IAPM
IAPM
IAPM
Ri
HUL 20.93%
Infosys -14.63%
Bharti Airtel 6.21%
Bajaj Finance 44.06%
Summary
Risk
Situation 1 42.50%
Situation 2 14.67%
Situation 3 14.89%
Situation 4 15.15%
Situation 5 15.44%
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
20.93% 4.93% 17.1% 81.51% 122.43%
-14.63% 11.12% 38.5% -56.14% -37.98%
6.21% 8.24% 28.5% -2.75% 21.76%
44.06% 11.86% 41.1% 90.21% 107.23%
Covariance = Correlatio
VARIANCE MATRIX
3.05%
17.47%
14.14%
40.91%
11.72%
7.82%
METHODS
MMULT Contribution Method Markowitz Extended
Weights
25%
25%
25%
25%
0.913772960103647
Rf βp Rm α
6.995% 0.288681592253805 1.99% 0.153786926
6.995% 0.716829325176592 1.99% -0.18038246
6.995% 0.86867898219015 1.99% 0.035609758
6.995% 1.78090194079404 1.99% 0.459765159
FORMANCE MEASURE
Rf βi T
6.995% 0.288681592253805 0.482692502671695
6.995% 0.716829325176592 -0.301668461645106
6.995% 0.86867898219015 -0.0090361168466676
6.995% 1.78090194079404 0.20813510142569
Summary
Return HUL Infosys Bharti Baja Finance
33.10% 31.00% 57.00% 11.00% 1.00%
19.37% 12.10% 5.00% 20.61% 2.12%
19.92% 10.53% 7.50% 21.39% 1.96%
20.48% 8.96% 10.00% 22.17% 1.80%
21.03% 7.39% 12.50% 22.95% 1.64%
Sharpe = (Rportfolio - Rf Rate) / Sdportfolio
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi
ORIGINAL
HUL Infosys Bharti Airtel
Date Close Price HPR Date Close Price HPR Date Close Price HPR
Mar-15 872.9 Mar-15 2216.6 Mar-15 393.9
Apr-15 849.5 -2.68% Apr-15 1942.4 -12.37% Apr-15 381.65 -3.11%
May-15 859.8 1.21% May-15 2022.4 4.12% May-15 425.3 11.44%
Jun-15 916.45 6.59% Jun-15 985.35 -51.28% Jun-15 419.9 -1.27%
Jul-15 921.05 0.50% Jul-15 1078.05 9.41% Jul-15 418.6 -0.31%
Aug-15 861.5 -6.47% Aug-15 1095.2 1.59% Aug-15 354.5 -15.31%
Sep-15 813.3 -5.59% Sep-15 1160.45 5.96% Sep-15 338 -4.65%
Oct-15 801.85 -1.41% Oct-15 1136.05 -2.10% Oct-15 348.75 3.18%
Nov-15 809.45 0.95% Nov-15 1088.45 -4.19% Nov-15 334.5 -4.09%
Dec-15 862.35 6.54% Dec-15 1104.55 1.48% Dec-15 339.9 1.61%
Jan-16 816.9 -5.27% Jan-16 1164.85 5.46% Jan-16 289.7 -14.77%
Feb-16 829.8 1.58% Feb-16 1083.75 -6.96% Feb-16 316.75 9.34%
Mar-16 869.5 4.78% Mar-16 1217.95 12.38% Mar-16 350.9 10.78%
Apr-16 866.65 -0.33% Apr-16 1210.85 -0.58% Apr-16 363.8 3.68%
May-16 849.9 -1.93% May-16 1249.85 3.22% May-16 351.65 -3.34%
Jun-16 898.6 5.73% Jun-16 1170.75 -6.33% Jun-16 366.15 4.12%
Jul-16 921.5 2.55% Jul-16 1073.95 -8.27% Jul-16 362.05 -1.12%
Aug-16 916.65 -0.53% Aug-16 1036.8 -3.46% Aug-16 331.85 -8.34%
Sep-16 867.8 -5.33% Sep-16 1038.1 0.13% Sep-16 314.05 -5.36%
Oct-16 840.25 -3.17% Oct-16 1002.5 -3.43% Oct-16 318.5 1.42%
Nov-16 844.3 0.48% Nov-16 975.45 -2.70% Nov-16 324.5 1.88%
Dec-16 826.3 -2.13% Dec-16 1010.7 3.61% Dec-16 305.35 -5.90%
Jan-17 855.15 3.49% Jan-17 929.3 -8.05% Jan-17 347.9 13.93%
Feb-17 864.9 1.14% Feb-17 1012.3 8.93% Feb-17 365.15 4.96%
Mar-17 909.75 5.19% Mar-17 1020.8 0.84% Mar-17 349.95 -4.16%
Apr-17 934.7 2.74% Apr-17 919.4 -9.93% Apr-17 354.6 1.33%
May-17 1066.8 14.13% May-17 976.95 6.26% May-17 371.8 4.85%
Jun-17 1081.6 1.39% Jun-17 935.65 -4.23% Jun-17 379.15 1.98%
Jul-17 1153.35 6.63% Jul-17 1011.3 8.09% Jul-17 417.8 10.19%
Aug-17 1217.35 5.55% Aug-17 915.3 -9.49% Aug-17 427.85 2.41%
Sep-17 1175.15 -3.47% Sep-17 898.75 -1.81% Sep-17 388.65 -9.16%
Oct-17 1236.85 5.25% Oct-17 921.65 2.55% Oct-17 497.65 28.05%
Nov-17 1273.75 2.98% Nov-17 974.95 5.78% Nov-17 496.85 -0.16%
Dec-17 1368.1 7.41% Dec-17 1039.3 6.60% Dec-17 529.4 6.55%
Jan-18 1369.65 0.11% Jan-18 1150.65 10.71% Jan-18 439.65 -16.95%
Feb-18 1316.35 -3.89% Feb-18 1174.25 2.05% Feb-18 427.35 -2.80%
Mar-18 1335.9 1.49% Mar-18 1134.4 -3.39% Mar-18 398.9 -6.66%
Apr-18 1509.05 12.96% Apr-18 1199.4 5.73% Apr-18 409.55 2.67%
May-18 1613.65 6.93% May-18 1231.9 2.71% May-18 373.8 -8.73%
Jun-18 1641.85 1.75% Jun-18 1306.75 6.08% Jun-18 381 1.93%
Jul-18 1731.6 5.47% Jul-18 1365 4.46% Jul-18 390.7 2.55%
Aug-18 1780.6 2.83% Aug-18 1440 5.49% Aug-18 383.35 -1.88%
Sep-18 1607.65 -9.71% Sep-18 727.85 -49.45% Sep-18 338.25 -11.76%
Oct-18 1617.85 0.63% Oct-18 686.25 -5.72% Oct-18 292.15 -13.63%
Nov-18 1753.6 8.39% Nov-18 666.5 -2.88% Nov-18 313.55 7.33%
Dec-18 1818.05 3.68% Dec-18 659.85 -1.00% Dec-18 312.9 -0.21%
Jan-19 1762.25 -3.07% Jan-19 749.6 13.60% Jan-19 307.15 -1.84%
Feb-19 1731.35 -1.75% Feb-19 733.95 -2.09% Feb-19 317.95 3.52%
Mar-19 1707.8 -1.36% Mar-19 742.3 1.14% Mar-19 332.9 4.70%
Apr-19 1753.95 2.70% Apr-19 749.95 1.03% Apr-19 320.2 -3.81%
May-19 1785.15 1.78% May-19 736.85 -1.75% May-19 348.5 8.84%
Jun-19 1787.3 0.12% Jun-19 731.95 -0.66% Jun-19 346.7 -0.52%
Jul-19 1725.95 -3.43% Jul-19 794 8.48% Jul-19 337.8 -2.57%
Aug-19 1880.1 8.93% Aug-19 814.6 2.59% Aug-19 347.05 2.74%
Sep-19 1982.45 5.44% Sep-19 805.3 -1.14% Sep-19 367.25 5.82%
Oct-19 2176.75 9.80% Oct-19 685.5 -14.88% Oct-19 374.4 1.95%
Nov-19 2036.1 -6.46% Nov-19 695.95 1.52% Nov-19 442.3 18.14%
Dec-19 1923.25 -5.54% Dec-19 731.75 5.14% Dec-19 455.8 3.05%
Jan-20 2034.15 5.77% Jan-20 776.35 6.09% Jan-20 496.7 8.97%
Feb-20 2174.9 6.92% Feb-20 731.35 -5.80% Feb-20 524.05 5.51%
Mar-20 2298.15 5.67% Mar-20 640.3 -12.45% Mar-20 440.6 -15.92%
Bajaj Finance Mean
Date Close Price HPR Monthly
Mar-15 402.717285 HUL 1.74%
Apr-15 394.183685 -2.12% Infosys -1.22%
May-15 414.760773 5.22% Bharti Airtel 0.52%
Jun-15 536.463196 29.34% Bajaj Finance 3.67%
Jul-15 540.400574 0.73%
Aug-15 495.63736 -8.28% CORRELATION
Sep-15 502.913025 1.47%
Oct-15 514.430664 2.29% HUL
Nov-15 543.276917 5.61% HUL 1
Dec-15 593.21991 9.19% Infosys 0.0476064
Jan-16 582.871277 -1.74% Bharti Airtel 0.339430096112626
Feb-16 584.760498 0.32% Bajaj Finance 0.301683623359915
Mar-16 683.58606 16.90%
Apr-16 675.897827 -1.12% COVARIANCE
May-16 749.411499 10.88%
Jun-16 790.352966 5.46% HUL
Jul-16 1024.624878 29.64% HUL 0.0292243750936565
Aug-16 1091.07959 6.49% Infosys 0.00313493404516548
Sep-16 1046.12915 -4.12% Bharti Airtel 0.0165569204567192
Oct-16 1062.317139 1.55% Bajaj Finance 0.0211917849046083
Nov-16 910.289001 -14.31%
Dec-16 830.933105 -8.72% COVARIANCE-VARIANCE MATRIX
Jan-17 1025.931396 23.47%
Feb-17 1096.326782 6.86% Weights
Mar-17 1162.464844 6.03%
Apr-17 1261.375 8.51% 57% HUL
May-17 1311.819946 4.00% 1% Infosys
Jun-17 1360.581909 3.72% 7% Bharti Airtel
Jul-17 1685.232544 23.86% 35% Bajaj Finance
Aug-17 1770.538208 5.06% 100%
Sep-17 1821.460938 2.88%
Oct-17 1786.420654 -1.92% Portfolio Variance
Nov-17 1716.637207 -3.91% Portfolio Standard Deviation
Dec-17 1743.88562 1.59% Portfolio Return
Jan-18 1665.168457 -4.51% Portfolio Sharpe
Feb-18 1630.028809 -2.11% Portfolio Jenson's Alpha
Mar-18 1756.740356 7.77% Portfolio Treynor's Ratio
Apr-18 1892.038452 7.70%
May-18 2092.603027 10.60%
Jun-18 2280.064697 8.96%
Portfolio Risk
Jul-18 2678.712402 17.48%
Aug-18 2843.008545 6.13% Variance
Sep-18 2155.163818 -24.19% Variance - Annual
Oct-18 2361.293457 9.56% Std Dev - Annual
Nov-18 2514.125977 6.47%
Dec-18 2626.239258 4.46% CAPM Returns
Jan-19 2555.839111 -2.68% HUL 5.55%
Feb-19 2632.454102 3.00% Infosys 3.41%
Mar-19 3007.773193 14.26% Bharti Airtel 2.65%
Apr-19 3076.781494 2.29% Bajaj Finance -1.91%
May-19 3450.111572 12.13%
Jun-19 3661.511719 6.13%
Jul-19 3232.546875 -11.72% Company Beta
Aug-19 3318.602295 2.66% β-HUL 0.288681592253805
Sep-19 4034.348633 21.57% β-Infosys 0.716829325176592
Oct-19 4009.197266 -0.62% β-Bharti Airtel 0.86867898219015
Nov-19 4057.358887 1.20% β-Bajaj Finance 1.78090194079404
Dec-19 4218.577637 3.97% Weighted Beta
Jan-20 4348.219727 3.07%
Feb-20 4445.6875 2.24% JENSENS ALPHA
Mar-20 2207.404541 -50.35% Rp
HUL 20.93%
Infosys -14.63%
Bharti Airtel 6.21%
Bajaj Finance 44.06%
Ri
HUL 20.93%
Infosys -14.63%
Bharti Airtel 6.21%
Bajaj Finance 44.06%
Summary
Risk
Situation 1 19.49%
Situation 2 19.64%
Situation 3 20.02%
Situation 4 20.19%
Situation 5 20.63%
Efficient Frontier 1
29.00%
28.00%
27.00%
26.00%
25.00%
24.00%
23.00%
22.00%
19.40% 19.60% 19.80% 20.00% 20.20% 20.40
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
20.93% 4.93% 17.1% 81.51% 122.43%
-14.63% 11.12% 38.5% -56.14% -37.98%
6.21% 8.24% 28.5% -2.75% 21.76%
44.06% 11.86% 41.1% 90.21% 107.23%
Covariance = Correlatio
VARIANCE MATRIX
3.98%
19.94%
27.56%
90.18%
24.85%
23.98%
METHODS
MMULT Contribution Method Markowitz Extended
Weights
57%
1%
7%
35%
0.857417744883698
Rf βp Rm α
6.995% 0.288681592253805 1.99% 0.153786926
6.995% 0.716829325176592 1.99% -0.18038246
6.995% 0.86867898219015 1.99% 0.035609758
6.995% 1.78090194079404 1.99% 0.459765159
FORMANCE MEASURE
Rf βi T
6.995% 0.288681592253805 0.482692502671695
6.995% 0.716829325176592 -0.301668461645106
6.995% 0.86867898219015 -0.0090361168466676
6.995% 1.78090194079404 0.20813510142569
Summary
Return HUL Infosys Bharti Airtel Baja Finance
24.30% 52.00% 13.00% 1.00% 34.00%
25.20% 54.00% 10.00% 1.00% 35.00%
26.90% 70.00% 1.00% 1.00% 28.00%
27.37% 68.00% 1.00% 1.00% 30.00%
28.36% 62.00% 1.00% 2.00% 35.00%
Efficient Frontier 1
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi
REVIEW 1
HUL Asian Paints Bharti Airtel
Date Close Price HPR Date Close Price HPR Date Close Price
Sep-15 813.3 Sep-15 841.1 Sep-15 338
Oct-15 801.85 -1.41% Oct-15 828.7 -1.47% Oct-15 348.75
Nov-15 809.45 0.95% Nov-15 840.45 1.42% Nov-15 334.5
Dec-15 862.35 6.54% Dec-15 883.85 5.16% Dec-15 339.9
Jan-16 816.9 -5.27% Jan-16 868.85 -1.70% Jan-16 289.7
Feb-16 829.8 1.58% Feb-16 848.55 -2.34% Feb-16 316.75
Mar-16 869.5 4.78% Mar-16 868.7 2.37% Mar-16 350.9
Apr-16 866.65 -0.33% Apr-16 868.1 -0.07% Apr-16 363.8
May-16 849.9 -1.93% May-16 984.1 13.36% May-16 351.65
Jun-16 898.6 5.73% Jun-16 1003.65 1.99% Jun-16 366.15
Jul-16 921.5 2.55% Jul-16 1114.7 11.06% Jul-16 362.05
Aug-16 916.65 -0.53% Aug-16 1159.25 4.00% Aug-16 331.85
Sep-16 867.8 -5.33% Sep-16 1162.1 0.25% Sep-16 314.05
Oct-16 840.25 -3.17% Oct-16 1075.35 -7.46% Oct-16 318.5
Nov-16 844.3 0.48% Nov-16 969.85 -9.81% Nov-16 324.5
Dec-16 826.3 -2.13% Dec-16 891.35 -8.09% Dec-16 305.35
Jan-17 855.15 3.49% Jan-17 970.8 8.91% Jan-17 347.9
Feb-17 864.9 1.14% Feb-17 1024.45 5.53% Feb-17 365.15
Mar-17 909.75 5.19% Mar-17 1071.2 4.56% Mar-17 349.95
Apr-17 934.7 2.74% Apr-17 1119.6 4.52% Apr-17 354.6
May-17 1066.8 14.13% May-17 1152.6 2.95% May-17 371.8
Jun-17 1081.6 1.39% Jun-17 1104.15 -4.20% Jun-17 379.15
Jul-17 1153.35 6.63% Jul-17 1159.45 5.01% Jul-17 417.8
Aug-17 1217.35 5.55% Aug-17 1168.15 0.75% Aug-17 427.85
Sep-17 1175.15 -3.47% Sep-17 1117.05 -4.37% Sep-17 388.65
Oct-17 1236.85 5.25% Oct-17 1180.7 5.70% Oct-17 497.65
Nov-17 1273.75 2.98% Nov-17 1147.75 -2.79% Nov-17 496.85
Dec-17 1368.1 7.41% Dec-17 1157.9 0.88% Dec-17 529.4
Jan-18 1369.65 0.11% Jan-18 1131.05 -2.32% Jan-18 439.65
Feb-18 1316.35 -3.89% Feb-18 1118.85 -1.08% Feb-18 427.35
Mar-18 1335.9 1.49% Mar-18 1120.7 0.17% Mar-18 398.9
Apr-18 1509.05 12.96% Apr-18 1200.15 7.09% Apr-18 409.55
May-18 1613.65 6.93% May-18 1305.6 8.79% May-18 373.8
Jun-18 1641.85 1.75% Jun-18 1264.1 -3.18% Jun-18 381
Jul-18 1731.6 5.47% Jul-18 1448.3 14.57% Jul-18 390.7
Aug-18 1780.6 2.83% Aug-18 1371.1 -5.33% Aug-18 383.35
Sep-18 1607.65 -9.71% Sep-18 1294.05 -5.62% Sep-18 338.25
Oct-18 1617.85 0.63% Oct-18 1227.25 -5.16% Oct-18 292.15
Nov-18 1753.6 8.39% Nov-18 1344.9 9.59% Nov-18 313.55
Dec-18 1818.05 3.68% Dec-18 1373.7 2.14% Dec-18 312.9
Ri
HUL 20.23%
Asian Paints 19.17%
Bharti Airtel 8.68%
Bajaj Finance 48.81%
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
20.23% 4.95% 17.15% 77.20% 118.00%
19.17% 5.66% 19.60% 62.13% 97.83%
8.68% 8.55% 29.60% 5.68% 29.31%
48.81% 12.86% 44.53% 93.90% 109.61%
Covariance = Correlation*SD-1*SD-2
NCE-VARIANCE MATRIX
2.94%
17.14%
24.22%
100.50%
16.12%
21.34%
METHODS
Contribution Markowitz
MMULT
Method Extended
0.24% 0.24% 4.95%
Weights
25%
25%
25%
25%
0.81
α = Rp - [Rf + βp (Rm-Rf)]
Rf βp Rm α
6.995% 0.1801664309 8.36% 0.1299220769
6.995% 0.5139195342 8.36% 0.1147234183
6.995% 0.7805054894 8.36% 0.0061284084
6.995% 1.7542145071 8.36% 0.3941562579
O PERFORMANCE MEASURE
Rf βi T
6.995% 0.1801664309 0.7348194332
6.995% 0.5139195342 0.2369291369
6.995% 0.7805054894 0.0215487237
6.995% 1.7542145071 0.2383879046
Sharpe = (Rportfolio - Rf Rate) / Sdportfolio
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi
REVIEW 1
HUL Asian Paints Bharti Airtel
Date Close Price HPR Date Close Price HPR Date Close Price
Sep-15 813.3 Sep-15 841.1 Sep-15 338
Oct-15 801.85 -1.41% Oct-15 828.7 -1.47% Oct-15 348.75
Nov-15 809.45 0.95% Nov-15 840.45 1.42% Nov-15 334.5
Dec-15 862.35 6.54% Dec-15 883.85 5.16% Dec-15 339.9
Jan-16 816.9 -5.27% Jan-16 868.85 -1.70% Jan-16 289.7
Feb-16 829.8 1.58% Feb-16 848.55 -2.34% Feb-16 316.75
Mar-16 869.5 4.78% Mar-16 868.7 2.37% Mar-16 350.9
Apr-16 866.65 -0.33% Apr-16 868.1 -0.07% Apr-16 363.8
May-16 849.9 -1.93% May-16 984.1 13.36% May-16 351.65
Jun-16 898.6 5.73% Jun-16 1003.65 1.99% Jun-16 366.15
Jul-16 921.5 2.55% Jul-16 1114.7 11.06% Jul-16 362.05
Aug-16 916.65 -0.53% Aug-16 1159.25 4.00% Aug-16 331.85
Sep-16 867.8 -5.33% Sep-16 1162.1 0.25% Sep-16 314.05
Oct-16 840.25 -3.17% Oct-16 1075.35 -7.46% Oct-16 318.5
Nov-16 844.3 0.48% Nov-16 969.85 -9.81% Nov-16 324.5
Dec-16 826.3 -2.13% Dec-16 891.35 -8.09% Dec-16 305.35
Jan-17 855.15 3.49% Jan-17 970.8 8.91% Jan-17 347.9
Feb-17 864.9 1.14% Feb-17 1024.45 5.53% Feb-17 365.15
Mar-17 909.75 5.19% Mar-17 1071.2 4.56% Mar-17 349.95
Apr-17 934.7 2.74% Apr-17 1119.6 4.52% Apr-17 354.6
May-17 1066.8 14.13% May-17 1152.6 2.95% May-17 371.8
Jun-17 1081.6 1.39% Jun-17 1104.15 -4.20% Jun-17 379.15
Jul-17 1153.35 6.63% Jul-17 1159.45 5.01% Jul-17 417.8
Aug-17 1217.35 5.55% Aug-17 1168.15 0.75% Aug-17 427.85
Sep-17 1175.15 -3.47% Sep-17 1117.05 -4.37% Sep-17 388.65
Oct-17 1236.85 5.25% Oct-17 1180.7 5.70% Oct-17 497.65
Nov-17 1273.75 2.98% Nov-17 1147.75 -2.79% Nov-17 496.85
Dec-17 1368.1 7.41% Dec-17 1157.9 0.88% Dec-17 529.4
Jan-18 1369.65 0.11% Jan-18 1131.05 -2.32% Jan-18 439.65
Feb-18 1316.35 -3.89% Feb-18 1118.85 -1.08% Feb-18 427.35
Mar-18 1335.9 1.49% Mar-18 1120.7 0.17% Mar-18 398.9
Apr-18 1509.05 12.96% Apr-18 1200.15 7.09% Apr-18 409.55
May-18 1613.65 6.93% May-18 1305.6 8.79% May-18 373.8
Jun-18 1641.85 1.75% Jun-18 1264.1 -3.18% Jun-18 381
Jul-18 1731.6 5.47% Jul-18 1448.3 14.57% Jul-18 390.7
Aug-18 1780.6 2.83% Aug-18 1371.1 -5.33% Aug-18 383.35
Sep-18 1607.65 -9.71% Sep-18 1294.05 -5.62% Sep-18 338.25
Oct-18 1617.85 0.63% Oct-18 1227.25 -5.16% Oct-18 292.15
Nov-18 1753.6 8.39% Nov-18 1344.9 9.59% Nov-18 313.55
Dec-18 1818.05 3.68% Dec-18 1373.7 2.14% Dec-18 312.9
Ri
HUL 20.23%
Asian Paints 19.17%
Bharti Airtel 8.68%
Bajaj Finance 48.81%
Summary
Risk
Situation 1 16.61%
Situation 2 16.69%
Situation 3 17.18%
Situation 4 17.63%
Situation 5 18.05%
Efficient Fr
26.80%
26.60%
26.40%
26.20%
26.00%
25.80%
Efficient Fr
26.80%
26.60%
26.40%
26.20%
26.00%
25.80%
25.60%
25.40%
25.20%
25.00%
24.80%
16.40% 16.60% 16.80% 17.00% 17.20%
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
20.23% 4.95% 17.1% 77.20% 118.00%
19.17% 5.66% 19.6% 62.13% 97.83%
8.68% 8.55% 29.6% 5.68% 29.31%
48.81% 12.86% 44.5% 93.90% 109.61%
Covariance = Correlation*SD-1*SD-2
NCE-VARIANCE MATRIX
3.26%
18.05%
26.66%
104.14%
18.81%
31.40%
METHODS
Contribution Markowitz
MMULT
Method Extended
0.30% 0.27% 5.16%
Weights
55%
20%
1%
24%
0.63
α = Rp - [Rf + βp (Rm-Rf)]
Rf βp Rm α
6.995% 0.1801664309 8.36% 0.1299220769
6.995% 0.5139195342 8.36% 0.1147234183
6.995% 0.7805054894 8.36% 0.0061284084
6.995% 1.7542145071 8.36% 0.3941562579
O PERFORMANCE MEASURE
Rf βi T
6.995% 0.1801664309 0.7348194332
6.995% 0.5139195342 0.2369291369
6.995% 0.7805054894 0.0215487237
6.995% 1.7542145071 0.2383879046
Summary
Return HUL Asian Paints Bharti Airtel Baja Finance
25.44% 38.00% 29.00% 10.00% 23.00% 100.00%
25.58% 41.00% 29.00% 8.00% 22.00% 100.00%
26.08% 45.00% 30.00% 2.00% 23.00% 100.00%
26.52% 50.00% 24.00% 2.00% 24.00% 100.00%
26.66% 55.00% 20.00% 1.00% 24.00% 100.00%
Efficient Frontier 2
Efficient Frontier 2
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi
REVIEW 2
JUL Asian Paints Tata Steel
Date Close Price HPR Date Close Price HPR Date Close Price
Mar-16 1217.95 Mar-16 868.7 Mar-16 319.5
Apr-16 1210.85 -0.58% Apr-16 868.1 -0.000691 Apr-16 350.55
May-16 1249.85 3.22% May-16 984.1 0.133625 May-16 334.45
Jun-16 1170.75 -6.33% Jun-16 1003.65 0.019866 Jun-16 321.9
Jul-16 1073.95 -8.27% Jul-16 1114.7 0.110646 Jul-16 354.75
Aug-16 1036.8 -3.46% Aug-16 1159.25 0.039966 Aug-16 370.45
Sep-16 1038.1 0.13% Sep-16 1162.1 0.002458 Sep-16 374.4
Oct-16 1002.5 -3.43% Oct-16 1075.35 -0.074649 Oct-16 404.65
Nov-16 975.45 -2.70% Nov-16 969.85 -0.098108 Nov-16 414.95
Dec-16 1010.7 3.61% Dec-16 891.35 -0.08094 Dec-16 391.1
Jan-17 929.3 -8.05% Jan-17 970.8 0.089134 Jan-17 462.4
Feb-17 1012.3 8.93% Feb-17 1024.45 0.055264 Feb-17 482.65
Mar-17 1020.8 0.84% Mar-17 1071.2 0.045634 Mar-17 482.65
Apr-17 919.4 -9.93% Apr-17 1119.6 0.045183 Apr-17 448.85
May-17 976.95 6.26% May-17 1152.6 0.029475 May-17 504.9
Jun-17 935.65 -4.23% Jun-17 1104.15 -0.042035 Jun-17 544.35
Jul-17 1011.3 8.09% Jul-17 1159.45 0.050084 Jul-17 567.55
Aug-17 915.3 -9.49% Aug-17 1168.15 0.007504 Aug-17 638
Sep-17 898.75 -1.81% Sep-17 1117.05 -0.043744 Sep-17 651.05
Oct-17 921.65 2.55% Oct-17 1180.7 0.05698 Oct-17 703.65
Nov-17 974.95 5.78% Nov-17 1147.75 -0.027907 Nov-17 695.15
Dec-17 1039.3 6.60% Dec-17 1157.9 0.008843 Dec-17 732.45
Jan-18 1150.65 10.71% Jan-18 1131.05 -0.023189 Jan-18 705.05
Feb-18 1174.25 2.05% Feb-18 1118.85 -0.010786 Feb-18 671.7
Mar-18 1134.4 -3.39% Mar-18 1120.7 0.001653 Mar-18 570.9
Apr-18 1199.4 5.73% Apr-18 1200.15 0.070893 Apr-18 594.7
May-18 1231.9 2.71% May-18 1305.6 0.087864 May-18 575.45
Jun-18 1306.75 6.08% Jun-18 1264.1 -0.031786 Jun-18 567.85
Jul-18 1365 4.46% Jul-18 1448.3 0.145716 Jul-18 562.85
Aug-18 1440 5.49% Aug-18 1371.1 -0.053304 Aug-18 601.65
Sep-18 727.85 -49.45% Sep-18 1294.05 -0.056196 Sep-18 580.35
Oct-18 686.25 -5.72% Oct-18 1227.25 -0.051621 Oct-18 552.4
Nov-18 666.5 -2.88% Nov-18 1344.9 0.095865 Nov-18 530.25
Dec-18 659.85 -1.00% Dec-18 1373.7 0.021414 Dec-18 521.85
Jan-19 749.6 13.60% Jan-19 1412.65 0.028354 Jan-19 475.95
Feb-19 733.95 -2.09% Feb-19 1405.05 -0.00538 Feb-19 501.3
Mar-19 742.3 1.14% Mar-19 1491.9 0.061813 Mar-19 520.85
Apr-19 749.95 1.03% Apr-19 1463 -0.019371 Apr-19 556.45
May-19 736.85 -1.75% May-19 1406.7 -0.038483 May-19 487.9
Jun-19 731.95 -0.66% Jun-19 1357.65 -0.034869 Jun-19 504.4
Jul-19 794 8.48% Jul-19 1521.25 0.120502 Jul-19 431.9
Aug-19 814.6 2.59% Aug-19 1615.2 0.061758 Aug-19 344.95
Sep-19 805.3 -1.14% Sep-19 1763.7 0.091939 Sep-19 359.8
Ri
HUL 9.24%
Asian Paints 24.34%
Tata Steel 25.73%
Bajaj Finance 53.40%
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
9.24% 9.88% 34.2% 6.55% 26.99%
24.34% 6.90% 23.9% 72.51% 101.75%
25.73% 10.88% 37.7% 49.70% 68.26%
53.40% 14.12% 48.9% 94.86% 109.16%
Covariance = Correlation*SD-1*SD-2
NCE-VARIANCE MATRIX
4.95%
22.26%
28.18%
95.16%
-12.12%
17.80%
METHODS
Contribution Markowitz
MMULT
Method Extended
0.41290% 0.41% 0.0642574243 0.41%
25%
25%
25%
25%
1.19
Rf βp Rm α
6.995% 0.7956161652 34.98% -0.200202565
6.995% 0.5814864144 34.98% 0.0107223844
6.995% 1.3926075302 34.98% -0.202354665
6.995% 1.9904521771 34.98% -0.092927151
O PERFORMANCE MEASURE
Rf βi T
6.995% 0.7956161652 0.0281920005
6.995% 0.5814864144 0.2982637113
6.995% 1.3926075302 0.134517786
6.995% 1.9904521771 0.2331376457
Sharpe = (Rportfolio - Rf Rate) / Sdportfolio
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi
REVIEW 2
JUL Asian Paints Tata Steel
Date Close Price HPR Date Close Price HPR Date Close Price
Mar-16 1217.95 Mar-16 868.7 Mar-16 319.5
Apr-16 1210.85 -0.58% Apr-16 868.1 -0.000691 Apr-16 350.55
May-16 1249.85 3.22% May-16 984.1 0.133625 May-16 334.45
Jun-16 1170.75 -6.33% Jun-16 1003.65 0.019866 Jun-16 321.9
Jul-16 1073.95 -8.27% Jul-16 1114.7 0.110646 Jul-16 354.75
Aug-16 1036.8 -3.46% Aug-16 1159.25 0.039966 Aug-16 370.45
Sep-16 1038.1 0.13% Sep-16 1162.1 0.002458 Sep-16 374.4
Oct-16 1002.5 -3.43% Oct-16 1075.35 -0.074649 Oct-16 404.65
Nov-16 975.45 -2.70% Nov-16 969.85 -0.098108 Nov-16 414.95
Dec-16 1010.7 3.61% Dec-16 891.35 -0.08094 Dec-16 391.1
Jan-17 929.3 -8.05% Jan-17 970.8 0.089134 Jan-17 462.4
Feb-17 1012.3 8.93% Feb-17 1024.45 0.055264 Feb-17 482.65
Mar-17 1020.8 0.84% Mar-17 1071.2 0.045634 Mar-17 482.65
Apr-17 919.4 -9.93% Apr-17 1119.6 0.045183 Apr-17 448.85
May-17 976.95 6.26% May-17 1152.6 0.029475 May-17 504.9
Jun-17 935.65 -4.23% Jun-17 1104.15 -0.042035 Jun-17 544.35
Jul-17 1011.3 8.09% Jul-17 1159.45 0.050084 Jul-17 567.55
Aug-17 915.3 -9.49% Aug-17 1168.15 0.007504 Aug-17 638
Sep-17 898.75 -1.81% Sep-17 1117.05 -0.043744 Sep-17 651.05
Oct-17 921.65 2.55% Oct-17 1180.7 0.05698 Oct-17 703.65
Nov-17 974.95 5.78% Nov-17 1147.75 -0.027907 Nov-17 695.15
Dec-17 1039.3 6.60% Dec-17 1157.9 0.008843 Dec-17 732.45
Jan-18 1150.65 10.71% Jan-18 1131.05 -0.023189 Jan-18 705.05
Feb-18 1174.25 2.05% Feb-18 1118.85 -0.010786 Feb-18 671.7
Mar-18 1134.4 -3.39% Mar-18 1120.7 0.001653 Mar-18 570.9
Apr-18 1199.4 5.73% Apr-18 1200.15 0.070893 Apr-18 594.7
May-18 1231.9 2.71% May-18 1305.6 0.087864 May-18 575.45
Jun-18 1306.75 6.08% Jun-18 1264.1 -0.031786 Jun-18 567.85
Jul-18 1365 4.46% Jul-18 1448.3 0.145716 Jul-18 562.85
Aug-18 1440 5.49% Aug-18 1371.1 -0.053304 Aug-18 601.65
Sep-18 727.85 -49.45% Sep-18 1294.05 -0.056196 Sep-18 580.35
Oct-18 686.25 -5.72% Oct-18 1227.25 -0.051621 Oct-18 552.4
Nov-18 666.5 -2.88% Nov-18 1344.9 0.095865 Nov-18 530.25
Dec-18 659.85 -1.00% Dec-18 1373.7 0.021414 Dec-18 521.85
Jan-19 749.6 13.60% Jan-19 1412.65 0.028354 Jan-19 475.95
Feb-19 733.95 -2.09% Feb-19 1405.05 -0.00538 Feb-19 501.3
Mar-19 742.3 1.14% Mar-19 1491.9 0.061813 Mar-19 520.85
Apr-19 749.95 1.03% Apr-19 1463 -0.019371 Apr-19 556.45
May-19 736.85 -1.75% May-19 1406.7 -0.038483 May-19 487.9
Jun-19 731.95 -0.66% Jun-19 1357.65 -0.034869 Jun-19 504.4
Jul-19 794 8.48% Jul-19 1521.25 0.120502 Jul-19 431.9
Aug-19 814.6 2.59% Aug-19 1615.2 0.061758 Aug-19 344.95
Sep-19 805.3 -1.14% Sep-19 1763.7 0.091939 Sep-19 359.8
Ri
HUL 9.24%
Asian Paints 24.34%
Tata Steel 25.73%
Bajaj Finance 53.40%
Summary
Risk
Situation 1 22.12%
Situation 2 22.45%
Situation 3 22.73%
Situation 4 23.24%
Situation 5 23.61%
Efficient Fro
32.00%
31.50%
31.00%
30.50%
Efficient Fro
32.00%
31.50%
31.00%
30.50%
30.00%
29.50%
29.00%
28.50%
22.00% 22.20% 22.40% 22.60% 22.80%
Mean Standard Deviation Return
Sharpe
Annually Monthly Annually Risk
9.24% 9.88% 34.2% 6.55% 26.99%
24.34% 6.90% 23.9% 72.51% 101.75%
25.73% 10.88% 37.7% 49.70% 68.26%
53.40% 14.12% 48.9% 94.86% 109.16%
Covariance = Correlation*SD-1*SD-2
NCE-VARIANCE MATRIX
5.16%
22.73%
30.71%
101.81%
-7.99%
20.93%
METHODS
Contribution Markowitz
MMULT
Method Extended
0.45237% 0.43% 0.0667721687 0.45%
10%
44%
20%
26%
1.13
α = Rp - [Rf + βp (Rm-Rf)]
Rf βp Rm α
6.995% 0.7956161652 34.98% -0.200202565
6.995% 0.5814864144 34.98% 0.0107223844
6.995% 1.3926075302 34.98% -0.202354665
6.995% 1.9904521771 34.98% -0.092927151
O PERFORMANCE MEASURE
Rf βi T
6.995% 0.7956161652 0.0281920005
6.995% 0.5814864144 0.2982637113
6.995% 1.3926075302 0.134517786
6.995% 1.9904521771 0.2331376457
Summary
Return HUL Asian Paints Tata Steel Baja Finance
29.73% 23.00% 34.00% 19.00% 24.00%
30.33% 14.00% 39.00% 21.00% 26.00%
30.71% 10.00% 44.00% 20.00% 26.00%
31.23% 6.00% 48.00% 21.00% 25.00%
31.56% 5.00% 50.00% 19.00% 26.00%
Efficient Frontier 3
32.00%
31.50%
31.00%
30.50%
Efficient Frontier 3
32.00%
31.50%
31.00%
30.50%
30.00%
29.50%
29.00%
28.50%
22.00% 22.20% 22.40% 22.60% 22.80% 23.00% 23.20% 23.40% 23.60% 23.80%
Sharpe = (Rportfolio - Rf Rate) / Sdportfolio
Rf 6.995%
Covariance = Correlation*SD-1*SD-2
α = Rp - [Rf + βp (Rm-Rf)]
T = (Ri - Rf)/ βi