Dhruv Malhotra Assignment 2
Dhruv Malhotra Assignment 2
Dhruv Malhotra Assignment 2
Gas Authority of
Bank Of Baroda Coal India Ltd. India
1.99% -1.92% 0.18%
Rf 6.79%
CAPM Model Rf + Beta(Rm-Rf)
SBI
NTPC
ONGC
PNGC
Bank Of Baroda
COAL
GAIL
Bharat Electronics
Bank of India
NMDC
Return Annualized return Variance
0.08% 20% 0.05%
0.04% 11% 0.03%
0.02% 5% 0.05%
0.07% 17% 0.03%
0.03% 7% 0.08%
-0.01% -3% 0.04%
0.06% 16% 0.05%
0.09% 23% 0.06%
-0.01% -1% 0.08%
0.04% 10% 0.06%
0.05% 13.21% 0.01%
(historcal return)
Annualised
Portfolio Return Portfolio Return
0.05% 11%
0.000255628182358
2.268203909836E-05 0.0008032463930577
2.744640402826E-05 0.0001873975927309 0.0003847858976727
0.0001030842589293 3.875996590477E-05 6.062395682322E-05
9.954923246681E-05 5.828091346304E-05 3.093661597591E-05
4.117028154295E-05 0.0005744331073059 0.0001586023570064
0.0001007126256174 9.919914247607E-05 9.282318429427E-05
Beta CAPM Model Weights
1.32 15% 0.2
0.17 8% 0.15
0.03 7% 0.1
0.59 11% 0.05
0.18 8% 0.12
0.12 8% 0.08
0.81 12% 0.07
0.94 13% 0.09
0.25 8% 0.06
1.04 13% 0.08
TOTAL 1
[E(Rp)-Rf]/SD
0.0004504162649751
0.0001491218301649 0.0005518707327573
6.390933877592E-05 7.369415881287E-05 0.0008265032652088
0.0001930266415247 0.0002256031893839 9.811796161915E-05
Weighted Volatility
0.46%
0.25%
0.23%
0.08%
0.34%
0.16%
0.15%
0.21%
0.17%
0.20%
[E(Rp)-Rf]/Beta
Treynor Ratio
6.42
NMDC
0.0006060384005453
-3.06% 0.95% 1.76%
0.74% -3.12% -3.81%
-3.58% -0.99% -2.17%
-2.82% 3.60% 0.28% -4.65% -2.19% 1.95%
1.60% -1.74% -2.92% 0.40% 0.79% -2.68%
-3.02% -6.63% -3.18% 0.33% 1.66% -5.38%
-4.48%
2.80%
0.36%
Date NIFTY 50 Return Vodaphone Idea
9/1/2022 -1.22% 0.55%
Rf 6.79%
CAPM Model Rf + Beta(Rm-Rf)
Vodaphone Idea
Persistent Systems
Prestige Real Estate
Balkrishna Industrie
Coforge
Voltas
Deepak Nitrite
Aurobindo Pharma
SJVN
NHPC
Return Annualized return Variance
-0.05% -12% 0.23%
0.12% 29% 0.05%
0.09% 23% 0.09%
0.13% 33% 0.05%
0.16% 39% 0.07%
0.10% 25% 0.04%
0.24% 60% 0.07%
0.01% 3% 0.06%
0.03% 8% 0.03%
0.07% 17% 0.04%
0.05% 13.21% 0.01%
(historcal return)
Annualised
Portfolio Return Portfolio Return
0.08% 20.17%
0.0004941696656026
0.0001795686076984 0.0007476530246445
0.0001530024554933 0.0001570982150484 0.0004184023701496
0.000156609478503 0.0001983610430175 0.0001690629193513
0.0001224121579706 0.0001601713393499 0.0001351366321702
7.9199901436E-05 8.09476520463E-05 7.244675483792E-05
8.164790632379E-05 0.0001316970577788 0.0001064760283102
Beta CAPM Model Weights
0.31 9% 0.1
0.58 11% 0.15
0.19 8% 0.2
0.19 8% 0.055
0.18 8% 0.11
0.21 8% 0.06
0.22 8% 0.05
0.12 8% 0.2
0.02 7% 0.03
0.00 7% 0.045
TOTAL 1
[E(Rp)-Rf]/SD
0.0007210842906473
0.000165699502838 0.0005976507766127
6.691466028662E-05 6.890235783122E-05 0.0003063779939307
0.0001386940925604 9.652059961865E-05 0.0001529334996374
Weighted Volatility
0.48%
0.32%
0.59%
0.12%
0.30%
0.12%
0.13%
0.49%
0.05%
0.09%
[E(Rp)-Rf]/Beta
Treynor Ratio
6.42
NHPC
0.0003718407510137
-3.06% 0.95% 1.76%
0.74% -3.12% -3.81%
-3.58% -0.99% -2.17%
-2.82% 3.60% 0.28% -4.65% -2.19% 1.95%
1.60% -1.74% -2.92% 0.40% 0.79% -2.68%
-3.02% -6.63% -3.18% 0.33% 1.66% -5.38%
-4.48%
2.80%
0.36%
1. Sharpe Ratio Comparison:
The Sharpe Ratio measures the return of the portfolio per unit of total risk (standard deviatio
significantly higher Sharpe ratio than Portfolio 2, indicating that Portfolio 1 delivers a much b
return when considering both systematic and unsystematic risk. Portfolio 1 is more efficient
excess returns.
Interestingly, both portfolios have the same Treynor Ratio. The Treynor Ratio measures ret
systematic risk (beta). Since both portfolios exhibit the same Treynor Ratio, this indicates tha
identical returns per unit of market (systematic) risk, regardless of their different overall risk
Jensen’s Alpha represents the excess return a portfolio generates over its expected return ba
Capital Asset Pricing Model (CAPM). Portfolio 2 has a much higher Jensen’s Alpha than Portfo
Portfolio 2 outperformed its expected return by a much larger margin. Portfolio 2 has demon
management, as it has generated significantly more alpha (excess return) relative to market
Summary of Performance:
risk (standard deviation). Portfolio 1 has a
lio 1 delivers a much better risk-adjusted Portfolio 1 excels in terms of total risk
olio 1 is more efficient at converting risk into attractive to investors seeking higher r
olios have the same Treynor Ratio, they are equally effective in
ns per unit of systematic risk (market risk).
on:
referable for risk-averse investors who prioritize total risk-adjusted
Ratio).