1)

1) Software
2) Public
3) Tech Mahindra began as a joint venture with British Telecom and the
company began as Mahindra-British Telecom in the year 1986. At this
time, an IT revolution was unthinkable. For a company that was into
manufacturing, steel and automobile, its foray into telecom and IT was
a tactical move to diversify the Mahindra group.
4) IT industry. Tech Mahindra has been . By 1995, it had established
office in the UK and expanded to Germany in 2001. Till then,
Mahindra-BT was more into telecom software. It was the acquisition
of Axes Technologies that really made the company takeoff. By
2005, Mahindra-BT was the eighth largest software exporter in
India. The name was changed to Tech Mahindra in the year
2006.After clearing the roadblocks, Mahindra headed to the best
strategy ever. The acquisition of Satyam Computers in 2009 made
Tech Mahindra became a player in the Indian IT industry.
5) Tech Mahindra is a US$4.2 billion company with over 117,000
employees across 90 countries. It provides services to customers which
include Fortune 500 companies. It is also one of the Fab 50 companies
in Asia, a list compiled by Forbes. Tech Mahindra was ranked #5 in India's
software services (IT) firms and overall #111 in Fortune India 500 list for 2012. It has
around 825 active clients, which is a huge number for an IT company in India.
The company has truly succeeded to be among the biggest IT firms in
India
2)

Min Max Mean Standard Deviation

Daily -0.04759 0.100469 -0.00035 0.017366

Weekly -0.09493 0.126195 -0.0017 0.038917

 Monthly -0.16683 0.131897 -0.00143 0.085159

3)
i)

frequency Sharpe Ratio

Daily -0.41577

Weekly -0.06499

Monthly -0.08563

ii)
Data of Risk Adjusted Returns

frequency Min Max Mean Standard Deviation

Daily -0.05543 0.093005 -0.00745 0.017921

Weekly 0.067581 0.118724 -0.00831 0.0391

Monthly -0.17319 0.125676 -0.0073 0.085216



4)

Unadjusted risk returns (Daily, weekly, monthly equity in order):

Returns
0.12

0.1

0.08

0.06

0.04

0.02

0
01-Jan
15-Jan
29-Jan
12-Feb
26-Feb
11-Mar

22-Apr
06-May
20-May

23-Sep
12-Aug
26-Aug

04-Nov
18-Nov

13-Jan
27-Jan
01-Jul
15-Jul
29-Jul

07-Oct
21-Oct
03-Jun
17-Jun

02-Dec
16-Dec
30-Dec
-0.02

-0.04

-0.06

Returns
0.15

0.1

0.05

0
2-Jan 2-Feb 2-Mar 2-Apr 2-May 2-Jun 2-Jul 2-Aug 2-Sep 2-Oct 2-Nov 2-Dec
-0.05

-0.1

-0.15
 Returns
0.15

0.1

0.05

-0.05

-0.1

-0.15

-0.2

Unadjusted risk returns (Daily, weekly, monthly equity in order):-

Excess Returns
0.12
0.1
0.08
0.06
0.04
0.02
0
12-Feb
26-Feb

22-Apr

12-Aug
26-Aug
01-Jan
15-Jan
29-Jan

11-Mar

23-Sep
06-May
20-May

13-Jan
27-Jan
01-Jul

04-Nov
18-Nov
03-Jun
17-Jun

15-Jul
29-Jul

02-Dec
16-Dec
30-Dec
07-Oct
21-Oct

-0.02
-0.04
-0.06
-0.08

Excess returns
0.15

0.1

0.05

0
2-Jan 2-Feb 2-Mar 2-Apr 2-May 2-Jun 2-Jul 2-Aug 2-Sep 2-Oct 2-Nov 2-Dec
-0.05

-0.1

-0.15
 Excess returns
0.15

0.1

0.05

-0.05

-0.1

-0.15

-0.2

Also the standard deviation of monthly is greater than daily and weekly
frequencies.
The Sharpe ratio of all daily frequencies is negative, i.e. returns for given
risk is negative. Sharpe ratio is positive in all the remaining cases except
for monthly far month.
For the given equity mean of both un-adjusted and adjusted returns are
negative and returns for adjusted is far more less than un-adjusted.
Therefore it is wise to sell the stock and invest in T-bill rates to get
minimum returns with zero risk.
The max, min and standard deviation for all frequencies is not quite high
for given equity. This indicates that the sensitivity of the given stock is
not very high.

5)

i) 11th September, 2001.

ii) Lot Size is 2000

iii) It reached to its maximum value Rs.87.50.

6)
UNDERLYING EQUITY :
Risk un-adjusted returns for NEAR MONTH:
DAILY WEEKLY MONTHLY
MIN (%) -0.04791 -0.04791 -0.03012

MAX (%) 0.10206 0.063373 0.030494

MEAN (%) -0.00037 0.00151 -0.00659
ST DEV (%) 0.01798 0.018984 0.014043

Risk un-adjusted returns for NEXT MONTH:

DAILY WEEKLY MONTHLY
MIN (%) -0.04784 -0.04784 -0.03141

MAX (%) 0.10301 0.063871 0.027382

MEAN (%) -0.00038 0.002042 0.006141

ST DEV (%) 0.018076 0.019118 0.014269

Risk un-adjusted returns for FAR MONTH:

DAILY WEEKLY MONTHLY
MIN(%) -0.06859 -34.6196 0.005206

MAX (%) 0.089758 99.01071 0.006486

MEAN (%) -0.00052 1.018027 0.005916
ST DEV (%) 0.01577 14.73579 0.000399

7) i)

Sharpe Ratio

Near Month:
 frequency Sharpe Ratio

Daily -0.54030927

Weekly 0.003278709

Monthly 0.048496

Next Month:

frequency Sharpe Ratio(mean)

Daily -0.031331589

Weekly 0.034888

Monthly 0.015896

Far Month:

frequency Sharpe Ratio(mean)

Daily -0.045206

Weekly 0.071782

Monthly -0.33000375

ii)
Risk adjusted returns for NEAR MONTH:
DAILY WEEKLY MONTHLY
MIN (%) -0.048114066 -0.049346937 -0.0358
MAX (%) 0.101855432 0.062173947 0.02457
MEAN (%) -0.000560066 0.000135166 0.000674
ST DEV (%) 0.017981021 0.018986582 0.013908

Risk adjusted returns for NEXT MONTH:

DAILY WEEKLY MONTHLY
MIN (%) -0.04804624 -0.04928 -0.03709
MAX (%) 0.102805125 0.062673 0.021458
MEAN (%) -0.000566386 0.000667 0.000225
ST DEV (%) 0.018077141 0.019124 0.014147

Risk adjusted returns for FAR MONTH:

DAILY WEEKLY MONTHLY
MIN (%) -0.068792 -34.6209 -0.037783742
MAX (%) 0.089554 99.00924 0.019928609
MEAN (%) -0.000713 1.066989 -0.004144133
ST DEV (%) 0.01577 14.86436 0.012557836

8)

Unadjusted risk returns graphs:

 Near month(Daily, weekly, monthly in order)

RETURNS
0.12
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06

Corresponding sample returns

0.08

0.06

0.04

0.02

-0.02

-0.04

-0.06

Corresponding sample returns

0.04

0.03

0.02

0.01

-0.01

-0.02

-0.03

-0.04
 Next month(Daily, weekly, monthly in order)

RETURNS
0.12
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06

Corresponding sample returns

0.08

0.06

0.04

0.02

0
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57
-0.02

-0.04

-0.06

Corresponding sample returns

0.04

0.03

0.02

0.01

-0.01

-0.02

-0.03

-0.04

Far month(Daily, weekly, monthly in order)

 RETURNS
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08

Corresponding sample returns

120
100
80
60
40
20
0
-20
-40
-60

Corresponding sample returns

0.007

0.006

0.005

0.004

0.003

0.002

0.001

0
Adjusted risk returns graphs:
Near month(Daily, weekly, monthly in order)

Excess Returns
0.12
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06

Excess returns
0.08

0.06

0.04

0.02

-0.02

-0.04

-0.06
 Excess returns
0.03

0.02

0.01

-0.01

-0.02

-0.03

-0.04

Next month(Daily, weekly, monthly in order)

Excess Returns
0.12
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
 Excess returns
0.08

0.06

0.04

0.02

-0.02

-0.04

-0.06

Excess returns
0.03

0.02 0.02145809
0.015533423
0.01 0.012278196
0.008146278
0.003226823
00.001078614 0.000979506
0.000560464 -0.001139396
-0.001362789
-0.004181872
-0.01
-0.01656486
-0.02

-0.03
-0.037089141
-0.04

-0.05

Far month(Daily, weekly, monthly in order)

Excess Returns
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08
 Excess returns
120
100
80
60
40
20
0
-20
-40
-60

Excess returns
0.03

0.02

0.01

-0.01

-0.02

-0.03

-0.04

-0.05

The adjusted and un-adjusted returns of the given equity futures varies
moderately in daily and varies at stark points in monthly. Weekly returns
lies between these two.
Also the standard deviation of weekly is greater than daily and monthly
in the case of near, next and far months suggesting greater volatility
unanimously.
The Sharpe ratio in the case of daily returns for near, next and far
months is negative, i.e. returns for given risk is negative. It is positive in
almost all the remaining cases, i.e. returns for given risk is positive.
In daily frequency for the given futures mean of both un-adjusted and
adjusted returns for near, mid and far futures are negative. . It is positive
in almost all the remaining cases.
 The returns for adjusted are not strikingly greater or lesser than un-
adjusted. They have random differences when comparing with all the in
all permutations and combinations of frequency and months. In the
cases where adjusted returns is much greater than unadjusted returns
we can say that, if a person enters into long position to buy the given
equity, he/she will make losses. Similarly, if a person enters into short
position he/she will make profits.
The standard dev for all frequencies and timings is not quite high for
given equity futures. This indicates that the sensitivity of the given
equity futures is not very high.

9)

Unadjusted returns comparison table:

frequency Near Daily Next Daily Far Daily Equity Daily
Average -0.00037 -0.00038 -0.00052 -0.00035
returns:
All the daily average returns for the near, next and far month are negative
along with the daily equity being negative. The near month daily returns are
the highest as compared to next and far months.

frequency Near weekly Next weekly Far weekly Equity weekly

Average 0.00151 0.002042 1.018027 -0.0017
returns
The far month weekly returns are highest as compared to near and next
months.

frequency Near monthly Next monthly Far monthly Equity

monthly
Average -0.00659 0.006141 0.005916 -0.00143
returns:
The next month monthly returns are the highest as compared to near and far
months.

Adjusted returns comparison table:

frequency Near Daily Next Daily Far Daily Equity Daily
Average -0.000560066 -0.000566386 -0.000713 -0.00035
returns:
The near month daily returns are the highest as compared to next and far
months.

frequency Near weekly Next weekly Far weekly Equity weekly

Average 0.000135166 0.000667 1.066989 -0.0017
returns
The far month weekly returns are highest as compared to near and next
months.

frequency Near monthly Next monthly Far monthly Equity

monthly
Average 0.000674 0.000225 -0.004144133 -0.00143
returns:
The near month monthly returns are the highest as compared to near and far
months.

10)
Plotting the graphs as per question 9, we graphically see the comparisons of
daily, weekly and monthly risk unadjusted returns for the near, next and far
month along with the equity returns of the corresponding frequency.
Daily returns comparisons:
Chart Title
0.15
0.1
0.05
0
17

153

241
1
9

25
33
41
49
57
65
73
81
89
97
105
113
121
129
137
145

161
169
177
185
193
201
209
217
225
233

249
257
265
273
281
-0.05
-0.1

Returns Near month daily Next month daily Far month daily

Weekly returns comparisons:

Monthly returns comparison:

We observe and can qualitatively say that the next month gives us the most
number of peaks in the case of unadjusted risk returns.

Daily returns comparison(adjusted):

Chart Title
0.15

0.1

0.05

0
105

129

153

177
1
9
17
25
33
41
49
57
65
73
81
89
97

113
121

137
145

161
169

185
193
201
209
217
225
233
241
249
257
265
273
281
-0.05

-0.1

-0.15

Ret Near month returns Next month returns Far month returns

Weekly returns comparisons(adjusted):

Monthly returns comparison(adjusted):

LIQUIDITY CONDITIONS :
In near month futures open interest is very high, i.e. number of
outstanding contracts is very high.
In middle month open interest is higher than that of far month, i.e. more
people tries to enter into the contract. The liquidity condition in mid
futures is moderate.
In far month futures the open interest is very low, i.e. the number of
outstanding contacts is low. Also the no of contracts traded per day is
very low. If a person wants to enter into contract he may or may not
have the opposite position to trade. This shows the liquidity of the given
equity futures in far month is very low.
11)
The future daily unadjusted returns are lower than equity daily unadjusted
returns for all part of the year excluding Nov-Dec 16 and at peaks like 1st
March16.
 Chart Title
0.2

0.15

0.1

0.05

-0.05

-0.1

Future returns Equity daily returns

The given futures instrument exhibits CONTANGO. Since the given instruments
future prices are falling over time which implies, the futures price is above the
expected future spot price. Because the futures price must converge on the
expected future spot price, contango exits.

12)

frequency Average returns

Near Daily -0.00037
Next Daily -0.00038
Far Daily -0.00052
Equity Daily -0.00035
Near Weekly 0.00151
Next Weekly 0.002042

Far Weekly 1.018027

Equity Weekly -0.0017
Near Monthly 0.000674
Next Monthly 0.000225
Far Monthly -0.004144133
Equity Monthly -0.00143

Since, all of the terms are different we can definitely say that frequency
matters.
frequency Equity Daily Equity Weekly Equity Monthly
Average returns -0.00035 -0.0017 -0.00143
Since, weekly average returns are the highest, the trader would get the highest
returns when he would trade weekly, i.e. on weekends as compared to trading
daily or monthly. Hence one can say that when trading over a large period of
time one has to look over the weekly frequency rather than the daily or
monthly as they are more volatile when compared to the monthly values. He is
optimizing his returns in this case, it will bring the highest profitability to him.