e%t3 uc " !"#et ti!i%+

(.u$ *3 e** i+) # e*ecti%+ te i%'ii'u"* ecu#itie ic "#e ex,ecte' i** .e

te i%%e#D Tee "ctiitie !"$ .e i%te+#"te' i% te "et "**c"ti% ,#ce But

te !"i% cu "et "**c"ti% i t i%' uc " c!.i%"ti% te 'ie#e%t "et

c*"e i% te i%et!e%t ,#t*i ic te .et !"tce it te i%et#


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ccu# i% #e,%e t te!,#"#$ c"%+e i% c",it"* !"#et c%'iti% Te i%et#


18/32


19/32

• R"%'! e*ecti% ",,#"c i ."e' % te ,#e!ie t"t te !"#et i eicie%t "%'

securities are properly priced.

). P-RT-I- EXECUTI-N0

Te %ext te, i t i!,*e!e%t te ,#t*i ,*"% .$ .u$i%+ # e**i%+ ,eciie' ecu#itie i% +ie%

"!u%t Ti i te ,"e ,#t*i executi% ic i te% +*e' e# i% ,#t*i

!"%"+e!e%t *ite#"tu#e ee#3 it i "% i!,#t"%t ,#"ctic"* te, t"t " " i+%iic"%t .e"#i%+ %

te i%et!e%t #eu*t I% te executi% t"+e3 t#ee 'ecii% %ee' t .e !"'e3 i te ,e#ce%t"+e

*'i%+ "#iu "et c*"e "#e cu##e%t*$ 'ie#e%t #! te 'ei#e' *'i%+

". P-RT-I- RE+ISI-N0

I% te e%ti#e ,#ce ,#t*i !"%"+e!e%t3 ,#t*i #eii% i " i!,#t"%t t"+e " ,#t*i e*ecti% #t*i #eii% i%*e c"%+i%+ te exiti%+ !ix ecu#itie

Ti !"$ .e eecte' eite# .$ c"%+i%+ te ecu#itie cu##e%t*$ i%c*u'e' i% te ,#t*i

# .$ "*te#i%+ te ,#,#ti% u%' i%ete' i% te ecu#itie Ne ecu#itie !"$ .e

"''e' t te ,#t*i # !e exiti%+ ecu#itie !"$ .e #e!e' #! te ,#t*i

Tu it *e"' t ,u#c"e "%' "*e ecu#itie Te ./ectie ,#t*i #eii% i

i!i*"# t te ./ectie e*ecti% ie !"xi!i@i%+ te #etu#% # " +ie% *ee* #i #

!i%i!i@i%+ te #i # " +ie% *ee* #etu#%

Te %ee' # ,#t*i #eii% " "#ue' 'ue t c"%+e i% te i%"%ci"* !"#et i%ce

c#e"ti% ,#t*i It " "#ue' .ec"ue !"%$ "ct# *ie ""i*".i*it$ "''iti%"*

u%' # i%et!e%t3 c"%+e i% te #i "ttitu'e3 c"%+e i%et!e%t +"*3 te %ee' t

*i=ui'"te " ,"#t te ,#t*i t ,#i'e u%' # !e "*te#%"tie ue Te ,#t*i

%ee' t .e #eie' t "cc!!'"te te c"%+e i% te i%et#


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c"%+e3 t"t te t"#+et ,#,#ti% "#e !"i%t"i%e'

Te ,#t*i i%u#"%ce ,*ic$ c"** # i%c#e"i%+ te ex,u#e t tc e% te

,#t*i ",,#eci"te i% "*ue "%' 'ec#e"i%+ te ex,u#e t tc e% te ,#t*i

'e,#eci"te i% "*ue Te ."ic i'e" i t e%u#e t"t te ,#t*i "*ue 'e %t "**

.e* " *# *ee*

Portfolio U8grading0

i*e ,#t*i #e."*"%ci%+ i%*e iti%+ #! tc t .%' # ice e#"3

,#t*i-u,+#"'i%+ c"** # #e-"ei%+ te #i #etu#% c"#"cte#itic "#iu

ecu#itie (tc " e** " .%')3 e**i%+ e#-,#ice' ecu#itie3 "%' .u$i%+ u%'e#-

,#ice' ecu#itie It !"$ "* e%t"i* te# c"%+e te i%et# !"$ c%i'e# %ece"#$ t

e%"%ce te ,e##!"%ce te ,#t*i

$. P-RT-I- E+AUATI-N0

#t*i e"*u"ti% i te *"t te, i% te ,#ce ,#t*i !"%"+e!e%t It i te

,#ce t"t i c%ce#%e' it "ei%+ te ,e##!"%ce te ,#t*i e# " e*ecte'

,e#i' ti!e i% te#! #etu#% "%' #i T#u+ ,#t*i e"*u"ti% te i%et# t#ie

t i%' ut e** te ,#t*i " ,e##!e' Te ,#t*i ecu#itie e*' .$ "%

i%et# i te #eu*t i i%et!e%t 'ecii% #t*i e"*u"ti% i #e"**$ " tu'$

te i!,"ct uc 'ecii% Ti i%*e =u"%tit"tie !e"u#e!e%t "ctu"* #etu#%

#e"*i@e' "%' te #i .#% .$ te ,#t*i e# te ,e#i' i%et!e%t It ,#i'e "

!ec"%i! # i'e%ti$i%+ te e"%e i% te i%et!e%t ,#ce "%' # i!,#i%+

tee 'eicie%t "#e"

Page | 20


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22/32

T78es of Ris? in Portfolio Management

E"c "%' ee#$ i%et# " t "ce #i i*e i%eti%+ "t i RiL Ri i te

u%ce#t"i%t$ i%c!e;c",it"* ",,#eci"ti% # * .t Ri i c*"iie' i%t

S$te!"tic #i # M"#et #e*"te' #i "%' 7%$te!"tic #i # C!,"%$ #e*"te' #i

S,STEMATIC RISB

1 M"#et Ri 1 Bui%e Ri

2 I%te#et R"te Ri 2 I%te#%"* Ri

I%*"ti% R"te Ri Fi%"%ci"* Ri

S,STEMATIC RISB

S$te!"tic #i #ee# t t"t ,#ti% "#i"ti% i% #etu#% c"ue' .$ "ct# t"t "ect

te ,#ice "** ecu#itie It c"%%t .e "i'e' It #e*"te t ec%!ic t#e%' it

eect t te *e !"#et

Ti i u#te# 'ii'e' i%t te **i%+

!. Mar?et ris?s0

A "#i"ti% i% ,#ice ,"#e' 'ue t #e"*3 ci"* ,*itic"* "%' ec%!ic ee%t i

#ee##e' " !"#et #i

#. Interest rate ris?s07%ce#t"i%tie utu#e !"#et "*ue "%' te i@e utu#e i%c!e3 c"ue' .$

*uctu"ti% i% te +e%e#"* *ee* i%te#et "#e #ee##e' t " i%te#et #"te #i

e#e ,#ice ecu#itie te%' t !e i%e#e*$ it te c"%+e i% #"te i%te#et

%. Inflation ris?s07%ce#t"i%tie i% ,u#c"i%+ ,e# i "i' t .e i%*"ti% #i

UNS,STEMATIC RISB

7%$te!"tic #i #ee# t t"t ,#ti% #i t"t i c"ue' 'ue t "ct# #e*"te' t "

i#! # i%'ut#$ Ti i u#te# 'ii'e' i%t

!. 1usiness ris?0Bui%e #i "#ie 'ue t c"%+e i% ,e#"ti%+ c%'iti% c"ue' .$ c%'iti% t"t

t#ut u,% te i#! ic "#e .e$%' it c%t#* uc " .ui%e c$c*e3 +e#%!e%t

Page | 22

T,PES - RISB IN P-RT-I- MANA3EMENT

UNS,STEMATIC RISB S,STEMATIC RISB


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24/32

Monitoring and revision of t>e 8ortfolio

#t*i #eii% i te ,#ce e**i%+ ce#t"i% iue i% ,#t*i "%'

,u#c"i%+ %e %e t #e,*"ce te! Te !"i% #e"% # te %eceit$ te

i%et!e%t ,#t*i #eii%

• A te ec%!$ e*e3 ce#t"i% i%'ut#ie "%' c!,"%ie .ec!e eite#

*e # !#e "tt#"ctie " i%et!e%t?

• Te i%et# e# te ti!e !"$ c"%+e i;e# i%et!e%t ./ectie "%' i%

ti "$ i; e# ,#t*i i%


25/32

C"%+e i% e"*t

C"%+e i% ti!e #i@%

C"%+e i% *i=ui'it$ #e=ui#e!e%t

C"%+e i% t"x ci#cu!t"%ce

C"%+e i% *e+"* c%i'e#"ti%

C"%+e i% te# ci#cu!t"%ce "%' i%et#


26/32

,e##!e' te .et Ti i e#$ 'iicu*t t ' # te i%et# ,$c*+ic"**$ But te

i%et# u*' "*"$ c%i'e# ti !et' #e."*"%ci%+ " %e

cice3 .ut %t %ece"#i*$ te .et %e

Constant 1eta 8ortfolio.

Te ."e # te #e."*"%ci%+ ,#t*i ui%+ ti

"*te#%"tie i te t"#+et ,#t*i Bet" Oe# ti!e te "*ue te ,#t*i

c!,%e%t "%' tei# Bet" i** c"%+e "%' ti c"% c"ue te ,#t*i Bet" t it

F# ex"!,*e3 i te t"#+et ,#t*i Bet" i 1310 "%' it "' #ie% e# te !%it#e'

,e#i' ti!e t 13253 te ,#t*i Bet" cu*' .e .#u+t ."c t te t"#+et (1310) i%

te **i%+ "$

ut "''iti%"* !%e$ i%t te tc ,#t*i "%' *' c" i*uti%+ te

tc i% ,#t*i it te c" i** #e'uce ,#t*i Bet"3 .ec"ue c" "

Bet" 0 But i% ti c"e c" u*' .e %*$ " te!,#"#$ c!,%e%t i% te

,#t*i #"te# t"% " *%+-te#!?

ut "''iti%"* !%e$ i%t te tc ,#t*i "%' .u$ tc it " Bet"

*e# t"% te t"#+et Bet" i+u#e But te i%et# !"$ .e i %t ".*e t

i%et "''iti%"* !%e$ "%' ti "$ # #e."*"%ci%+ te ,#t*i c"% .e

c!,*ic"te'

Se** i+ Bet" tc i% ,#t*i "%' *' c" A it te i#t

"*te#%"tie3 ti "$ #e'uce te e=uit$ *'i%+ i% te i%et#


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Inde4ing.

Tee "*te#%"tie # #e."*"%ci%+ te ,#t*i "#e !#e #e=ue%t*$

ue' .$ i%tituti%"* i%et# (te% !utu"* u%')3 .ec"ue tei# ,#t*i te%' t .e

*"#+e "%' te t#"te+$ !"tci%+ " !"#et i%'ex "#e .et ",,*ic".*e # te!

M"%"+i%+ i%'ex ."e' ,#t*i i%et# (# ,#t*i !"%"+e#) e*i!i%"te c%ce#%

".ut ut,e##!i%+ te !"#et3 .ec"ue .$ 'ei+%3 it ee t .e"e /ut *ie te

!"#et "e#"+e I%et# "tte!,t t !"i%t"i% !e ,#e'ete#!i%e' c"#"cte#itic

te ,#t*i3 uc " Bet" 130 Te exte%t t ic uc " ,#t*i 'ei"te #!

it i%te%'e' .e"i# c"**e' t#"ci%+ e###

Reii%+ " ,#t*i i %t itut ct # "% i%'ii'u"* i%et# Tee

ct c"% .e 'i#ect ct t#"'i%+ ee "%' c!!ii% # te .#e# c"%

t#"'e ecu#itie % te exc"%+e it te 'ee*,i%+ "*te#%"tie t#"'i%+ $te!

(ATS) tee ct c"% .e 'ec#e"e' It i i!,#t"%t "*3 t"t te e**i%+ te ecu#itie

!"$ "e i%c!e t"x i!,*ic"ti% ic 'ie# #! cu%t#$ t cu%t#$

Page | 27


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Portfolio 8erforman6e measures

#t*i ,e##!"%ce e"*u"ti% i%*e 'ete#!i%i%+ ,e#i'ic"**$ te

,#t*i ,e##!e' i% te#! %t %*$ te #etu#% e"#%e'3 .ut "* te #i

ex,e#ie%ce' .$ te i%et# F# ,#t*i e"*u"ti% ",,#,#i"te !e"u#e #etu#%

"%' #i " e** " #e*e"%t t"%'"#' (# .e%c!"#D) "#e %ee'e'

I% +e%e#"*3 te !"#et "*ue " ,#t*i "t " ,i%t ti!e i 'ete#!i%e' .$

"''i%+ te !"#et "*ue "** te ecu#itie e*' "t t"t ,"#ticu*"# ti!e Te !"#et

"*ue te ,#t*i "t te e%' te ,e#i' i c"*cu*"te' i% te "!e "$3 %*$

ui%+ e%'--,e#i' ,#ice te ecu#itie e*' i% te ,#t*i

Te #etu#% % te ,#t*i (#,)

r8 @+e +9 ; +9

e#e He - .e+i%%i%+ "*ue te ,#t*i?

H. - e%'i%+ "*ue te ,#t*i

Te ee%ti"* i'e" .ei%' ,e##!"%ce e"*u"ti% i t c!,"#e te #etu#%

ic e#e .t"i%e' % ,#t*i it te #eu*t t"t cu*' .e .t"i%e' i !#eL

",,#,#i"te "*te#%"tie ,#t*i "' .ee% ce% # te i%et!e%t Suc

c!,"#i% ,#t*i "#e te% #ee##e' t " .e%c!"# ,#t*i I% e*ecti%+ te!

i%et# u*' .e ce#t"i% t"t te$ "#e #e*e"%t3 e"i.*e "%' %% i% "'"%ce Te

.e%c!"# u*' #e*ect te ./ectie te i%et#

Portfolio 1eta c"% .e ue' " "% i%'ic"ti% te "!u%t

!"#et #i t"t te ,#t*i "' 'u#i%+ te ti!e i%te#"* It c"% .e c!,"#e' 'i#ect*$

it te .et" te# ,#t*i

u c"%%t c!,"#e te ex ,t # te ex,ecte' "%' te ex,ecte' #etu#% t

,#t*i itut "'/uti%+ # #i T "'/ut te #etu#% # #i .e#e c!,"#i%

,e##!"%ce #i "'/ute' !e"u#e ,e##!"%ce c"% .e ue'

Page | 28


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S"#,ear8eFs ratio @G8– Gf ; H8

e#e , - te "e#"+e #etu#% # ,#t*i , 'u#i%+ !e ,e#i' ti!e?

- te "e#"+e #i-#ee #"te #etu#% 'u#i%+ te ,e#i'?

P, - t"%'"#' 'ei"ti% #etu#% # ,#t*i , 'u#i%+ te ,e#i'

Tre7norFs ratio "% exce "ctu"* #etu#% e# #i #ee #"te3 # #i

,#e!iu!3 .$ u%it $te!"tic #i3 !e"u#e' .$ Bet"

Tre7norFs ratio @G8 –Gf ; 8

e#e Q, Bet"3 !e"u#e $te!"tic #i # te ,#t*i ,

2ensenJs Al8>a exce "ctu"* #etu#% e# #e=ui#e' #etu#% "%' exce

"ctu"* #i ,#e!iu! e# #e=ui#e' #i ,#e!iu! Ti !e"u#e te ,#t*i

!"%"+e#


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T#e$%#


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C-NCUSI-N

I%et!e%t i " i%"%ci"* "ctiit$ t"t i%*e #i It i te c!!it!e%t u%' # " #etu#%

ex,ecte' t .e #e"*i@e' i% te utu#e I%et!e%t !"$ .e !"'e i% i%"%ci"* "et # ,$ic"*

"et I% eite# c"e te#e i te ,i.i*it$ t"t te "ctu"* #etu#% !"$ "#$ #! te ex,ecte'

#etu#% T"t ,i.i*it$ i te #i i%*e' i% te i%et!e%t Ri "%' Retu#% "#e te t

!t i!,#t"%t c"#"cte#itic "%$ i%et!e%t S"et$ "%' *i=ui'it$ "#e "* i!,#t"%t #

"% i%et# Te ./ectie "% i%et# i ,eciie' " !"xi!i@"ti% #etu#% "%'

!i%i!i@"ti% #i I%et!e%t i +e%e#"**$ 'iti%+uie' #! ,ecu*"ti% i% te#! t#ee

"ct#3 %"!e*$ #i3 c",it"* +"i% "%' ti!e ,e#i' G"!.*i%+ i te ext#e!e #!

,ecu*"ti% I%et# !"$ .e i%'ii'u"* # i%tituti% Bt t$,e i%et# c!.i%e t

!"e i%et!e%t "ctiit$ '$%"!ic "%' ,#it".*e Te i%et# i% te i%"%ci"* !"#et "e

'ie#e%t "ttitu'e t"#' #i "%' "#$i%+ *ee* #i .e"#i%+ c","cit$ S!e i%et# "#e

#i "e#e3 i*e !e !"$ "e "% "i%it$ t #i Te #i .e"#i%+ c","cit$ "% i%et#3

% te te# "%'3 i " u%cti% i i%c!e A ,e#% it i+e# i%c!e i "u!e' t"e " i+e# #i .e"#i%+ c","cit$ E"c i%et# t#ie t !"xi!i@e i e*"#e .$ ci%+

te ,ti!u! c!.i%"ti% #i "%' #etu#% i% "cc#'"%ce it i ,#ee#e%ce "%' c","cit$

Ate# te e#"** "** tu'$ ".ut e"c "%' ee#$ ",ect ti t,ic it t"t ,#t*i

!"%"+e!e%t i " '$%"!ic "%' *exi.*e c%ce,t ic i%*e #e+u*"# "%' $te!"tic

"%"*$i3 ,#,e# !"%"+e!e%t3 /u'+!e%t3 "%' "cti% "%' "* t"t te e#ice ic " %t

,,u*"# e"#*ie# " te# e#ice " .ec!e " .!i%+ ect# " % t'"$ "%' i $et t

+"i% !#e i!,#t"%ce "%' ,,u*"#it$ i% utu#e " ,e,*e "#e **$ "%' te"'i*$ c!i%+ t

% ".ut ti c%ce,t "%' it i!,#t"%ce

It "* e*, .t "% i%'ii'u"* te i%et# "%' FII t !"%"+e tei# ,#t*i .$ ex,e#t

,#t*i !"%"+e# It ,#tect te i%et#


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1I1I-3RAP/,

E1--BS REERRED0

! #""%%" C"%'#" Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t

# HA A'"'"%i- Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t

% H G"%+"'"#- Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t

KE1 SITES0

1 i%et,e'i"c!

2 e=uit$!"te#c!

Date post:	07-Jul-2018
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Portfolio Evaluation and Revision

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