Date Open High Low Close Adj Close Volume Returns Mean

8/1/2018 105.5 115.25 100.2 111.5 83.04407 105642547 SD

9/1/2018 112 124.4 108.75 113.2 84.31021 85708690 1.5% Sharpe
10/1/2018 113.2 117.5 104.05 109.15 81.29381 61348345 -3.6% -0.035777 RFR
11/1/2018 109.45 118.1 92.85 95.85 71.3881 72691735 -12.2% -12.2%
12/1/2018 96.5 98.2 88.6 96.85 72.1329 57738275 1.0%
1/1/2019 96.9 99.5 89.25 96.9 72.17014 114157626 0.1% 0.1%
2/1/2019 97.65 101.6 91.1 100.7 75.00033 78435227 3.9%
3/1/2019 101.9 118.4 100.6 104.45 77.7933 113227694 3.7%
4/1/2019 106 108.45 99.05 100.45 78.63337 62072744 -3.8% -3.8%
5/1/2019 100.45 106.5 90 101.3 79.29877 104179309 0.8%
6/1/2019 100.55 114.4 100.15 112.95 88.41851 81725486 11.5%
7/1/2019 114 120.55 105.4 108.7 85.09156 103488492 -3.8% -3.8%
8/1/2019 108.4 110.6 74.8 83.15 65.09074 148509392 -23.5% -23.5%
9/1/2019 83.15 96.5 78.6 88.7 69.43534 118307399 6.7%
10/1/2019 88.7 114.35 86.8 112.6 88.14453 156990553 26.9%
11/1/2019 112.6 114.95 97.6 102.55 80.27728 92476995 -8.9% -8.9%
12/1/2019 102.25 130.8 101.65 128.9 100.9043 142487584 25.7%
1/1/2020 129.05 139.7 116.2 116.95 91.54975 240726622 -9.3% -9.3%
2/1/2020 116.85 117.45 88.4 91.2 71.39237 159540727 -22.0% -22.0%
3/1/2020 92.9 97.4 61.55 80 65.90624 221946895 -12.3% -12.3%
4/1/2020 79 86.3 71.85 80.55 66.35935 110799122 0.7%
5/1/2020 80.55 82.1 69.85 81.15 66.85365 91873392 0.7%
6/1/2020 83.05 94.9 79.6 81.15 66.85365 169673700 0.0% 0.0%
7/1/2020 81.1 88.5 80.05 83.8 69.03679 167303224 3.3%
8/1/2020 83.7 109.4 83.6 97.15 80.03489 227669015 15.9%
9/1/2020 98.3 99.4 75.6 82.25 67.75985 202482296 -15.3% -15.3%
10/1/2020 83 87.2 77.95 82.45 67.92462 114768316 0.2% 0.2%
11/1/2020 82.7 99 81.8 96.4 79.41702 211033758 16.9%
12/1/2020 97 120.8 95.9 114.45 94.28712 288025486 18.7%
1/1/2021 114.9 130.5 104.25 105.2 86.66671 202663589 -8.1% -8.1%
2/1/2021 106.15 131.4 103.65 127 104.6262 273414736 20.7%
3/1/2021 129.3 139.9 122 135.35 111.5051 283232116 6.6%
4/1/2021 136.1 158.7 133.15 155.75 136.2394 200267446 15.1%
5/1/2021 152 213.2 151.3 182.15 159.3323 516129275 17.0%
6/1/2021 183.25 195.2 171.6 184.1 161.038 399538715 1.1%
7/1/2021 184.5 186.5 165.25 181.2 158.5013 560823195 -1.6% -1.6%
8/1/2021 182.35 184.25 145.25 154.05 134.7523 328131274 -15.0% -15.0%
9/1/2021 154 156.75 133.55 143 125.0865 237889276 -7.2% -7.2%
10/1/2021 142.3 159.6 133.1 143.15 125.2177 309731373 0.1% 0.1%
11/1/2021 144 148.5 130.8 132.85 116.208 185332993 -7.2% -7.2%
12/1/2021 132.85 150.1 125 133.3 116.6016 251244216 0.3% 0.3%
1/1/2022 134.4 146.9 132.8 138.95 129.4514 125836934 4.2%
2/1/2022 140.9 161.4 133.8 143.15 133.3643 265974659 3.0%
3/1/2022 143.15 163.55 142.7 162.55 157.3423 245428940 13.6%
 4/1/2022 163.75 175.35 157.4 160.65 155.5032 164426564 -1.2% -1.2%
5/1/2022 159 162 119.2 126.1 122.0601 175035454 -21.5% -21.5%
6/1/2022 127.4 129.65 101.55 108.2 104.7335 177155898 -14.2% -14.2%
7/1/2022 107.15 111.35 99.6 107.8 104.3464 214037481 -0.4% -0.4%
8/1/2022 108.75 125.25 104.25 122.25 118.3334 461214167 13.4%
9/1/2022 121.8 132.7 119.9 127.75 123.6572 182659183 4.5%
10/1/2022 127.7 137.45 92.25 99.75 96.55425 214146397 -21.9% -21.9%
11/1/2022 100 119.7 98.8 117.7 113.9292 222114333 18.0%
12/1/2022 119.25 126.75 111.2 123.05 119.1078 151134322 4.5%
1/1/2023 124.2 131.8 120.2 123.15 119.2046 158053206 0.1% 0.1%
2/1/2023 124.9 124.95 110.05 111.1 107.5406 166884024 -9.8% -9.8%
3/1/2023 111.9 118.1 105.65 111.55 111.55 173505987 0.4% 0.4%
4/1/2023 112 114.6 107.65 108.5 108.5 97559400 -2.7% -2.7%
5/1/2023 108.5 111.8 103.75 106.8 106.8 168617399 -1.6% -1.6%
6/1/2023 106.5 110.5 103.8 104.65 104.65 148551770 -2.0% -2.0%
7/1/2023 106 114.65 105.7 111 111 134963250 6.1%
 0.6% SD- Negative 7.5%
11.4% Sortino 0.8%
0.55%
0.6%
 PF Sharpe 1.23
PF Risk 9.65%
PF RET 11.83%
Weights 50% 50.0%
Sharpe ratio 0.10 0.23
RFR 6%
SD - Annual 31.61% 36.75%
Var - Annual 9.99% 13.51% Gopikum
Returns - Annual 9.13% 14.52% Portfolio
Correlation 64.93% > 1 is co
good.
SD 4.38% 5.10%
Var 0.19% 0.26%
Mean 0.17% 0.26%

Date IOC ONGC IOC - Ret ONGC - RET

7/30/2018 76.9 122.8
8/6/2018 75.9 124.6 -1.31% 1.47%
8/13/2018 72.8 120.1 -4.09% -3.66%
8/20/2018 70.4 128.7 -3.32% 7.18%
8/27/2018 71.9 132.6 2.12% 3.03%
9/3/2018 70.9 126.6 -1.38% -4.53%
9/10/2018 71.7 127.1 1.21% 0.38%
9/17/2018 73.1 132.9 1.87% 4.55%
9/24/2018 70.9 131.5 -3.04% -1.01%
10/1/2018 54.5 109.1 -23.02% -17.01%
10/8/2018 61.9 116.8 13.43% 7.04%
10/15/2018 61.5 119.1 -0.56% 1.94%
10/22/2018 63.6 112.7 3.38% -5.39%
10/29/2018 68.5 116.8 7.70% 3.66%
11/5/2018 65.4 116.1 -4.45% -0.60%
11/12/2018 66.2 116.0 1.20% -0.03%
11/19/2018 63.9 113.0 -3.56% -2.62%
11/26/2018 62.2 104.1 -2.64% -7.85%
12/3/2018 60.0 103.5 -3.60% -0.64%
12/10/2018 65.3 109.0 8.86% 5.34%
12/17/2018 64.6 110.2 -1.06% 1.12%
12/24/2018 66.9 111.7 3.62% 1.35%
12/31/2018 64.9 108.1 -3.08% -3.19%
1/7/2019 63.5 107.4 -2.05% -0.72%
1/14/2019 66.7 108.9 5.07% 1.45%
1/21/2019 66.7 105.4 -0.07% -3.24%
1/28/2019 66.4 105.2 -0.40% -0.14%
2/4/2019 64.8 107.0 -2.48% 1.66%
2/11/2019 60.7 100.2 -6.24% -6.35%
2/18/2019 66.4 110.3 9.37% 10.07%
 2/25/2019 71.7 110.7 7.91% 0.34%
3/4/2019 72.0 115.7 0.44% 4.58%
3/11/2019 76.2 120.0 5.82% 3.72%
3/18/2019 76.0 117.2 -0.19% -2.34%
3/25/2019 78.8 122.9 3.69% 4.86%
4/1/2019 77.4 121.2 -1.79% -1.38%
4/8/2019 75.9 122.0 -1.96% 0.67%
4/15/2019 76.3 124.4 0.48% 1.90%
4/22/2019 74.7 130.4 -2.08% 4.86%
4/29/2019 76.3 131.8 2.16% 1.10%
5/6/2019 72.1 128.8 -5.48% -2.32%
5/13/2019 73.1 129.6 1.36% 0.63%
5/20/2019 76.6 135.1 4.81% 4.21%
5/27/2019 80.9 133.2 5.58% -1.40%
6/3/2019 80.0 129.7 -1.06% -2.59%
6/10/2019 78.1 131.1 -2.44% 1.07%
6/17/2019 75.2 132.4 -3.72% 0.97%
6/24/2019 76.2 129.9 1.33% -1.87%
7/1/2019 74.4 125.1 -2.37% -3.73%
7/8/2019 71.8 115.9 -3.52% -7.31%
7/15/2019 71.6 111.4 -0.24% -3.87%
7/22/2019 69.3 109.9 -3.21% -1.39%
7/29/2019 66.1 104.0 -4.62% -5.32%
8/5/2019 63.8 101.4 -3.51% -2.53%
8/12/2019 61.7 99.0 -3.26% -2.33%
8/19/2019 60.0 94.7 -2.73% -4.42%
8/26/2019 60.3 94.4 0.52% -0.24%
9/2/2019 62.5 99.7 3.67% 5.57%
9/9/2019 64.1 100.4 2.48% 0.70%
9/16/2019 65.3 104.1 1.88% 3.69%
9/23/2019 71.7 102.5 9.81% -1.57%
9/30/2019 74.4 100.9 3.78% -1.48%
10/7/2019 70.6 100.5 -5.06% -0.42%
10/14/2019 71.7 111.8 1.53% 11.24%
10/21/2019 70.3 109.0 -1.99% -2.54%
10/28/2019 70.3 112.3 -0.04% 3.07%
11/4/2019 66.0 107.8 -6.03% -4.06%
11/11/2019 64.9 105.6 -1.75% -1.99%
11/18/2019 63.9 104.3 -1.44% -1.25%
11/25/2019 64.7 102.7 1.23% -1.57%
12/2/2019 61.3 98.6 -5.33% -3.95%
12/9/2019 63.2 98.6 3.09% -0.04%
12/16/2019 62.8 97.5 -0.66% -1.07%
12/23/2019 62.7 100.0 -0.08% 2.60%
12/30/2019 62.5 100.1 -0.35% 0.04%
 1/6/2020 61.8 96.7 -1.10% -3.35%
1/13/2020 60.4 97.7 -2.23% 1.01%
1/20/2020 58.9 92.2 -2.45% -5.62%
1/27/2020 53.6 81.3 -8.98% -11.83%
2/3/2020 57.9 85.1 7.90% 4.70%
2/10/2020 56.7 80.5 -2.04% -5.45%
2/17/2020 55.3 80.1 -2.43% -0.48%
2/24/2020 52.1 71.6 -5.83% -10.55%
3/2/2020 49.7 69.0 -4.68% -3.75%
3/9/2020 45.4 51.3 -8.48% -25.54%
3/16/2020 44.6 56.4 -1.79% 9.79%
3/23/2020 37.9 50.2 -15.12% -10.92%
3/30/2020 41.1 58.5 8.47% 16.42%
4/6/2020 43.1 64.7 4.91% 10.67%
4/13/2020 44.5 63.9 3.12% -1.29%
4/20/2020 42.1 56.6 -5.23% -11.40%
4/27/2020 43.5 66.9 3.31% 18.20%
5/4/2020 38.4 63.6 -11.70% -4.88%
5/11/2020 39.0 63.7 1.55% 0.20%
5/18/2020 39.0 63.7 0.00% 0.00%
5/25/2020 43.0 69.6 10.20% 9.26%
6/1/2020 46.2 72.8 7.45% 4.51%
6/8/2020 45.6 70.2 -1.23% -3.51%
6/15/2020 44.1 71.8 -3.40% 2.20%
6/22/2020 46.1 70.4 4.51% -1.87%
6/29/2020 45.4 69.0 -1.46% -2.08%
7/6/2020 44.5 65.8 -1.94% -4.67%
7/13/2020 44.9 67.3 0.87% 2.29%
7/20/2020 48.0 67.8 6.79% 0.81%
7/27/2020 45.7 65.5 -4.69% -3.33%
8/3/2020 44.7 65.8 -2.32% 0.45%
8/10/2020 43.8 64.5 -1.85% -1.97%
8/17/2020 45.9 67.8 4.78% 5.12%
8/24/2020 45.4 67.3 -1.18% -0.86%
8/31/2020 43.4 65.2 -4.44% -3.05%
9/7/2020 43.0 61.4 -0.95% -5.90%
9/14/2020 41.7 62.2 -2.89% 1.36%
9/21/2020 38.3 57.7 -8.18% -7.27%
9/28/2020 38.3 57.9 0.00% 0.36%
10/5/2020 39.5 58.8 3.24% 1.66%
10/12/2020 38.4 56.3 -3.01% -4.34%
10/19/2020 40.4 57.8 5.46% 2.60%
10/26/2020 41.1 54.3 1.66% -5.94%
11/2/2020 41.5 56.9 0.88% 4.78%
11/9/2020 44.8 60.8 7.98% 6.84%
11/16/2020 43.9 60.0 -2.08% -1.38%
11/23/2020 43.7 65.7 -0.29% 9.56%
11/30/2020 46.7 75.2 6.86% 14.46%
12/7/2020 48.5 81.0 3.82% 7.74%
12/14/2020 48.6 82.9 0.11% 2.27%
12/21/2020 46.7 78.0 -3.94% -5.91%
12/28/2020 47.3 78.0 1.39% 0.05%
1/4/2021 49.7 84.2 5.08% 7.99%
1/11/2021 52.4 84.9 5.36% 0.75%
1/18/2021 49.5 77.6 -5.53% -8.53%
1/25/2021 48.2 73.9 -2.56% -4.80%
2/1/2021 52.9 81.7 9.81% 10.59%
2/8/2021 49.2 81.2 -7.13% -0.67%
2/15/2021 54.3 88.0 10.54% 8.35%
2/22/2021 54.6 94.5 0.51% 7.43%
3/1/2021 56.5 97.9 3.47% 3.56%
3/8/2021 56.4 98.0 -0.15% 0.09%
3/15/2021 55.0 94.1 -2.52% -3.95%
3/22/2021 50.6 87.2 -7.95% -7.33%
3/29/2021 53.5 88.8 5.67% 1.90%
4/5/2021 52.7 88.4 -1.56% -0.53%
4/12/2021 51.8 91.4 -1.69% 3.37%
4/19/2021 50.6 87.2 -2.33% -4.57%
4/26/2021 52.2 92.1 3.18% 5.62%
5/3/2021 54.4 94.9 4.24% 3.05%
5/10/2021 58.0 96.2 6.71% 1.35%
5/17/2021 59.9 96.0 3.22% -0.18%
5/24/2021 63.1 95.7 5.32% -0.35%
5/31/2021 65.8 106.8 4.32% 11.66%
6/7/2021 66.1 105.2 0.44% -1.51%
6/14/2021 64.5 102.4 -2.43% -2.67%
6/21/2021 64.0 102.9 -0.80% 0.54%
6/28/2021 62.3 100.8 -2.65% -2.03%
7/5/2021 61.6 100.4 -1.06% -0.46%
7/12/2021 60.9 99.4 -1.12% -0.93%
7/19/2021 60.9 98.2 -0.09% -1.28%
7/26/2021 59.3 98.2 -2.69% 0.00%
8/2/2021 60.8 99.3 2.67% 1.17%
8/9/2021 61.0 98.8 0.25% -0.47%
8/16/2021 60.3 93.8 -1.10% -5.08%
8/23/2021 61.7 99.3 2.37% 5.85%
8/30/2021 65.9 104.8 6.75% 5.53%
9/6/2021 65.7 104.0 -0.27% -0.77%
9/13/2021 68.9 110.5 4.83% 6.22%
9/20/2021 68.3 117.7 -0.85% 6.54%
 9/27/2021 74.2 126.5 8.66% 7.46%
10/4/2021 76.8 139.2 3.45% 10.05%
10/11/2021 78.3 137.5 1.97% -1.18%
10/18/2021 76.2 135.8 -2.75% -1.26%
10/25/2021 74.6 128.9 -2.10% -5.09%
11/1/2021 78.5 131.5 5.24% 2.01%
11/8/2021 77.5 133.7 -1.26% 1.71%
11/15/2021 78.2 133.4 0.91% -0.23%
11/22/2021 73.1 127.2 -6.49% -4.67%
11/29/2021 73.9 130.8 1.03% 2.85%
12/6/2021 72.6 132.3 -1.76% 1.13%
12/13/2021 68.2 125.0 -6.00% -5.52%
12/20/2021 66.6 124.2 -2.30% -0.65%
12/27/2021 67.4 127.7 1.13% 2.82%
1/3/2022 71.6 140.8 6.28% 10.29%
1/10/2022 74.5 144.4 4.05% 2.55%
1/17/2022 73.6 146.7 -1.30% 1.61%
1/24/2022 75.0 151.4 1.97% 3.15%
1/31/2022 75.0 152.1 0.04% 0.47%
2/7/2022 73.8 150.8 -1.69% -0.85%
2/14/2022 75.7 150.6 2.65% -0.15%
2/21/2022 70.2 143.0 -7.26% -5.00%
2/28/2022 70.8 149.7 0.80% 4.70%
3/7/2022 77.3 159.2 9.23% 6.32%
3/14/2022 75.8 154.3 -1.90% -3.07%
3/21/2022 74.2 159.3 -2.10% 3.23%
3/28/2022 76.3 152.2 2.78% -4.47%
4/4/2022 79.3 154.9 3.97% 1.76%
4/11/2022 79.9 157.9 0.75% 1.96%
4/18/2022 84.0 157.7 5.04% -0.14%
4/25/2022 78.7 145.4 -6.22% -7.79%
5/2/2022 78.9 151.3 0.20% 4.05%
5/9/2022 75.8 139.1 -3.92% -8.03%
5/16/2022 73.1 146.7 -3.59% 5.44%
5/23/2022 71.3 130.3 -2.39% -11.18%
5/30/2022 73.9 137.4 3.64% 5.42%
6/6/2022 73.3 149.2 -0.89% 8.61%
6/13/2022 65.1 128.2 -11.13% -14.09%
6/20/2022 67.8 124.5 4.13% -2.90%
6/27/2022 69.9 118.8 3.06% -4.59%
7/4/2022 68.2 110.1 -2.48% -7.29%
7/11/2022 66.0 114.7 -3.23% 4.16%
7/18/2022 67.6 120.0 2.56% 4.66%
7/25/2022 68.4 121.6 1.11% 1.28%
8/1/2022 68.5 123.7 0.21% 1.75%
 8/8/2022 67.1 126.1 -2.12% 1.98%
8/15/2022 70.0 122.0 4.29% -3.30%
8/22/2022 69.7 126.8 -0.35% 3.94%
8/29/2022 69.1 123.2 -0.83% -2.85%
9/5/2022 70.3 124.3 1.75% 0.94%
9/12/2022 67.8 121.8 -3.58% -2.05%
9/19/2022 65.4 119.3 -3.57% -2.02%
9/26/2022 64.9 117.6 -0.74% -1.40%
10/3/2022 65.4 124.4 0.75% 5.72%
10/10/2022 64.3 118.4 -1.70% -4.81%
10/17/2022 65.4 122.0 1.81% 3.10%
10/24/2022 66.4 124.0 1.41% 1.63%
10/31/2022 66.4 127.9 0.07% 3.10%
11/7/2022 67.6 130.3 1.82% 1.89%
11/14/2022 67.1 131.5 -0.72% 0.93%
11/21/2022 71.1 130.4 5.92% -0.85%
11/28/2022 74.7 137.3 4.98% 5.26%
12/5/2022 74.7 137.1 0.00% -0.14%
12/12/2022 74.6 143.4 -0.06% 4.62%
12/19/2022 70.8 136.2 -5.13% -5.03%
12/26/2022 74.2 143.0 4.79% 4.97%
1/2/2023 77.6 143.5 4.64% 0.41%
1/9/2023 79.8 143.1 2.81% -0.27%
1/16/2023 80.4 147.7 0.73% 3.16%
1/23/2023 78.5 143.8 -2.29% -2.61%
1/30/2023 76.1 140.6 -3.15% -2.27%
2/6/2023 77.4 142.9 1.72% 1.66%
2/13/2023 78.1 152.5 0.94% 6.75%
2/20/2023 75.0 151.0 -3.97% -1.02%
2/27/2023 75.8 154.3 1.10% 2.16%
3/6/2023 76.5 155.8 0.90% 1.00%
3/13/2023 76.9 153.1 0.51% -1.70%
3/20/2023 76.0 149.4 -1.13% -2.45%
3/27/2023 75.5 151.1 -0.64% 1.10%
4/3/2023 75.3 150.6 -0.26% -0.30%
4/10/2023 74.9 158.8 -0.64% 5.41%
4/17/2023 75.9 159.6 1.36% 0.54%
4/24/2023 78.9 158.9 4.03% -0.41%
5/1/2023 80.3 160.3 1.72% 0.85%
5/8/2023 81.0 165.5 0.91% 3.24%
5/15/2023 83.4 164.9 2.99% -0.36%
5/22/2023 87.5 163.8 4.82% -0.70%
5/29/2023 87.1 154.7 -0.44% -5.53%
6/5/2023 87.6 154.3 0.56% -0.29%
6/12/2023 89.3 157.0 2.05% 1.78%
6/19/2023 86.6 156.9 -3.09% -0.06%
6/26/2023 88.5 160.3 2.24% 2.17%
7/3/2023 96.2 163.5 8.65% 2.00%
7/10/2023 93.7 169.3 -2.62% 3.52%
7/17/2023 96.3 170.6 2.85% 0.77%
7/24/2023 92.4 171.8 -4.13% 0.73%
Gopikumar V:
Portfolio Sharpe ratio of
> 1 is considered to be
good.
 RFR 0.12% 0.12% 0.12%
SD 5.76% 4.39% 5.11%
Mean 0.19% 0.05% 0.15%
NMDC IOC ONGC NMDC - R IOC - R ONGC - R
7/30/2018 79.7 76.9 122.8
8/6/2018 78.8 75.9 124.6 -1.19% -1.42% 1.35%
8/13/2018 77.9 72.8 120.1 -1.20% -4.20% -3.78%
8/20/2018 77.1 70.4 128.7 -1.17% -3.44% 7.06%
8/27/2018 83.0 71.9 132.6 7.56% 2.01% 2.92%
9/3/2018 88.6 70.9 126.6 6.61% -1.50% -4.64%
9/10/2018 92.4 71.7 127.1 4.09% 1.09% 0.26%
9/17/2018 86.2 73.1 132.9 -6.77% 1.75% 4.43%
9/24/2018 84.3 70.9 131.5 -2.32% -3.15% -1.12%
10/1/2018 81.4 54.5 109.1 -3.52% -23.13% -17.13%
10/8/2018 82.9 61.9 116.8 1.62% 13.31% 6.92%
10/15/2018 81.6 61.5 119.1 -1.60% -0.68% 1.82%
10/22/2018 79.2 63.6 112.7 -3.13% 3.26% -5.51%
10/29/2018 85.5 68.5 116.8 7.93% 7.59% 3.54%
11/5/2018 82.0 65.4 116.1 -4.21% -4.57% -0.72%
11/12/2018 75.0 66.2 116.0 -8.65% 1.08% -0.15%
11/19/2018 71.2 63.9 113.0 -5.23% -3.67% -2.74%
11/26/2018 71.4 62.2 104.1 0.15% -2.76% -7.96%
12/3/2018 68.7 60.0 103.5 -3.92% -3.72% -0.76%
12/10/2018 70.1 65.3 109.0 1.95% 8.75% 5.23%
12/17/2018 70.5 64.6 110.2 0.42% -1.18% 1.01%
12/24/2018 71.1 66.9 111.7 0.84% 3.51% 1.23%
12/31/2018 70.0 64.9 108.1 -1.74% -3.19% -3.30%
1/7/2019 68.7 63.5 107.4 -1.98% -2.17% -0.84%
1/14/2019 67.6 66.7 108.9 -1.74% 4.95% 1.34%
1/21/2019 67.4 66.7 105.4 -0.34% -0.19% -3.35%
1/28/2019 71.0 66.4 105.2 5.24% -0.51% -0.26%
2/4/2019 69.8 64.8 107.0 -1.85% -2.59% 1.54%
2/11/2019 68.3 60.7 100.2 -2.30% -6.36% -6.46%
2/18/2019 72.1 66.4 110.3 5.45% 9.25% 9.96%
2/25/2019 76.5 71.7 110.7 6.09% 7.79% 0.22%
3/4/2019 82.0 72.0 115.7 6.99% 0.32% 4.47%
3/11/2019 85.4 76.2 120.0 4.02% 5.70% 3.61%
3/18/2019 79.7 76.0 117.2 -6.79% -0.31% -2.46%
3/25/2019 81.8 78.8 122.9 2.53% 3.58% 4.74%
4/1/2019 82.4 77.4 121.2 0.70% -1.91% -1.50%
4/8/2019 81.5 75.9 122.0 -1.25% -2.07% 0.56%
4/15/2019 82.0 76.3 124.4 0.46% 0.37% 1.79%
4/22/2019 78.1 74.7 130.4 -4.84% -2.20% 4.74%
4/29/2019 78.4 76.3 131.8 0.24% 2.04% 0.98%
5/6/2019 73.2 72.1 128.8 -6.66% -5.59% -2.44%
 5/13/2019 70.8 73.1 129.6 -3.38% 1.24% 0.52%
5/20/2019 76.6 76.6 135.1 7.95% 4.70% 4.10%
5/27/2019 79.3 80.9 133.2 3.46% 5.46% -1.52%
6/3/2019 81.8 80.0 129.7 3.09% -1.17% -2.70%
6/10/2019 83.8 78.1 131.1 2.32% -2.56% 0.96%
6/17/2019 87.1 75.2 132.4 3.76% -3.84% 0.86%
6/24/2019 88.4 76.2 129.9 1.41% 1.22% -1.99%
7/1/2019 86.6 74.4 125.1 -2.20% -2.49% -3.84%
7/8/2019 87.8 71.8 115.9 1.33% -3.63% -7.42%
7/15/2019 90.3 71.6 111.4 2.65% -0.35% -3.99%
7/22/2019 87.1 69.3 109.9 -3.63% -3.32% -1.51%
7/29/2019 82.6 66.1 104.0 -5.28% -4.73% -5.44%
8/5/2019 79.7 63.8 101.4 -3.58% -3.63% -2.65%
8/12/2019 80.5 61.7 99.0 0.87% -3.37% -2.44%
8/19/2019 62.7 60.0 94.7 -22.28% -2.85% -4.53%
8/26/2019 65.1 60.3 94.4 3.76% 0.41% -0.36%
9/2/2019 65.4 62.5 99.7 0.43% 3.56% 5.45%
9/9/2019 67.5 64.1 100.4 2.99% 2.37% 0.59%
9/16/2019 68.4 65.3 104.1 1.22% 1.77% 3.57%
9/23/2019 71.6 71.7 102.5 4.64% 9.69% -1.69%
9/30/2019 74.8 74.4 100.9 4.26% 3.66% -1.60%
10/7/2019 75.7 70.6 100.5 1.19% -5.18% -0.54%
10/14/2019 85.2 71.7 111.8 12.39% 1.42% 11.12%
10/21/2019 84.0 70.3 109.0 -1.49% -2.11% -2.66%
10/28/2019 86.5 70.3 112.3 2.77% -0.15% 2.96%
11/4/2019 81.2 66.0 107.8 -6.18% -6.14% -4.17%
11/11/2019 78.0 64.9 105.6 -4.02% -1.87% -2.10%
11/18/2019 78.5 63.9 104.3 0.44% -1.56% -1.37%
11/25/2019 80.3 64.7 102.7 2.18% 1.12% -1.68%
12/2/2019 86.5 61.3 98.6 7.59% -5.44% -4.06%
12/9/2019 89.4 63.2 98.6 3.33% 2.98% -0.15%
12/16/2019 97.3 62.8 97.5 8.72% -0.78% -1.18%
12/23/2019 98.7 62.7 100.0 1.29% -0.19% 2.48%
12/30/2019 101.2 62.5 100.1 2.38% -0.47% -0.08%
1/6/2020 94.8 61.8 96.7 -6.46% -1.22% -3.46%
1/13/2020 101.6 60.4 97.7 7.07% -2.35% 0.89%
1/20/2020 100.9 58.9 92.2 -0.81% -2.56% -5.74%
1/27/2020 82.1 53.6 81.3 -18.70% -9.10% -11.94%
2/3/2020 89.0 57.9 85.1 8.32% 7.78% 4.58%
2/10/2020 83.3 56.7 80.5 -6.62% -2.16% -5.56%
2/17/2020 82.2 55.3 80.1 -1.38% -2.55% -0.60%
2/24/2020 75.1 52.1 71.6 -8.71% -5.95% -10.67%
3/2/2020 77.3 49.7 69.0 2.74% -4.80% -3.87%
3/9/2020 62.2 45.4 51.3 -19.62% -8.60% -25.65%
3/16/2020 59.2 44.6 56.4 -4.88% -1.90% 9.67%
 3/23/2020 60.6 37.9 50.2 2.18% -15.24% -11.03%
3/30/2020 65.3 41.1 58.5 7.63% 8.35% 16.31%
4/6/2020 65.7 43.1 64.7 0.52% 4.79% 10.55%
4/13/2020 66.3 44.5 63.9 0.76% 3.00% -1.41%
4/20/2020 60.8 42.1 56.6 -8.38% -5.35% -11.52%
4/27/2020 66.4 43.5 66.9 9.03% 3.20% 18.08%
5/4/2020 60.3 38.4 63.6 -9.30% -11.81% -5.00%
5/11/2020 60.8 39.0 63.7 0.84% 1.43% 0.08%
5/18/2020 59.7 39.0 63.7 -2.01% -0.12% -0.12%
5/25/2020 66.9 43.0 69.6 11.89% 10.08% 9.14%
6/1/2020 73.2 46.2 72.8 9.37% 7.34% 4.39%
6/8/2020 72.0 45.6 70.2 -1.69% -1.35% -3.62%
6/15/2020 67.9 44.1 71.8 -5.83% -3.51% 2.09%
6/22/2020 69.3 46.1 70.4 1.95% 4.40% -1.98%
6/29/2020 68.0 45.4 69.0 -2.02% -1.57% -2.19%
7/6/2020 69.4 44.5 65.8 2.00% -2.05% -4.79%
7/13/2020 71.1 44.9 67.3 2.20% 0.76% 2.18%
7/20/2020 70.0 48.0 67.8 -1.62% 6.67% 0.69%
7/27/2020 69.0 45.7 65.5 -1.47% -4.80% -3.45%
8/3/2020 73.4 44.7 65.8 6.21% -2.43% 0.33%
8/10/2020 76.7 43.8 64.5 4.37% -1.97% -2.09%
8/17/2020 79.2 45.9 67.8 3.11% 4.66% 5.01%
8/24/2020 88.6 45.4 67.3 11.75% -1.30% -0.98%
8/31/2020 77.2 43.4 65.2 -12.95% -4.56% -3.16%
9/7/2020 74.0 43.0 61.4 -4.28% -1.07% -6.02%
9/14/2020 71.6 41.7 62.2 -3.34% -3.00% 1.25%
9/21/2020 65.3 38.3 57.7 -8.86% -8.29% -7.38%
9/28/2020 68.0 38.3 57.9 4.05% -0.12% 0.25%
10/5/2020 67.2 39.5 58.8 -1.39% 3.12% 1.55%
10/12/2020 68.4 38.4 56.3 1.72% -3.12% -4.45%
10/19/2020 69.9 40.4 57.8 2.05% 5.34% 2.49%
10/26/2020 67.9 41.1 54.3 -2.94% 1.55% -6.06%
11/2/2020 74.5 41.5 56.9 9.53% 0.76% 4.66%
11/9/2020 77.4 44.8 60.8 3.87% 7.86% 6.72%
11/16/2020 77.0 43.9 60.0 -0.70% -2.19% -1.49%
11/23/2020 79.4 43.7 65.7 3.04% -0.41% 9.44%
11/30/2020 88.0 46.7 75.2 10.72% 6.74% 14.34%
12/7/2020 91.3 48.5 81.0 3.63% 3.70% 7.62%
12/14/2020 95.3 48.6 82.9 4.26% -0.01% 2.16%
12/21/2020 93.4 46.7 78.0 -2.15% -4.05% -6.02%
12/28/2020 95.9 47.3 78.0 2.53% 1.27% -0.06%
1/4/2021 103.4 49.7 84.2 7.75% 4.97% 7.88%
1/11/2021 100.3 52.4 84.9 -3.10% 5.24% 0.63%
1/18/2021 92.2 49.5 77.6 -8.21% -5.64% -8.65%
1/25/2021 86.7 48.2 73.9 -6.10% -2.68% -4.91%
 2/1/2021 95.6 52.9 81.7 10.20% 9.70% 10.47%
2/8/2021 92.6 49.2 81.2 -3.26% -7.24% -0.78%
2/15/2021 97.2 54.3 88.0 4.82% 10.42% 8.24%
2/22/2021 104.6 54.6 94.5 7.56% 0.40% 7.31%
3/1/2021 109.5 56.5 97.9 4.53% 3.35% 3.44%
3/8/2021 110.5 56.4 98.0 0.79% -0.26% -0.03%
3/15/2021 109.9 55.0 94.1 -0.67% -2.63% -4.07%
3/22/2021 104.4 50.6 87.2 -5.06% -8.06% -7.45%
3/29/2021 121.1 53.5 88.8 15.86% 5.56% 1.79%
4/5/2021 127.1 52.7 88.4 4.80% -1.67% -0.64%
4/12/2021 124.6 51.8 91.4 -2.01% -1.81% 3.26%
4/19/2021 121.3 50.6 87.2 -2.82% -2.44% -4.68%
4/26/2021 136.2 52.2 92.1 12.22% 3.06% 5.50%
5/3/2021 161.6 54.4 94.9 18.50% 4.12% 2.94%
5/10/2021 162.5 58.0 96.2 0.43% 6.59% 1.23%
5/17/2021 154.1 59.9 96.0 -5.26% 3.10% -0.29%
5/24/2021 156.8 63.1 95.7 1.62% 5.21% -0.47%
5/31/2021 169.1 65.8 106.8 7.72% 4.21% 11.54%
6/7/2021 160.9 66.1 105.2 -4.98% 0.32% -1.63%
6/14/2021 155.9 64.5 102.4 -3.21% -2.55% -2.79%
6/21/2021 155.5 64.0 102.9 -0.37% -0.92% 0.43%
6/28/2021 160.0 62.3 100.8 2.81% -2.76% -2.14%
7/5/2021 146.6 61.6 100.4 -8.53% -1.18% -0.58%
7/12/2021 156.3 60.9 99.4 6.54% -1.23% -1.05%
7/19/2021 151.8 60.9 98.2 -3.03% -0.21% -1.40%
7/26/2021 158.5 59.3 98.2 4.32% -2.80% -0.12%
8/2/2021 156.0 60.8 99.3 -1.69% 2.55% 1.06%
8/9/2021 150.2 61.0 98.8 -3.82% 0.13% -0.59%
8/16/2021 132.1 60.3 93.8 -12.20% -1.21% -5.20%
8/23/2021 133.1 61.7 99.3 0.68% 2.25% 5.74%
8/30/2021 135.2 65.9 104.8 1.46% 6.63% 5.41%
9/6/2021 133.0 65.7 104.0 -1.80% -0.38% -0.89%
9/13/2021 128.9 68.9 110.5 -3.14% 4.72% 6.11%
9/20/2021 122.5 68.3 117.7 -5.14% -0.96% 6.42%
9/27/2021 125.7 74.2 126.5 2.49% 8.54% 7.34%
10/4/2021 127.4 76.8 139.2 1.24% 3.34% 9.94%
10/11/2021 134.3 78.3 137.5 5.34% 1.86% -1.30%
10/18/2021 124.6 76.2 135.8 -7.31% -2.87% -1.37%
10/25/2021 125.2 74.6 128.9 0.34% -2.22% -5.21%
11/1/2021 124.5 78.5 131.5 -0.67% 5.12% 1.90%
11/8/2021 125.1 77.5 133.7 0.38% -1.38% 1.59%
11/15/2021 118.8 78.2 133.4 -5.18% 0.79% -0.34%
11/22/2021 118.9 73.1 127.2 -0.04% -6.61% -4.78%
11/29/2021 127.7 73.9 130.8 7.28% 0.92% 2.73%
12/6/2021 129.4 72.6 132.3 1.22% -1.87% 1.02%
12/13/2021 118.0 68.2 125.0 -8.87% -6.11% -5.64%
12/20/2021 123.5 66.6 124.2 4.54% -2.42% -0.76%
12/27/2021 124.2 67.4 127.7 0.41% 1.02% 2.70%
1/3/2022 129.2 71.6 140.8 3.90% 6.16% 10.17%
1/10/2022 136.0 74.5 144.4 5.15% 3.94% 2.43%
1/17/2022 130.2 73.6 146.7 -4.36% -1.41% 1.50%
1/24/2022 128.7 75.0 151.4 -1.30% 1.86% 3.03%
1/31/2022 142.9 75.0 152.1 10.96% -0.08% 0.36%
2/7/2022 147.3 73.8 150.8 2.98% -1.81% -0.97%
2/14/2022 132.4 75.7 150.6 -10.23% 2.53% -0.26%
2/21/2022 136.5 70.2 143.0 2.94% -7.38% -5.12%
2/28/2022 143.4 70.8 149.7 4.92% 0.69% 4.58%
3/7/2022 152.3 77.3 159.2 6.10% 9.11% 6.21%
3/14/2022 146.5 75.8 154.3 -3.93% -2.02% -3.19%
3/21/2022 152.1 74.2 159.3 3.75% -2.22% 3.11%
3/28/2022 161.2 76.3 152.2 5.87% 2.66% -4.58%
4/4/2022 168.9 79.3 154.9 4.63% 3.86% 1.64%
4/11/2022 162.2 79.9 157.9 -4.04% 0.63% 1.84%
4/18/2022 161.6 84.0 157.7 -0.53% 4.93% -0.26%
4/25/2022 155.5 78.7 145.4 -3.86% -6.33% -7.90%
5/2/2022 147.6 78.9 151.3 -5.22% 0.08% 3.94%
5/9/2022 131.7 75.8 139.1 -10.84% -4.04% -8.14%
5/16/2022 141.8 73.1 146.7 7.49% -3.70% 5.32%
5/23/2022 120.9 71.3 130.3 -14.80% -2.51% -11.30%
5/30/2022 122.8 73.9 137.4 1.41% 3.52% 5.31%
6/6/2022 115.7 73.3 149.2 -5.91% -1.00% 8.49%
6/13/2022 105.1 65.1 128.2 -9.24% -11.25% -14.21%
6/20/2022 104.1 67.8 124.5 -1.08% 4.01% -3.01%
6/27/2022 106.1 69.9 118.8 1.84% 2.95% -4.70%
7/4/2022 105.5 68.2 110.1 -0.75% -2.60% -7.40%
7/11/2022 96.7 66.0 114.7 -8.42% -3.35% 4.04%
7/18/2022 100.7 67.6 120.0 4.04% 2.44% 4.55%
7/25/2022 104.3 68.4 121.6 3.49% 0.99% 1.17%
8/1/2022 107.3 68.5 123.7 2.76% 0.09% 1.64%
8/8/2022 113.2 67.1 126.1 5.29% -2.24% 1.86%
8/15/2022 112.3 70.0 122.0 -0.89% 4.18% -3.42%
8/22/2022 119.0 69.7 126.8 5.88% -0.46% 3.83%
8/29/2022 118.1 69.1 123.2 -0.89% -0.95% -2.97%
9/5/2022 120.0 70.3 124.3 1.48% 1.64% 0.83%
9/12/2022 121.1 67.8 121.8 0.85% -3.70% -2.17%
9/19/2022 123.8 65.4 119.3 2.08% -3.69% -2.13%
9/26/2022 123.7 64.9 117.6 -0.23% -0.86% -1.52%
10/3/2022 130.5 65.4 124.4 5.44% 0.63% 5.60%
10/10/2022 128.1 64.3 118.4 -1.97% -1.82% -4.93%
10/17/2022 126.2 65.4 122.0 -1.63% 1.69% 2.98%
10/24/2022 97.7 66.4 124.0 -22.67% 1.29% 1.52%
10/31/2022 108.1 66.4 127.9 10.53% -0.04% 2.99%
11/7/2022 110.1 67.6 130.3 1.68% 1.71% 1.77%
11/14/2022 107.5 67.1 131.5 -2.40% -0.83% 0.81%
11/21/2022 114.5 71.1 130.4 6.37% 5.81% -0.96%
11/28/2022 116.1 74.7 137.3 1.24% 4.86% 5.15%
12/5/2022 118.2 74.7 137.1 1.76% -0.12% -0.26%
12/12/2022 119.6 74.6 143.4 1.03% -0.18% 4.50%
12/19/2022 108.0 70.8 136.2 -9.83% -5.25% -5.14%
12/26/2022 119.1 74.2 143.0 10.19% 4.68% 4.86%
1/2/2023 117.9 77.6 143.5 -1.13% 4.53% 0.29%
1/9/2023 126.9 79.8 143.1 7.52% 2.70% -0.39%
1/16/2023 123.4 80.4 147.7 -2.90% 0.61% 3.05%
1/23/2023 119.0 78.5 143.8 -3.65% -2.41% -2.72%
1/30/2023 114.8 76.1 140.6 -3.61% -3.26% -2.38%
2/6/2023 115.0 77.4 142.9 0.01% 1.61% 1.55%
2/13/2023 117.3 78.1 152.5 1.90% 0.82% 6.63%
2/20/2023 108.4 75.0 151.0 -7.71% -4.09% -1.14%
2/27/2023 113.4 75.8 154.3 4.53% 0.98% 2.04%
3/6/2023 114.5 76.5 155.8 0.81% 0.78% 0.89%
3/13/2023 115.1 76.9 153.1 0.36% 0.39% -1.82%
3/20/2023 108.3 76.0 149.4 -5.94% -1.25% -2.56%
3/27/2023 111.6 75.5 151.1 2.84% -0.75% 0.99%
4/3/2023 111.0 75.3 150.6 -0.61% -0.37% -0.41%
4/10/2023 111.3 74.9 158.8 0.15% -0.76% 5.30%
4/17/2023 109.8 75.9 159.6 -1.42% 1.24% 0.42%
4/24/2023 108.5 78.9 158.9 -1.34% 3.91% -0.52%
5/1/2023 108.3 80.3 160.3 -0.35% 1.60% 0.73%
5/8/2023 106.7 81.0 165.5 -1.55% 0.79% 3.13%
5/15/2023 105.7 83.4 164.9 -1.10% 2.88% -0.48%
5/22/2023 106.5 87.5 163.8 0.69% 4.71% -0.81%
5/29/2023 108.9 87.1 154.7 2.14% -0.56% -5.64%
6/5/2023 107.6 87.6 154.3 -1.36% 0.44% -0.41%
6/12/2023 107.0 89.3 157.0 -0.63% 1.93% 1.67%
6/19/2023 104.7 86.6 156.9 -2.26% -3.21% -0.18%
6/26/2023 104.7 88.5 160.3 -0.16% 2.12% 2.05%
7/3/2023 106.9 96.2 163.5 2.03% 8.54% 1.88%
7/10/2023 113.0 93.7 169.3 5.59% -2.74% 3.40%
7/17/2023 111.0 96.3 170.6 -1.89% 2.73% 0.65%
7/24/2023 112.6 92.4 171.8 1.28% -4.24% 0.62%
 NMDC IOC
Weights Avg.Ret NMDC 0.33% 0.11%
NMDC 58% 0.19% IOC 0.11% 0.19%
IOC 0% 0.05% ONGC 0.15% 0.15%
ONGC 42% 0.15%
Total 100% 0.17% Column 1 Column 2
Column 1 1
Column 2 0.4493067189 1
PF - Ret 0.17% Column 3 0.5117714338 0.6492851118
PF - SD 4.8%
Column 1 Column 2
Sharpe 0.035327 Column 1 0.0033104566
Column 2 0.0011332861 0.0019217876
PR - Ret _ Annual 9.23% Column 3 0.0015007758 0.0014507212
PF - SD - Annual 34.70%

Sharpe 0.266112

Portfolio NMDC IOC ONGC PR-weekly PSD-weekly PR-annual

1 10% 50% 40.0% 0.10% 4.18% 5.5%

2 20% 30% 50.0% 0.13% 4.28% 6.8%
3 25% 45% 30.0% 0.11% 4.13% 6.1%
4 30% 50% 20.0% 0.11% 4.12% 6.0%
5 35% 35% 30.0% 0.13% 4.22% 6.9%
0 58% 0% 42% 0.17% 4.81% 9.2%

Efficient Portfolio
10.0%
9.0% The key poin
8.0% portfolio of
7.0% standard de
6.0% correlation o
5.0%
4.0% Other things
3.0% asset return
2.0% When asset
1.0% diversificatio
0.0%
29.0% 30.0% 31.0% 32.0% 33.0% 34.0% 35.0%
benefits of d
 diversificatio
benefits of d

Highest Sharpe ratio 0.27

Minimum variance 29.7%
Max return 9.2%

Capital Market Line Weights PFR PFSD

Risky assets 90% 9.23% 34.70%
RFR 10.0% 6.00% 0.00%
Total weight 100%

PF - Retr 8.91%
PF -SD 34.70%
Gopikumar V:
Sharpe ratio 0.26 The Sharpe ratio for the
tangency portfolio. This is
the most preferred risk-
return combination.
ONGC
0.15%
0.15% Gopikumar V:
T
0.26% SD = sqrt ( W *∑*W)

Column 3

1
Gopikumar V:
T

Column 3 W Avg ret

0.0025977158

PSD-annual Sharpe ratio

30.2% 0.18
30.9% 0.22
29.8% 0.21
29.7% 0.20
30.4% 0.23
34.7% 0.27

The key point of the Markowitz analysis is that the risk of a

portfolio of risky assets depends on the asset weights and the
standard deviations of the asset’s returns and crucially on the
correlation of the asset returns.
Other things being equal, higher the correlation between
asset returns the higher the portfolio standard deviation.
When assets are perfectly positively correlated, there is no
diversification benefit. Hence as the correlation decreases, the
benefits of diversification increases.
diversification benefit. Hence as the correlation decreases, the
benefits of diversification increases.
W1 50% Portfolio return 9.5%
R1 12% Portfolio Var 0.41%
S1 10% Portfolio SD 6.42%
V1 1.0%
For a two asset case the portfolio va
W2 50% σ1,2 = σ1σ2ρ1,2 , where ρ1,2 is the coeffi
R2 7%
S2 5%
V2 0.3%

Correlation 0.8
two asset case the portfolio variance = W12σ12 + W22σ22 + 2* W1W2σ1,2

σ1σ2ρ1,2 , where ρ1,2 is the coefficient of correlation.

Beginning value 250 HPR 1.4
Ending value 350 HPY 0.4
Period (yrs) 2 HPR_A 1.183216
HPY_A 18.32%
 Year BV EV HPR HPY Risk
1 100 115 1.15 0.15 0.01
2 115 138 1.2 0.2 0.0225
If rates of return are same for all years, AM = GM.
3 138 110.4 0.8 -0.2 0.0625 If not, GM < AM always.
AM 5.0%
GM 3.4%
Variance 0.032
Std.Dev 17.80%

HPY for a Portfolio

Investment BV EV HPR HPY Weight Weighted HPY
A 100000 120000 1.2 0.2 5% 0.01
B 400000 420000 1.05 0.05 20% 0.01
C 1500000 1650000 1.1 0.1 75% 0.08
HPY 9.50%
ame for all years, AM = GM.
ys.
Economic condition Probability Return
Strong 15% 20%
Weak 15% -20%
No major change 70% 10%
ER 7.00% Gopikumar V:
We expect to get 7%
Risk of expected return standard deviation is

Economic condition Probability Return Variance

Strong 15% 20% 0.002535
Weak 15% -20% 0.010935
No major change 70% 10% 0.00063
Variance 0.0141
Std.Dev 11.87%
Gopikumar V:
CV 1.696 Coefficient of variation is a relative measure of
Std.Dev / ER. It is used for comparing two inve
with widely different rates of return. Lower the
Risk free rate
better the investment.
Nominal RFR 10%
Expected inflation 7%
Real RFR 2.8%
 Gopikumar V:
We expect to get 7%, but the
standard deviation is 11.87%.

tion is a relative measure of risk =

used for comparing two investments
nt rates of return. Lower the value,
ent.
Date Stock Index Stock returns Index returns Stock Avg Ret 2.5%
7/31/2021 100 4000 Index Avg Ret 1.6%
8/31/2021 105 4100 5.0% 2.5% Covariance 0.0002691
9/30/2021 102 4050 -2.9% -1.2% Var. Index 0.0002614
10/31/2021 110 4200 7.8% 3.7% Var.Stock 0.0004777
11/30/2021 112 4300 1.8% 2.4% Beta 1.03
12/31/2021 115 4400 2.7% 2.3% SR 0.000277
1/31/2022 118 4450 2.6% 1.1% USR 0.0002006
2/28/2022 120 4500 1.7% 1.1% TR 0.0004777
3/31/2022 116 4300 -3.3% -4.4%
4/30/2022 122 4400 5.2% 2.3%
5/31/2022 125 4550 2.5% 3.4%
6/30/2022 130 4600 4.0% 1.1%
7/31/2022 132 4650 1.5% 1.1%
8/31/2022 135 4750 2.3% 2.2%
9/30/2022 138 4800 2.2% 1.1%
10/31/2022 140 4900 1.4% 2.1%
11/30/2022 142 5000 1.4% 2.0%
12/31/2022 145 5200 2.1% 4.0%
1/31/2023 150 5300 3.4% 1.9%
2/28/2023 155 5400 3.3% 1.9%
3/31/2023 160 5500 3.2% 1.9%
4/30/2023 165 5600 3.1% 1.8%
5/31/2023 170 5700 3.0% 1.8%
6/30/2023 175 5800 2.9% 1.8%
7/31/2023 180 5900 2.9% 1.7%
 Gopikumar V: 〖𝜎 _𝑖 〗 ^2= 〖𝛽 _𝑖 〗 ^2∗ 〖𝜎 _𝑚 〗 ^2+𝑈𝑆𝑅
Risk due to comovement 𝛽_𝑖= 𝜎_𝑖𝑚/ 〖𝜎 _𝑚 〗 ^2
with the market.
〖𝜎 _𝑖 〗 ^2= 〖𝜎 _𝑖𝑚 〗 ^2/ 〖𝜎 _𝑚 〗 ^2 +𝑈𝑆𝑅

58.0%
42.0%
100%

Gopikumar V:
Firm specific risk.
 Asset AR Beta RR
Asset A 8.5 0.8 8.4
Asset B 10.2 1.2 9.6
Asset C 7.3 0.6 Sharpe ratio: Excess Return / Risk.
7.8
Asset D 9.8 1 9 Excess return = Return - RFR.
Asset E 6.5 0.4 7.2
Risk: Standard devitaion of return.

RFR 6 Sortino ratio: Excess Return / Bad Risk.

MRP 3 Bad Risk: Standard deviation of the downside.

Information ratio: (Portfolio Return - Benchmark R

Tracking Error: Standard deviation of difference be

and benchmark returns.
 Return / Risk.

urn - RFR.

aion of return.
s Return / Bad Risk.

deviation of the downside.

Portfolio Return - Benchmark Return) / Tracking Error.

dard deviation of difference between portfolio returns

urns.
Returns Mean -4.8%
3.2% Std.Dev 0.748509
12.4% Median 7.9%
-59.1%
This chart isn’t available in your version of Excel.
-5.0%
23.7% Skewness tells where the outliers are. Editing this shape or saving this workbook into a diffe
45.3% Positive skewness: More often small permanently break the chart.
-122.5% losses, and few large gains.
56.7%
Negative skewness: More often small
-1.5% gains, and few large losses.
27.2%
-11.0% Normal distribution underestimates
the skewness risk.
-147.7%
67.5% Standard deviation is important only
24.5% if the distribution is normal.
11.5% For short and medium term investors,
-13.5% skewness is important.
-34.9%
-115.3%
-31.1%
20.8%
107.6%
-57.0%
-13.9%
-6.0%
-89.9%
-112.3%
24.6%
-57.1%
89.1%
73.9%
-139.3%
27.7%
37.8%
-141.8%
7.5%
23.1%
-78.4%
108.3%
-58.8%
33.1%
77.7%
-78.5%
48.8%
-46.5%
 -16.8%
33.4%
110.9%
81.9%
117.2%
-159.2%
-21.8%
17.0%
15.7%
152.2%
-164.7%
69.3%
7.9%
48.4%
-104.1%
 Returns Mean 11.3129 Mean > Median
-5 Std.Dev 9.003126
-3.8 Median 10.95
-3.2
in your version of Excel.
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27.9
Mean > Median

This chart isn’t available in your version of Excel.

Editing this shape or saving this workbook into a different file format will
permanently break the chart.
Returns Mean -1.763934 Median > Mean
-10.2 Std.Dev 5.008191
-9.8 Median -2
-9.5
This chart isn’t available in your version of Excel.
-9.1
-8.9 Editing this shape or saving this workbook into a different file format will
-8.7 permanently break the chart.
-8.5
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-8
-7.7
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-6.8
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-5.9
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-5
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-3.9
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-2.9
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1
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file format will