Professional Documents
Culture Documents
Empirical Project 1
Empirical Project 1
Abstract
We will compare the performances of equal weighted portfolio versus price or market cap weighted
portfolios over the last fifteen years. We will look at monthly rebalancing of portfolios and study the
performance of the strategy in terms of Sharpe ratio, Sortino ratio, Four Factor Model (Size Factor:
Small and Mid Caps Outperformance, Value Factor Price to Book Valuations, Market Risk Factor,
Momentum Factor), Jensen Alpha, Mean Returns, Volatility and Standard Deviations of Portfolios,
Skewness and Kurtosis.
We will be benchmarking the results of the strategy against a suitable total return index (i.e. Nifty
100, Nifty 500 etc).
1. Energy
2. Basic Materials
3. Industrials
4. Consumer Discretionary
5. Consumer Staples
6. Healthcare
7. Financials
8. Information Technology
9. Telecommunication Services
10. Utilities
Group Members