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    Correlations & Efficient Frontier

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    kirsurkulkarni
    The document contains a table with data on returns, risks, and weights for low and high portfolio allocations. It also includes two time series charts showing average returns and variances over varying weights. There are additional tables with stock price and return data over a 12 month period.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Correlations & Efficient Frontier

    Uploaded by

    kirsurkulkarni
    25 views4 pages
    The document contains a table with data on returns, risks, and weights for low and high portfolio allocations. It also includes two time series charts showing average returns and variances over varying weights. There are additional tables with stock price and return data over a 12 month period.

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    © © All Rights Reserved

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    XLSX, PDF, TXT or read online from Scribd

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    The document contains a table with data on returns, risks, and weights for low and high portfolio allocations. It also includes two time series charts showing average returns and variances over varying weights. There are additional tables with stock price and return data over a 12 month period.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    25 views4 pages

    Correlations & Efficient Frontier

    Uploaded by

    kirsurkulkarni
    The document contains a table with data on returns, risks, and weights for low and high portfolio allocations. It also includes two time series charts showing average returns and variances over varying weights. There are additional tables with stock price and return data over a 12 month period.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    You are on page 1of 4

    Return Risk

    L 12% 16% 20.0%


    H 18% 24% 18.0%
    ρ 1
    16.0%
    Weights 14.0%
    L H SDp Rp
    100% 0% 16.0% 12.0% 12.0%
    90% 10% 16.8% 12.6% 10.0%
    80% 20% 17.6% 13.2%
    70% 30% 18.4% 13.8% 8.0%
    60% 40% 19.2% 14.4% 6.0%
    50% 50% 20.0% 15.0%
    40% 60% 20.8% 15.6% 4.0%
    30% 70% 21.6% 16.2% 2.0%
    20% 80% 22.4% 16.8%
    10% 90% 23.2% 17.4% 0.0%
    15.0% 16.0% 17.0% 18.0% 19.0% 20.0
    0% 100% 24.0% 18.0%
    17.0% 18.0% 19.0% 20.0% 21.0% 22.0% 23.0% 24.0% 25.0%
    0.5 0.5 Rp
    Month HDFC TATA R1 R2 S1 S2
    Jan-17 1,286.95 462.40 0 1
    Feb-17 1,389.20 482.65 7.95 4.38 6.16 0.1 0.9
    Mar-17 1,442.30 482.65 3.82 0.00 1.91 0.2 0.8
    Apr-17 1,542.15 448.85 6.92 -7.00 -0.04 0.3 0.7
    May-17 1,633.35 504.90 5.91 12.49 9.20 0.4 0.6
    Jun-17 1,652.25 544.35 1.16 7.81 4.49 0.5 0.5
    Jul-17 1,783.35 567.55 7.93 4.26 6.10 0.6 0.4
    Aug-17 1,775.00 638.00 -0.47 12.41 5.97 0.7 0.3
    Sep-17 1,803.05 651.05 1.58 2.05 1.81 0.8 0.2
    Oct-17 1,808.80 703.65 0.32 8.08 4.20 0.9 0.1
    Nov-17 1,852.05 695.15 2.39 -1.21 0.59 1 0
    Dec-17 1,873.55 732.45 1.16 5.37 3.26

    Mean 3.52 4.42 3.97 3.97


    Variance 8.98 31.10 7.08 7.08
    5
    SD 3.00 5.58 2.66
    Covariance -5.88 4.5
    Correlation -0.35
    4 4.059307
    3.968801346606
    3.87829512388355
    3.78778890116024
    3.69728267843693
    3.60677645571362
    3.5 3.51627023299032

    2.5

    1.5

    0.5

    0
    2 4 6 8
    Mean Variance SD
    4.42 31.10 15.55
    4.33 25.22 12.61
    4.24 20.27 10.13
    4.15 16.05 8.02
    4.06 12.63 6.32
    3.97 10.02 5.01
    3.88 8.21 4.11
    3.79 7.20 3.60
    3.70 6.99 3.50
    3.61 7.59 3.79
    3.52 8.98 4.49

    4.42133246022339
    4.33082623750008
    4.24032001477677
    4.14981379205347
    4.05930756933016
    3.96880134660685
    3.87829512388355
    3.78778890116024
    3.69728267843693
    3.60677645571362
    3.51627023299032

    4 6 8 10 12 14 16 18

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