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  • FIS Group1

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    rajmalhotra167
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    This document summarizes the strategies and performance of a group's fixed income portfolio. The group selected bonds randomly, did not target profits, maintained risk neutrality, and employed strategies like convexity and highest volatility to gamma. Their initial portfolio contained 75 bonds which they pared down to a final portfolio of 15 bonds, including 11 non-convertibles and 4 convertibles. The portfolio achieved a maximum return of 32.92% and overall return of 19.62%.

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    Fixed Income

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    This document summarizes the strategies and performance of a group's fixed income portfolio. The group selected bonds randomly, did not target profits, maintained risk neutrality, and employed strategies like convexity and highest volatility to gamma. Their initial portfolio contained 75 bonds which they pared down to a final portfolio of 15 bonds, including 11 non-convertibles and 4 convertibles. The portfolio achieved a maximum return of 32.92% and overall return of 19.62%.

    Copyright:

    © All Rights Reserved
    Scarica in formato PPTX, PDF, TXT o leggi online su Scribd
    Segnala contenuti inappropriati
    36 visualizzazioni14 pagine

    FIS Group1

    Caricato da

    rajmalhotra167
    This document summarizes the strategies and performance of a group's fixed income portfolio. The group selected bonds randomly, did not target profits, maintained risk neutrality, and employed strategies like convexity and highest volatility to gamma. Their initial portfolio contained 75 bonds which they pared down to a final portfolio of 15 bonds, including 11 non-convertibles and 4 convertibles. The portfolio achieved a maximum return of 32.92% and overall return of 19.62%.

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    © All Rights Reserved
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    di 14

    FIXED INCOME SECURITIES

    The Fixed Income Investors

    C008- Tanmay Bajpai-8860301169


    C027- Umang Jain-971888288
    GROUP-1
    E062- Ridhi Sinha-9818687781
    I021- Raghav Gupta-9428807561
    I032- Gauri Khandelwal-800584957
    I038-Rishabh Malhotra-9995552410
    I043- Aishwariya Mishra-9962648212
    I048- Deshaj Pandit- 8860651502
    I054- Rakesh Raushan- 9662648212
    I059- Visarg Shah-9766686985
    STRATEGIES ADOPTED

    • Selected bonds at random


    • No Profit Targeting
    • Risk Neutrality
    • Buy Cheap, sell cheaper
    • Buy rich, sell richer
    • Convexity
    • HVG
    PORTFOLIO AT A GLANCE

     Initial Portfolio-75 bonds


     Final Portfolio- 15 bonds
    Max Return: 32.92%- FICSIN
     11 non-convertibles, 4 convertibles
    Overall Return: 19.62%
     Ratings: BB- to AAA
     Average Maturity period: 2025-2026
    FINAL PORTFOLIO BREAK-UP

    • Utility-2 11.11%
    • Finance-4 22.22%
    • Industrial -6 33.33%
    • Agency- 6 33.33%
    • 9 cheap, 6 expensive
    BOND AS PER DECREASING ORDER OF CONVEXITY
    Non- Convertible
    Convertible
     POWFIN 8.45 08/11/22
     NTPCIN 7.93 05/03/22  CUMTIN 0.01 05/21/32
     MIIURJ 0.001 04/19/37
     NHAIIN 8.179 03/29/49
     MPSPIN 2 04/18/28
     IREDA 7.49 01/21/31  ESJHIN 0 03/27/27
     INRCIN 8.55 02/21/29
     RECLIN 8.56 11/29/28
     RELPOT 7.9 11/18/26
     ADSEZ 8.24 11/27/26
     KWALTY 8 06/30/22
     MAHAIR 3 06/04/22
     HDFCIN 8.58 03/18/22
    CONVERTIBLE EXAMPLES
    CONVERTIBLE EXAMPLES
    NON-CONVERTIBLE EXAMPLES
    NON-CONVERTIBLE EXAMPLES
    HVG- CONVERTIBLES
    HVG-CONVERTIBLES
    HVG: NON-CONVERTIBLES
    HVG:NON-CONVERTIBLES
    Thanks

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