RELIANCE RETURNS

TATA RETURNS
RETURN INFOSYS
RETURN WIPRO
RETURN HCL
-0.49
0.8
0.93
-0.84
2.27
-2.05
-1.89
1.03
-0.5
0.98
2.61
-0.39
0.63
0.13
-0.39
1.1
11.35
1.05
0.37
-0.39
3.63
-0.04
-0.92
-0.66
1.34
4.47
-1.54
-0.64
-1.48
3.7
-0.97
1.01
2.31
0.18
-3.84
-0.31
-2.19
1.21
1.36
6.93
-0.06
2.54
-0.76
1.18
1.66
1.94
0.84
0.91
0.36
-5.22
0.14
6.27
2.18
-0.81
-2.56
-4.48
0.17
1.8
2.05
-0.61
0.79
-0.97
0.1
0.51
0.97
-0.22
2.49
1.94
1.39
-0.1
0.18
-1.12
-1.79
-1.77
-3.43
-0.04
-0.64
-3.49
2.46
3.48
1.62
-1.75
-1.92
-2.49
-0.38
1.69
-0.21
2.45
2.77
-0.74
1.41
-0.18
0.48
3.44
-2.66
-1.24
-1.9
1.32
0.99
3.33
-1.62
-2.84
-0.58
0.08
-2.06
-0.23
-0.97
-0.46
-1.48
-1.18
-1.54
0.05
-2.58
-4.56
1.9
0.87
5.54
-1.86
-1.23
4.74
-0.94
-7.4
-1.5
-2.4
-3.21
3.3
0.49
2.84
3.97
0.61
0.7
4.82
0.73
1.43
2.79
-0.58
-0.26
-1.7
-1.16
1.06
2.18
1.06
-1.24
-0.44
-0.09
0.29
-0.29
0.16
0.24
2.84
-1.83
0.39
-0.23
1.79
7.59
-0.11
-4.31
1.29
0.44
-1.59
-2.15
-2.41
-0.16
-1.62
-0.11
-4.11
-2.25
2.12
2.04
1.99
-1.56
1.91
0.62
0.44
-3.45
-1.21
1.66
-1.38
2.41
-4.96
2.17
2.5
0.63
3.31
-3.21
-1.71
-1.21
-2.14
-0.19
-0.91
-3.41
2.16
-0.1
-2.98
-2.28
-5.83
-2.63
-2.86
-4.04
-5.76
5.62
3.23
4.39
2.79
-1.3
1.06
0.89
-0.69
0.38
4.59
0.84
-0.93
-0.14
-0.24
6.48
3.42
1.89
0.61
0.78
-1.25

1.49
2.9
-0.6
0.87
1.61
-0.99
-1.51
-0.77
1.9
3.37
-0.81
0.8
-3.06
-1.67
1.68
3.24
0.22
-0.07
-1.02
-3.07
2.4
-0.79
0
-0.05
-0.31
-1.53
-0.42
-1.17
-2.64
0.92
0.22
4.61
0.95
0.37
-0.39
1.35
-1.38
-0.45
1.62
1.66
-0.26
-1.96
0.26
0.39
3.04
-0.98

2.22
4.72
-0.39
0.13
2.4
-1.31
3.18
-1.45
0.75
0.86
0.4
-0.88
-1.71
-0.65
5.39
6.01
4.27
-3.57
0.39
-0.78
2.77
-0.55
-0.87
-0.19
-0.19
-3.08
3.03
0.37
3.05
-0.93
-0.19
2.85
4.47
0.8
0.01
0.69
4.41
-1.74
0.15
-3.42
0.55
0.04
-0.49
-0.17
-0.36
1.92

-0.63
4
0.85
1.43
-0.33
1.97
1.46
-0.96
0.7
-0.81
1.15
0.16
-1.85
-2.74
2.21
0.69
-0.01
-0.77
0.28
0.29
2.34
0.41
-0.15
0.32
1.54
0.29
1.55
0.55
-1.29
-0.63
-0.31
3.25
0.31
-0.57
0.11
0.82
0.44
0.33
-1.46
-2.25
-2.41
1.03
3.91
3.73
0.23
-0.52

-1.56
3.87
1.27
1.35
0.76
0.75
0.33
0.24
0.45
-0.64
0.35
-0.25
-2.51
-1.06
1.04
1.45
-0.81
1.22
-0.44
-0.01
1.52
1.1
-0.95
-0.62
2.2
0.08
1.81
0.08
0.46
0.39
0.2
2.18
0.13
-1.92
0.04
-0.2
2.03
1.58
-2.02
-1.77
-1.5
-1
4.9
3.14
3.56
-0.7

-4.27
0.86
3.41
-1.3
0.1
0.26
0.19
-0.16
0.96
-2.44
0.45
-1.42
-1.18
-2.62
3.13
0.79
-1.8
-0.33
-2.78
-2.48
0.85
-0.21
2.6
1.44
-2.66
2.53
2.09
5
-0.41
-2.47
-1.33
0.26
0.95
-2.6
2.37
-0.23
0.88
2.53
3.28
2.14
-4.76
0.47
-0.13
-1.19
3.26
1.72

-1.01
-1.32
-0.69
-2.18
-0.02
-1.12
-1.39
0.93
0.87
-0.08
-1.73
0.65
-1.43
-3.67
1.23
0.06
-0.11
-0.82
3.05
-0.51
0.77
1.45
-3.37
-1.46
-0.53
-0.27
0.35
-1.6

1.71
-0.51
-0.22
-2.76
-0.6
-1.21
-6.6
-0.95
-2.36
3.67
-1.44
1.71
-4.43
-2.52
1.19
-1.02
0.46
-0.98
2.7
-0.68
2.93
1.19
-0.23
-1.42
0.75
-0.76
-2.18
-2.49
-0.01

0.41
-1.89
0.83
-1.22
-1.89
-1.29
-1.58
-0.42
-0.65
-0.98
-0.46
1.36
-1.79
-3.14
1.14
1.01
2.92
-0.28
1.28
0.01
1.71
-0.9
0.6
-0.05
1.42
0.5
-0.19
1.59
0.25

1.58
-1.14
-1.68
-2.35
-1.32
-0.71
-5.71
2.75
-3.79
3.14
-2.26
2.82
-2.45
-1.7
0.63
-1.84
2.85
-1.01
1.24
0.64
1.52
0.22
-0.52
-0.31
0.35
1.23
-0.61
-0.42
0.18

-0.54
-3.43
-2.83
-4.04
2.53
-4.07
-5.82
-2.91
-2.66
2.54
2.1
0.11
-2.09
-3.19
1.08
0.5
0.92
2
3
0.5
-0.75
1.95
-2.19
-2.53
-1.97
-0.83
0.27
-0.76
0.17

-0.08

ETURN HCL

Assign equal weights to each

Wastock

Wa

Wb
0.20

COVARIANCE MATRIX
0.20 RELIANCE
0.20 TATA
0.20 INF
0.20 WIPRO
0.20 HCL

Wa
Wb
Wc
Wd
We

0.20

RELIANCE
TATA
3.6
1.66
0.83
1.14
0.94

1.66
6.59
1.31
1.71
0.99

Wa

Wb

0.14

0.11

Form Variance Covariance Matrix

Wa
Wb
Wc
Wd
We

0.14
0.11
0.55
0.11
0.08
1.00

VARIANCE COVARIANCE MATRIX

RELIANCE
TATA
RELIANCE
0.07
0.03
TATA
0.03
0.08
INF
0.07
0.08
WIPRO
0.02
0.02
HCL
0.01
0.01
Sum
0.2
0.22
Variance of Portfolio
1.71
sum(J30:N34)
SD of Portfolio
1.31
sqrt(j36)
Return of Portfolio
0.14
solve this with the help of s

Wc

Wd
0.20

We
0.20

0.20

INF

WIPRO HCL

0.83
1.31
2.37
1.75
0.47

1.14
1.71
1.75
3.36
1.15

0.94
0.99
0.47
1.15
6.91

Wc

Wd

We

0.55

0.11

0.08

INF

WIPRO HCL

0.07
0.02
0.01
0.08
0.02
0.01
0.73
0.11
0.02
0.11
0.04
0.01
0.02
0.01
0.04
1
0.2
0.09
sum(J30:N34)
sqrt(j36)
solve this with the help of solver

PORTFOLIO
RETURN

PORTFOLIO VAR

PORTFOLIO Sharpe
SD
Ratio

W Portfolio

0.1
0.11
0.12
0.13
0.14
0.15
0.16
0.17
0.18
0.19
0.2
0.21
0.22
0.23
0.24
0.25

1.61
1.62
1.64
1.67
1.71
1.77
1.83
1.83
1.91
1.99
2.24
2.59
3.16
3.99
5.08
6.43

1.27
1.27
1.28
1.29
1.31
1.33
1.35
1.35
1.38
1.41
1.5
1.61
1.78
2
2.25
2.54

0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5

Particulars
Portfolio VAR
Portfolio SD
Sharpe Ratio
RF RETURN
W Porfolio
W Risk Free
Std Dev
Return

Formula
Solve it through Solver
Solve it through Solver
(Portfolio return-RF Return)/Portfolio SD
Assume the value
Assume the value
1-W Porfolio
W Porfolio*A12
W Porfolio*A12+W risk free*RF return

0.04
0.05
0.05
0.06
0.07
0.08
0.08
0.09
0.09
0.1
0.1
0.1
0.1
0.09
0.08
0.08

A12 has been taken because it has maximum Sharpe Ra

The cell D12 is the optimal level which can also be seen in the Markowitz Chart

W risk freeStd Dev

Return

1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1
-0.2
-0.3
-0.4
-0.5

0.05
0.07
0.08
0.1
0.11
0.13
0.14
0.16
0.17
0.19
0.2
0.22
0.23
0.25
0.26
0.28

0
0.15
0.3
0.45
0.6
0.75
0.9
1.05
1.2
1.35
1.5
1.65
1.8
1.95
2.1
2.25

e it has maximum Sharpe Ratio

RF RETURN

0.05

0.3

0.25

0.2

Column A

0.15

Column H

0.1

0.05

0
0

0.5

1.5

2.5