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Security Analysis/Portfolio
Management
• BOSCH
• HINDALCO
• INDIA BULLS
• Sun Pharma
• GMR
Average returns
Year BOSCH HINDALCO INDIABULLS Sunpharma (M) GMR Nifty (I)
2008 (0.4048) (1.1926) (1.3197) (0.0224) (0.8947) (0.6464)
2009 0.4182 1.3614 0.1179 0.4642 0.2180 0.6388
2010 0.3275 0.4984 122.3743 (0.2936) (0.3160) 0.1769
2011 0.0802 (0.6157) 7.5039 0.0636 (0.7605) (0.2641)
2012 0.3318 0.1541 42.2210 0.4120 0.0857 0.2550
Sharpe Optimiser
BOSCH HINDALCO INDIABULLS Sunpharma (M) GMR Nifty (I)
Average Return 0.1506 0.0411 34.1795 0.1248 (0.3335) 3% Beta
Variance 16.3014 69.5740 98,188.4361 61.3517 90.1584 20.3253704 Alpha
SD 4.0375 8.3411 313.3503 7.8327 9.4952 4.508366711 Systematic Risk
Unsystematic Risk
Covariance Total Risk
BOSCH 16.30143 6.81650 0.65659 3.94720 7.49436 5.03030
Coefficient
Determination,r2
HINDALCO 6.81650 69.57398 16.99033 7.06877 19.43709 16.62041
INDIABULLS 0.65659 16.99033 98,188.43610 95.18047 17.27249 61.25345
SUNPHARMA 3.94720 7.06877 95.18047 61.35166 10.20798 8.97154
GMR 7.49436 19.43709 17.27249 10.20798 90.15841 (1.14775)
Correlation
BOSCH 1 0.202406946 0.000518977 0.124813903 0.195487268 0.276351285
HINDALCO 0.202406946 1 0.006500523 0.108195001 0.245417085 0.441976333
INDIABULLS 0.000518977 0.006500523 1 0.038779706 0.00580526 0.043359191
SUNPHARMA 0.124813903 0.108195001 0.038779706 1 0.137253583 0.254058972
GMR 0.195487268 0.245417085 0.00580526 0.137253583 1 0.517645021
Risk Tolerance 5
Portfolio BOSCH HINDALCO INDIABULLS Sunpharma (M) GMR Nifty (I) SD Expected Return
1 0.2 0.2 0.2 0.2 0.2 3951.838605 62.86365091 683%
2 1 0 0 0 0 16.30143364 4.037503392 15%
3 0.88 0.03 0.03 0.03 0.03 102.4901746 10.12374311 115%
4 0.76 0.06 0.06 0.06 0.06 366.6113278 19.14709711 216%
5 0.64 0.09 0.09 0.09 0.09 808.6648933 28.43703384 316%
6 0.52 0.12 0.12 0.12 0.12 1428.650871 37.79749821 416%
7 0.4 0.15 0.15 0.15 0.15 2226.569261 47.18653686 516%
8 0.28 0.18 0.18 0.18 0.18 3202.420064 56.589929 616%
9 0.16 0.21 0.21 0.21 0.21 4356.203278 66.00153997 717%
10 0.04 0.24 0.24 0.24 0.24 5687.918905 75.41829291 817%
11 0 1 0 0 0 69.5739765 8.341101636 4%
12 0.03 0.88 0.03 0.03 0.03 145.2977871 12.05395317 106%
13 0.06 0.76 0.06 0.06 0.06 399.8272038 19.99567963 208%
14 0.09 0.64 0.09 0.09 0.09 833.1622265 28.86454965 310%
15 0.12 0.52 0.12 0.12 0.12 1445.302855 38.01713897 412%
16 0.15 0.4 0.15 0.15 0.15 2236.24909 47.28899544 513%
17 0.18 0.28 0.18 0.18 0.18 3206.000931 56.62155888 615%
18 0.21 0.16 0.21 0.21 0.21 4354.558377 65.98907771 717%
19 0.24 0.04 0.24 0.24 0.24 5681.92143 75.37852101 819%
20 0 0 1 0 0 98188.4361 313.3503408 3418%
21 0.03 0.03 0.88 0.03 0.03 76044.30678 275.7613221 3008%
22 0.06 0.06 0.76 0.06 0.06 56726.75618 238.1737941 2598%
23 0.09 0.09 0.64 0.09 0.09 40235.7843 200.5885946 2187%
24 0.12 0.12 0.52 0.12 0.12 26571.39113 163.0073346 1777%
25 0.15 0.15 0.4 0.15 0.15 15733.57667 125.4335548 1367%
26 0.18 0.18 0.28 0.18 0.18 7722.340926 87.87685091 957%
27 0.21 0.21 0.16 0.21 0.21 2537.683897 50.3754295 547%
28 0.24 0.24 0.04 0.24 0.24 179.6055827 13.40170074 136%
29 0 0 0 1 0 61.3516558 7.83272978 12%
30 0.03 0.03 0.03 0.88 0.03 142.3084996 11.92931262 113%
Weights

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Security analysis(parag chaubey)

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