financial markets
FINANCIAL MARKETS BCO224- Group A Final Evaluation
Investments: Delineating an Efficient Portfolio
· Individual task
· Students should read the Harvard Business School case study entitled ‘Investments: Delineating an Efficient Portfolio’ and answer the following questions. Students should note that the risk of the portfolio should not be more than 10% per year. Students should use the dataset in the Stock Spreadsheet for their calculations.
· Key contextual elements should include risk diversification, portfolio theory, efficient frontier, Sharpe ratio, correlation analysis, risk and return.
· General instructions:
· Make a two-asset portfolio and examine how risk is diversified.
· Make an efficient multiple-asset portfolio.
· Make an efficient multiple-asset portfolio and analyze the effect of adding a risk-free asset to a portfolio containing risky assets.
· Title page, written body, along with a bibliography of any written references, images, or diagrams used (if applicable). NOTE: Formal Written Reports must include a Title Page, Table of Contents, and Appendix if needed.
· Formal Written Report saved and uploaded to Moodle in PDF format.
Formalities:
· Word count: 1000/1500 words
· Cover, Table of Contents, References and Appendix are excluded of the total word count.
· Font: Arial 12,5 pts.
· Text alignment: Justified.
· The in-text References and the Bibliography have to be in Harvard’s citation style.
Submission: Week 8– Via Moodle (Turnitin). By no later than Sunday, September 20th at 23:59 (11:59pm) CEST.
Weight: This task represents 60% of your total grade for this subject.
It assesses the following learning outcomes:
· Outcome 1: Be familiar with selecting optimal portfolios including stocks and bonds.
· Outcome 2: Have an understanding of the key concepts that drive capital allocation in the light of risk.
Rubrics
Exceptional 90-100
Good 80-89
Fair 70-79
Marginal fail 60-69
Knowledge & Understanding (20%)
Student demonstrates excellent understanding of key concepts and uses vocabulary in an entirely appropriate manner.
Student demonstrates good understanding of the task and mentions some relevant concepts and demonstrates use of the relevant vocabulary.
Student understands the task and provides minimum theory and/or some use of vocabulary.
Student understands the task and attempts to answer the question but does not mention key concepts or uses minimum amount of relevant vocabulary.
Application (30%)
Student applies fully relevant knowledge from the topics delivered in class.
Student applies mostly relevant knowledge from the topics delivered in class.
Student applies some relevant knowledge from the topics delivered in class. Misunderstanding may be evident.
Student applies little relevant knowledge from the topics delivered in class. Misunderstands are evident.
Critical Thinking (30%)
Student critically assesses in excellent ways, drawing outstanding conclusions from relevant authors.
Student critically assesses in good ways, drawing conclusions from relevant authors and references.
Student provides some insights but stays on the surface of the topic. References may not be relevant.
Student makes little or none critical thinking insights, does not quote appropriate authors, and does not provide valid sources.
Communication (20%)
Student communicates their ideas extremely clearly and concisely, respecting word count, grammar and spellcheck
Student communicates their ideas clearly and concisely, respecting word count, grammar and spellcheck
Student communicates their ideas with some clarity and concision. It may be slightly over or under the wordcount limit. Some misspelling errors may be evident.
Student communicates their ideas in a somewhat unclear and unconcise way. Does not reach or does exceed wordcount excessively and misspelling errors are evident.
>Sheet Examining and Characteristics of a Two 2
1
Risk
Return
Asset
Portfolio
Risk
%
0%
15%
1
Portfolio
Expected Return
0%
0%
0%
.50%
0%
.00%
0%
15.00%
Two Asset Portfolio
Expected Return 0.1 0.105 0.11 0.115 0.12000000000000001 0.125 0.13 0.13499999999999998 0.14000000000000001 0.14500000000000002 0.15 0.15 0.16500000000000001 0.18 0.19500000000000001 0.21 0.22499999999999998 0.24 0.255 0.27 0.28500000000000003 0.3
Risk (Standard Deviation) %
Return %
Sheet 2
| Quarter | Fund | Summary of Return and Risk | Variance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fund # | MF1 | MF2 | MF3 | MF4 | MF5 | MF6 | MF7 | MF8 | MF9 | MF10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ICICI Pru Focused Bluechip Eqty (G) | Quantum Long-Term Equity (G) | DSP-BR Micro Cap Fund – RP (G) | SBI Emerging Busi (G) | Reliance Equity Oppor – RP (G) | ICICI Pru Exp&Other Services-RP (G) | HDFC Balanced Fund (G) | HDFC Prudence Fund (G) | Birla Sun Life GSec – LTF (G) | R* Shares Golld ETF | Fund Name | Formula in previous column | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 | Q1 | 2.90% | 0.10% | -13.70% | -1 | 4.70% | -6.40% | -1 | 1.40% | -1.00% | -4.20% | 7.40% | 1 | 0.40% | Average Return per Quarter | 5.19% | 5.27% | 6.59% | 5.44% | 5.76% | 5.93% | 5.03% | 4.74% | 2.21% | 3.08% | < =AVERAGE(M6:M25) | 4.61% | 5.15% | 7.33% | 6.62% | 5.84% | 5.28% | 0.18% | -0.87% | < =COVAR($D:$D,M:M)*4 | |||||||||||||||||||||||||||||
| Q2 | 4 | 1.60% | 44.30% | 66.00% | 6 | 6.20% | 47.50% | 49.10% | 37.60% | 47.00% | – | 4.10% | Annual | 22.43% | 22.78% | 29.08% | 23.60% | 25.08% | 2 | 5.89% | 21.69% | 20.33% | 9.14% | 12.90% | < =(1+AA6)^4-1 | 8.48% | 7.46% | 6.74% | 5.98% | 4.59% | 0.21% | -0.82% | < =COVAR($E:$E,M:M)*4 | |||||||||||||||||||||||||||||||
| Q3 | 1 | 9.20% | 2 | 3.40% | 30.50% | 1 | 5.70% | 27.40% | 19.80% | 14.10% | 18.20% | 1.80% | 7.70% | Variance per Quarter | 1.15% | 1.47% | 3.51% | 2.85% | 2.03% | 1.84% | 1.59% | 0.07% | 0.64% | < =VARP(M6:M25) | 14.06% | 11.83% | 10.24% | 9.04% | 7.31% | 9.11% | 0.20% | -1.44% | < =COVAR($F:$F,M:M)*4 | |||||||||||||||||||||||||||||||
| Q4 | -0.20% | 5.60% | 1.70% | Annual Variance of Returns | 11.42% | 8.11% | 7.35% | 6.37% | 0.28% | 2.56% | < =4*AA8 | 8.93% | 7.85% | 6.22% | 8.13% | 0.23% | -1.47% | < =COVAR($G:$G,M:M)*4 | ||||||||||||||||||||||||||||||||||||||||||||||
| 2010 | 1.90% | 4.60% | 5.40% | 1.20% | -2.80% | Srandard Deviation of Returns | 21.47% | 24.26% | 37.49% | 33.79% | 28.48% | 27.11% | 20.01% | 25.25% | 5.32% | 16.01% | < =SQRT(AA9) | 6.90% | 5.46% | 7.04% | 0.16% | -1.09% | < =COVAR($H:$H,M:M)*4 | |||||||||||||||||||||||||||||||||||||||||
| 6.10% | 9.40% | 6.70% | 6.60% | 14.20% | 4.79% | 5.99% | -0.23% | -1.12% | < =COVAR($I:$I,M:M)*4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 15.40% | 16.20% | 19.10% | 18.30% | 14.30% | 9.90% | 4.93% | 0.17% | -0.81% | < =COVAR($J:$J,M:M)*4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| – | 4.40% | – | 2.60% | -1.90% | 0.60% | -0.70% | 1.10% | 7.30% | 0.27% | -1.14% | < =COVAR($K:$K,M:M)*4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 | -5.80% | -14.70% | -9.00% | -7.30% | – | 4.90% | – | 3.10% | – | 3.20% | 1.30% | < =COVAR($L:$L,M:M)*4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| -2.50% | -2.70% | 20.00% | < =COVAR($M:$M,M:M)*4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| -9.40% | -8.70% | – | 5.20% | -1.40% | -8.90% | – | 10.70% | – | 5.10% | -6.80% | 19.20% | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| – | 2.40% | -4.00% | -13.50% | – | 8.10% | -8.50% | -6.60% | -7.50% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 | 12.70% | 17.10% | 14.60% | 21.10% | 17.80% | 15.50% | 16.00% | 3.80% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| -0.60% | -3.20% | -0.80% | -1.10% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 8.60% | 9.60% | 10.20% | 9.30% | 6.50% | 25.89% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| -2.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2013 | -4.90% | -3.90% | -15.80% | -12.50% | -7.90% | -8.60% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| -1.70% | -3.10% | 2.10% | -0.30% | -0.40% | – | 15.60% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| -4.50% | -8.40% | -4.30% | 17.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 10.00% | 12.30% | 24.90% | 13.10% | 16.30% | -7.60% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Total | 100.00% | < =SUM(R15:R24) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 18.41% | < =MMULT(TRANSPOSE(R15:R24),Q15:Q24) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 1.64% | < =MMULT(MMULT(TRANSPOSE(R15:R24),AD6:AM15),R15:R24) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12.82% | < =SQRT(S29) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Sharpe Ratio | 0.8119799101 | < =(S28-0.08)/S30 | (assuming risk free rate is 8%) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| To maximise Sharpe Ratio, Solver can be used. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| The market portfolio has following characteristics | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Expected Return = | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Standard Deviation = | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Final Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Annual Return | Market Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Risk Free Asset | 22.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
W14232
INVESTMENTS: DELINEATING AN EFFICIENT PORTFOLIO
Upasana Mitra and M. Kannadhasan wrote this case solely to provide material for class discussion. The authors do not intend to
illustrate either effective or ineffective handling of a managerial situation. The authors may have disguised certain names and other
identifying information to protect confidentiality.
This publication may not be transmitted, photocopied, digitized or otherwise reproduced in any form or by any means without the
permission of the copyright holder. Reproduction of this material is not covered under authorization by any reproduction rights
organization. To order copies or request permission to reproduce materials, contact Ivey Publishing, Ivey Business School, Western
University, London, Ontario, Canada, N6G 0N1; (t) 519.661.3208; (e) cases@ivey.ca; www.iveycases.com.
Copyright © 2014, Richard Ivey School of Business Foundation Version: 2014-06-20
Hi Rahul!
I want your advice in suggesting a portfolio of mutual fund for investment of my retirement fund.
Last year, when I retired, I invested the full amount in a balanced fund. As it was a diversified
fund, I thought that investment in one balanced fund would allow me to diversify my investment
and I would get a decent return. Unfortunately, the fund has given negative return in spite of the
fact that the stock index during the period has gone up by 5 per cent. Being a retired person, I
cannot take much risk but would like to get maximum possible return. Can you make a list of best
performing funds and propose an efficient portfolio.
Rahul Sharma, an MBA student in his final year at a premier business school, was to join an investment
firm after completion of his courses. His uncle, who retired from government service in the previous year,
had sought Sharma’s advice on an efficient portfolio for his savings. His uncle had read a few articles
about investments and was convinced that to reduce risk, he should diversify his investments.
Accordingly, he had put forth the following constraints:
He did not want to invest in individual stocks as he felt that doing so was too risky; instead, he
preferred to invest in mutual funds, which had historically provided above-average returns.
In the previous year, his investment in a single balanced fund had not generated a satisfactory return;
hence, he decided to diversify his portfolio of funds.
He also wanted the risk of the portfolio to not be more than 10 per cent per year. Nevertheless, with
this limited risk, he wanted the portfolio to provide the best possible return.
Additionally, he didn’t want any short selling of securities.
Sharma had opted for an elective on Investments in his MBA course, and advising his uncle was his first
opportunity to apply his academic knowledge to practice. As his uncle wanted to invest only in mutual
funds, Sharma’s job was easier. He looked out for a list of mutual funds that had generated good returns
over the past few years.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 2 9B14N012
SELECTION OF FUNDS
Fund performance reports were widely available, but Sharma found he liked the comprehensive mutual
fund information provided at a popular investment review website, www.moneycontrol.com. The website
provided the performance parameters of various types of mutual funds operating in India and ranked them
based on predetermined performance criteria. It also provided quarterly return data for funds’ previous
five years.
Sharma shortlisted a few funds from each of the preferred categories based on their past five years of
annualized returns, with the assumption that funds that had performed well in the past five years would
also be expected to perform well in the future. Such assumptions of expecting future performance based
on the past performance of assets were common in investment literature. According to Noble Laureate
Sharpe:1
Most performance measures are computed using historic data but justified on the basis of
predicted relationships. Practical implementations use ex post results while theoretical
discussions focus on ex ante values. Implicitly or explicitly, it is assumed that historic results
have at least some predictive ability.
Sharma’s shortlisted funds and their past performance are provided in Exhibit 1.
To make a detailed analysis of risk and return, Sharma required the historical net asset value (NAV) of
the funds under consideration. Although the details were available elsewhere, www.moneycontrol.com
also provided the quarterly returns of the funds for the past five years. Sharma wanted to make his task
easier and hence decided to evaluate the performance of funds based on the previous five years’ quarterly
returns, as the required information was readily available. The time-series of quarterly returns of the
selected funds over the previous five years were compiled and are provided in Exhibit 2.
CREATING A PORTFOLIO
Which portfolio would provide the optimal return? This question was asked by every equity investor.
Markowitz2 had formalized a measure of risk in his article “Portfolio Selection” and had developed a
method to form an efficient portfolio based on the expected return and risk. For investments, diversifying
the portfolio could reduce risk without compromising the expected return. Markowitz was the first to
point out that variance of portfolio returns could be reduced by proper diversification. He suggested that
assets could be selected on the basis of their overall risk–reward characteristics. However, the benefits of
diversification depended on how returns of the individual assets correlated to each other.
As mutual funds returns are “uncertain” or “random,” it is impossible to accurately predict the expected
rate of return. Therefore, some form of historical averages was usually taken as the base from which to
estimate the expected return.
The return of a portfolio over a time period t can be measured as follows:
1
1
William F. Sharpe, The Sharpe Ratio, www.stanford.edu/~wfsharpe/art/sr/sr.htm. accessed January 15, 201
4
2
Harry M. Markowitz, “Portfolio Selection,” Journal of Finance, 1952, 7 (1), pp. 77—91.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 3 9B14N012
where Vt is the value of a portfolio at the time t, and rt is simply the percentage change of value from one
period to another. Sharma decided to take the average of the past five years’ return as the basis. The
quarterly return was converted to the annual return using quarterly compounding as follows.
1 1
where, ra = annualized return and rq = quarterly return.
Variance and standard deviation of returns are the popular measure of risk and are measured as follows.
1
where Vq is variance of quarterly return, estimated from returns of past N quarters and is mean of
quarterly returns. For estimating population variance, the sum of squared deviations from their mean was
divided by N. When sample variance is measured, the sum of differences is divided by (N – 1) instead of
N. Annualized variance (Va) can be obtained from the quarterly variance by multiplying by 4.
4
The standard deviation of the return is the square root of variance.
The above procedure of estimating returns and risk apply to a single asset. For a portfolio consisting of
multiple risky assets, the expected return (rp) and variance (Vp) of the portfolio are as follows.
, ,
where σi,j is the covariance of asset returns between asset i and asset j, ωi ≥ 0, i = 1, 2, 3, .. N
and ∑ 1.
Covariance σi,j is correlation ρi,j of returns between two assets multiplied by standard deviations of
respective assets as follows:
, ,
In case of a two asset portfolio,
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 4 9B14N012
and
2 ,
Correlation ρ1,2 is a measure of the tendency of two variables moving together. It measures the degree of
association in the scale –1 to +1. The value of σp is minimum when the value of ρ1,2 is –1. When returns
are perfectly correlated, that is ρ1,2 = +1, there is no reduction of risk. If two stocks are not perfectly
correlated, combining stocks into a portfolio would reduce the risk compared to the risk inherent in
individual assets.
DIVERSIFICATION
Sharma’s task was to plot the risk and return characteristics of various portfolios that could be created by
mixing selected mutual funds in different proportions. A graphical representation of the risk–return
profiles of the portfolios consisting of multiple risky assets is provided in Exhibit 3.
Although various possible combinations of assets could be used to form a portfolio and plotted in a risk–
return space in a graph, best performing portfolios may be chosen as follows:
From the portfolios offering the same return, the investor would favour the portfolio with the lowest
risk, and
From the portfolios having the same risk level, an investor would favour the portfolio that offered the
highest rate of return.
The line joining the extreme points of the upper edge of plotted points is known as the efficient frontier.
Any point on the efficient frontier provides the maximum expected return for the respective risk profile.
Obtaining returns higher than the returns provided by portfolios on the efficient frontier is not possible by
using any combination of risky assets. However, the best choice of a portfolio among the portfolios on the
efficient frontier was not obvious. An investor needed to make a tradeoff between the expected return and
risk to choose a portfolio based on the efficient frontier. The portfolios on the lower borer line were not as
efficient as alternative portfolios could be made using the same constituent assets that offered higher
return for a given risk level.
James Tobin3 extended the work of Markowitz by adding a risk-free asset to the efficient portfolio.
Several portfolios could be made by mixing a risk-free asset and an efficient portfolio lying on the
efficient frontier. Sharpe4 developed the capital asset pricing model (CAPM) and presented the concept of
market portfolio. The best risk-adjusted return can be made by using the Sharpe Ratio, which is a measure
that provides additional return over a risk-free rate of return of a portfolio compared with the risk
involved. The Sharpe Ratio is computed as follows.
3
James Tobin, “Liquidity Preference as Behavior Towards Risk,” The Review of Economic Studies, 1958, 25, pp. 65—86.
4
William F. Sharpe, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance,
1964, 19 (3), pp. 425—442.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 5 9B14N012
where SRp is the Sharpe Ratio of the portfolio, is expected return from a portfolio, is standard
deviation of portfolio return and is the risk-free rate. A portfolio that provides highest Sharpe Ratio is
the market portfolio. It can be located on the efficient frontier by joining a tangent line from the risk-free
rate point on the Y-axis to the efficiency frontier curve (see Exhibit 4). This tangent line has the highest
possible slope among all lines that can be drawn joining the risk-free point and any other point on the
efficient frontier. The line joining the risk-free rate and market portfolio offers the optimal investment
opportunity for an investor and is also known as the Capital Market Line, or simply CML. A point on the
CML beyond the market portfolio point implies borrowing at risk-free rate. A higher return beyond the
return offered by market portfolio is possible when the investor borrows at the risk-free rate and invests in
the market portfolio.
FINAL PORTFOLIO
The task before Sharma was to construct an N-asset portfolio of risky assets that could provide the best
return for a given risk. Although the task appeared to be complex, Sharma remembered that he had done a
similar exercise in his investment course, where he used Excel functions to calculate the portfolio risk and
return and then carried out the return maximization procedure using the “solver” add-on in Excel. He
searched for the Excel files used for his assignment in the investment course and prepared a portfolio that
offered the highest Sharpe Ratio.
According to the CAPM, the addition of a risk-free asset in a portfolio of mutual funds was likely to yield
a better risk-adjusted return. Therefore, Sharma included in his uncle’s portfolio a risk-free security that
would yield 8 per cent per annum. He also prepared a comprehensive write-up to explain the fundamental
concepts behind the optimal portfolio and to explain how the addition of a risk-free asset in a portfolio of
risky assets was useful for generating a better risk-adjusted return.
Upasana Mitra is an Associate Member of The Institute of Company Secretaries of India and
M, Kannadhasan is an Associate Professor at Indian Institute of Management Raipur, India.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 6 9B14N012
EXHIBIT 1: SHARMA’S SELECTED MUTUAL FUNDS
Fund # Mutual Fund Fund Type
Quarterly
Return
(Per Cent)
1 ICICI Prudential Focused Bluechip Equity (G) Large Cap 5.19
2 Quantum Long-Term Equity (G) Large Cap 6.59
3
DSP BlackRock Micro Cap Fund – Regular Plan
(G) Small and Medium Cap 5.44
4 SBI Emerging Businesses (G) Small and Medium Cap 5.76
5
Reliance Equity Opportunities Fund – Retail Plan
(G) Diversified Equity 5.03
6
ICICI Prudential Exports & Other Services –
Regular Plan (G) Diversified Equity 4.74
7 HDFC Balanced Fund (G) Balanced Fund 1.80
8 HDFC Prudence Fund (G) Balanced Fund 2.08
9
Birla Sun Life Government Securities – Long Term
Fund (G) Gilt Long Term 2.21
10 R*Shares Gold Exchange Traded Fund Gold ETF 3.08
Note: (G) = growth. The quarterly returns represent the simple average of returns during the previous 20 quarters.
Source: www.moneycontrol.com, accessed on January 31, 2014.
EXHIBIT 2: QUARTERLY RETURNS (BY PERCENTAGE) OF SHARMA’S SELECTED FUNDS, 2009
TO 2013
Fund # MF1 MF2 MF3 MF4 MF5 MF6 MF7 MF8 MF9 MF10
Quarter
IC
IC
I
P
ru
d
e
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d
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(G
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(G
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(G
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D
F
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B
a
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F
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(G
)
H
D
F
C
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d
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(G
)
B
irla
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ife
G
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(G
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s G
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ra
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u
n
d
2009Q1 2.90 0.10 -13.70 -14.70 -6.40 -11.40 -1.00 -4.20 7.40 10.40
2009Q2 41.60 44.30 66.00 66.20 47.50 49.10 37.60 47.00 4.70 -4.10
2009Q3 19.20 23.40 30.50 15.70 27.40 19.80 14.10 18.20 1.80 7.70
2009Q4 -0.20 -0.20 14.10 -0.20 -0.20 5.60 8.50 -0.20 1.70 -0.20
2010Q1 3.40 1.90 9.20 4.60 5.40 1.80 4.00 4.10 1.20 -2.80
2010Q2 2.90 6.10 9.40 0.20 5.00 0.40 6.70 6.60 5.70 14.20
2010Q3 15.40 16.20 14.20 19.10 18.30 14.30 9.90 12.50 1.40 1.50
2010Q4 1.20 0.20 -4.40 0.10 -2.60 -1.90 0.60 -0.70 1.10 7.30
2011Q1 -2.60 -5.80 -14.70 -9.00 -7.30 -4.90 -3.10 -3.20 1.20 1.30
2011Q2 -1.00 -2.50 1.50 4.90 2.60 -2.70 4.60 1.60 1.10 4.90
2011Q3 -9.40 -8.70 -5.20 -1.40 -8.90 -10.70 -5.10 -6.80 1.40 19.20
2011Q4 -2.40 -4.00 -13.50 -8.10 -8.50 -7.30 -6.60 -7.50 3.20 2.00
2012Q1 12.70 17.10 20.00 14.60 21.10 17.80 15.50 16.00 2.00 3.80
2012Q2 -0.60 -1.90 0.40 3.10 1.40 -3.20 -0.80 -1.10 3.40 3.50
2012Q3 8.10 8.60 9.60 10.20 10.70 9.30 6.20 6.50 2.00 5.20
2012Q4 4.40 3.80 4.50 13.00 5.40 5.20 2.50 5.10 2.40 -2.30
2013Q1 -4.90 -3.90 -15.80 -12.50 -7.90 1.90 -5.80 -8.60 2.60 -2.80
2013Q2 1.80 -0.60 -0.70 -1.70 -3.10 2.10 -0.30 -0.40 5.20 -15.60
2013Q3 1.30 -1.10 -4.50 -8.40 -4.30 17.00 -2.30 -7.30 -6.60 16.00
2013Q4 10.00 12.30 24.90 13.10 19.50 16.30 15.40 17.10 1.30 -7.60
Source: www.moneycontrol.com, accessed on January 31, 2014.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.
Page 7 9B14N012
EXHIBIT 3: RISK–RETURN PROFILE OF THE PORTFOLIOS CONSIDERED BY SHARMA
Source: Created by authors.
EXHIBIT 4: RISK–RETURN PROFILE OF THE PORTFOLIOS CONSIDERED BY SHARMA AND THE
CAPITAL MARKET LINE
Note: CML = capital market line
Source: Created by authors.
For the exclusive use of G. Iatridis, 2016.
This document is authorized for use only by George Iatridis in 2016.