This paper applies the concept of Value-at-Risk (VaR) to Indian Capital Markets and examines the different computational approaches to VaR and their relative differences in measuring the downside of the risk involved in the investment of equities by applying the concept of VaR on a portfolio comprising of the stocks listed on the Indian Capital Market Index - the BSE SENSEX; by testing the model on time series data i.e. historical daily returns of the Index over a two month horizon and back testing the results of the Monte-Carlo Simulation against historically obtained VaR estimates.

Examines Different Computational Approaches of Value-At-Risk (var) for BSE Index Stocks of Sensex

In this research we reconnoiter the effectiveness of Benjamin Graham’s formula for the Indian market and calculated the returns on BSE100 stocks for a tenure of a decade. Benjamin Graham devised a technique to calculate intrinsic value of stocks. His approach emphasized on buying the stocks with market value less than intrinsic value and selling the stocks with market value less than the intrinsic value. This strategy helped him to invest in stocks with less risk. The technique was originally developed by Graham in 1962 and reviewed by him in 1974.  He offered a simple and effective formula to calculate the stock’s intrinsic value. Graham’s formula is used to measure an individual company’s intrinsic value.  In this paper we wanted to study the effectiveness of Benjamin Graham’s formula on BSE100 stocks, to find out if the value investing method works. This method also helps investor to swiftly and precisely categorize underrated companies and expensive companies. We have conducted research based on past 10 years’ data to validate our findings.

/pdf/corroborate-benjamin-graham-s-approach-of-valuing-equity-4pefpuzrlw.pdf

Corroborate Benjamin Graham’s Approach of Valuing Equity with Special Reference to Indian Capital Market

This research paper examines performance of top twelve Indian mutual funds by Asset Under Management (AUM).  We use seven portfolio performance measurement parameters like Alpha, Beta, Standard Deviation, R Squared, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. The study reveals which amongst these mutual fund is the best performer based on all these parameters and the benchmark taken for this is NIFTY Index. The mutual funds selected are HDFC Top 200 Fund, Franklin India Bluechip Fund, ICICI Prudential Focused Bluechip Equity Fund, DSPBR Top 100  Equity Fund, Birla Sun Life Equity Fund, DSPBR Top 100  Equity Fund, UTI Mastershare Fund, Reliance Equity Opportunity Fund, SBI Magnum Equity, Reliance Top 200 Fund, SBI Bluechip Fund, ICICI Prudential Top 200 Fund, Principal Large Cap Fund. This study is primarily done to evaluate performance of the select mutual funds over a period of five years.

https://ojs.journals.cz/index.php/EJBE/article/download/374/374

Suyash Bhatt

Papers

An Intricate Multiple-Factor Approach To Evaluate Performance Of Indian Mutual Fund