There are lots of ways to go about investing in gold. Gold has shown to be quite a solid investment for many years. It is one of those investments where people are happy they elected for it most of the time. Even people who have never invested in anything in their lives are putting their money in gold. They are driven by many different reasons to preserve their wealth in this fashion. They can choose from any one of a number of different ways to invest in this precious metal. Plenty of people choose to invest their money in diverse fashions so that they can take advantage of the benefits of gold as well as the safety it provides.

1. Table of Contents
CHAPTER 1 .............................................................................................................................. 4
INTRODUCTION ................................................................................................................. 4
1.1 STATEMENT OF THE PROBLEM ........................................................................... 6
INDUSTRY PROFILE .......................................................................................................... 6
1. Bombay Stock Exchange: .............................................................................................. 7
2. National Stock Exchange (NSE):................................................................................... 7
3. Other stock exchanges in India ...................................................................................... 9
4. Stock market regulation. .............................................................................................. 10
5. Securities and Exchange Board Of India (SEBI) ......................................................... 10
COMPANY PROFILE ........................................................................................................ 12
1.2 RESEARCH METHODOLOGY................................................................................... 18
1.21 OBJECTIVES .......................................................................................................... 18
1.2.2 METHODOLOGY OF THE STUDY .................................................................... 19
1.2.3 RESEARCH DESIGN ............................................................................................ 19
1.2.4 STATISTICAL ANALYSIS TOOLS USED ......................................................... 19
1.2.5 PERIOD OF THE STUDY ..................................................................................... 21
1.2.6 DATA SOURCES .................................................................................................. 21

Primary Data .................................................................................................................... 21
1.3 SIGNIFICANCE OF STUDY ................................................................................... 22
1.4 LIMITATION OF THE STUDY ............................................................................... 22
1.5 CHAPTERIZATION ................................................................................................. 22
CHAPTER 2 ............................................................................................................................ 23
LITERATURE REVIEW .................................................................................................... 23
2.1 ETFs’ Performance Across Countries ....................................................................... 23
2.2 Mutual Fund Performance in India ............................................................................ 25
2.3 Gold ETF Overview ................................................................................................... 29
2.4 The Status of the Global Gold ETF ........................................................................... 30
References ................................................................................................................................ 32
CHAPTER 3 ............................................................................................................................ 34
DATA COLLECTION AND ANALYSIS .......................................................................... 34
BIRLA SUN LIFE GOLD ETF ....................................................................................... 34
CANARA ROBECO -GOLD ETF .................................................................................. 36
GOLDMAN SACHS ....................................................................................................... 38
HDFC GOLD ETF ........................................................................................................... 40
ICICI GOLD ETF ............................................................................................................ 42
1

2. IDBI GOLD ETF ............................................................................................................. 44
QUANTUM GOLD FUND ............................................................................................. 46
KOTAK GOLD ETF ....................................................................................................... 48
RELIANCE GOLD FUND .............................................................................................. 50
SBI GOLD FUND ........................................................................................................... 52
CORRELATION CO-EFFICIENT ..................................................................................... 54
CORRELATION CO-EFFICIENT OF STOCK RETURN AND MARKET RETURN 55
TREND RATIO ................................................................................................................... 65
BIRLA SUN LIFE GOLD ETF ....................................................................................... 65
CANARA ROBECO -GOLD ETF .................................................................................. 67
GOLDMAN SACHS ....................................................................................................... 69
HDFC GOLD ETF ........................................................................................................... 71
ICICI GOLD ETF ............................................................................................................ 73
IDBI GOLD ETF ............................................................................................................. 75
QUANTUM GOLD FUND ............................................................................................. 77
KOTAK GOLD ETF ....................................................................................................... 79
RELIANCE GOLD FUND .............................................................................................. 81
SBI GOLD FUND ........................................................................................................... 83
PERFORMANCE RANKING............................................................................................. 85
SHARPE RATIO ANALYSIS ........................................................................................ 85
TREYNOR RATIO ANALYSIS ......................................................................................... 88
JENSEN INDEX .................................................................................................................. 91
CHAPTER 4 ............................................................................................................................ 96
FINDINGS ........................................................................................................................... 96
SUGGESTIONS .................................................................................................................. 98
CHAPTER 5 ............................................................................................................................ 99
CONCLUSION .................................................................................................................... 99
References .............................................................................................................................. 100
2

3. 3

4. CHAPTER 1
INTRODUCTION
Gold was first discovered as shining, yellow nuggets. "Gold is where you find it," so the
saying goes, and gold was first discovered in its natural state, in streams all over the world.
No doubt it was the first metal known to early hominids. Gold became a part of every human
culture. Its brilliance, natural beauty, and luster, and its great malleability and resistance to
tarnish made it enjoyable to work and play with.
There are lots of ways to go about investing in gold. Gold has shown to be quite a solid
investment for many years. It is one of those investments where people are happy they
elected for it most of the time. Even people who have never invested in anything in their lives
are putting their money in gold. They are driven by many different reasons to preserve their
wealth in this fashion. They can choose from any one of a number of different ways to invest
in this precious metal. Plenty of people choose to invest their money in diverse fashions so
that they can take advantage of the benefits of gold as well as the safety it provides.
The gold exchange traded fund is a burgeoning product to invest in gold. It has very positive
significance as foreign exchange, financial safety and avoiding inflation to a country. At the
same time, it is convenient to invest in gold exchange traded funds for small and mediumsized investors and extremely welcomed by market. However, most of the investors don’t
understand gold exchange traded funds. Exchange-Traded Funds (ETFs) were first
introduced in USA in 1993. About 60% of trading volumes on the American Stock Exchange
are reported to be from ETFs. ETFs are referred to as passive schemes that fund managers
resort to, to avoid risk and offer low-cost options to the investors. These funds rely on an
arbitrage mechanism to maintain the prices at which they trade, in line with the net asset
values of their underlying portfolios.
Exchange Traded funds (ETFs) are open ended index funds that are listed and traded on
exchanges like stock equity based on the price of metal. The first bonafide ETF was launched
in US in 1993, a tradable depositary receipt for a portfolio of index stocks held in a unit
investment trust. It was called the S&P Depositary Receipt, and it also tracked the S&P 500
Stock Index .The concept of Exchange-Traded Funds (ETFs) is very popular in foreign
countries, but in India, it is still in the initial growth phase. As Exchange-Traded Funds
4

5. started growing in India since 2006, the investment industry required performance analysis of
this newly available financial asset. Moreover, fund selection also requires investors to
analyze returns, volatility and performance of the available funds.
Performance of ETFs has been examined on the basis of their returns and risk characteristics.
On an average in India, ETFs grew at 37% annually during 2006 -2011. These funds also
generated excess returns of 3% p.a. as against CNX NIFTY, the Indian equity market’s bench
mark. Gold ETFs provided 13% excess returns as compared to the returns on the equity
market and attracted large investments in the post financial crisis years. In India, as on 31st
May 2011, there are 25 large funds which represent the most recent gold funds as well as
overseas fund of funds. The efficient funds were not found to be the large funds; however,
they offered higher returns and have higher Sharpe ratios.
According to the Association of Mutual Funds of India (AMFI) data, the Indian mutual fund
(MF) industry has been holding Rs. 6.75 trillion worth of assets over the past decade. On an
average, during 2006-2011, Indian ETFs comprised of only 1.4% of the total industry assets.
In comparison, in the US, ETFs comprise about 9% of the MF industry. This trend often
raises the query among the investors as to whether or not Exchange-Traded Funds (ETFs)
will be able to perform well in India. In 2001, Benchmark was the first company to launch
the first ETF in India - Nifty BeES, which was listed on the NSE for trade. In 2007,
Benchmark also launched the first Gold Exchange-Traded Fund. The growth rate in ETFs
was found to be higher than the industry growth rate during 2006 - 07. However, ETFs did
not continue to grow at that pace in the post financial crisis period. While in 2006-07, the
share of ETFs in the total industry was about 3%, it fell subsequently and the average is
around 1.4%.
Gold ETFs have gained greater significance as successful mean of investment in the last
decade. The recent global financial crisis increased the demand for gold hedge. The major
data of the world seven largest gold ETFs indicates that, the total holdings of the world's
seven largest golden ETFs are 1383.8 tons. The gold ETF (exchange-traded index funds)
provides a convenient way to the investors to intervene in the gold market. The purpose of
this study was to analyze the performance of ETFs in financial market, particularly the Gold
ETFs. The study is designed to serve as a tool for investors searching the opportunities in
gold ETFs.
5

6. 1.1 STATEMENT OF THE PROBLEM
Gold commodity exchange traded funds are a simple way to expose your investment strategy
to the performance of gold, without actually owning any gold products. There are many types
of gold ETFs. Often investors encounters difficulty to take apt investment decision in gold
fund. It is seen that investors fail to select proper gold fund for their portfolio .This study
aims to suggest suitable methods and evaluation for selecting proper gold fund for their
portfolio.
INDUSTRY PROFILE
The purpose of a stock exchange is to facilitate the exchange of securities between buyers
and sellers, thus providing a marketplace. it is important just like the networks for transport,
electricity and telecommunications function properly so is it essential that, for example,
payments can be transacted, capital can be saved and channeled to the most profitable
investment projects and that both households and firms get help in handling financial
uncertainty and risk as well as possibilities of spreading consumption over time. Financial
markets constitute an important part of the total infrastructure for every society that has
passed the stage of largely domestic economies The financial system performs three main
tasks: first, it handles transfer of payments; second, it channels savings to investments with a
good return for future consumption; and third, it spreads and reduces economic risks in
relation to the players targeted returns. The stock market is one of the most important sources
for companies to raise money. Experience has shown that the price of shares and other assets
is an important part of the dynamics of economic growth. Rising share prices, for instance,
tend to be associated with increased business investment and vice versa.
Indian stock markets are one of the oldest in Asia. Its history dates back to nearly 200 years.
Mainly there are two stock exchanges in India Bombay stock exchange (BSE) and National
stock exchange (NSE).
6

7. 1. Bombay Stock Exchange:
The Bombay Stock Exchange Limited popularly called BSE is the oldest stock exchange in
Asia It is located at Dalal street Mumbai. Bombay stock exchange was established in
1875.There are around 5000 Indian companies listed in the stock exchange.
As of July 2005, the market capitalisation of the BSE was about Rs.20 trillion i.e. US $ 466
billion. The BSE SENSEX is the short form of SENSitive indEX also called the BSE 30. It is
a widely used market index in India and Asia. As of 2005, it is among the 5 biggest stock
exchanges in the world in terms of transactions volume. Along with the NSE the companies
listed on the BSE have a combined market capitalisation of US$ 125.5 billion.In 1990 the
BSE crossed the 1000 mark for the first time. It crossed 2000, 3000 and 4000 figures in 1992.
The up-beat mood of the market was suddenly lost with Harshad Mehta Scam.
BSE Sensex
The BSE SENSEX also known as the BSE 30 is a value-weighted index composed of 30
scrips, with the base April 1979 = 100. The set of companies which make up the index has
been changed only a few times in the last 20 years. These companies account for around onefifth of the market capitalization of the BSE. Apart from BSE SENSEX, BSE uses other
stock indices as well.

BSE 500

BSEPSU

BSEMIDCAP

BSESMLCAP

BSEBANKEX
2. National Stock Exchange (NSE):
The National Stock Exchange of India (NSE) is one of the largest and most advanced stock
markets in India. The NSE is the world's third largest stock exchange in terms of transactions.
It is located in Mumbai. The National Stock Exchange of India was promoted by leading
Financial Institutions on behalf of the Government of India. It was incorporated in November
1992 as a tax-paying company. In April 1993 it was recognized as a stock exchange under the
Securities Contracts Regulation Act 1956. NSE commenced operations in the Wholesale
7

8. Debt Market (WDM) segment in June 1994. The Capital Market (Equities) segment of the
NSE commenced operations in November 1994.
NSE has remained in the forefront of modernization of India's capital and financial markets,
and its pioneering efforts include:

Being the first national, electronic limit order book (LOB) exchange to trade
securities in India. Because of the success of NSE the existent market and new market
structures have followed the "NSE" model.

Setting up the first clearing corporation "National Securities Clearing Corporation
Ltd." in India. NSCCL was a landmark in providing novation on all spot equity
market and later derivatives market trades in India.

Co-promoting and setting up of National Securities Depository Limited, first
depository in India.

Setting up of S&P CNX Nifty.

NSE pioneered commencement of Internet Trading in February 2000, which leads to
the wide popularisation of the NSE in the broker community.

Being the first exchange to trade ETFs i.e. exchange traded funds in India.

NSE brings an integrated stock market trading network across the nation.

Investors can trade at the same price from anywhere in the country since inter-market
operations are streamlined coupled with the countrywide access to the securities.

Delays in communication, late payments and the malpractice’s prevailing in the
traditional trading mechanism can be done away with greater operational efficiency
and informational transparency in the stock market operations, with the support of
total computerized network.
Currently NSE has the following major segments of the capital market:

Equity

Futures and Options

Retail Debt Market

Wholesale Debt Market
8

9. Wholesale debt market operations are similar to money market operations, institutions
and corporate bodies enter into high value transactions in financial instruments such as
government securities, treasury bills, public sector unit bonds, commercial paper,
certificate of deposit etc.
Indices
NSE also set up as index services firm known as India Index Services & Products Limited
(IISL) and has launched several stock indices, including:

S&P CNX Nifty

CNX Nifty Junior

CNX 100

S&P CNX 500

CNX Midcap
3. Other stock exchanges in India
Ahmedabad Stock Exchange
Bangalore Stock Exchange
Bhubaneswar Stock Exchange Association
Calcutta Stock Exchange
Cochin Stock Exchange
Coimbatore Stock Exchange
Delhi Stock Exchange Association
Gauhati Stock Exchange
Hyderabad Stock Exchange
Inter-connected Stock Exchange of India
Jaipur Stock Exchange
Ludhiana Stock Exchange Association
Madhya Pradesh Stock Exchange
Madras Stock Exchange
9

10. Mangalore Stock Exchange
Mumbai Stock Exchange
OTC Exchange of India
Pune Stock Exchange
Saurashtra-Kutch Stock Exchange
Uttar Pradesh Stock Association
Vadodara Stock Exchange
4. Stock market regulation.
It was well recognized that protection of investors calls for the regulation of issues of
securities and of markets where securities are traded. The securities market is sustained by
the confidence of the investors; the confidence of the investors that their invested capital will
not be subject to dishonest and unfair practices. An important objective of the regulation of
the securities market is thus protection of the investors from dishonesty, fraud and unfair
practices.
Securities markets in India have a hoary past, but in recent years they have gained importance
due to the rapid expansion in the quantum of funds raised and number of investors in the
primary market, the increase in the number of stock exchanges and listed stocks, the speedy
rise in capitalization and volume of trade and the entry of sophisticated investors such as
foreign institutional investors, collective investment schemes like mutual funds and finance
companies.
The principal legislations governing directly or indirectly the security markets Are the
Securities Contract (regulation) Act 1956 and the Securities Exchange Board of India Act
1992.
5. Securities and Exchange Board Of India (SEBI)
SEBI was established under the Securities Exchange Board of India Act in 1998 to regulate
and develop the growth of the Indian capital market. SEBI regulates the working of the stock
exchanges and intermediaries such as stock brokers and merchant bankers, accords approval
10

11. for mutual funds and register foreign institutional investors who wish to trade in Indian
scrip’s.
The guiding principles of the regulation are defined to include:
 Equality of treatment and opportunity to all the shareholders.
 Transparency in acquisition of shares.
 Protection of rights for small and minority shareholders.
 Avoidance of use of price sensitive information concerning a public offer by all
persons privy to confidential information for their own profit.
Since its inception SEBI has been working targeting the securities and is attending to the
fulfillment of its objectives with commendable zeal and dexterity. The improvements in the
securities markets like capitalization requirements, margining, establishment of clearing
corporations
etc.
reduced
the
risk
of
credit
and
also
reduced
the
market.
SEBI has introduced the comprehensive regulatory measures, prescribed registration norms,
the eligibility criteria, the code of obligations and the code of conduct for different
intermediaries like, bankers to issue, merchant bankers, brokers and sub-brokers, registrars,
portfolio managers, credit rating agencies, underwriters and others. It has framed bye-laws,
risk identification and risk management systems for Clearing houses of stock exchanges,
surveillance system etc. which has made dealing in securities both safe and transparent to the
end investor.
Another significant event is the approval of trading in stock indices (like S&P CNX Nifty &
Sensex) in 2000. A market Index is a convenient and effective product because of the
following reasons:

It acts as a barometer for market behavior;

It is used to benchmark portfolio performance;

It is used in derivative instruments like index futures and index options;

It can be used for passive fund management as in case of Index Funds.
Many players have entered the market for the distribution of financial products. These range
from small local financial advisors to large distribution companies with presence all across
the country. The companies that are in the financial services industry include IL&FS
11

12. Investsmart, Indiabulls, JM Financial Securities, Geojit Financial Services, JRG securities
Ltd, Fortis Securities etc.
Many of these have companies have come up with IPO’s in the last few years and some of
these companies are entering to new businesses. The turnover of these companies is on an
increasing trend since the capital market is on a buoyant phase. The companies are also going
for the distribution of new products.
Several banks have also begun the business of distribution of these products through their
branches or have established separate divisions to handle this operation. At present Foreign
Institutional Investors (FII) are investing in Indian stock market in a large way. The booming
economy with high GDP growth is attracting FIIs to Indian market. All these are good
indicators for the financial services industry.
COMPANY PROFILE
Capstocks is a professionally managed stock broking company having an unblemished and
unparalleled service history of more than 23 years and a vibrant tradition of trust, loyalty and
reliability. Capstocks was started by Rajendran.V, the present Managing Director of the
company, in the year 1989. Capstocks is having both online and offline trading facilities. It is
the first ISO 9001:2008 certified stock broking firm in India for all services in stock broking
and allied activities.
Capstocks has about 180 outlets in various states of India . Capstocks is a member of the
National Stock Exchange of India (NSE), Bombay Stock Exchange (BSE), MCX Stock
Exchange (MCX-SX), Depository Participant with the Central Depository Services (CDSL)
and a SEBI-registered Portfolio Manager.
Capstocks also offers commodity services through its subsidiaries Capstocks Finanacial
Services Ltd which is a member of the Multi-Commodity Exchange of India (MCX) and
Capstocks Commodities Pvt Ltd which is a member of National Commodity Derivative
Exchange (NCDEX), National Multi-Commodity Exchange of India Ltd (NMCE) and
National Spot Exchange of India Ltd (NSEL).
12

13. Management
The Company's Management rests on:
• Rajendran. V. (Chairman & Managing Director) Engineer by profession, with in-depth
knowledge and experience in market analysis.
• Leela Jeyakumar (Director) Post Graduate with over 18 years experience in stock broking
and the in charge of company's Tamil Nadu operation since 1992.
• Meera Sahib. B (Director) Post Graduate with LLB & CAIIB and 28 years of experience in
officer / executive cadre in a major Public Sector Bank
• Amjad Hydari (Vice President) Post Graduate with more than 14 years experience in
various functions of the equity market brokerage.
•Other Directors
Srinivasan S.IAS. (Director) Former Labor Commissioner and District Collector. Presently,
Chairman and Managing Director, ODEPEC.
Prema Rajendran (Director) Graduate in Commerce with more than 12 years experience.
Rajeev Pillai (Executive Director) Engineer By Profession with wide exposure to
International business organisations and consulting firms. Currently heading the North &
West India Operations of Capstocks with head quarter at Mumbai.
Besides we have an excellent pool of trained & dedicated professional staff, three fourth of
them are certified by NCFM, NISM, BCSM, BCDM Examinations.
Services offered
1. Online trading
Capstocks has a network of branches with online terminals of NSE and BSE in the Capital
market and Derivative segments. Our clients are assured of prompt order execution through
dedicated phones and expert dealers at our offices.
2. Internet trading
Capstocks offers Internet trading through this site. You can trade through the Internet from
the comforts of your office or home, anywhere in the world. Our dedicated IT systems ensure
service up time and speed, making Internet broking through Capstocks hassle-free.
13

14. Using the 'easiest' facility provided by CDSL, our clients can transfer the shares sold by them
online without delivery instruction slips. Additionally, digitally signed contract notes can be
sent to clients through E-mail.
3. Depository Services
Capstocks is a member of the Central Depository Services Limited (CDSL), offer depository
services with minimum Annual Maintenance Charges and transaction charges. Account
holders can view their holding position through the Internet. We also offer the " e asi est "
facility provided by CDSL (electronic access to securities information and execution of
secured transaction ) through which clients can give delivery instructions via the Internet.
4. Derivative Trading
We offer trading in the futures and options segment of the National Stock Exchange(NSE).
Through the present derivative trading an investor can take a short-term view on the market
for upto a three months’ perspective by paying a small margin on the futures segment and a
small premium in the options segment. In the case of options, if the trade goes in the opposite
direction the maximum loss will be limited to the premium paid.
5. Knowledge Centre
Knowledge Centre activities are intended to provide systematic and structured services
mainly to new investors and also to young aspirant aiming for a career in financial markets.
The centre has three functional areas: the publication Division, the Training centre, and
wealth management advisory service which provide complete investment solutions to
investors through knowledge based personalized service.
6. Equity Research Department
We have a full-fledged Investment Research & Analysis Department to help our clients to
make investment decisions. Our clients can get information on any share they hold or plan to
purchase. We publish a monthly newsletter' CAPSTOCKS INFOLINE ' , which contains our
views on the latest trends in the markets, scrip recommendation, tutorials, news items etc. We
14

15. also issue a daily newsletter, ' CAPS TREND ', which is available in our site . Besides we
give intraday calls by SMS, chat, etc. You can avail yourself of this service by calling :+91471-2468160, 4013887
7. Portfolio Management services
Capstocks is a SEBI-approved portfolio manager offering discretionary and non-discretionary
schemes to its clients. Capstocks’ portfolio management team keeps track of the markets on a
daily basis and is exposed to a lot of information and analytic tools which an investor would
not normally have access to. Other technicalities pertaining to shares like dividends, rights,
bonus, buy-back, Mergers and Acquisitions are also taken care of by us. Maximize your
returns by opting for our PMS scheme. Please Call +91-471- 4013887,4013882
8. Commodity Trading
You can trade in commodity futures like gold , silver, crude oil , rubber etc. and take
advantage of the extended trading hours (10 am to 11 pm ) in commodities trading. Do,
please Call +91-471- 4013891,9847917187.
9. Mutual Funds, Bonds etc.
We also offer Mutual Funds and Bonds. You can select from a wide range of Mutual Funds
and Bonds available in the markets today. You can get the service by Calling : +91-4714013885,4013886,98473 19187.
10. NRI CELL
We have a well-organized NRI Cell functioning exclusively to meet the requirements of our
clients residing outside India. We are committed to provide them timely assistance by placing
their orders, giving them valuable suggestions concerning their investments etc. Also we help
those NRI’s who desire to open accounts on repatriation basis. Facilities are offered to those
clients who are interested in Internet trading by activating it, in co-ordination with the etrading department.
15

16. 11. Currency Trading
Capstocks is a member of currency derivatives segment of National Stock Exchange (NSE)
and MCX Stock Exchange (MCX-SX). Currency Derivatives are a new asset class which was
earlier not permitted for trading to all Indian residents. Currently the trading is based on four
underlying currencies viz., US Dollar, Euro, Pound sterling, Japanese Yen. Please Call +91471-4093343, 09961886876.
12. Pan Service Agent of UTI
Capstocks & Securities (India) Pvt. Ltd. has become authorized PAN card service agent
(PSA) of UTI. Now pan applications can be submitted to any of the following offices, in
addition to Head office.( Sasthamangalam, Sreekaryam, Technopark, and Pattom, in
Trivandrum)
Kollam,
Alappuzha,
Thiruvalla,
Ernakulam,
Thrissur,
Irinjalakkuda,
Thodupuzha, Calicut, Chennai RO, Mangalore, Navi Mumbai, and Nagercoil RO. Capstocks
offers this value added service to our privileged customers, existing as well as new customers
at nominal processing charges.
* Through subsidiary company Capstocks Financial Services Ltd
ISO Certification
Capstocks has become the first ISO 9001:2008 brokerage in India to get certification for all
stock broking and related financial service activities including Cash Markets, Derivatives,
Internet Trading, Depository Services, Portfolio Management Services, Equity Research and
Analysis, NRI Client Cell and Mutual Funds. The certification was obtained from the
renowned United Kingdom Accreditation Services (UKAS), based on the Assessment by
Moody International Certification Group through ICL Certifications Ltd.
The certificate was handed over at a function held in Trivandrum. Mr. Ashok Kumar Rout,
Chief Operating Officer of the Bombay Stock Exchange Ltd., was the Guest of Honour on
the occasion. Mr. Rajendran V, our Managing Director, received the certificate from Mr.
Uwe Saelzle, Director of Moody International Certification Group, Germany, in the presence
16

17. of Mr. Sanjeev Chadha, CEO, ICL Certifications Ltd., handling the Indian operations of the
Moody International Certification Group.
Mr. Dilip Jacob Mathew, our Vice President, handled ISO 9001:2008 implementation as the
Management Representative with assistance from Ms. Sangeetha, Sr. Executuve (QMS), and
Mr. M. Pradeep Kumar, Management Systems Consultant and Trainer. A dedicated team of
Managers and Executives, trained as Internal Quality Auditors in Capstocks, was involved in
the Internal Assessments and improvement processes.
Commenting on the certification, Rajendran V, our Managing Director said “We spent nearly
15 months to complete the ISO 9001:2008 certification process. There is a sea change in the
organizational efficiency and day-to-day operations in our Company. The process flow and
our organizational structure from top to bottom have been totally streamlined and the benefits
will definitely be reflected in offering better services with the utmost satisfaction to our
clients. As a result of ISO 9001:2008 implementation programme, Capstocks - having 75
branches covering India and else where - has been able to improve continually its systems,
processes and procedures at the Head Office and its Branches with better review mechanisms.
With the ISO 9001:2008 recognition under our belt, Quality of Documentation and
Communication has improved. Capstocks will maintain the Quality Management System and
also continually improve the quality of service through regular Management Reviews and
Internal Quality Audits. As part of this project, emphasis is being given to imparting effective
training and retraining for Capstocks Team Members and systematic analysis of activities.
Capstocks Knowledge Centre Inaguration
Capstocks has envisioned a series of programmes to spread awareness of the financial sector
among its investors and the public, through the ‘Capstocks Knowledge Centre’ which was
inaugurated by Shri. R.K. Nair, Executive Director, SEBI. Capstocks has been organizing
awareness sessions on the financial sector – especially related to the stock market – for
investors, students and everyone with an interest in the market. With the launch of knowledge
Centre, we intend to provide systematic and structured service mainly to new investors and
also to young aspirants aiming for a career in financial markets. This Centre which is
presumed to be the first of its kind in India providing a comprehensive knowledge – based
service to investors for all their investment needs shall have its headquarter at Trivandrum.
17

18. The booming Indian economy and the varied options in the investment scenario have
definitely attracted people’s attention but most people do not have a basic understanding of
the sector and hence, they are unable to take advantage of many investment and job
opportunities. The Capstocks Knowledge Centre has three functional areas: the publication
division, the training centre and the wealth management service.
1.2 RESEARCH METHODOLOGY
Financial research can be a systematic and organized effort to investigate into a
problem encountered in the investment scenario. It comprises a series of theoretical
concepts designed and executed, with the goal of finding answers to the issues that are
of concern to the manager and the work environment. The first step in the process is to
identify the problem areas that exist in the selection of securities. Once the problem is
clearly identified the next step is to gather information analyze the data, and determine
the factors that are associated with the problem and solve it by taking necessary
corrective actions. The entire process by which we attempt to solve the problem is
called research. Thus research involves a series of well thought out and carefully
executed actions that will enable the manager to know how organizational problems
can be solved. Research thus encompasses the process of enquiry, investigation,
examination and experimentation. These processes are to be carried out critically,
objectively, and logically.
1.21 OBJECTIVES
Primary objective
 To find out the performance of various gold fund.
Secondary Objective
 To evaluate growth and decline of gold fund.
 To analyze risk associated with gold fund.
 To find out most promising gold fund.
 To study on interrelationship between stock return and market return of gold fund.
18

19. 1.2.2 METHODOLOGY OF THE STUDY
The project is designed as analytical in nature to know and familiarize with gold fund
and other shares to Indian investors and its related implications in the share market.
Research methods and techniques that are found suitable are used for conducting this
research. It helped in arriving at solutions by analyzing and relating available data
with unknown aspects of the problem.
1.2.3 RESEARCH DESIGN
Research design stands for the framework of research. The research design utilized in this
study is analytical. For that various statistical tools as well as Microsoft excel tools are being
used here.
1.2.4 STATISTICAL ANALYSIS TOOLS USED
 TREND RATIO
Trend signifies tendency. Therefore, review and appraisal of tendency in accounting
variables is simply called trend analysis. It can be calculated with the formula
Current period x 100
Base period
 CORRELATION COEFFICIENT
Co- efficient of correlation is an algebraic method of measuring the correlation. Under
this method, we measure correlation by finding a value known as co-efficient of
correlation using an appropriate formula
Formula =
r=
n ∑xy - ∑x x∑ y
____________________________
√n∑x2- (∑x2) √n∑y2 – (∑y2)
19

20.  STANDARD DEVIATION
Standard deviation (represented by the symbol σ) shows how much variation or
"dispersion" exists from the average (mean, or expected value). It can be calculate with
the formula
=
x2
n
x
n
2
 BETA
Beta is a statistical tool which measures the systematic risk associated with a security.
This can be done with the formula
β=
nxy - (x . y)
nx2 – (x)2
 SHARP INDEX
The Sharp Ratio or Sharp Index is a measure of the excess return per unit of risk in an
investment asset or a trading strategy. The Sharp Ratio is used to characterize how well
the return of an asset compensates the investor for the risk taken. When comparing two
asset each with the expected return Rf, the asset with the higher sharp ratio give more
return for the same risk. Investors are often advised to pick investments with higher Sharp
ratios.
Sharp index
=
Rp – Rf
20
× 100

21.  TREYNOR INDEX
The TREYNOR Ratio is a measurement of the returns in excess of that which could have
been earned on a riskless investment. It is also known as reward to volatility ratio. The
ratio related excess return over the risk free rate to the additional risk taken. However,
systematic risk invested of total risk is used. The higher the ratio the better the
performance under analysis.
Treynor index
=
Rp – Rf
× 100
β
 MARKET VALUE
Market value / Market price is economic price for which a good or service is offered
in the market place. It is of interest, mainly in study micro economics. Market value
and Market price are equal only under conditions of market efficiency, equilibrium
and national expectations.
1.2.5 PERIOD OF THE STUDY
The study is conducted for a period of 30 days commencing from 11 th February 2013
to 15th April 2013. Data collected is for a period of 1st January to 30th March.
1.2.6 DATA SOURCES
For carrying out the study, both primary and secondary data are required. The methods of
data collection are as follows:
 Primary Data
Primary data are those data which are collected for the first time and this is happen to be
original in character .Here primary data was collected through direct personal interview with
research heads and other officials of Capstocks.
21

22.  Secondary Data
Secondary data involves the existing information available for the study. It comprises of :
 Details were obtained from company files ,records and documents
 Various published books, journals and news papers
 Web pages of NSE, BSE
1.3 SIGNIFICANCE OF STUDY
The study intended for a period of one month from March 11 to April 15, 2013. This study
will help to understand the performance of gold fund. Number of first-time investors look at
gold as the only way to preserve their wealth in a period before inflation sets in. It's
important for investors to familiarize themselves with the differences between products
to ensure they are making appropriate investment decisions. Gold fund is a mutual fund
or exchange-traded fund (ETF) that invests primarily in gold-producing companies or
gold bullion.
1.4 LIMITATION OF THE STUDY
 Research is done on the historical data collected from NSE
 Due to time constraints other strategies. could not be studied
 Brokerage cost are not taken into consideration
 Taxes are not taken into consideration.
1.5 CHAPTERIZATION
The report is made up of following chapters
Chapter 1: Introduction
Chapter 2: Literature review
Chapter 3: Data collection and analysis
Chapter 4: Findings & Recommendations
Chapter 5: Conclusion
22

23. CHAPTER 2
LITERATURE REVIEW
2.1 ETFs’ Performance Across Countries
The existing evidence in the literature on performance of ETFs is mixed. While there were
many papers reporting negative performance of ETFs, there were others that presented strong
positive evidence about the performance of ETFs.
Adjei Frederick (2009) found no significant difference between the performances of the ETFs
and the S&P 500 index. He found weak evidence of performance persistence on both the
half-yearly and the yearly horizons. Johnson (2009) reported the existence of tracking errors
between foreign ETFs and the underlying home index returns. Blitz David et al. (2010)
investigated the performance of index mutual funds and the ETFs that are listed in Europe.
They found that European index funds and ETFs underperform their benchmarks by 50 to
150 basis points per annum. William (2009) found the existence of tracking errors between
foreign ETFs and theunderlying home index in US.
Blitz David and Huij (2011) evaluated the performance of ETFs that provide passive
exposure to global emerging markets (GEM) equities and found that GEM ETFs exhibit
higher tracking error. Houweling (2011) found that treasury ETFs were able to track their
benchmark but investment grade corporate bond ETFs and high yield corporate bond ETFs
underperform their benchmarks. Charupat & Miu (2011) analyzed the performance of
leverage ETFs, and concluded that price deviations are small among leverage ETFs and that
price volatility is more, as a result of rebalancing, at the end of the day.
Patrick (2011) found that in Hong Kong the magnitude of tracking errors is negatively related
to the size but positively related to the expense ratio of the ETFs. He further commented that
replicating the performance of underlying securities involves more risk, since they have a
higher tracking error than in the US and Australia.
23

24. Chang and Krueger (2012) investigated the performance of Exchange-Traded Funds and
Closed-End Funds over the 2002 to 2011 period. They studied investment results such as
returns, risks and risk-adjusted returns and found that though ETFs have significantly lower
expenses, their performance is statistically worse than those of close-ended funds.
On the contrary, there was equal evidence of positive performance of ETFs. Ching-Chung
et.al. (2005) indicated that the Taiwanese ETF and, the Taiwan Top 50 Tracker Fund (TTT)
are price efficient and trading on them produces almost identical returns to the Taiwan stock
market. Joel et al. (2006) compared the risk and return performances of ETFs available for
foreign markets and closed-end country funds. They found higher mean returns and Sharpe
ratios for ETFs, and concluded that a passive investment strategy through ETFs is observed
to be superior to an active investment strategy using closely held country funds.
Huang and Guedj (2009) investigated as to whether an Exchange-Traded Fund (ETF) is a
more efficient indexing vehicle than an Open-Ended Mutual Fund (OEF). They noted that
ETFs are better suited for narrower and less liquid underlying indexes, and also for investors
with long investment horizons. Jack et al. (2009) indicated that the US ETFs are more likely
to trade at a premium than at a discount, with comparatively large daily price fluctuations.
Gerasimos (2011) found that ETFs trade at a premium from their Net Asset Value (NAV) and
the pattern of their returns can be predicted.
Meric et al. (2009) reported that from October 9, 2007 to March 9, 2009, the U.S. stock
market experienced the worst bear market and lost about 56% of its value during this period.
They compared the performances of 38 sector index funds using the Sharpe and Treynor
portfolio performance measures and found that the healthcare and consumer staples sector
index funds had the best performance and the financials and home construction sector index
funds had the worst performance in the October 9, 2007-March 9, 2009 bear market run.
Wong and Shum (2010) examined the performances of 15 worldwide ETFs across bearish
and bullish markets over the period 1999 to 2007. They observed that ETFs always provide
higher returns in a bullish market than in a bearish market. They noted from the Sharpe ratios
that ETF returns are not positive and proportional to the market volatility.
24

25. Yuexiang et al. (2010) investigated the pricing efficiency of the Shanghai 50 ETF (SSE 50
ETF), the first Exchange-Traded Fund (ETF) in China. They demonstrated that ETF market
prices and their Net Asset Values are co-integrated and there is a unidirectional causality
from price to NAV. They also found that the fund’s prices did not closely follow the NAV
during the second half of 2007, when the Chinese stock market experienced substantial
volatility, reflecting sudden increased market risks as well as potential arbitrage opportunities
during financial turbulences. Gerasimos (2011) found that the performance of ETFs is
predictable and the return superiority is persistent in the short term level. This mixed
evidence about performance of ETFs across developed as well as emerging economies
warrants and motivated the present research about the performance of ETFs in India.
2.2 Mutual Fund Performance in India
There are many research papers on the Indian mutual fund (MF) industry. Sivakumar et al.
(2010) observed that private players were able to mobilize greater resources in the Indian MF
industry than public institutions. Jaspal Singh (2004) evaluated the performance of various
mutual funds and found that ICICI prudential floated and managed by a private AMC is the
best performer in India. Madhumita et al. (2008) evaluated the performance of mutual funds
on the basis of rate of returns as well as risk-adjusted methods, and found that the majority of
equity funds outperformed the benchmark index. Most of these studies evaluated the growth
and performance of equity funds, but there is no paper on Exchange-Traded Funds in India.
A company that collected money from a group of people with common investment objectives
to buy different securities is called mutual fund. The collected holding of these securities was
known as its portfolio Mark (2007). According to Teri (2007) mutual fund is a professional
investment company which managed collection of stocks, bonds, or other securities owned by
a group of investor. Each mutual fund had a fund manager who purchased and sold the fund’s
investment according to the fund goals. Fund managers were responsible to analyze the
economic conditions, industry trends, government regulations and the impact on stocks
before selecting the securities for investment.
Mutual funds provided investment facility to the small investors who cannot afford to invest
the large sums of money Teri (2007). Basically these small investors invested money into a
common fund and handover the investment decision to fund manager. Many people often
25

26. regard the beginning of Foreign and Colonial Government Trust as the beginning of modern
day mutual funds. But the beginning of mutual funds dates back to Seventeenth century when
the first "pooling of money" for investments was done in 1774. Following the financial crisis
of 1772-1773 a Dutch merchant Ketwich invited investors to come together to form an
investment trust under the name of Eendragt Maakt Magt David (2007). The purpose of the
trust was to provide diversification at low cost to the small investors.
In order to spread risk, the fund invested in various countries such as Austria, Denmark,
German States, Spain, Sweden, Russia etc. In 18th century Amsterdam Stock Exchange had
only a small number of listed equities due to which the trust invested only in bonds. However
after war with England many colonial bonds defaulted due to which there was sharp decline
in the investments. As a result, share redemption was suspended in 1782 and later the interest
payments were decreased too. The fund was no longer attractive for investors and vanished.
These early mutual funds before heading to the United States took root in England and
France in the 1890s. On the other hand “Massachusetts Investors' Trust of Boston” was the
first open-end fund Formed in 1924. The growth of pooled investments was hampered by
stock market crash of 1929 and the Great Depression but Securities Act of 1933 and
Company Act of 1940 restored investor’s confidence and industry witnessed steady growth
after that.
Several measures are used in the literature on mutual fund performance evaluation but there
is (still) a large controversy around them. Some of the important risk-adjusted techniques
include the Sharpe (1966) measure, the Treynor (1965) measure and the Jensen (1968)
measure. These measures were frequently called traditional measures of performance
evaluation and were based on the idea that the combination of any portfolio with the risk-free
asset is located in the expected return or beta space. The Jensen measure has been the most
commonly used performance measure in academic and non-academic empirical studies. On
the other hand Sharpe’s reward-to-variability ratio was also very popular and was frequently
used by the researchers. Some of the empirical work on the performance of mutual funds was
given below.
Sharpe (1966) introduced the measure to evaluate the mutual funds’ risk-adjusted
performance. The measure was known as reward-to-variability ratio (Currently Sharpe
Ratio). With the help of this ratio he evaluated the return of 34 open-end mutual funds in the
26

27. period 1945-1963. The results showed the capital market was extremely efficient due to
which majority of the sample had lower performance as compared to the Dow Jones Index.
Sharpe (1966) found that from 1954 to 1963 only 11 funds outperformed the Dow-Jones
Industrial Average (DJIA) while 23 funds were outperformed by the DJIA. Study concluded
that the mutual funds were inferior investments during the period.
Previously two- and three-moment analyses were used to analyze the mutual fund
performance relative to market performance. But Joy and Porter (1974) applied first-, second, and third-degree stochastic dominance principles to investigate the same question. Study
suggested that the proper test of mutual fund performance relative to the market (DJIA) is a
test employing stochastic dominance principles. Such a test necessitates a pair wise
comparison between each fund and the DJIA. Therefore Joy and Porter (1974) collected the
performance data for the 34 funds analyzed by both Sharpe (1966) and Arditti (1971) for the
ten-year period 1954-1963. Price and dividend data were also collected for the DJIA over the
same period. Study supported the earlier Sharpe (1966) study and opposed the Arditti (1971)
work and concluded that mutual fund performance was inferior to market performance over
the period 1954-1963.
In today’s financial markets exchange traded funds (ETFs) are considered a highly valuable
mean of investment. The ETFs has emerged as most successful innovation and ETFs industry
shown rapid growth in last decade, with a 5-year average annual growth rate of 33 percent
(Schuster, 2008). Fuhr (2001) described that almost two or three ETFs are on the list of the
top five most actively traded stocks in the AMEX. ETFs are an extremely successful form of
basket securities, which enable investors to trade a portfolio easily and quickly in a single
transaction. Further, exchange traded funds permit investors to obtain the benefits of portfolio
diversification and track the performances of underlying indexes without incurring high
transaction costs (Lin et al, 2006).
S.Narayan Rao , et. al., evaluated performance of Indian mutual funds in a bear market
throughrelative performance index, risk-return analysis, Treynor’s ratio, Sharpe’s ratio,
Sharpe’smeasure , Jensen’s measure, and Fama’s measure. The study used 269 open-ended
schemes (outof total schemes of 433) for computing relative performance index. Then after
excluding fundswhose returns are less than risk-free returns, 58 schemes are finally used for
further analysis. Theresults of performance measures suggest that most of mutual fund
27

28. schemes in the sample of 58were able to satisfy investor’s expectations by giving excess
returns over expected returns basedon both premium for systematic risk and total risk. Bijan
Roy, et. al., conducted an empiricalstudy on conditional performance of Indian mutual funds.
This paper uses a technique calledconditional performance evaluation on a sample of eightynine Indian mutual fund schemes .This paper measures the performance of various mutual
funds with both unconditional and conditionalform of CAPM, Treynor- Mazuy model and
Henriksson-Merton model. The effect of incorporating lagged information variables into the
evaluation of mutual fund managers’ performance is examined in the Indian context. The
results suggest that the use of conditioninglagged information variables improves the
performance of mutual fund schemes, causing alphasto shift towards right and reducing the
number of negative timing coefficients. Mishra, et al.,(2002) measured mutual fund
performance using lower partial moment. In this paper, measuresof evaluating portfolio
performance based on lower partial moment are developed. Risk from thelower partial
moment is measured by taking into account only those states in which return is below a prespecified “target rate” like risk-free rate. Kshama Fernandes(2003) evaluated indexfund
implementation in India. In this paper, tracking error of index funds in India is measured.The
consistency and level of tracking errors obtained by some well-run index fund suggests thatit
is possible to attain low levels of tracking error under Indian conditions. At the same
time,there do seem to be periods where certain index funds appear to depart from the
discipline of indexation. K. Pendaraki et al. studied construction of mutual fund portfolios,
developed a multi-criteria methodology and applied it to the Greek market of equity mutual
funds. Themethodology is based on the combination of discrete and continuous multi-criteria
decision aidmethods for mutual fund selection and composition. UTADIS multi-criteria
decision aid methodis employed in order to develop mutual fund’s performance models. Goal
programming model isemployed to determine proportion of selected mutual funds in the final
portfolios.
Exchange Traded funds (ETFs) are open ended index funds that are listed and traded on
exchanges like stockequity based on the price of metal. Ferri (2007) defined ETFs as “ETFs
are baskets of securities that are traded, like individual stocks, through a brokerage firm on a
stock exchange.” The first bonafide ETF was launched in US in 1993, a tradable depositary
receipt for a portfolio of index stocks held in a unit investment trust. It was called the S&P
Depositary Receipt, and it also tracked the S&P 500 Stock Index (Lofton, 2007). However in
China the first ETF was launched in 2004. Since then ETFs have become a key innovation in
28

29. the Chinese exchange based markets (Hsu et al, 2009). Presently, there are five ETF listings,
and assets under management for the five ETFs are USD 5.2 billion (Hsu et al, 2009). ETF
are mainly in Gold, Silver, Platinum and Palladium. However, the focus of this study was
Gold ETFs.
Gold ETFs have gained greater significance as successful mean of investment in the last
decade. The recent global financial crisis increased the demand for gold hedge. The value of
gold holdings with trading exchanges has continued to increase since last decade. The major
data of the world seven largest gold ETFs indicates that, the total holdings of the world's
seven largest golden ETFs are 1383.8 tons. At the same time in order to hedge the stock
market turmoil, the housing market problems are constantly emerging, and other credit
crunch in the area, due to which the demand for gold gradually increased. The gold ETF
(exchange-traded index funds) provides a convenient way to the investors to intervene in the
gold market.
2.3 Gold ETF Overview
Gold ETFs are defined in several ways. According to Bang (2009) gold ETF is basically an
open-ended mutual fund that invests in standard gold bullion as its underlying asset. It is also
known as paper gold. These instruments are listed on the stock exchanges and, hence, can be
bought and sold just like buying and selling of shares.The first gold exchange-traded fund
was launched in March 2003 on the Australian Stock Exchange (Bloomenthal, 2008). In U.S.
the Gold ETF trading began on the New York Stock Exchange (NYSE) in 2004. These ETFs
are traded under the symbol “GLD”. Different people define and perceive GLDs differently.
Some people perceive that they will own physical gold by investing in the shares of Gold
ETFs. However, it’s not the right perception. The objective of GLDs is not to provide
investors with the opportunity to own gold bullion by investing in the shares of gold ETF.
Rather, gold ETFs are designed to track the price of gold. Gold ETF Index Fund is a kind of
gold-based assets. It tracks the gold price and each share represents one-tenth of an ounce of
gold. With transaction convenience, storage security, transaction costs and low liquidity,
transparency of transactions and many other investment advantages, gold ETF has become
widely accepted.
29

30. Jill Leyland Economic Advisers to World Gold Council said that the unlimited potential of
gold ETF is of high interest for those countries who have not yet introduced such products.
He further pointed out that, in addition to insurance funds, other agencies such as public
funds, sovereign wealth funds, investment to gold ETF's also raise the demand for gold.
Nedeljkovic (2005) described that Gold ETFs, compared to some other structured products,
are very simple structures. He further, described that there is no credit risk and investment in
Gold ETFs is accessible and simple. Gold ETFs are listed on a stock exchange, quoted in
local currency, with no minimum investment. The other considerable characteristics of Gold
ETFs are their cost effectiveness, security, and high liquidity (Nedeljkovic, 2005).
Several studies have been conducted about ETFs, their trading characteristics and benefits
(Gallagher and Segara, 2005; Jares and Lavin, 2004 and Kostovetsky, 2003). Milonas and
Rompotis (2006) conducted a study on the performance and the trading characteristics of the
ETFs. Gastineau (2001) described the origin, main types and the benefits of ETFs. Carty
(2001) confers several characteristics of ETFs like flexibility, convenience, risk
diversification, tax efficiency and cost advantages.
2.4 The Status of the Global Gold ETF
Currently, ETF demand for gold has become the fastest growing area; its growth rate is
higher than jewellery and industrial consumption. The demand for gold ETFs and similar
products is rapidly increasing over the time. According to statistics, the first gold ETF since
its inception in March 2003, approximately attracted 180 billion U.S. dollars investment,
which is equivalent to 650 metric tons of gold, accounting for 10 percent of the world's total
demand. During this period, the price of gold also rose to almost double. Before the
introduction of the gold ETF there was no direct involvement in commodity markets to hedge
the risk of the stock and bond markets. At that time the main investment was through the
purchase of gold stocks and funds to hedge risk, but such ways that lacks transparency,
liquidity, and also bear gold mine operations and the risk of mismanagement. Ross Norman
(2010) an internationally known gold analyst at The Bullion Desk, said gold ETF market has
greatly improved its availability in a short time. The first gold ETF listed on the Australian
Stock Exchange (ASX) launched under the symbol “GOLD”, has made a very good
introduction to the sales, just in June raised on 340 million ounces of gold, this also attracted
the international community to the gold ETF. As the New York Stock Exchange's successful
30

31. listing Street TRACKS Gold Shares, gold ETF open a prelude to a rapid development. Since
then, the United Kingdom, South Africa, Switzerland, India and other countries also have
launched similar products; table 2 indicates the major gold ETFs traded in the world. Gold
ETF trading gold on the widened channels, one hand improved the international market gold
demand, and on the other also expands the market capacity.
China is the world's largest gold producer and second largest consumer. Gold production in
China is mainly concentrated in Shandong, Henan, Fujian, Liaoning, Hunan, Shaanxi and
other places. At present the prices in China's gold market, are gradually align with the
international gold market. In 2007 China's output of 276 tonnes of gold, made it the world’s
largest for the first time following South Africa which produced 272 tonnes (Mathews, 2008).
With the continuous improvement of people's living standard, China's gold consumption
maintains sustained growth, in 2008-09. China is the world’s second-largest consumer of
gold after India with last year’s consumption of 427.5 tonnes (Subramani, 2010). China’s
gold reserves also show an increasing trend and reach to 1054 tonnes in 2009. However the
gold share of national foreign exchange is still very small at 1.5 percent and US dollar and
securities reserves are quite high.
31

32. References
Adjei, F., (2009). Diversification, Performance, and Performance Persistence in ExchangeTraded Funds, International Review of Applied Financial Issues and Economics, 1(1).
Anderson, R. I., Brockman C. M., Giannakos, C., & McLeod, R. W., (2004). A NonParametric Examination of Real Estate Mutual Fund Efficiency. International Journal of
Business and Economics, 3(3), 225-38.
Ching-Chung, L., Shih-Ju, C., & Hsinan, H., (2005). Pricing efficiency of exchange traded
funds in Taiwan. Journal of Asset Management, 7(1), 60–68.
Gerasimos, G., & Rompotis., (2011) Does premium impact Exchange-Traded Funds’ returns?
Journal of Asset Management, 11, 298–308.
Gerasimos, G., & Rompotis.,(2011). Predictable patterns in ETFs’ return and tracking error.
Studies in Economics and Finance, 28(1).
Ioannis, E., & Tsolas. (2011). Natural Resources Exchange Traded Funds: Performance
Appraisal using DEA Modeling. Journal of Centrum Cathedra, 4(2), 250-259.
Jaspal, S. (2004). Growth, Performance and Prospects of Mutual Funds in India. Finance
India, 18(4), 1755-1760.
Joel, T., Harper, A., Jeff, M., & Oliver, S. (2006). Performance comparison between
exchange-traded funds and closed-end country funds. International Financial Markets,
Institution and Money, 16(2), 104–122.
Madhumita Chakraborty, P., Jain, K., & Vinay, K. (2008). Mutual funds performance: An
evaluation of select growth funds in India. South Asian Journal of Management, 80(4), 80-92.
32

33. Sivakumar, K. P., Rajmohan, S., Sezhiyan, D. M., & Narasimhulu, S. (2010). Performance
Evaluation of Mutual Fund Industry in India. Vidwat:The Indian Journal of Management,
3(1), 26-32.
Gallagher, R. D. and Reuben S. (2005). The Performance and Trading Characteristics of
Exchange-Traded Funds. Working paper, The University of New South Wales.
Gastineau, G. (2001). Exchange-Traded Funds: An Introduction. Journal of Portfolio
Management, 27, 88-96.
Hsu, J., Li, F., Ma, Z., Song, H., and Y. Pang. (2009). The development of the ETF market in
China.Institutional Investor Journals, 150-154.
Jares, E. Timothy and Angeline M. Lavin. (2004). Japan and Hong Kong Exchange- Traded
Funds (ETFs): Discounts, Returns, and Trading Strategies. Journal of Financial Service
Research, 25(1), 57-69.
Kostovetsky, L. (2003). Index Mutual Funds and Exchange-Traded Funds. Journal of
Portfolio Management, 29, 80-92.
Lin, C.C., Chan, S.J., and H. Hsu. (2006). Pricing efficiency of exchange traded funds in
Taiwan. Journal of Asset Management, 7(1), 60–68.
Lofton Todd. (2007). Enter the Exchange-Traded Fund. Exchange Traded Funds, John Wiley
and Sons Inc. 5-6.
Nedeljkovic, V. (2005). The Impact of ETFs on the Gold Market. The LBMA Precious Metals
Conference 2005, Johannesburg, 127-130.
Schuster A. J. (2008). ETFs: The Next 10 Years. Global Exchanges & ETFs Report, 34-35.
.
33

34. CHAPTER 3
DATA COLLECTION AND ANALYSIS
Table 3.1
BIRLA SUN LIFE GOLD ETF
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
3045
3022
30860
30896
-0.75534
0.116656
-0.08811 0.013609
7-Jan-13
3022
3010.05
30896
30890
-0.39543
-0.01942
0.007679 0.000377
11-Jan-13
3010.05
3015
30890
30738
0.164449
-0.49207
-0.08092 0.242132
17-Jan-13
3015
3030
30738
30713
0.497512
-0.08133
-0.04046 0.006615
23-Jan-13
3030
2970
30713
30710
-1.9802
-0.00977
0.019342 9.54E-05
29-Jan-13
2970
2975
30710
30240
0.16835
-1.53045
-0.25765 2.342265
4-Feb-13
2975
3025
30240
30310
1.680672
0.231481
0.389045 0.053584
8-Feb-13
3025
2945.15
30310
30755
-2.63967
1.468162
-3.87546 2.155501
14-Feb-13
2945.15
2925.9
30755
30050
-0.65362
-2.29231
1.498293 5.254686
20-Feb-13
2925.9
2852.55
30050
29597
-2.50692
-1.50749
3.779152 2.272519
26-Feb-2013
2852.55
2856.1
29597
30055
0.12445
1.547454
0.192581 2.394614
4-Mar-13
2856.1
2909
30055
29632
1.852176
-1.40742
-2.60679
1.98083
8-Feb-13
2909
2867.25
29632
29269
-1.4352
-1.22503
1.75816
1.500691
14-Mar-2013
2867.25
2893.3
29269
29379
0.908536
0.375824
0.34145
0.141244
20-Mar-2013
2893.3
2870.1
29379
29716
-0.80185
1.147078
-0.91979 1.315788
28-Mar-2013
2870.1
0.08389
2875.5
29716
29477
0.188147
-0.80428
-0.15132 0.646867
SUM
-5.58394
-4.4829
-0.17628 20.32142
SD
Rp
1.329568
-0.349
VAR
Rm
BETA
34
X*Y
X2
DATE
1.76775
-0.28018

35. 2.5
2
1.5
1
0.5
0
Y
-0.5
X
-1
-1.5
-2
-2.5
-3
Chart 3.1
Interpretation
It can be seen from the above that the standard deviation (i.e. total risk associated with stock)
is 1.329568, where as the beta value is -0.08389. Here it means that all risk associated with
this stock can be eliminated with proper diversification of the portfolio. Here the beta is less
than one and it shows that the less volatility of the price of the stock in comparison with the
market returns. The average stock return is -0.349 and the average market return are 0.28018. Here it can be ascertained that there exist a comparatively high difference between
systematic risk and unsystematic risk.
35

36. Table 3.2
CANARA ROBECO -GOLD ETF
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
3062
3050
30860
30896
-0.3919
0.116656
-0.04572 0.013609
7-Jan-13
3050
3060
30896
30890
0.327869
-0.01942
-0.00637 0.000377
11-Jan-13
3060
3040
30890
30738
-0.65359
-0.49207
0.321613 0.242132
17-Jan-13
3040
3000
30738
30713
-1.31579
-0.08133
0.107017 0.006615
23-Jan-13
3000
3044
30713
30710
1.466667
-0.00977
-0.01433
29-Jan-13
3044
3045
30710
30240
0.032852
-1.53045
-0.05028 2.342265
4-Feb-13
3045
3004
30240
30310
-1.34647
0.231481
-0.31168 0.053584
8-Feb-13
3004
2900
30310
30755
-3.46205
1.468162
-5.08285 2.155501
14-Feb-13
2900
2950
30755
30050
1.724138
-2.29231
-3.95226 5.254686
20-Feb-13
2950
3025
30050
29597
2.542373
-1.50749
-3.8326
26-Feb-2013
3025
3100
29597
30055
2.479339
1.547454
3.836663 2.394614
4-Mar-13
3100
2980
30055
29632
-3.87097
-1.40742
5.448076
8-Feb-13
2980
2958
29632
29269
-0.73826
-1.22503
0.904382 1.500691
14-Mar-2013
2958
2955
29269
29379
-0.10142
0.375824
-0.03812 0.141244
20-Mar-2013
2955
2967
29379
29716
0.406091
1.147078
0.465818 1.315788
28-Mar-2013
2967
2967
29716
29477
0
-0.80428
SUM
-2.90112
-4.4829
SD
1.809835
VAR
3.275503
Rp
-0.18132
Rm
-0.28018
BETA
0.16068
36
X*Y
X2
DATE
0
9.54E-05
2.272519
1.98083
0.646867
-0.17628 20.32142

37. 3
2
1
0
stock return
-1
market return
-2
-3
-4
-5
Chart 3.2
Interpretation
It can be seen from the above that the standard deviation (i.e. total risk associated with stock)
is 1.809835, where as the beta value is -0.16068. Here it means that all risk associated with
this stock can be eliminated with proper diversification of the portfolio. Here the beta is less
than one and it shows that the less volatility of the price of the stock in comparison with the
market returns. The average stock return is -0.18132 and the average market return are 0.28018.
37

38. Table 3.3
GOLDMAN SACHS
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
2911.15
2907
30860
30896
-0.14256
0.116656
-0.01663 0.013609
7-Jan-13
2907
2894
30896
30890
-0.4472
-0.01942
0.008685 0.000377
11-Jan-13
2894
2910
30890
30738
0.552868
-0.49207
-0.27205 0.242132
17-Jan-13
2910
2930
30738
30713
0.687285
-0.08133
-0.0559
23-Jan-13
2930
2895.1
30713
30710
-1.19113
-0.00977
0.011635 9.54E-05
29-Jan-13
2895.1
2885
30710
30240
-0.34887
-1.53045
0.53392
2.342265
4-Feb-13
2885
2885
30240
30310
0
0.231481
0
0.053584
8-Feb-13
2885
2870
30310
30755
-0.51993
1.468162
-0.76334 2.155501
14-Feb-13
2870
2827
30755
30050
-1.49826
-2.29231
3.434472 5.254686
20-Feb-13
2827
2785.05
30050
29597
-1.48391
-1.50749
2.236969 2.272519
26-Feb-2013
2785.05
2791.5
29597
30055
0.231594
1.547454
0.358381 2.394614
4-Mar-13
2791.5
2789.4
30055
29632
-0.07523
-1.40742
0.105878
8-Feb-13
2789.4
2785
29632
29269
-0.15774
-1.22503
0.193236 1.500691
14-Mar-2013
2785
2824
29269
29379
1.400359
0.375824
0.526289 0.141244
20-Mar-2013
2824
2809.8
29379
29716
-0.50283
1.147078
-0.57679 1.315788
28-Mar-2013
2809.8
2806.9
29716
29477
-0.10321
-0.80428
0.08301
SUM
-3.59874
-4.4829
-0.17628 20.32142
SD
0.763987
VAR
0.583676
Rp
-0.22492
Rm
-0.28018
BETA
0.251737
38
X*Y
X2
DATE
0.006615
1.98083
0.646867

39. 2
1.5
1
0.5
0
-0.5
-1
-1.5
-2
-2.5
Chart 3.3
Interpretation
It can be seen from the above that the standard deviation (i.e. total risk associated with stock)
is 1.809835, where as the beta value is -0.16068. Here it means that all risk associated with
this stock can be eliminated with proper diversification of the portfolio. Here the beta is less
than one and it shows that the less volatility of the price of the stock in comparison with the
market returns. The average stock return is -0.18132 and the average market return are 0.28018.
39

40. Table 3.4
HDFC GOLD ETF
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
3021.8
3050
30860
30896
0.933219
0.116656
0.108865 0.013609
7-Jan-13
3050
3007
30896
30890
-1.40984
-0.01942
0.027379 0.000377
11-Jan-13
3007
3000
30890
30738
-0.23279
-0.49207
0.114549 0.242132
17-Jan-13
3000
2930
30738
30713
-2.33333
-0.08133
0.189776 0.006615
23-Jan-13
2930
2895.1
30713
30710
-1.19113
-0.00977
0.011635 9.54E-05
29-Jan-13
2895.1
2885
30710
30240
-0.34887
-1.53045
0.53392
2.342265
4-Feb-13
2885
2885
30240
30310
0
0.231481
0
0.053584
8-Feb-13
2885
2870
30310
30755
-0.51993
1.468162
-0.76334 2.155501
14-Feb-13
2870
2827
30755
30050
-1.49826
-2.29231
3.434472 5.254686
20-Feb-13
2827
2785.05
30050
29597
-1.48391
-1.50749
2.236969 2.272519
26-Feb-2013
2785.05
2791.5
29597
30055
0.231594
1.547454
0.358381 2.394614
4-Mar-13
2791.5
2789.4
30055
29632
-0.07523
-1.40742
0.105878
8-Feb-13
2789.4
2785
29632
29269
-0.15774
-1.22503
0.193236 1.500691
14-Mar-2013
2785
2824
29269
29379
1.400359
0.375824
0.526289 0.141244
20-Mar-2013
2824
2809.8
29379
29716
-0.50283
1.147078
-0.57679 1.315788
28-Mar-2013
2809.8
2806.9
29716
29477
-0.10321
-0.80428
0.08301
SUM
-7.29188
-4.4829
-0.17628 20.32142
SD
0.952197
VAR
0.906679
Rp
-0.45574
Rm
-0.28018
BETA
0.238189
40
X*Y
X2
DATE
1.98083
0.646867

41. 2
1.5
1
0.5
26-Mar-13
19-Mar-13
12-Mar-13
5-Mar-13
26-Feb-13
19-Feb-13
12-Feb-13
5-Feb-13
29-Jan-13
22-Jan-13
15-Jan-13
-1
8-Jan-13
-0.5
1-Jan-13
0
stock return
market return
-1.5
-2
-2.5
-3
Chart 3. 4
Interpretation
It can be seen from the above that the standard deviation (i.e. total risk associated with stock)
is 0.952197, where as the beta value is 0.238189. Here it means that all risk associated with
this stock can be eliminated with proper diversification of the portfolio. Here the beta is less
than one and it shows that the less volatility of the price of the stock in comparison with the
market returns. The average stock return is -0.45574 and the average market return are 0.28018.
41

42. Table 3.5
ICICI GOLD ETF
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
3014
3011
30860
30896
-0.09954
0.116656
-0.01161 0.013609
7-Jan-13
3011
3022
30896
30890
0.365327
-0.01942
-0.00709 0.000377
11-Jan-13
3022
2975
30890
30738
-1.55526
-0.49207
0.765295 0.242132
17-Jan-13
2975
3027
30738
30713
1.747899
-0.08133
-0.14216 0.006615
23-Jan-13
3027
3042
30713
30710
0.49554
-0.00977
-0.00484
29-Jan-13
3042
2940
30710
30240
-3.35306
-1.53045
5.131673 2.342265
4-Feb-13
2940
2956.65
30240
30310
0.566327
0.231481
0.131094 0.053584
8-Feb-13
2956.65
2949
30310
30755
-0.25874
1.468162
-0.37987 2.155501
14-Feb-13
2949
2907
30755
30050
-1.42421
-2.29231
3.264735 5.254686
20-Feb-13
2907
2875
30050
29597
-1.10079
-1.50749
1.659429 2.272519
26-Feb-2013
2875
2860.05
29597
30055
-0.52
1.547454
-0.80468 2.394614
4-Mar-13
2860.05
2856
30055
29632
-0.14161
-1.40742
0.199299
8-Feb-13
2856
2841
29632
29269
-0.52521
-1.22503
0.643397 1.500691
14-Mar-2013
2841
2874.95
29269
29379
1.195002
0.375824
0.449111 0.141244
20-Mar-2013
2874.95
2850
29379
29716
-0.86784
1.147078
-0.99548 1.315788
28-Mar-2013
2850
2850.05
29716
29477
0.001754
-0.80428
-0.00141 0.646867
SUM
-5.4744
-4.4829
-0.17628 20.32142
SD
1.200225
VAR
1.440541
Rp
-0.34215
Rm
-0.28018
BETA
0.438651
42
X*Y
X2
DATE
9.54E-05
1.98083

43. 3
2
1
26-Mar-13
19-Mar-13
12-Mar-13
5-Mar-13
26-Feb-13
19-Feb-13
12-Feb-13
5-Feb-13
29-Jan-13
22-Jan-13
-2
15-Jan-13
8-Jan-13
-1
1-Jan-13
0
market return
strock return
-3
-4
-5
-6
Chart 3.5
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of ICICI GOLD ETF is 1.200225, where as the beta value is 0.438651. Here it means
that all risk associated with this stock can be eliminated with proper diversification of the
portfolio. Here the beta is less than one and it shows that the less volatility of the price of the
stock in comparison with the market returns. The average stock return is --0.34215 and the
average market return are -0.28018. It can be seen that there exist comparatively higher
difference between systematic and non systematic risk
43

44. Table 3.6
IDBI GOLD ETF
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
OPEN
CLOSE
OPEN
CLOSE
Y
X
1-Jan-13
3010
3000
30860
30896
-0.33223
0.116656
-0.03876 0.013609
7-Jan-13
3000
3023
30896
30890
0.766667
-0.01942
-0.01489 0.000377
11-Jan-13
3023
3045.1
30890
30738
0.731062
-0.49207
-0.35973 0.242132
17-Jan-13
3045.1
3050
30738
30713
0.160914
-0.08133
-0.01309 0.006615
23-Jan-13
3050
3030
30713
30710
-0.65574
-0.00977
0.006405 9.54E-05
29-Jan-13
3030
2994.95
30710
30240
-1.15677
-1.53045
1.770368 2.342265
4-Feb-13
2994.95
3038.7
30240
30310
1.460792
0.231481
0.338146 0.053584
8-Feb-13
3038.7
3000
30310
30755
-1.27357
1.468162
-1.86981 2.155501
14-Feb-13
3000
2972
30755
30050
-0.93333
-2.29231
2.13949
5.254686
20-Feb-13
2972
2910.05
30050
29597
-2.08445
-1.50749
3.14229
2.272519
26-Feb-2013
2910.05
2915
29597
30055
0.1701
1.547454
0.263222 2.394614
4-Mar-13
2915
2910
30055
29632
-0.17153
-1.40742
0.24141
8-Feb-13
2910
2926
29632
29269
0.549828
-1.22503
-0.67355 1.500691
14-Mar-2013
2926
2942
29269
29379
0.546822
0.375824
0.205509 0.141244
20-Mar-2013
2942
2960
29379
29716
0.611829
1.147078
0.701815 1.315788
28-Mar-2013
2960
2954.95
29716
29477
-0.17061
-0.80428
0.137217 0.646867
SUM
-1.78021
-4.4829
-0.17628 20.32142
SD
0.926053
VAR
0.857574
Rp
-0.11126
Rm
-0.28018
BETA
0.287288
44
X*Y
X2
DATE
1.98083

45. 2
1.5
1
0.5
0
Y
-0.5
X
-1
-1.5
-2
-2.5
Chart 3.6
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of IDBI GOLD ETF is 0.926053, where as the beta value is only 0.287288. Here it
means that all risk associated with this stock can be eliminated with proper diversification of
the portfolio. Here also the beta value is less than one and it shows that the less volatility of
the price of the stock. The average stock return is -0.11126 and the average market return are
-0.28018
45

46. Table 3.7
QUANTUM GOLD FUND
STOCK PRICE
GOLD ETF
PRICE
DATE
OPEN
1-Jan-13
1460.15
1460.6
30860
7-Jan-13
1460.6
1450
11-Jan-13
1450
17-Jan-13
X
30896
0.030819
0.116656
0.003595 0.013609
30896
30890
-0.72573
-0.01942
0.014094 0.000377
1456
30890
30738
0.413793
-0.49207
-0.20361 0.242132
1456
1464
30738
30713
0.549451
-0.08133
-0.04469 0.006615
23-Jan-13
1464
1446
30713
30710
-1.22951
-0.00977
0.01201
29-Jan-13
1446
1444.85 30710
30240
-0.07953
-1.53045
0.121716 2.342265
4-Feb-13
1444.85
30240
30310
0.287227
0.231481
0.066488 0.053584
8-Feb-13
1449
1430.15 30310
30755
-1.3009
1.468162
-1.90993 2.155501
14-Feb-13
1430.15
30755
30050
-1.05933
-2.29231
2.428312 5.254686
20-Feb-13
1415
1388.05 30050
29597
-1.90459
-1.50749
2.871151 2.272519
26-Feb-2013
1388.05
1405.5
29597
30055
1.257159
1.547454
1.945396 2.394614
4-Mar-13
1405.5
1398
30055
29632
-0.53362
-1.40742
0.751024
8-Feb-13
1398
1390
29632
29269
-0.57225
-1.22503
0.701017 1.500691
14-Mar-2013
1390
1488
29269
29379
7.05036
0.375824
2.649696 0.141244
20-Mar-2013
1488
1404
29379
29716
-5.64516
1.147078
-6.47544 1.315788
28-Mar-2013
1404
1406.5
29716
29477
0.178063
-0.80428
-0.14321 0.646867
SUM
-3.28374
-4.4829
-0.17628 20.32142
SD
2.478832
VAR
6.144607
Rp
-0.20523
Rm
-0.28018
1449
1415
0.097956
46
X*Y
X2
Y
BETA
CLOSE OPEN CLOSE
STOCK MARKET
RETURN RETURN
9.54E-05
1.98083

47. 8
6
4
2
stock return
0
market return
-2
-4
-6
-8
Chart 3.7
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of QUANTUM GOLD ETF is 2.478832, where as the beta value is only 0.097956.
Here it means that all risk associated with this stock can be eliminated with proper
diversification of the portfolio. Here also the beta value is less than one and it shows that the
less volatility of the price of the stock. The average stock return is -0.20523 and the average
market return are -0.28018. It can be seen that there exist comparatively higher difference
between systematic and non systematic risk.
47

48. Table 3.8
KOTAK GOLD ETF
STOCK PRICE
DATE
OPEN
GOLD ETF
PRICE
CLOSE OPEN
STOCK
MARKET
RETURN RETURN
CLOSE Y
X
X*Y
X2
1-Jan-13
2926.05
2949.7
30860
30896
0.808257
0.116656 0.094288 0.013609
7-Jan-13
2949.7
2920
30896
30890
-1.00688
-0.01942 0.019554 0.000377
11-Jan-13
2920
2918
30890
30738
-0.06849
-0.49207 0.033703 0.242132
17-Jan-13
2918 2921.05
30738
30713
0.104524
-0.08133
-0.0085 0.006615
23-Jan-13
2921.05
2910.1
30713
30710
-0.37487
-0.00977 0.003662 9.54E-05
29-Jan-13
2910.1
2881.3
30710
30240
-0.98966
-1.53045 1.514616 2.342265
4-Feb-13
2881.3
2899
30240
30310
0.614306
0.231481
0.1422 0.053584
8-Feb-13
2899
2879
30310
30755
-0.68989
1.468162
-1.01288 2.155501
14-Feb-13
2879
2811
30755
30050
-2.36193
-2.29231 5.414279 5.254686
20-Feb-13
2811
2800
30050
29597
-0.39132
-1.50749
0.58991 2.272519
26-Feb-2013
2800
2791.5
29597
30055
-0.30357
1.547454
-0.46976 2.394614
2791.5 2780.15
30055
29632
-0.40659
-1.40742 0.572245
2765
29632
29269
-0.54493
-1.22503
0.66756 1.500691
14-Mar-2013
2765 2806.05
29269
29379
1.484629
0.375824
0.55796 0.141244
20-Mar-2013
2806.05 2772.05
29379
29716
-1.21167
1.147078
-1.38988 1.315788
28-Mar-2013
2772.05
29716
29477
0.463556
-0.80428
-0.37283 0.646867
SUM
-4.87453
-4.4829
-0.17628 20.32142
SD
0.907169 VAR
0.822955
Rp
-0.30466 Rm
-0.28018
4-Mar-13
8-Feb-13
BETA
2780.15
0.261751
2784.9
48
1.98083

49. 2
1
0
-1
stock return
market return
-2
-3
-4
-5
Chart 3.8
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of KOTAK GOLD ETF is 0.907169, where as the beta value is only 0.097956. Here it
means that all risk associated with this stock can be eliminated with proper diversification of
the portfolio. Here also the beta value is less than one and it shows that the less volatility of
the price of the stock. The average stock return is -0.20523 and the average market return are
-0.28018. It can be seen that there exist comparatively higher difference between systematic
and non systematic risk.
49

50. Table 3.9
RELIANCE GOLD FUND
STOCK PRICE
GOLD ETF
PRICE
STOCK MARKET
RETURN RETURN
DATE
OPEN
CLOSE
OPEN
CLOSE
Y
X
X*Y
X2
1-Jan-13
2869.8
2867
30860
30896
-0.09757
0.116656
-0.01138
0.013609
7-Jan-13
2867
2820.1
30896
30890
-1.63586
-0.01942
0.031768 0.000377
11-Jan-13
2820.1
2816
30890
30738
-0.14538
-0.49207
0.071539 0.242132
17-Jan-13
2816
2820
30738
30713
0.142045
-0.08133
-0.01155
23-Jan-13
2820
2782.9
30713
30710
-1.3156
-0.00977
0.012851 9.54E-05
29-Jan-13
2782.9
2798.5
30710
30240
0.560566
-1.53045
-0.85792
4-Feb-13
2798.5
2804
30240
30310
0.196534
0.231481
0.045494 0.053584
8-Feb-13
2804
2794.8
30310
30755
-0.3281
1.468162
-0.48171
14-Feb-13
2794.8
2764
30755
30050
-1.10205
-2.29231
2.526233 5.254686
20-Feb-13
2764
2657
30050
29597
-3.8712
-1.50749
5.835787 2.272519
26-Feb-2013
2657
2701.15
29597
30055
1.661648
1.547454
2.571325 2.394614
4-Mar-13
2701.15
2694.5
30055
29632
-0.24619
-1.40742
0.346495
1.98083
8-Feb-13
2694.5
2699.5
29632
29269
0.185563
-1.22503
-0.22732
1.500691
14-Mar-2013
2699.5
2719.9
29269
29379
0.755695
0.375824
0.284009 0.141244
20-Mar-2013
2719.9
2705
29379
29716
-0.54781
1.147078
-0.62839
1.315788
28-Mar-2013
2705
2706
29716
29477
0.036969
-0.80428
-0.02973
0.646867
SUM
-5.75075
-4.4829
-0.17628
20.32142
SD
1.232358
VAR
1.518707
Rp
-0.35942
Rm
-0.28018
BETA
0.412593
50
0.006615
2.342265
2.155501

51. 2
1.5
1
0.5
26-Mar-13
19-Mar-13
12-Mar-13
5-Mar-13
26-Feb-13
19-Feb-13
12-Feb-13
5-Feb-13
29-Jan-13
22-Jan-13
-1
15-Jan-13
8-Jan-13
-0.5
1-Jan-13
0
stock return
market return
-1.5
-2
-2.5
-3
Chart 3.9
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of RELIANCE GOLD ETF is 1.232358, where as the beta value is only 0.412593.
Here it means that all risk associated with this stock can be eliminated with proper
diversification of the portfolio. Here also the beta value is less than one and it shows that the
less volatility of the price of the stock. The average stock return is -0.35942and the average
market return are -0.28018.
51

52. Table 3.10
SBI GOLD FUND
STOCK PRICE
DATE
GOLD ETF
PRICE
OPEN
OPEN
CLOSE
STOCK
MARKET
RETURN RETURN
CLOSE Y
X
X*Y
X2
1-Jan-13
2985.2
2980
30860
30896
-0.17419
0.116656
7-Jan-13
2980
2972.5
30896
30890
-0.25168
-0.01942 0.004888 0.000377
11-Jan-13
2972.5
2985
30890
30738
0.420521
-0.49207
-0.20693 0.242132
17-Jan-13
2985
2998.9
30738
30713
0.465662
-0.08133
-0.03787 0.006615
23-Jan-13
2998.9
2975
30713
30710
-0.79696
-0.00977 0.007785 9.54E-05
29-Jan-13
2975
2988
30710
30240
0.436975
-1.53045
-0.66877 2.342265
4-Feb-13
2988
2971
30240
30310
-0.56894
0.231481
-0.1317 0.053584
8-Feb-13
2971
2947.9
30310
30755
-0.77752
1.468162
-1.14152 2.155501
14-Feb-13
2947.9
2901
30755
30050
-1.59096
-2.29231 3.646981 5.254686
20-Feb-13
2901
2875
30050
29597
-0.89624
-1.50749 1.351075 2.272519
26-Feb-2013
2875
2856
29597
30055
-0.66087
1.547454
-1.02267 2.394614
4-Mar-13
2856
2868
30055
29632
0.420168
-1.40742
-0.59135
8-Feb-13
2868
2862
29632
29269
-0.20921
-1.22503 0.256282 1.500691
2862 2881.05
29269
29379
0.665618
0.375824 0.250156 0.141244
2850
29379
29716
-1.07773
1.147078
-1.23624 1.315788
2850 2888.85
29716
29477
1.363158
-0.80428
-1.09636 0.646867
-3.2322
-4.4829
-0.17628 20.32142
14-Mar-2013
20-Mar-2013 2881.05
28-Mar-2013
SUM
BETA
0.08089
-0.02032 0.013609
SD
0.776443 VAR
0.602864
Rp
-0.20201 Rm
-0.28018
52
1.98083

53. 2
1.5
1
0.5
26-Mar-13
19-Mar-13
12-Mar-13
-1
5-Mar-13
26-Feb-13
19-Feb-13
12-Feb-13
5-Feb-13
29-Jan-13
22-Jan-13
15-Jan-13
8-Jan-13
-0.5
1-Jan-13
0
stock return
market return
-1.5
-2
-2.5
Chart 3.10
Interpretation
As from the above it can be seen that the standard deviation (i.e. total risk associated with
stock) of SBI GOLD ETF is 0.776443, where as the beta value is only 0.08089. Here it
means that all risk associated with this stock can be eliminated with proper diversification of
the portfolio. Here also the beta value is less than one and it shows that the less volatility of
the price of the stock. The average stock return is -0.20201 and the average market return are
-0.28018.
53

54. CORRELATION CO-EFFICIENT
Correlation co-efficient is an algebraic method of measuring correlation. Under this method,
we measure correlation by finding a value known as the co-efficient of correlation using an
appropriate formula. Correlation co-efficient is a numerical value. It shows the degree or the
extent of correlation between two variables.
54

55. CORRELATION CO-EFFICIENT OF STOCK RETURN AND MARKET RETURN
BIRLA SUN LIFE GOLD ETF
Table 3.11
MARKET
RETURN
(X)
0.116656
XY
X2
Y2
1-Jan-13
STOCK
RETURN
(Y)
-0.75534
-0.08811
0.570539
0.013609
7-Jan-13
-0.39543
-0.01942
0.007679
0.156365
0.000377
11-Jan-13
0.164449
-0.49207
-0.08092
0.027043
0.242133
17-Jan-13
0.497512
-0.08133
-0.04046
0.247518
0.006615
23-Jan-13
-1.9802
-0.00977
0.019347
3.921192
9.55E-05
29-Jan-13
0.16835
-1.53045
-0.25765
0.028342
2.342277
4-Feb-13
1.680672
0.231481
0.389044
2.824658
0.053583
8-Feb-13
-2.63967
1.468162
-3.87546
6.967858
2.1555
14-Feb-13
-0.65362
-2.29231
1.4983
0.427219
5.254685
20-Feb-13
-2.50692
-1.50749
3.779157
6.284648
2.272526
26-Feb-2013
0.12445
1.547454
0.192581
0.015488
2.394614
4-Mar-13
1.852176
-1.40742
-2.60679
3.430556
1.980831
8-Feb-13
-1.4352
-1.22503
1.758163
2.059799
1.500699
14-Mar-2013
0.908536
0.375824
0.34145
0.825438
0.141244
20-Mar-2013
-0.80185
1.147078
-0.91978
0.642963
1.315788
28-Mar-2013
0.188147
-0.80428
-0.15132
0.035399
0.646866
Total
-5.58394
-4.48292
-0.03479
28.46503
20.32144
DATE
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= -0.07113
Interpretation
It can be seen from the above that there exist a negative correlation between stock return and
market return of BIRLA SUN LIFE GOLD ETF and the co efficient of correlation is 0.07113. Correlation is said to be negative when the change in variables are in opposite
direction. Here it means that the stock return and market return of BIRLA SUN LIFE GOLD
ETF is in opposite direction.
55

56. GOLDMAN SACHS
Table 3.12
DATE
1-Jan-13
STOCK
RETURN(Y)
-0.14256
MARKET
RETURN(X)
0.116656
XY
-0.01663
Y2
0.020323
X2
0.013609
7-Jan-13
-0.4472
-0.01942
0.008685
0.199988
0.000377
11-Jan-13
0.552868
-0.49207
-0.27205
0.305663
0.242133
17-Jan-13
0.687285
-0.08133
-0.0559
0.472361
0.006615
23-Jan-13
-1.19113
-0.00977
0.011637
1.418791
9.55E-05
29-Jan-13
4-Feb-13
-1.53045
0.231481
1.468162
0.533928
0
0.12171
0
2.342277
0.053583
8-Feb-13
-0.34887
0
-0.51993
-0.76334
0.270327
2.1555
14-Feb-13
-1.49826
-2.29231
3.434476
2.244783
5.254685
20-Feb-13
-1.48391
-1.50749
2.236979
2.201989
2.272526
26-Feb-2013
0.231594
1.547454
0.358381
0.053636
2.394614
4-Mar-13
-0.07523
-1.40742
0.10588
0.00566
1.980831
8-Feb-13
-0.15774
-1.22503
0.193236
0.024882
1.500699
14-Mar-2013
1.400359
0.375824
0.526289
1.961005
0.141244
20-Mar-2013
-0.50283
1.147078
-0.57679
0.252838
1.315788
28-Mar-2013
-0.10321
-0.80428
0.08301
0.010652
0.646866
Total
-3.598764
-4.482915
5.807798
9.564608
20.32144
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= 0.688361814
Interpretation
It can be seen from the above that there exist a positive correlation between stock return and
market return of GOLDMAN SACHS and the co efficient of correlation is 0.688361814.
Correlation is said to be positive when the change in variables are in same direction. Here it
means that the stock return and market return of GOLDMAN SACHS is in the same
direction.
56

57. CANARA ROBECO -GOLD ETF
Table 3.13
MARKET
RETURN
0.116656
XY
Y2
X2
1-Jan-13
STOCK
RETURN
-0.3919
-0.04572
0.153586
0.013609
7-Jan-13
0.327869
-0.01942
-0.00637
0.107498
0.000377
11-Jan-13
-0.65359
-0.49207
0.321612
0.42718
0.242133
17-Jan-13
-1.31579
-0.08133
0.107013
1.731303
0.006615
23-Jan-13
1.466667
-0.00977
-0.01433
2.151112
9.55E-05
29-Jan-13
0.032852
-1.53045
-0.05028
0.001079
2.342277
4-Feb-13
-1.34647
0.231481
-0.31168
1.812981
0.053583
8-Feb-13
-3.46205
1.468162
-5.08285
11.98579
2.1555
14-Feb-13
1.724138
-2.29231
-3.95226
2.972652
5.254685
20-Feb-13
2.542373
-1.50749
-3.8326
6.46366
2.272526
26-Feb-2013
2.479339
1.547454
3.836663
6.147122
2.394614
4-Mar-13
-3.87097
-1.40742
5.448081
14.98441
1.980831
8-Feb-13
-0.73826
-1.22503
0.904391
0.545028
1.500699
14-Mar-2013
-0.10142
0.375824
-0.03812
0.010286
0.141244
20-Mar-2013
0.406091
1.147078
0.465818
0.16491
1.315788
28-Mar-2013
0
-0.80428
0
0
0
Total
-2.901121
-4.48292
-2.25062
49.6586
19.67458
DATE
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= -0.100
Interpretation
It can be seen from the above that there exist a negative correlation between stock return and
market return of CANARA ROBECO -GOLD ETF and the co efficient of correlation is 0.100. Correlation is said to be negative when the change in variables are in opposite
direction. Here it means that the stock return and market return of CANARA ROBECO GOLD ETF is in opposite direction.
57

58. HDFC GOLD ETF
Table 3.14
MARKET
RETURN
0.116656
XY
Y2
X2
1-Jan-13
STOCK
RETURN
0.933219
0.108866
0.870898
0.013609
7-Jan-13
-1.40984
-0.01942
0.027379
1.987649
0.000377
11-Jan-13
-0.23279
-0.49207
0.114549
0.054191
0.242133
17-Jan-13
-2.33333
-0.08133
0.18977
5.444429
0.006615
23-Jan-13
-1.19113
-0.00977
0.011637
1.418791
9.55E-05
29-Jan-13
-0.34887
-1.53045
0.533928
0.12171
2.342277
4-Feb-13
0
0.231481
0
0
0.053583
8-Feb-13
-0.51993
1.468162
-0.76334
0.270327
2.1555
14-Feb-13
-1.49826
-2.29231
3.434476
2.244783
5.254685
20-Feb-13
-1.48391
-1.50749
2.236979
2.201989
2.272526
26-Feb-2013
0.231594
1.547454
0.358381
0.053636
2.394614
4-Mar-13
-0.07523
-1.40742
0.10588
0.00566
1.980831
8-Feb-13
-0.15774
-1.22503
0.193236
0.024882
1.500699
14-Mar-2013
1.400359
0.375824
0.526289
1.961005
0.141244
20-Mar-2013
-0.50283
1.147078
-0.57679
0.252838
1.315788
28-Mar-2013
-0.10321
-0.80428
0.08301
0.010652
0.646866
Total
-7.291898
-4.482915
6.584254
16.92344
20.32144
DATE
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= 0.282016342
Interpretation
It can be seen from the above that there exist a negative correlation between stock return and
market return of DFC GOLD ETF and the co efficient of correlation is0.282016342.
Correlation is said to be positive when the change in variables are in same direction. Here it
means that the stock return and market return of DFC GOLD ETF is in the same direction.
58

59. ICICI GOLD ETF
Table 3.15
STOCK
DATE
RETURN
1-Jan-13 -0.09954
7-Jan-13 0.365327
MARKET
RETURN
0.116656
-0.01161
0.009908
0.013609
-0.01942
-0.00709
0.133464
0.000377
XY
Y2
X2
11-Jan-13
-1.55526
-0.49207
0.765297
2.418834
0.242133
17-Jan-13
1.747899
-0.08133
-0.14216
3.055151
0.006615
23-Jan-13
0.49554
-0.00977
-0.00484
0.24556
9.55E-05
29-Jan-13
-3.35306
-1.53045
5.131691
11.24301
2.342277
4-Feb-13
0.566327
0.231481
0.131094
S0.320726
0.053583
8-Feb-13
-0.25874
1.468162
-0.37987
0.066946
2.1555
14-Feb-13
-1.42421
-2.29231
3.264731
2.028374
5.254685
20-Feb-13
-1.10079
-1.50749
1.65943
1.211739
2.272526
-0.52
1.547454
-0.80468
0.2704
2.394614
4-Mar-13
-0.14161
-1.40742
0.199305
0.020053
1.980831
8-Feb-13
-0.52521
-1.22503
0.643398
0.275846
1.500699
14-Mar-2013
1.195002
0.375824
0.44911
1.42803
0.141244
20-Mar-2013
-0.86784
1.147078
-0.99548
0.753146
1.315788
28-Mar-2013
0.001754
-0.80428
-0.00141
3.08E-06
0.646866
-5.57395
-4.48292
9.896916
23.160464
20.32144
26-Feb-2013
Total
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= 0.412035535
Interpretation
It can be seen from the above that there exist a positive correlation between stock return and
market return of ICICI GOLD ETF and the co efficient of correlation is 0.412035535.
Correlation is said to be positive when the change in variables are in same direction. Here it
means that the stock return and market return of ICIC GOLD ETF is in the same direction.
59

60. IDBI GOLD ETF
Table 3.16
MARKET
RETURN
0.116656
XY
Y2
X2
1-Jan-13
STOCK
RETURN
-0.33223
-0.03876
0.110377
0.013609
7-Jan-13
0.766667
-0.01942
-0.01489
0.587778
0.000377
11-Jan-13
0.731062
-0.49207
-0.35973
0.534452
0.242133
17-Jan-13
0.160914
-0.08133
-0.01309
0.025893
0.006615
23-Jan-13
-0.65574
-0.00977
0.006407
0.429995
9.55E-05
29-Jan-13
-1.15677
-1.53045
1.770379
1.338117
2.342277
4-Feb-13
1.460792
0.231481
0.338146
2.133913
0.053583
8-Feb-13
-1.27357
1.468162
-1.86981
1.621981
2.1555
14-Feb-13
-0.93333
-2.29231
2.139482
0.871105
5.254685
20-Feb-13
-2.08445
-1.50749
3.142288
4.344932
2.272526
26-Feb-2013
0.1701
1.547454
0.263222
0.028934
2.394614
4-Mar-13
-0.17153
-1.40742
0.241415
0.029423
1.980831
8-Feb-13
0.549828
-1.22503
-0.67356
0.302311
1.500699
14-Mar-2013
0.546822
0.375824
0.205509
0.299014
0.141244
20-Mar-2013
0.611829
1.147078
0.701816
0.374335
1.315788
28-Mar-2013
-0.17061
-0.80428
0.137218
0.029108
0.646866
Total
-1.78022
-4.48292
5.976042
13.06167
20.32144
DATE
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= 0.3497515
Interpretation
It can be seen from the above that there exist a positive correlation between stock return and
market return of IDBI GOLD ETF and the co efficient of correlation is 0.3497515.
Correlation is said to be positive when the change in variables are in same direction. Here it
means that the stock return and market return of IDBI GOLD ETF is in the same direction.
60

61. QUANTUM GOLD FUND
Table 3.17
MARKET
RETURN
0.116656
XY
Y2
X2
1-Jan-13
STOCK
RETURN
0.030819
0.003595
0.00095
0.013609
7-Jan-13
-0.72573
-0.01942
0.014094
0.526684
0.000377
11-Jan-13
0.413793
-0.49207
-0.20362
0.171225
0.242133
17-Jan-13
0.549451
-0.08133
-0.04469
0.301896
0.006615
23-Jan-13
-1.22951
-0.00977
0.012012
1.511695
9.55E-05
29-Jan-13
-0.07953
-1.53045
0.121717
0.006325
2.342277
4-Feb-13
0.287227
0.231481
0.066488
0.082499
0.053583
8-Feb-13
-1.3009
1.468162
-1.90993
1.692341
2.1555
14-Feb-13
-1.05933
-2.29231
2.428313
1.12218
5.254685
20-Feb-13
-1.90459
-1.50749
2.87115
3.627463
2.272526
26-Feb-2013
1.547454
-1.40742
1.945396
1.580449
2.394614
4-Mar-13
1.257159
-0.53362
0.751027
0.28475
1.980831
8-Feb-13
-0.57225
-1.22503
0.701023
0.32747
1.500699
14-Mar-2013
7.05036
0.375824
2.649694
49.70758
0.141244
20-Mar-2013
-5.64516
1.147078
-6.47544
31.86783
1.315788
28-Mar-2013
0.178063
-0.80428
-0.14321
0.031706
0.646866
Total
-3.46181
-3.67864
2.787619
92.84304
20.32144
DATE
r=
n ∑xy - ∑x x∑ y
______________________
√n∑x^2- (∑x^2) √n∑y^2 –(∑y^2)
= 0.04455154
Interpretation
It can be seen from the above that there exist a positive correlation between stock return and
market return of QUANTUM GOLD FUND and the co efficient of correlation is
0.04455154. Correlation is said to be positive when the change in variables are in same
direction. Here it means that the stock return and market return of QUANTUM GOLD
FUND is in the same direction.
61