Palvinder Singh, IGSMPG20200040, PORTFOLIO.xlsx

	A	B	C	D	E	F	G	H	I	K	L	M	N	O	P	Q	R	T	U	V	W	X	Y	Z
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2		Portfolio			Portfolio Performance Measures
3		TATASTEEL			Sharpe Ratio		1.0593
4		SUNPHARMA			Treynor Ratio		0.06944685084
5		TCS			Jensen's alpha		2.158%
6					Tracking error		4.29%
7					Information Ratio		41.2818%
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10											Excess Return (Ri-ER)
11		TATASTEEL	L&T	DIVISLAB	SUNPHARMA	TCS	ICICIBANK	SGBMAR25	Average	TATASTEEL	L&T	DIVISLAB	SUNPHARMA	TCS	ICICIBANK	SGBMAR25			cov-var
12	March	-6.71%	11.16%	25.80%	39.67%	3.90%	5.66%	18.36%	12.28%	-15.51%	5.80%	20.08%	34.72%	-1.03%	0.06%	16.74%		0.1978705981	0.09591575682	0.0676322048	0.005820841674	-0.02151018358	0.1081832271	-0.01395512586
13	April	4.82%	-3.01%	-5.35%	-5.44%	6.84%	-12.59%	1.36%	2.08%	-3.97%	-8.37%	-11.07%	-10.38%	1.92%	-18.19%	-0.27%		0.09591575682	0.09405789114	0.05933281639	0.0760353305	-0.01374711451	0.09026460475	0.01804620145
14	May	15.21%	14.24%	1.51%	6.21%	3.76%	19.92%	3.07%	8.39%	6.41%	8.88%	-4.20%	1.26%	-1.16%	14.32%	1.45%		0.0676322048	0.05933281639	0.2093794467	0.128857629	-0.01251145012	0.01784151961	0.04150029898
15	June	7.12%	-4.10%	0.80%	-0.42%	7.01%	8.77%	5.61%	4.57%	-1.68%	-9.46%	-4.92%	-5.37%	2.08%	3.17%	3.99%		0.005820841674	0.0760353305	0.128857629	0.1837949808	-0.01362451365	0.04757973964	0.07123911096
16	July	22.51%	8.40%	38.18%	8.13%	3.95%	1.19%	0.47%	11.53%	13.71%	3.04%	32.46%	3.19%	-0.97%	-4.41%	-1.15%		-0.02151018358	-0.01374711451	-0.01251145012	-0.01362451365	0.03527215438	-0.01902688073	0.002655115099
17	August	-16.96%	-9.30%	-5.70%	-6.75%	8.01%	-9.76%	-4.11%	-5.23%	-25.75%	-14.66%	-11.42%	-11.70%	3.09%	-15.36%	-5.74%		0.1081832271	0.09026460475	0.01784151961	0.04757973964	-0.01902688073	0.1382939713	0.01344789627
18	September	15.99%	7.03%	-0.61%	-3.09%	10.98%	16.00%	0.42%	7.96%	7.20%	1.67%	-6.33%	-8.04%	6.05%	10.40%	-1.20%		-0.01395512586	0.01804620145	0.04150029898	0.07123911096	0.002655115099	0.01344789627	0.03916061855
19	October	32.53%	17.26%	14.05%	6.68%	0.49%	16.87%	-1.07%	13.23%	23.73%	11.90%	8.33%	1.74%	-4.44%	11.27%	-2.70%
20	November	14.97%	13.10%	8.07%	16.64%	7.70%	8.64%	2.00%	13.11%	6.18%	7.74%	2.36%	11.70%	2.78%	3.04%	0.38%
21	December	4.76%	7.85%	-4.82%	-0.69%	13.13%	4.77%	-0.51%	5.74%	-4.03%	2.49%	-10.53%	-5.63%	8.20%	-0.83%	-2.13%				Covar-var Matrix
22	January	13.95%	10.66%	-3.61%	3.95%	-8.99%	16.72%	-2.05%	2.97%	5.16%	5.30%	-9.33%	-1.00%	-13.92%	11.12%	-3.68%		0.01798823619	0.008719614257	0.006148382254	0.0005291674249	-0.001955471234	0.00983483883	-0.001268647806
23	February	-2.66%	-8.98%	0.30%	-5.55%	2.32%	-8.99%	-4.06%	-1.96%	-11.45%	-14.34%	-5.42%	-10.49%	-2.60%	-14.59%	-5.68%		0.008719614257	0.008550717377	0.005393892399	0.006912302773	-0.001249737683	0.008205873159	0.001640563768
24																		0.006148382254	0.005393892399	0.01903449515	0.01171432991	-0.001137404557	0.001621956328	0.003772754452
25	Average	8.79%	5.36%	5.72%	4.95%	4.92%	5.60%	1.62%										0.0005291674249	0.006912302773	0.01171432991	0.01670863462	-0.00123859215	0.004325430876	0.006476282815
26	variance	0.01798823619	0.008550717377	0.01903449515	0.01670863462	0.003206559489	0.0125721792	0.003560056232										-0.001955471234	-0.001249737683	-0.001137404557	-0.00123859215	0.003206559489	-0.00172971643	0.0002413740999
27	Stdev	13.41%	9.25%	13.80%	12.93%	5.66%	11.21%	5.97%										0.00983483883	0.008205873159	0.001621956328	0.004325430876	-0.00172971643	0.0125721792	0.001222536025
28																		-0.001268647806	0.001640563768	0.003772754452	0.006476282815	0.0002413740999	0.001222536025	0.003560056232
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30		Asset	Average R	Weights	Beta
31		TATASTEEL	8.79%	0.452578634	1.17
32		L&T	5.36%	0		Risk free return (annual)		3.93%
33		DIVISLAB	5.72%	0		Risk free return (monthly)		0.321%
34		SUNPHARMA	4.95%	0.06010058068	0.58	Portfolio Beta		0.9152
35		TCS	4.92%	0.4873207853	0.72	Market return		0.0491							Rp	Rb	Rp-Rb
36		ICICIBANK	5.60%	0											0.1228455607	0.1005728644	0.02227269629
37		SGBMAR25	1.62%	0											0.02075919919	-0.013692869	0.03445206819
38				1											0.08392349043	0.139532952	-0.05560946154
39		Portfolio ER	6.68%												0.04568912201	0.08798316632	-0.04229404431
40		Portfolio Stdev	6.00%												0.1153124276	0.02484333335	0.09046909425
41															-0.05232676585	-0.03678441457	-0.01554235128
42															0.07957633107	0.06493065768	0.01464567339
43															0.1323247148	0.09268126872	0.03964344606
44															0.1310668741	0.06928155914	0.06178531495
45															0.05735675828	0.03561285161	0.02174390667
46															0.02968288884	0.06028906727	-0.03060617843
47															-0.01960645825	-0.03629444903	0.01668799078
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