CLASS OF 2022

FINANCIAL DERIVATIVE AND RISK MANAGEMENT (FRM)

SECTION- E
GROUP – 6

Name of Enrollment Name of Funds Page Number

Participants Number Selected

Namitha Vinod 20BSPHH01C0749 Motilal Oswal Flexi 02

Cap Fund

Nandini Sadani 20BSPHH01C0755 Kotak Small Cap 03-04

Fund

Naveen P 20BSPHH01C0762 L&T India Large 05

Cap Fund

Navneet Singh 20BSPHH01C0764 Mirae Asset Tax 06

Saver Fund
Nayan Shukla 20BSPHH01C0765 L&T Flexi Cap Fund 07
Mutual Fund Scheme: “Motilal Oswal Flexi Cap Fund-Regular Growth” Motilal Oswal
Asset Management Company Ltd
SCHEME DETAILS
Fund Type: Open Ended
Nature of the Scheme: Equity
TOP 5 HOLDINGS
Vaibhav Global Ltd. 7.76%
HDFC Bank Ltd. 6.62%
Infosys Ltd. 6.36%
Gland Pharma Ltd. 5.91%
Housing Development Finance Corporation Ltd. 5.66%

Objective: The value of investment of scheme shows the portfolio value that needs to be
hedged in order to reduce to uncertainty.

Concern: The concern is ‘fall in value of the portfolio’, therefore, taking short position is
recommended.

Contract Details: We have taken the short position in a one-month futures contract on 30th
June at ₹ 15,752.15, which had its expiry on 29th July, which is the last Thursday of the
month. The lot size of the contract is 50, which is also, the Nifty multiplier considered here.

Following table shows the schemes adopted under this project for Hedging along with its
AUM and Contract size observed.
Scheme Value of Investment Number of
(AUM) ₹ Contracts Sold
Motilal Oswal Flexicap Regular-Growth 62563803000 76999
Fund

Value of Hedged and Unhedged Portfolio:

Average of Unhedged Rs. 63466328795 Average of hedged Rs. 63362876768.2

Portfolio Portfolio
SD of Unhedged 548605787.4 SD of hedged Portfolio 446542437
Portfolio

Conclusion:
In the above scheme, standard deviation of hedged positions (446542437) is less than the
standard deviation of unhedged positions (548605787.4). The objective of hedging is to
reduce the uncertainty of risk. Through hedging, we are able to reduce the uncertainty of risk
and hedging technique is fulfilling objective.

Namitha Vinod
20BSPHH01C0749
 Portfolio Details
AMC Name: Kotak Mahindra Mutual Fund
Scheme Name: Kotak Small Cap Fund

Scheme
Features
Fund Type: Open Ended Fund Scheme
Nature Of Scheme: Equity
The investment objective of Kotak Small Cap
is to generate capital appreciation from a
Investment Objective:
diversified portfolio of equity & equity
related securities.
Inception Date: 24-02-2005
Corpus: 5348.63 (in Crores) as on 7/31/2021

Investment Details
Rs. 5000 and in multiple of Re. 1 for
Initial Investment:
purchase and for Rs. 0.01 for switches
Additional Investment: Rs. 1000 and in multiples of Re. 1
Entry Load NIL
a) For redemption / switch out of up to 10%
of the initial investment amount (limit)
purchased or switched in within 1 year from
the date of allotment: Nil.
Exit Load: b) If units redeemed or switched out are in
excess of the limit within 1 year from the
date of allotment: 1%
c) If units are redeemed or switched out on or
after 1 year from the date of allotment: NIL

Top 5 Holdings as on 30/7/2021

Name of Holding % Net Assets
Century Plyboards India Ltd. 4.63%
Carborundum Universal Ltd. 3.71%
Sheela Foam Ltd. 3.61%
Lux Industries Ltd. 3.18%
Persistent Systems Ltd. 3.18%
CONCLUSION:
➢ The objective was to reduce the uncertainty of the risk thereby preventing the fall in the
portfolio value.
➢ In this case Hedging is done to protect from fall in the prices thus the position taken is
“Short”.
➢ Position: One-month short Nifty futures contract. (Number of contracts: 9509.7782).
➢ Average of unhedged portfolio and hedged portfolio are 10303887313 and 986247380
respectively.
➢ The Standard Deviation of unhedged portfolio is 184756757.1 which is more than that of
hedged portfolio (49034125.33). That means losses can be minimized.
Nandini Sadani
20BSPHH01C0755
 Mutual Fund Scheme: “L&T India Large Cap Fund” L&T Investment Management
Ltd
SCHEME DETAILS
Fund Type: Open Ended
Nature of the Scheme: Equity
TOP 5 HOLDINGS
ICICI Bank Ltd. 9.32%
Infosys Ltd. 8.78%
HDFC Bank Ltd. 7.54%
Reliance Industries Ltd. 5.58%
State Bank of India 4.44%

Objective: The value of investment of scheme shows the portfolio value that needs to be
hedged in order to reduce to uncertainty.

Concern: The concern is ‘fall in value of the portfolio’, therefore, taking short position is
recommended.

Contract Details: We have taken the short position in a one-month futures contract on 30th
June at ₹ 15,752.15, which had its expiry on 29th July, which is the last Thursday of the
month. The lot size of the contract is 50, which is also, the Nifty multiplier considered here.

Following table shows the schemes adopted under this project for Hedging along with its
AUM and Contract size observed.
Scheme Value of Investment Number of
(AUM) ₹ Contracts Sold
L&T India Large Cap Fund 4996321000 6215

Value of Hedged and Unhedged Portfolio:

Average of Unhedged Rs. 5051790690 Average of hedged Rs. 5039799278.2

Portfolio Portfolio
SD of Unhedged 33579483.6 SD of hedged Portfolio 26696616.2
Portfolio

Conclusion:
In the above-mentioned scheme, standard deviation of hedged positions (26696616.2) is less
than the standard deviation of unhedged positions (33579483.6). The objective of hedging is
to reduce the uncertainty of risk. Through hedging, we are able to reduce the uncertainty of
risk and hedging technique is fulfilling objective.

Naveen P
20BSPHH01C0762
 Mutual Fund Scheme: “Mirae Asset Tax Saver Fund” Mirae Asset Financial Group

SCHEME DETAILS
Fund Type: Open Ended
Nature of the Scheme: Equity
TOP 5 HOLDINGS
Name % of Total Holdings
HDFC Bank Ltd 8.05%
ICICI Bank Ltd. 7.29%
Infosys Ltd. 6.58%
Axis Bank Ltd. 4.45%
Tata Consultancy Services Ltd. 3.90%

Objective: To generate long term capital appreciation from a diversified portfolio of

predominantly equity and equity-related instruments.

Founder – Park Hyeon Joo

Launch date – 1997
Expense ratio – 1.69% as declared on 30-Jun-2021
Benchmark – NIFTY 200 TRI.

Contract Details: We have taken the short position in a one-month futures contract on 30th
June at ₹ 15,752.15, which had its expiry on 29th July, which is the last Thursday of the
month. The lot size of the contract is 50, which is also, the Nifty multiplier considered here.
Following table shows the schemes adopted under this project for Hedging along with its
AUM and Contract size observed.
Scheme Value of Investment Number of
(AUM) ₹ Contracts Sold
Mirae Asset Tax Saver Fund 83375200000 2325.737

Value of Hedged and Unhedged Portfolio:

Average of Unhedged 84565426244 Average of hedged 84331577065
Portfolio Portfolio

SD of Unhedged 595570790 SD of hedged Portfolio 471878847.5

Portfolio

Conclusion:
In the above-mentioned scheme, standard deviation of hedged positions (595570790) is less
than the standard deviation of unhedged positions (595570790). Hedging is Successful as the
SD is reduced which minimizes the risk.
Navneet Singh
20BSPHH01C0764
Mutual Fund Scheme: “L&T Flexi Cap Fund-Growth” L&T Investment Management
Ltd

SCHEME DETAILS
Fund Type: Open Ended
Nature of the Scheme: Equity
TOP 5 HOLDINGS
Name % of Total Holdings
ICICI Bank Ltd 7.27%
HDFC Bank Ltd. 4.72%
Tata Consultancy Services Ltd. 4.60%
Reliance Industries Ltd. 4.57%
Infosys Ltd. 4.37%

Objective: To generate long term capital growth from a diversified portfolio of

predominantly equity and equity related securities.

Fund managers – Sonal Gupta , Venugopal M , Vihang Naik

Launch date – 16-May-2005
Expense ratio – 2.07% as declared on 30-Jun-2021
Benchmark – S&P BSE 500 TRI.

Contract Details: We have taken the short position in a one-month futures contract on 30th
June at ₹ 15,752.15, which had its expiry on 29th July, which is the last Thursday of the
month. The lot size of the contract is 50, which is also, the Nifty multiplier considered here.
Following table shows the schemes adopted under this project for Hedging along with its
AUM and Contract size observed.
Scheme Value of Investment Number of
(AUM) ₹ Contracts Sold
L&T Flexi Cap Fund 1602230000 2325.737

Value of Hedged and Unhedged Portfolio:

Average of Unhedged 1610456253 Average of hedged 1605576276
Portfolio Portfolio
SD of Unhedged 7324215.49 SD of hedged Portfolio 3762149.38
Portfolio

Conclusion:
In the above-mentioned scheme, standard deviation of hedged positions (3762149.38) is less
than the standard deviation of unhedged positions (7324215.49). Hedging is Successful as the
SD is reduced which minimizes the risk.
Nayan Shukla
20BSPHH01C0765