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  • W Retun SD Core With MKT Beta Beta Port SD Port

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    13mayank
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    This document contains financial data and calculations including: - Stock/portfolio weights, returns, standard deviations, betas, and other metrics - Calculations of required rates of return, alphas, Treynor and Sharp ratios for various investments - Correlation coefficients between different investments and the market

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    31.10.10

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    This document contains financial data and calculations including: - Stock/portfolio weights, returns, standard deviations, betas, and other metrics - Calculations of required rates of return, alphas, Treynor and Sharp ratios for various investments - Correlation coefficients between different investments and the market

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    Attribution Non-Commercial (BY-NC)
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    3 views9 pages

    W Retun SD Core With MKT Beta Beta Port SD Port

    Uploaded by

    13mayank
    This document contains financial data and calculations including: - Stock/portfolio weights, returns, standard deviations, betas, and other metrics - Calculations of required rates of return, alphas, Treynor and Sharp ratios for various investments - Correlation coefficients between different investments and the market

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 9

    w sd

    a 75% 10%
    b 25% 30%
    sd port 0

    A B C
    15 16 12
    10 13 11
    12 15 13
    -5 -8 -6
    7 9 8
    11 8 10
    W 0.3 0.5 0.2
    RETUN 8.33333333 8.83333 8
    SD 7.03325434 8.84119 7.07107
    CORE WITH MKT 0.98621354 0.98988 0.99245
    BETA 1.05818464 1.33514 1.0706
    BETA PORT 0.31745539 0.66757 0.21412
    SD PORT 4.452 19.5417 2
    17.96 12.0052 5.808
    22.412 31.5468 7.808
    REYUN POR 2.5 4.41667 1.6
    REQRED RATE 10.7965865
    Alpha -2.2799198
    Treynor 2.09871471
    Sharp ratio 0.32021968
    cor coff -1

    MKT
    13
    10
    12
    -5
    8
    9

    7.833333 COR AB 0.9627598


    6.554896 COR BC 0.9601575
    1 COR AC 0.9732043

    1.199147

    61.76684 7.8591879
    8.516667

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