PORTFOLIO GAME

Presented By:
Ahsan Akbar
Fahad Mansoor
Mohammad Siddique
Umer Humayun
Usman Tahir
 Rate of Returns (%)
 
WEEKS ACTIVE PASSIVE INDEX
1 1.51 1.16 1.17
2 0.63 0.04 -0.81
3 2.34 0.83 0.25
4 -0.31 0.06 -0.39
5 -1.24 -5.18 -3.81
6 1.50 -0.84 0.82
7 -3.26 -5.34 -6.79
8 3.38 5.52 6.91
9 0.21 1.05 0.38
10 -5.48 -6.13 -3.64
Avg (%) -0.07 -0.88 -0.59
 Wealth At Beginning & End

 Wealth at Beginning Wo Active = Rs.10Million

 Wealth at Beginning Wo Passive = Rs.10Million
 Wealth at Beginning Wo Index = Rs.10Million

 Wealth at Ending W 10 Active = Rs.9.90Million

 Wealth at Ending W 10 Passive = Rs.9.10Million
 Wealth at Ending W 10 Index = Rs.9.37Million
 Realized Rate of Return

Realized RORi= (W10 - Wo) / Wo x 100

  ACTIVE PASSIVE INDEX

Realized ROR -1% -9% -6.33%

Variance

VARi = ∑( Ri – Average Ri)2/ (n)

  ACTIVE PASSIVE INDEX

VAR (%2) 6.41 11.94 12.12

Standard Deviation

S.D(Weekly)i=√ Vari
S.Di=S.D(Weekly) i x √10

  ACTIVE PASSIVE INDEX

S.D Weekly
(%) 2.53 3.46 3.48

S.D (%) 8.01 10.93 11.01

 Covariance

COV i, M = [∑∑(Ri – Ravg i)(RM – Ravg M)] / n

  ACTIVE PASSIVE INDEX

COV i, M 7.30 11.25 12.12

 Beta (β )

β i = COV i, M / VAR M

  ACTIVE PASSIVE INDEX

β 0.60 0.93  1
4 methods for Performance
Evaluation of the Portfolios
 Sharpe Ratio
Sharpe Ratio i = (Realized ROR i - Rf) / SD i

  ACTIVE PASSIVE INDEX

Sharpe Ratio -0.44 -1.06 -0.80

Rank Sharpe Ratio

1 Active
2 Index
3 Passive
 Treynor Ratio
Treynor Ratio i = (Realized ROR i - Rf) / β i

  ACTIVE PASSIVE INDEX

Treynor Ratio -5.88 -12.44 -8.83

Rank Sharpe Ratio

1 Active
2 Index
3 Passive
Rank Sharpe Ratio Treynor Ratio

1 Active Active

2 Index Index

3 Passive Passive
 Capital Market Line

Expected ROR i= Rf + [(RM - Rf ) / SDM] x SD i

Excess Return i = Actual ROR – Expected ROR

  ACTIVE PASSIVE INDEX

Expected Return
(%) -3.92 -6.26 -6.33
Excess Return
from CML 2.92 -2.74 0.00
 Capital Market Line

0
0 2 4 6 8 10 12
-1
Return

-2
CML
Active
-3
Passiv
e
-4

-5

-6

-7

-8

-9

-10
Total Risk (S.D)

Active Passive Index

Realized RORs -1% -9% -6.33%

SD 8.01 10.93 11.01

 Security Market Line

Expected ROR i= R f + (R M - R f) x β i

Excess Return i = Actual ROR – Expected ROR

  ACTIVE PASSIVE INDEX

Expected
Return (%) -2.82 -5.69 -6.33
Excess Return
from SML 1.82 -3.31 0.00
 Security Market Line

0
0.00 0.20 0.40 0.60 0.80 1.00 1.20
-1
Return

-2
SML
Active
-3
Passiv
e
-4

-5

-6

-7

-8

-9

-10
Risk (β)

Active Passive Index

Realized RORs -1% -9% -6.33%

Beta 0.6 0.93 1

Rank CML SML

1 Active Active

2 Index Index

3 Passive Passive
4 Portfolio Performance Evaluation Methods Applied to the 3 portfolios

Excess Excess
Sharpe Treynor Return Return from
Rank   Ratio   Ratio   from CML   SML  
                   

1   Active   Active   Active   Active  

                   

2   Index   Index   Index   Index  

                   

3   Passive   Passive   Passive   Passive