PORTFOLIO MANAGEMENT PROJECT –

PORTFOLIO BACKTESTING

LIST OF SECURITIES/INDICES
Maximu
Equities Country Minimum m
US S&P 500 US 5% 25%
Nasdaq US 5% 25%
Nikkei Japan 5% 25%
BSE Sensex India 5% 25%
S&P BSE Mid Cap India 5% 25%
S&P BSE Small Cap India 5% 25%
FTSE 100 Europe 5% 25%
Hang Seng Index Hong Kong/China 5% 25%
S&P/ASX 200 index Australia 5% 25%

Commodities
Gold International prices 5% 25%
Crude Oil Brent Crude 5% 25%

Bonds
US 10 Year Benchmark US Bonds 5% 25%
India 10 Year Benchmark Indian Bonds 5% 25%

Cash
Fixed Deposit India 1% 15%

Q1. Suggest optimum portfolio weights based on Sharpe ratio.

Rules For Asset Allocation

1) Portfolio to be allocated - Minimum 4 and Maximum 8 Asset Classes –

Minimum & Maximum Investment in each asset class is indicated in the
table.
2) Ignore currency effects (assume constant currency).
3) Make assumptions wherever necessary.
Q2. Back testing

In order to test the robustness of the portfolio, it is suggested to back test its
performance in certain historical situations, if history repeats itself.

Please consider the following 3 market events in the recent past, so that you can
be prepared for similar events in the future. In each of these scenarios, analyse
your suggested portfolio performance, explain why it has performed that way,
and what would have been a better optimal portfolio in those circumstances:

Market Events for Analysis

a) Global Financial Crisis (2008) – Portfolio 1

b) European Sovereign Crisis (2011) – Portfolio 2
c) Covid wave 1 (2020) – Portfolio 3

Please explain your back testing results and suggest 3 new optimal portfolios for
the above events. Submit your excel files along with the word write up within
the deadline.

Deadlines

Submission of excel files and report:

Note: Any form of plagiarism within groups will invite strict penalty.