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Financial Analytics

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7 views12 pages

Financial Analytics

Uploaded by

nicebanach3
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Fund # MF1 MF2 MF3 MF4 MF5 MF6

2009Q1 2.9 0.1 -13.7 -14.7 -6.4 -11.4


2009Q2 41.6 44.3 66.0 66.2 47.5 49.1
2009Q3 19.2 23.4 30.5 15.7 27.4 19.8
2009Q4 -0.2 -0.2 14.1 -0.2 -0.2 5.6
2010Q1 3.4 1.9 9.2 4.6 5.4 1.8
2010Q2 2.9 6.1 9.4 0.2 5.0 0.4
2010Q3 15.4 16.2 14.2 19.1 18.3 14.3
2010Q4 1.2 0.2 -4.4 0.1 -2.6 -1.9
2011Q1 -2.6 -5.8 -14.7 -9.0 -7.3 -4.9
2011Q2 -1.0 -2.5 1.5 4.9 2.6 -2.7
2011Q3 -9.4 -8.7 -5.2 -1.4 -8.9 -10.7
2011Q4 -2.4 -4.0 -13.5 -8.1 -8.5 -7.3
2012Q1 12.7 17.1 20.0 14.6 21.1 17.8
2012Q2 -0.6 -1.9 0.4 3.1 1.4 -3.2
2012Q3 8.1 8.6 9.6 10.2 10.7 9.3
2012Q4 4.4 3.8 4.5 13.0 5.4 5.2
2013Q1 -4.9 -3.9 -15.8 -12.5 -7.9 1.9
2013Q2 1.8 -0.6 -0.7 -1.7 -3.1 2.1
2013Q3 1.3 -1.1 -4.5 -8.4 -4.3 17.0
2013Q4 10.0 12.3 24.9 13.1 19.5 16.3

E(r) 5.2 5.3 6.6 5.4 5.8 5.9


Variance 121.3 154.9 369.9 300.5 213.4 193.5
Standard Deviation 11.0 12.4 19.2 17.3 14.6 13.9

W1 0.10 0.10 0.10 0.10 0.10 0.10


E(P1) 4.922

Column 1 Column 2 Column 3 Column 4 Column 5 Column 6


Column 1 115.2469 128.65515 183.2589 165.5664 145.91455 131.90225
Column 2 128.65515 147.15328 211.91365 186.5369 168.53593 149.51038
Column 3 183.2589 211.91365 351.4389 295.6614 255.93705 225.89575
Column 4 165.5664 186.5369 295.6614 285.4454 223.2423 196.2605
Column 5 145.91455 168.53593 255.93705 223.2423 202.72547 172.54713
Column 6 131.90225 149.51038 225.89575 196.2605 172.54713 183.79787
Column 7 99.9528 114.72605 182.7083 155.4893 136.57935 119.67525
Column 8 129.81335 148.31222 227.69235 203.2911 175.88858 149.77163
Column 9 4.5696 5.36635 4.9156 5.6261 4.05345 -5.72425
Column 10 -21.6832 -20.4477 -35.8902 -36.6437 -27.1649 -28.1025
E®

Variance of first portfolio 108.4374


Standard deviation P2 10.413328
W2 0.2 0.1 0.1 0.1 0.05 0.05
E(P2) 4.857
Variance of 2nd Portfolio 102.76675
Standard deviation P2 10.137393
Covariance of 2 portfolios 105.5004
correlation (1,2) 0.9993975

W1 of portfolio 3 0.5 Now we are assuming that the entire portfolio 1 is allote

R(p3) 4.8895

Variance of portfolio 3 105.55123 Here 1-C55 is the weight of second portfolio

This is a One Dimensional Table Now here we need to keep changi


Weights Variance Returns SD
105.55123 4.8895 10.273813
6
-95 #VALUE!
-90 #VALUE! 5
-85 #VALUE!
-80 #VALUE! 4
-75 #VALUE!
-70 #VALUE! 3
-65 #VALUE!
-60 #VALUE! 2
-55 #VALUE!
-50 #VALUE! 1
-45 #VALUE!
-40 #VALUE! 0
100 120 140
-35 #VALUE!
-30 #VALUE!
-25 #VALUE!
-20 #VALUE!
-15 #VALUE!
-10 #VALUE!
-5 #VALUE!
0 #VALUE!
5 #VALUE!
10 #VALUE!
15 #VALUE!
20 #VALUE!
25 #VALUE!
30 #VALUE!
35 #VALUE!
40 #VALUE!
45 #VALUE!
50 #VALUE!
55 #VALUE!
60 #VALUE!
65 #VALUE!
70 #VALUE!
75 #VALUE!
80 #VALUE!

Now maximise the Sharpe Ratio using the solver


MF7 MF8 MF9 MF10

-1.0 -4.2 7.4 10.4


37.6 47.0 4.7 -4.1
14.1 18.2 1.8 7.7
8.5 -0.2 1.7 -0.2
4.0 4.1 1.2 -2.8
6.7 6.6 5.7 14.2
9.9 12.5 1.4 1.5
0.6 -0.7 1.1 7.3
-3.1 -3.2 1.2 1.3
4.6 1.6 1.1 4.9
-5.1 -6.8 1.4 19.2
-6.6 -7.5 3.2 2.0
15.5 16.0 2.0 3.8
-0.8 -1.1 3.4 3.5
6.2 6.5 2.0 5.2
2.5 5.1 2.4 -2.3
-5.8 -8.6 2.6 -2.8
-0.3 -0.4 5.2 -15.6
-2.3 -7.3 -6.6 16.0
15.4 17.1 1.3 -7.6

5.0 4.7 2.2 3.1


105.3 167.7 7.5 67.5
10.3 13.0 2.7 8.2

0.10 0.10 0.10 0.10

Column 7 Column 8 Column 9 Column 10


99.9528 129.81335 4.5696 -21.6832
114.72605 148.31222 5.36635 -20.4477
182.7083 227.69235 4.9156 -35.8902
155.4893 203.2911 5.6261 -36.6437
136.57935 175.88858 4.05345 -27.1649
119.67525 149.77163 -5.72425 -28.1025
100.0581 123.37245 4.1327 -20.3654
123.37245 159.36027 6.80465 -28.5648
4.1327 6.80465 7.0809 -5.8243
-20.3654 -28.5648 -5.8243 64.0956

0.1 0.1 0.1 0.1


tire portfolio 1 is alloted 50% of the capital hence it's weight is 0.5 and the second portfolio is alloted the remaining 0.5

we need to keep changing the weights of this third portfolio in such a manner that it forms a parabola

120 140 160 180 200 220


d the remaining 0.5
Fund # MF1 MF2 MF3 MF4 MF5 MF6

2009Q1 2.9 0.1 -13.7 -14.7 -6.4 -11.4


2009Q2 41.6 44.3 66.0 66.2 47.5 49.1
2009Q3 19.2 23.4 30.5 15.7 27.4 19.8
2009Q4 -0.2 -0.2 14.1 -0.2 -0.2 5.6
2010Q1 3.4 1.9 9.2 4.6 5.4 1.8
2010Q2 2.9 6.1 9.4 0.2 5.0 0.4
2010Q3 15.4 16.2 14.2 19.1 18.3 14.3
2010Q4 1.2 0.2 -4.4 0.1 -2.6 -1.9
2011Q1 -2.6 -5.8 -14.7 -9.0 -7.3 -4.9
2011Q2 -1.0 -2.5 1.5 4.9 2.6 -2.7
2011Q3 -9.4 -8.7 -5.2 -1.4 -8.9 -10.7
2011Q4 -2.4 -4.0 -13.5 -8.1 -8.5 -7.3
2012Q1 12.7 17.1 20.0 14.6 21.1 17.8
2012Q2 -0.6 -1.9 0.4 3.1 1.4 -3.2
2012Q3 8.1 8.6 9.6 10.2 10.7 9.3
2012Q4 4.4 3.8 4.5 13.0 5.4 5.2
2013Q1 -4.9 -3.9 -15.8 -12.5 -7.9 1.9
2013Q2 1.8 -0.6 -0.7 -1.7 -3.1 2.1
2013Q3 1.3 -1.1 -4.5 -8.4 -4.3 17.0
2013Q4 10.0 12.3 24.9 13.1 19.5 16.3

E(r) 5.2 5.3 6.6 5.4 5.8 5.9


Variance 121.3 154.9 369.9 300.5 213.4 193.5
Standard Deviation 11.0 12.4 19.2 17.3 14.6 13.9

W1 0.10 0.10 0.10 0.10 0.10 0.10


E(P1) 4.922

Column 1 Column 2 Column 3 Column 4 Column 5 Column 6


Column 1 115.2469 128.65515 183.2589 165.5664 145.91455 131.90225
Column 2 128.65515 147.15328 211.91365 186.5369 168.53593 149.51038
Column 3 183.2589 211.91365 351.4389 295.6614 255.93705 225.89575
Column 4 165.5664 186.5369 295.6614 285.4454 223.2423 196.2605
Column 5 145.91455 168.53593 255.93705 223.2423 202.72547 172.54713
Column 6 131.90225 149.51038 225.89575 196.2605 172.54713 183.79787
Column 7 99.9528 114.72605 182.7083 155.4893 136.57935 119.67525
Column 8 129.81335 148.31222 227.69235 203.2911 175.88858 149.77163
Column 9 4.5696 5.36635 4.9156 5.6261 4.05345 -5.72425
Column 10 -21.6832 -20.4477 -35.8902 -36.6437 -27.1649 -28.1025
E®

Variance of first portfolio 108.4374


Standard deviation P2 10.413328
W2 0.2 0.1 0.1 0.1 0.05 0.05
E(P2) 4.857
Variance of 2nd Portfolio 102.76675
Standard deviation P2 10.137393
Covariance of 2 portfolios 105.5004
correlation (1,2) 0.9993975

W1 of portfolio 3 0.5 Now we are assuming that the entire portfolio 1 is allote

R(p3) 4.8895

Variance of portfolio 3 105.55123 Here 1-C55 is the weight of second portfolio

This is a One Dimensional Table Now here we need to keep changi


Weights Variance Returns SD Returns
105.55123 4.8895 10.273813 4.8895 6
-95 #VALUE! -1.318
-90 #VALUE! -0.993 5
-85 #VALUE! -0.668
-80 #VALUE! -0.343 4
-75 #VALUE! -0.018
-70 #VALUE! 0.307 3
-65 #VALUE! 0.632
-60 #VALUE! 0.957 2
-55 #VALUE! 1.282
-50 #VALUE! 1.607 1
-45 #VALUE! 1.932
-40 #VALUE! 2.257 0
8 10
-35 #VALUE! 2.582
-30 #VALUE! 2.907
-25 #VALUE! 3.232
-20 #VALUE! 3.557
-15 #VALUE! 3.882
-10 #VALUE! 4.207
-5 #VALUE! 4.532
0 #VALUE! 4.857
5 #VALUE! 5.182
10 #VALUE! 5.507
15 #VALUE! 5.832
20 #VALUE! 6.157
25 #VALUE! 6.482
30 #VALUE! 6.807
35 #VALUE! 7.132
40 #VALUE! 7.457
45 #VALUE! 7.782
50 #VALUE! 8.107
55 #VALUE! 8.432
60 #VALUE! 8.757
65 #VALUE! 9.082
70 #VALUE! 9.407
75 #VALUE! 9.732
80 #VALUE! 10.057

Now maximise the Sharpe Ratio using the solver


we want a weight which has the highest sharpe ratio

sharpe ratio =
MF7 MF8 MF9 MF10

-1.0 -4.2 7.4 10.4


37.6 47.0 4.7 -4.1
14.1 18.2 1.8 7.7
8.5 -0.2 1.7 -0.2
4.0 4.1 1.2 -2.8
6.7 6.6 5.7 14.2
9.9 12.5 1.4 1.5
0.6 -0.7 1.1 7.3
-3.1 -3.2 1.2 1.3
4.6 1.6 1.1 4.9
-5.1 -6.8 1.4 19.2
-6.6 -7.5 3.2 2.0
15.5 16.0 2.0 3.8
-0.8 -1.1 3.4 3.5
6.2 6.5 2.0 5.2
2.5 5.1 2.4 -2.3
-5.8 -8.6 2.6 -2.8
-0.3 -0.4 5.2 -15.6
-2.3 -7.3 -6.6 16.0
15.4 17.1 1.3 -7.6

5.0 4.7 2.2 3.1


105.3 167.7 7.5 67.5
10.3 13.0 2.7 8.2

0.10 0.10 0.10 0.10

Column 7 Column 8 Column 9 Column 10


99.9528 129.81335 4.5696 -21.6832
114.72605 148.31222 5.36635 -20.4477
182.7083 227.69235 4.9156 -35.8902
155.4893 203.2911 5.6261 -36.6437
136.57935 175.88858 4.05345 -27.1649
119.67525 149.77163 -5.72425 -28.1025
100.0581 123.37245 4.1327 -20.3654
123.37245 159.36027 6.80465 -28.5648
4.1327 6.80465 7.0809 -5.8243
-20.3654 -28.5648 -5.8243 64.0956

0.1 0.1 0.1 0.1


tire portfolio 1 is alloted 50% of the capital hence it's weight is 0.5 and the second portfolio is alloted the remaining 0.5

we need to keep changing the weights of this third portfolio in such a manner that it forms a parabola

0
8 10 12 14 16 18 20 22

Fig: using Standard deviation and Return

Sharpe Ratio
0.281249
d the remaining 0.5

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