portfolio ion,,nit durgapur

8/14/2019 Portfolio ion,,NIT DURGAPUR

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Modify Correlation Matrix Manually Data is entered as

Risk free Rate: 0.36% Maintain Return Level TarMin 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: MSFT IBM INTC SUNW AMZN

HistoricObservation

Periods

Jan-03 47 78 16 3 22

Feb-03 24 78 17 3 22

Mar-03 24 78 16 3 26Apr-03 26 85 18 3 29

May-03 25 88 21 4 36

Jun-03 26 83 21 5 36

Jul-03 26 81 25 4 42

Aug-03 27 82 29 4 46

Sep-03 28 88 28 3 48

Oct-03 26 89 33 4 54

Nov-03 26 91 34 4 54Dec-03 27 93 32 4 53

Jan-04 28 99 31 5 50

Feb-04 27 97 29 5 43

Mar-04 25 92 27 4 43

Apr-04 26 88 26 4 44

May-04 26 89 29 4 49

Jun-04 29 88 28 4 54

Jul-04 28 87 24 4 39

Aug-04 27 85 21 4 38Sep-04 28 86 20 4 41

Oct-04 28 90 22 5 34

Nov-04 27 94 22 6 40

Dec-04 27 99 23 5 44

Jan-05 26 93 22 4 43

$


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Prices Returns

et 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

q


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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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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 36 184.65

TRUE 1 0

0.00%

100.00%

1.00

166.26

144.35 -13.18% -50.06% -0.32% 10.15%

148.21 2.67% 2.15% 0.62% -5.62%160.87 8.54% 5.62% 8.25% 13.02%

173.71 7.98% -3.75% 3.70% 13.15%

169.92 -2.18% 4.19% -6.29% -0.05%

177.95 4.73% 3.00% -1.52% 19.61%

187.34 5.28% 0.42% 0.94% 14.87%

195.39 4.30% 4.83% 7.71% -3.74%

206.95 5.92% -5.97% 1.30% 19.73%

208.020.52%

-1.64% 1.18% 1.79%209.19 0.56% 6.46% 2.36% -4.44%

213.09 1.86% 1.02% 7.07% -4.77%

200.55 -5.88% -4.05% -2.75% -4.33%

191.42 -4.55% -6.03% -4.83% -6.85%

187.53 -2.03% 4.81% -4.00% -5.40%

196.04 4.54% 0.38% 0.48% 10.96%

203.04 3.57% 8.88% -0.50% -3.33%

182.81 -9.96% -0.25% -1.23% -11.67%

175.29 -4.11% -4.18% -2.73% -12.67%178.35 1.75% 1.28% 1.24% -5.78%

178.61 0.15% 1.16% 4.68% 10.97%

188.66 5.63% -4.15% 5.00% 0.54%

198.37 5.15% -0.34% 4.61% 4.51%

189 73 -4 36% -1 65% -5 23% -4 02%


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0

11.33% 0.73%

-5.23% 18.26%1.53% 10.22%

31.42% 25.10%

6.90% 1.20%

-19.14% 14.65%

3.72% 11.24%

-15.13% 4.56%

19.34% 12.39%

7.85% -0.85%

4.93% -2.50%

18.34% -4.22%

0.38% -14.66%

-21.47% 0.63%

-6.47% 0.74%

6.92% 11.24%

3.84% 12.16%

-8.78% -28.46%

-2.03% -2.00%4.39% 7.13%

11.39% -16.47%

23.33% 16.26%

-2.88% 11.62%

-19 11% -2 42%


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CORRELATION Risk free Rate: 0.36% No. Products: Mean 0.48%

MATRIX Iterations: 2500 5 StdDev 6.03%

Product Weight Min Max Mean StdDev MSFT IBM INTC SUNW AMZN

MSFT 14.16% 10.00% 70.00% -1.06% 9.55% 100.00% 9.44% -10.14% -22.16% 11.75%

IBM 44.52% 30.00% 90.00% 0.28% 5.35% 100.00% 29.36% 30.79% 44.88%

INTC 13.52% 0.00% 100.00% 1.72% 8.97% 100.00% 27.25% 45.12%

SUNW 2.27% 0.00% 80.00% 1.52% 11.61% 100.00% 22.05%

AMZN 25.53% 10.00% 100.00% 3.05% 13.12% 100.00%


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PORTFOLIO OPTIMIZATION RESULTS

CURRENT PORTFOLIO OPTIMAL PORTFOLIO

Iterations

2500

Risk-free rate

0.36%

Mean Std Dev Sharpe Ratio Mean Std Dev

0.48% 6.03% 0.019 1.37% 6.36%

MSFT 14.16%

IBM 44.52%

INTC 13.52%SUNW 2.27%

AMZN 25.53%

IBM 30.77%

INTC 20.71%

SUNW 8.36%

-1 8 % -1 2 % -6 % -2 % 2 % 5 % 8 % 1 2 % 1 7 %

0%

5%

10%

15%

20%

Period Return Probability

Portfolio Returns

Prob

-1 8 % -1 2 % -6 % -2 % 2 % 5

0%

5%

10%

Period Return Probabi

Portfolio Return

Prob


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Probability of achieving 2.0% target return : 40.02% Probability of achieving 2.0% target return :

ProductCurrent Theoretical Change Opti

Weighting Units Weighting Units Weighting

MSFT 14.16% 1.00 -3.83% -0.27 10.33%IBM 44.52% 1.00 -13.75% -0.31 30.77%

INTC 13.52% 1.00 7.19% 0.53 20.71%

SUNW 2.27% 1.00 6.09% 2.69 8.36%

AMZN 25.53% 1.00 4.29% 0.17 29.83%

100.00% 100.00%


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46.05%

mal

Units

0.73

0.691.53

3.69

1.17


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ber of Assets

5

Iteration Current Optimal Axis Increment10,000 Mean 0.48% 1.37% MIN -17.71% 0.76%

Stdev 6.03% 6.36% MAX 20.44%

Axis Return Probability Probability- . --16.9% -17% 1% 1% 0% 0%

-16.2% -16% 0% 1% 0% 0%

-15.4% -15% 0% 0% 0% 0%

-14.7% -15% 0% 0% 0% 0%

-13.9% -14% 0% 1% 0% 0%

-13.1% -13% 2% 0% 0% 0%.

-11.6% -12% 3% 2% 0% 0%

-10.8% -11% 3% 3% 0% 0%


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-10.1% -10% 4% 4% 1% 1%- . -

-8.5% -9% 6% 6% 1% 1%

-7.8% -8% 9% 8% 1% 1%.

-6.3% -6% 13% 11% 2% 2%

-5.5% -5% 16% 14% 3% 2%-4.7% -5% 19% 17% 3% 3%

-4.0% -4% 23% 20% 4% 3%

-3.2% -3% 27% 24% 4% 4%

-2.4% -2% 31% 28% 5% 4%

-1.7% -2% 36% 32% 6% 5%

-0.9% -1% 41% 36% 6% 5%

-0.2% 0% 46% 41% 7% 6%

0.6% 1% 49% 45% 8% 7%

1.4% 1% 44% 50% 7% 7%

2.1% 2% 39% 45% 6% 7%

2.9% 3% 34% 41% 5% 6%

3.7% 4% 30% 36% 5% 5%

4.4% 4% 26% 32% 4% 5%

5.2% 5% 22% 27% 3% 4%

5.9% 6% 18% 23% 3% 4%

6.7% 7% 15% 20% 2% 3%

7.5% 7% 12% 17% 2% 3%

8.2% 8% 10% 14% 2% 2%

9.0% 9% 8% 11% 1% 2%

9.8% 10% 6% 10% 1% 1%

10.5% 11% 5% 8% 1% 1%11.3% 11% 4% 6% 1% 1%

12.1% 12% 3% 5% 0% 1%

12.8% 13% 3% 4% 0% 1%

13.6% 14% 2% 3% 0% 0%

14.3% 14% 1% 2% 0% 0%

15.1% 15% 1% 1% 0% 0%

15.9% 16% 1% 1% 0% 0%

16.6% 17% 0% 1% 0% 0%

17.4% 17% 0% 1% 0% 0%

18.2% 18% 0% 0% 0% 0%


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18.9% 19% 0% 0% 0% 0%

19.7% 20% 0% 0% 0% 0%

20.4% 20% 0% 1% 0% 0%


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Chart of the Efficient Frontier

Optimal Coordinates: Return = 1.4% and Standard Deviation = 6.4%

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0.00%

0.05%

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0.25%

0.30%

0.35%0.40%

0.45%

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0.60%

0.65%

0.70%

0.75%

0.80%

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0.90%0.95%

Efficient Frontier and Portfolio Set

Standard Deviation

Expected

return


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Mean SD

0.65% 5.14% 0 0

0.92% 5.52% 0.06 0.01

0.06 0.01

portfolio ion,,nit durgapur

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