Portfolio Ion,,nit Durgapur
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- Words: 1,440
- Pages: 30
Input
Historic Observation Periods
Modify Correlation Matrix Manually
Data is entered as
Risk free Rate:
0.36%
Maintain Return Level
Min Constraint:
10.00%
30.00%
0.00%
0.00%
10.00%
Max Constraint:
70.00%
90.00%
100.00%
80.00%
100.00%
Current Units:
1.00
1.00
1.00
1.00
1.00
Product Name: Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05
MSFT 47 24 24 26 25 26 26 27 28 26 26 27 28 27 25 26 26 29 28 27 28 28 27 27 26 25 24 25 26 25 26 27 26 26 28 26
IBM 78 78 78 85 88 83 81 82 88 89 91 93 99 97 92 88 89 88 87 85 86 90 94 99 93 93 91 76 76 74 83 81 80 82 89 82
INTC 16 17 16 18 21 21 25 29 28 33 34 32 31 29 27 26 29 28 24 21 20 22 22 23 22 24 23 24 27 26 27 26 25 24 27 25
SUNW 3 3 3 3 4 5 4 4 3 4 4 4 5 5 4 4 4 4 4 4 4 5 6 5 4 4 4 4 4 4 4 4 4 4 4 4
AMZN 22 22 26 29 36 36 42 46 48 54 54 53 50 43 43 44 49 54 39 38 41 34 40 44 43 35 34 32 36 33 45 43 45 40 48 47
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✘
Target Return
Input
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Input
●
Prices
Returns
Target Return
2.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
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Input
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Input
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
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Input
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Input
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
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Input
FALSE
2
36
TRUE
1
0
-13.18% 2.67% 8.54% 7.98% -2.18% 4.73% 5.28% 4.30% 5.92% 0.52% 0.56% 1.86% -5.88% -4.55% -2.03% 4.54% 3.57% -9.96% -4.11% 1.75% 0.15% 5.63% 5.15% -4.36% -4.53% -2.23% -8.98% 4.00% -3.43% 14.41% -2.69% -0.22% -2.72% 11.75% -5.55% 0.48% 6.03%
-50.06% 2.15% 5.62% -3.75% 4.19% 3.00% 0.42% 4.83% -5.97% -1.64% 6.46% 1.02% -4.05% -6.03% 4.81% 0.38% 8.88% -0.25% -4.18% 1.28% 1.16% -4.15% -0.34% -1.65% -4.26% -3.93% 4.68% 1.98% -3.72% 3.10% 6.91% -6.03% -0.12% 7.70% -5.53%
-0.32% 0.62% 8.25% 3.70% -6.29% -1.52% 0.94% 7.71% 1.30% 1.18% 2.36% 7.07% -2.75% -4.83% -4.00% 0.48% -0.50% -1.23% -2.73% 1.24% 4.68% 5.00% 4.61% -5.23% -0.90% -1.30% -16.41% -1.09% -1.79% 12.48% -3.40% -0.50% 2.07% 8.57% -7.54%
184.65
0.00% 100.00% 1.00 166.26 144.35 148.21 160.87 173.71 169.92 177.95 187.34 195.39 206.95 208.02 209.19 213.09 200.55 191.42 187.53 196.04 203.04 182.81 175.29 178.35 178.61 188.66 198.37 189.73 181.13 177.09 161.18 167.63 161.88 185.2 180.22 179.83 174.94 195.49 184.65
Page 9
10.15% -5.62% 13.02% 13.15% -0.05% 19.61% 14.87% -3.74% 19.73% 1.79% -4.44% -4.77% -4.33% -6.85% -5.40% 10.96% -3.33% -11.67% -12.67% -5.78% 10.97% 0.54% 4.51% -4.02% 6.86% -3.17% 1.25% 14.63% -3.49% 4.30% -5.23% -4.16% -4.67% 13.53% -6.45%
Input
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Input
0
11.33% -5.23% 1.53% 31.42% 6.90% -19.14% 3.72% -15.13% 19.34% 7.85% 4.93% 18.34% 0.38% -21.47% -6.47% 6.92% 3.84% -8.78% -2.03% 4.39% 11.39% 23.33% -2.88% -19.11% -3.21% -4.27% -10.40% 5.25% -2.10% 2.95% -1.04% 3.42% 1.78% -5.75% 11.14%
0.73% 18.26% 10.22% 25.10% 1.20% 14.65% 11.24% 4.56% 12.39% -0.85% -2.50% -4.22% -14.66% 0.63% 0.74% 11.24% 12.16% -28.46% -2.00% 7.13% -16.47% 16.26% 11.62% -2.42% -18.60% -2.59% -5.57% 9.73% -6.81% 36.45% -5.43% 6.09% -12.01% 21.58% -2.70%
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CoVar
CORRELATION MATRIX Product MSFT IBM INTC SUNW AMZN
Risk free Rate: Iterations: Weight 14.16% 44.52% 13.52% 2.27% 25.53%
Min 10.00% 30.00% 0.00% 0.00% 10.00%
Max 70.00% 90.00% 100.00% 80.00% 100.00%
0.36% 2500 Mean -1.06% 0.28% 1.72% 1.52% 3.05%
No. Products: 5
Mean StdDev
0.48% 6.03%
StdDev MSFT IBM INTC SUNW AMZN 9.55% 100.00% 9.44% -10.14% -22.16% 11.75% 5.35% 100.00% 29.36% 30.79% 44.88% 8.97% 100.00% 27.25% 45.12% 11.61% 100.00% 22.05% 13.12% 100.00%
Page 19
PORTFOLIO OPTIMIZATION RESULTS CURRENT PORTFOLIO
OPTIMAL PORTFOLIO
IBM 44.52%
IBM 30.77%
MSFT 14.16% AMZN 25.53% INTC 13.52%
MSFT 10.33%
INTC 20.71%
SUNW 2.27%
AMZN 29.83%
SUNW 8.36%
Iterations 2500
Period Return Probability 20%
Period Return Probability 10%
Risk-free rate 0.36%
15%
Prob
Prob 10%
5%
5%
Portfolio Returns
Mean 0.48%
Std Dev 6.03%
2 % 5 % 8 % 1 2 % 1 7 %
-2 %
-6 %
-1 2 %
-1 8 %
2 % 5 % 8 % 1 2 % 1 7 %
-2 %
-6 %
0% -1 2 %
-1 8 %
0%
Portfolio Returns
Sharpe Ratio 0.019
Mean 1.37%
Std Dev 6.36%
Probability of achieving 2.0% target return :
Product MSFT IBM INTC SUNW AMZN
40.02%
Current Weighting
Units
14.16% 44.52% 13.52% 2.27% 25.53% 100.00%
1.00 1.00 1.00 1.00 1.00
Probability of achieving 2.0% target return :
Theoretical Change Weighting Units -3.83% -13.75% 7.19% 6.09% 4.29%
-0.27 -0.31 0.53 2.69 0.17
Optimal Weighting 10.33% 30.77% 20.71% 8.36% 29.83% 100.00%
PORTFOLIO Number of Assets
30.77% MSFT 10.33%
AMZN 29.83%
2 % 5 % 8 % 1 2 % 1 7 %
%
n Probability
ortfolio Returns
Sharpe Ratio 0.159
46.05% Optimal Units 0.73 0.69 1.53 3.69 1.17
Number of Assets 5 Iteration 10,000 Mean Stdev
Axis
Return -17.7% -18% -16.9% -17% -16.2% -16% -15.4% -15% -14.7% -15% -13.9% -14%
-13.1% -12.4% -13% -12% -11.6% -12% -10.8% -11%
Current
Optimal 0.48% 6.03%
Probability
1% 1% 0% 0% 0% 0%
2% 2% 3% 3%
1.37% 6.36%
Probability
MIN MAX
Axis Increment -17.71% 0.76% 20.44%
1% 1% 1% 0% 0% 1%
0% 0% 0% 0% 0% 0%
0% 0% 0% 0% 0% 0%
0% 2% 2% 3%
0% 0% 0% 0%
0% 0% 0% 0%
-10.1% -10% -9.3% -9% -8.5% -9% -7.8% -8% -7.0% -7% -6.3% -6% -5.5% -5% -4.7% -5% -4.0% -4% -3.2% -3% -2.4% -2% -1.7% -2% -0.9% -1% -0.2% 0% 0.6% 1% 1.4% 1% 2.1% 2% 2.9% 3% 3.7% 4% 4.4% 4% 5.2% 5% 5.9% 6% 6.7% 7% 7.5% 7% 8.2% 8% 9.0% 9% 9.8% 10% 10.5% 11% 11.3% 11% 12.1% 12% 12.8% 13% 13.6% 14% 14.3% 14% 15.1% 15% 15.9% 16% 16.6% 17% 17.4% 17% 18.2% 18%
4% 5% 6% 9% 11% 13% 16% 19% 23% 27% 31% 36% 41% 46% 49% 44% 39% 34% 30% 26% 22% 18% 15% 12% 10% 8% 6% 5% 4% 3% 3% 2% 1% 1% 1% 0% 0% 0%
4% 4% 6% 8% 10% 11% 14% 17% 20% 24% 28% 32% 36% 41% 45% 50% 45% 41% 36% 32% 27% 23% 20% 17% 14% 11% 10% 8% 6% 5% 4% 3% 2% 1% 1% 1% 1% 0%
1% 1% 1% 1% 2% 2% 3% 3% 4% 4% 5% 6% 6% 7% 8% 7% 6% 5% 5% 4% 3% 3% 2% 2% 2% 1% 1% 1% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1% 1% 1% 1% 1% 2% 2% 3% 3% 4% 4% 5% 5% 6% 7% 7% 7% 6% 5% 5% 4% 4% 3% 3% 2% 2% 1% 1% 1% 1% 1% 0% 0% 0% 0% 0% 0% 0%
18.9% 19% 19.7% 20% 20.4% 20%
0% 0% 0%
0% 0% 1%
0% 0% 0%
0% 0% 0%
Chart of the Efficient Frontier
Expected return
Efficient Frontier and Portfolio Set 0.95% 0.90% 0.85% 0.80% 0.75% 0.70% 0.65% 0.60% 0.55% 0.50% 0.45% 0.40% 0.35% 0.30% 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% R RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR o oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo w ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww 3 48 11 22 33 34 45 55 66 77 88 89 91 11 11 11 11 11 11 11 11 11 11 11 12 22 22 22 22 22
Standard Deviation
Optimal Coordinates: Return = 1.4% and Standard Deviation = 6.4%
Mean
SD 0.65% 0.92%
5.14% 5.52%
0 0.06 0.06
0 0.01 0.01
Historic Observation Periods
Modify Correlation Matrix Manually
Data is entered as
Risk free Rate:
0.36%
Maintain Return Level
Min Constraint:
10.00%
30.00%
0.00%
0.00%
10.00%
Max Constraint:
70.00%
90.00%
100.00%
80.00%
100.00%
Current Units:
1.00
1.00
1.00
1.00
1.00
Product Name: Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05
MSFT 47 24 24 26 25 26 26 27 28 26 26 27 28 27 25 26 26 29 28 27 28 28 27 27 26 25 24 25 26 25 26 27 26 26 28 26
IBM 78 78 78 85 88 83 81 82 88 89 91 93 99 97 92 88 89 88 87 85 86 90 94 99 93 93 91 76 76 74 83 81 80 82 89 82
INTC 16 17 16 18 21 21 25 29 28 33 34 32 31 29 27 26 29 28 24 21 20 22 22 23 22 24 23 24 27 26 27 26 25 24 27 25
SUNW 3 3 3 3 4 5 4 4 3 4 4 4 5 5 4 4 4 4 4 4 4 5 6 5 4 4 4 4 4 4 4 4 4 4 4 4
AMZN 22 22 26 29 36 36 42 46 48 54 54 53 50 43 43 44 49 54 39 38 41 34 40 44 43 35 34 32 36 33 45 43 45 40 48 47
Page 1
✘
Target Return
Input
Page 2
Input
●
Prices
Returns
Target Return
2.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
Page 3
Input
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Input
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
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Input
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Input
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
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Input
FALSE
2
36
TRUE
1
0
-13.18% 2.67% 8.54% 7.98% -2.18% 4.73% 5.28% 4.30% 5.92% 0.52% 0.56% 1.86% -5.88% -4.55% -2.03% 4.54% 3.57% -9.96% -4.11% 1.75% 0.15% 5.63% 5.15% -4.36% -4.53% -2.23% -8.98% 4.00% -3.43% 14.41% -2.69% -0.22% -2.72% 11.75% -5.55% 0.48% 6.03%
-50.06% 2.15% 5.62% -3.75% 4.19% 3.00% 0.42% 4.83% -5.97% -1.64% 6.46% 1.02% -4.05% -6.03% 4.81% 0.38% 8.88% -0.25% -4.18% 1.28% 1.16% -4.15% -0.34% -1.65% -4.26% -3.93% 4.68% 1.98% -3.72% 3.10% 6.91% -6.03% -0.12% 7.70% -5.53%
-0.32% 0.62% 8.25% 3.70% -6.29% -1.52% 0.94% 7.71% 1.30% 1.18% 2.36% 7.07% -2.75% -4.83% -4.00% 0.48% -0.50% -1.23% -2.73% 1.24% 4.68% 5.00% 4.61% -5.23% -0.90% -1.30% -16.41% -1.09% -1.79% 12.48% -3.40% -0.50% 2.07% 8.57% -7.54%
184.65
0.00% 100.00% 1.00 166.26 144.35 148.21 160.87 173.71 169.92 177.95 187.34 195.39 206.95 208.02 209.19 213.09 200.55 191.42 187.53 196.04 203.04 182.81 175.29 178.35 178.61 188.66 198.37 189.73 181.13 177.09 161.18 167.63 161.88 185.2 180.22 179.83 174.94 195.49 184.65
Page 9
10.15% -5.62% 13.02% 13.15% -0.05% 19.61% 14.87% -3.74% 19.73% 1.79% -4.44% -4.77% -4.33% -6.85% -5.40% 10.96% -3.33% -11.67% -12.67% -5.78% 10.97% 0.54% 4.51% -4.02% 6.86% -3.17% 1.25% 14.63% -3.49% 4.30% -5.23% -4.16% -4.67% 13.53% -6.45%
Input
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Input
0
11.33% -5.23% 1.53% 31.42% 6.90% -19.14% 3.72% -15.13% 19.34% 7.85% 4.93% 18.34% 0.38% -21.47% -6.47% 6.92% 3.84% -8.78% -2.03% 4.39% 11.39% 23.33% -2.88% -19.11% -3.21% -4.27% -10.40% 5.25% -2.10% 2.95% -1.04% 3.42% 1.78% -5.75% 11.14%
0.73% 18.26% 10.22% 25.10% 1.20% 14.65% 11.24% 4.56% 12.39% -0.85% -2.50% -4.22% -14.66% 0.63% 0.74% 11.24% 12.16% -28.46% -2.00% 7.13% -16.47% 16.26% 11.62% -2.42% -18.60% -2.59% -5.57% 9.73% -6.81% 36.45% -5.43% 6.09% -12.01% 21.58% -2.70%
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CoVar
CORRELATION MATRIX Product MSFT IBM INTC SUNW AMZN
Risk free Rate: Iterations: Weight 14.16% 44.52% 13.52% 2.27% 25.53%
Min 10.00% 30.00% 0.00% 0.00% 10.00%
Max 70.00% 90.00% 100.00% 80.00% 100.00%
0.36% 2500 Mean -1.06% 0.28% 1.72% 1.52% 3.05%
No. Products: 5
Mean StdDev
0.48% 6.03%
StdDev MSFT IBM INTC SUNW AMZN 9.55% 100.00% 9.44% -10.14% -22.16% 11.75% 5.35% 100.00% 29.36% 30.79% 44.88% 8.97% 100.00% 27.25% 45.12% 11.61% 100.00% 22.05% 13.12% 100.00%
Page 19
PORTFOLIO OPTIMIZATION RESULTS CURRENT PORTFOLIO
OPTIMAL PORTFOLIO
IBM 44.52%
IBM 30.77%
MSFT 14.16% AMZN 25.53% INTC 13.52%
MSFT 10.33%
INTC 20.71%
SUNW 2.27%
AMZN 29.83%
SUNW 8.36%
Iterations 2500
Period Return Probability 20%
Period Return Probability 10%
Risk-free rate 0.36%
15%
Prob
Prob 10%
5%
5%
Portfolio Returns
Mean 0.48%
Std Dev 6.03%
2 % 5 % 8 % 1 2 % 1 7 %
-2 %
-6 %
-1 2 %
-1 8 %
2 % 5 % 8 % 1 2 % 1 7 %
-2 %
-6 %
0% -1 2 %
-1 8 %
0%
Portfolio Returns
Sharpe Ratio 0.019
Mean 1.37%
Std Dev 6.36%
Probability of achieving 2.0% target return :
Product MSFT IBM INTC SUNW AMZN
40.02%
Current Weighting
Units
14.16% 44.52% 13.52% 2.27% 25.53% 100.00%
1.00 1.00 1.00 1.00 1.00
Probability of achieving 2.0% target return :
Theoretical Change Weighting Units -3.83% -13.75% 7.19% 6.09% 4.29%
-0.27 -0.31 0.53 2.69 0.17
Optimal Weighting 10.33% 30.77% 20.71% 8.36% 29.83% 100.00%
PORTFOLIO Number of Assets
30.77% MSFT 10.33%
AMZN 29.83%
2 % 5 % 8 % 1 2 % 1 7 %
%
n Probability
ortfolio Returns
Sharpe Ratio 0.159
46.05% Optimal Units 0.73 0.69 1.53 3.69 1.17
Number of Assets 5 Iteration 10,000 Mean Stdev
Axis
Return -17.7% -18% -16.9% -17% -16.2% -16% -15.4% -15% -14.7% -15% -13.9% -14%
-13.1% -12.4% -13% -12% -11.6% -12% -10.8% -11%
Current
Optimal 0.48% 6.03%
Probability
1% 1% 0% 0% 0% 0%
2% 2% 3% 3%
1.37% 6.36%
Probability
MIN MAX
Axis Increment -17.71% 0.76% 20.44%
1% 1% 1% 0% 0% 1%
0% 0% 0% 0% 0% 0%
0% 0% 0% 0% 0% 0%
0% 2% 2% 3%
0% 0% 0% 0%
0% 0% 0% 0%
-10.1% -10% -9.3% -9% -8.5% -9% -7.8% -8% -7.0% -7% -6.3% -6% -5.5% -5% -4.7% -5% -4.0% -4% -3.2% -3% -2.4% -2% -1.7% -2% -0.9% -1% -0.2% 0% 0.6% 1% 1.4% 1% 2.1% 2% 2.9% 3% 3.7% 4% 4.4% 4% 5.2% 5% 5.9% 6% 6.7% 7% 7.5% 7% 8.2% 8% 9.0% 9% 9.8% 10% 10.5% 11% 11.3% 11% 12.1% 12% 12.8% 13% 13.6% 14% 14.3% 14% 15.1% 15% 15.9% 16% 16.6% 17% 17.4% 17% 18.2% 18%
4% 5% 6% 9% 11% 13% 16% 19% 23% 27% 31% 36% 41% 46% 49% 44% 39% 34% 30% 26% 22% 18% 15% 12% 10% 8% 6% 5% 4% 3% 3% 2% 1% 1% 1% 0% 0% 0%
4% 4% 6% 8% 10% 11% 14% 17% 20% 24% 28% 32% 36% 41% 45% 50% 45% 41% 36% 32% 27% 23% 20% 17% 14% 11% 10% 8% 6% 5% 4% 3% 2% 1% 1% 1% 1% 0%
1% 1% 1% 1% 2% 2% 3% 3% 4% 4% 5% 6% 6% 7% 8% 7% 6% 5% 5% 4% 3% 3% 2% 2% 2% 1% 1% 1% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1% 1% 1% 1% 1% 2% 2% 3% 3% 4% 4% 5% 5% 6% 7% 7% 7% 6% 5% 5% 4% 4% 3% 3% 2% 2% 1% 1% 1% 1% 1% 0% 0% 0% 0% 0% 0% 0%
18.9% 19% 19.7% 20% 20.4% 20%
0% 0% 0%
0% 0% 1%
0% 0% 0%
0% 0% 0%
Chart of the Efficient Frontier
Expected return
Efficient Frontier and Portfolio Set 0.95% 0.90% 0.85% 0.80% 0.75% 0.70% 0.65% 0.60% 0.55% 0.50% 0.45% 0.40% 0.35% 0.30% 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% R RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR RR o oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo w ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww ww 3 48 11 22 33 34 45 55 66 77 88 89 91 11 11 11 11 11 11 11 11 11 11 11 12 22 22 22 22 22
Standard Deviation
Optimal Coordinates: Return = 1.4% and Standard Deviation = 6.4%
Mean
SD 0.65% 0.92%
5.14% 5.52%
0 0.06 0.06
0 0.01 0.01
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