Individual Assignment

The following questions you have to address in your assignment.

First you have to identify the underlying equity asset using the derivative instrument. For example,
CONCOR is the equity futures instrument and its underlying equity asset is Container Corporation of
India Ltd. Please refer to file DRM_Assignment_Topics to find the assigned instrument for your
assignment.
Section-1 (Underlying Asset-Equity)
1) Write the underlying equity asset introduction on the following items
i)
Nature of the business (Banking, software, manufacturing etc.)
ii)
Public or private ownership
iii)
When it is started and under what circumstances
iv)
It belongs to which industry? And its importance in the industry?
v)
Overall greatness of the company
2) Calculate the sample returns (Mean, Max, Min and Standard Deviation of the returns) on daily,
weekly and monthly frequency.
3) Adjust these returns with risk (Sharpe ratio) on daily, weekly and monthly frequency. You need
the T-bill rates, soon I will provide you
4) Similarly calculate the risk adjusted sample returns (Mean, Max, Min and Standard Deviation of
the returns) n daily, weekly and monthly frequency.
5) The economic interpretation of the difference between risk adjusted and risk-unadjusted returns
on daily, weekly and monthly frequency and conclude. Plot the daily, weekly and monthly returns.
Section-2 (Equity Futures Instrument)
6) Write the Equity Futures Instrument introduction on the following items
i)
When it is started
ii)
Lot size and contract specifications.
iii)
Overall greatness of the Equity Futures Instrument
7) Calculate the sample returns (Mean, Max, Min and Standard Deviation of the returns) on daily,
weekly and monthly frequency.
8) Adjust these returns with risk (Sharpe ratio) on daily, weekly and monthly frequency. You need
the T-bill rates, soon I will provide you
9) Similarly calculate the risk adjusted sample returns (Mean, Max, Min and Standard Deviation of
the returns) on daily, weekly and monthly frequency.
10) The economic interpretation of the difference between risk adjusted and risk-unadjusted returns
on daily, weekly and monthly frequency and conclude. Plot the daily, weekly and monthly returns.
Section-3
11) Compare the underlying risk adjusted and risk-unadjusted returns with Futures instruments risk
adjusted and risk-unadjusted returns and discuss on compared returns on daily, weekly and
monthly frequency. Also comment on the liquidity conditions of the underlying assets, futures
instrument (near month, middle month and far month).
Section-4
12) Does the futures instrument exhibits contango or backwardation? Explain why?
13) Does the frequency matters?