Calculating year wise Sharpe Ratio

Period Date Nifty 50 Portfolio Value

Week 1 4-Sep 11333.85 1059908.5
Week 2 11-Sep 11464.45 208803.5
Week 3 18-Sep 11504.95 228900.5
Week 4 25-Sep 11050.25 237719.75
Week 5 1.10.20 11416.95 242188.5
Average
Standard Deviation
BETA

Sharpe Ratio
Average Rm % Average Rp % Risk Free Rate % Excess Return %
11.3 5254.0 3.46 5250.51

Calculation of Treynor Index

Average Rm % Average Rp % Risk Free Rate % Excess Return %
11.3 5254.0 3.46 5250.51

Calculation of Jensen’s Alpha

Average Rm % Average Rp % Risk Free Rate % Beta
11.3 5254.0 3.46 -3.59

Calculation of Selectivity & Timing of the scheme

Return on
Date investment (Rp) Risk Free Rate Rp-Rf
4-Sep 0
11-Sep -4175.6 3.46 -4179.0525
18-Sep 500.5 3.46 497.0316
25-Sep 200.3 3.46 196.8895
1.10.20 97.8 3.46 94.2917
 Regression output and interpretation
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.90650807454661
R Square 0.8217568892182
Adjusted R Square 0.6435137784364
Standard Error 156.664252800438
Observations 5

ANOVA
df SS MS
Regression 2 226308.267389068 113154.133694534
Residual 2 49087.376211039 24543.6881055195
Total 4 275395.643600107

Coefficients Standard Error t Stat

Intercept -102.79150606215 97.1023985219932 -1.0585887437051
Rm-Rf 1.6906475688164 0.627870957564596 2.69266725661932
(Rm-Rf)^2 0.01039058363215 0.004326414010565 2.4016618859812
Since both the coefficient is positive thus market timing and selectivity is there.
 Annualised Rm Annualised Rp
29646.8392825812 Price Relative NSE
59.919621311382 -4175.5925157691 0.01145711992597
18.369830214271 500.491610533348 0.003526434471132
-205.515017449 200.349496833777 -0.040324325399114
172.56080179182 97.7516592542269 0.032646041108201
11.3 5254.0
158.6 13771.8
-3.59

Sharpe Ratio
0.38

Treynor Index
-1463%

Excess Return % Jensen’s alpha Alpha/Beta

5250.51 5278.77% -14.71

Market Return Risk Free

(Rm) Rate Rm-Rf (Rm-Rf)^2
0 0
59.92 3.46 56.46 3187.7
18.37 3.46 14.91 222.3
-205.52 3.46 -208.98 43670.6
172.56 3.46 169.10 28595.1
 F Significance F
4.6103150108515 0.1782431107818

P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%

0.4007507283638 -520.58940612802 315.006394 -520.58940613 315.006394003726
0.1146783271313 -1.0108631206793 4.39215826 -1.0108631207 4.39215825831212
0.1382965698043 -0.0082244734204 0.02900564 -0.0082244734 0.029005640684733
ming and selectivity is there.
Price Relative Portfolio SLOPE
-1.62454424430544
0.091893792996015
0.037805047524377
0.018623889730905 -5.849729
BETA -3.589319 <== Merrill Lynch