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Asset
Expected
Return Risk
Two Asset Portfolio
1 9% 7% 9%
2 8% 5% 9%
9%
9%
Correltion coefficient of returns between the assets = -1
Return %
8%
8%
8%
Weights Portfolio 8%
Standard Expected 8%
Portfolio # Asset 1 Asset 2 Deviation Return 7%
0% 1% 2% 3% 4% 5%
1 100.00% 0.00% 7.00% 9.00%
2 90.00% 10.00% 5.80% 8.90% Risk (Standard Deviation)
3 80.00% 20.00% 4.60% 8.80%
4 70.00% 30.00% 3.40% 8.70%
5 60.00% 40.00% 2.20% 8.60%
6 50.00% 50.00% 1.00% 8.50%
7 41.70% 58.30% 0.00% 8.42%
8 30.00% 70.00% 1.40% 8.30% slope of line 0.08333333
9 20.00% 80.00% 2.60% 8.20%
10 10.00% 90.00% 3.80% 8.10%
11 0.00% 100.00% 5.00% 8.00% <=B25*$B$7+C25*$B$8
=SQRT(B25^2*$C$7^2+C25^2*$C$8^2+2*$F$10*B25*C25*$C$7*$C$8)
o Asset Portfolio
2% 3% 4% 5% 6% 7% 8%
Risk (Standard Deviation) %
Quarterly Return of Selected Funds during the Past Five Years
ICICI Pru
Birla Sun
R* Shares Focused
Life GSec Fund Name
Golld ETF Bluechip
- LTF (G)
Eqty (G)
Return
MF9 MF10 Variance
Birla Sun
R* Shares
Life GSec
Golld ETF
- LTF (G)
Standard Deviation
5.19% 7.32% Sharpe Ratio
2.49% -7.18%
-0.41% 4.62%
-0.51% -3.28%
-1.01% -5.88%
3.49% 11.12%
-0.81% -1.58%
-1.11% 4.22%
-1.01% -1.78%
-1.11% 1.82%
-0.81% 16.12%
0.99% -1.08%
-0.21% 0.72%
1.19% 0.42%
-0.21% 2.12%
0.19% -5.38%
0.39% -5.88%
2.99% -18.68%
-8.81% 12.92%
-0.91% -10.68%
Final Portfolio
Annual
Asset Return
ICICI Pru Focused Bluechip Eqty (G) 22.43%
Quantum Long-Term Equity (G) 22.78%
DSP-BR Micro Cap Fund - RP (G) 29.08%
SBI Emerging Busi (G) 23.60%
Reliance Equity Oppor - RP (G) 25.08%
ICICI Pru Exp&Other Services-RP (G) 25.89%
HDFC Balanced Fund (G) 21.69%
HDFC Prudence Fund (G) 20.33%
Birla Sun Life GSec - LTF (G) 9.14%
R* Shares Golld ETF 12.90%
Risk Free Asset 8.00%
Total
MF2 MF3 MF4 MF5 MF6 MF7 MF8 MF9 MF10
Weights
20.00%
0.00%
0.00%
0.00%
0.00%
20.00%
20.00%
0.00%
20.00%
20.00%
< =AVERAGE(M6:M25) ICICI Pru Focused Bluechip Eqty (G) 1.15% 1.29%
< =(1+AA6)^4-1 Quantum Long-Term Equity (G) 1.29% 1.47%
< =VARP(M6:M25) DSP-BR Micro Cap Fund - RP (G) 1.83% 2.12%
< =4*AA8 SBI Emerging Busi (G) 1.66% 1.87%
< =SQRT(AA9) Reliance Equity Oppor - RP (G) 1.46% 1.69%
ICICI Pru Exp&Other Services-RP (G) 1.32% 1.50%
HDFC Balanced Fund (G) 1.00% 1.15%
HDFC Prudence Fund (G) 1.30% 1.48%
Birla Sun Life GSec - LTF (G) 0.05% 0.05%
R* Shares Golld ETF -0.22% -0.20%
DSP-BR Reliance ICICI Pru
SBI HDFC HDFC Birla Sun
Micro Cap Equity Exp&Othe R* Shares
Emerging Balanced Prudence Life GSec
Fund - RP Oppor - r Services- Golld ETF
Busi (G) Fund (G) Fund (G) - LTF (G)
(G) RP (G) RP (G)