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Efficient Frontier: Month HDFC TCS % Return TCS % Return HDFC HDFC TCS RP S.D Portfolio Mix (W)

1) The document shows monthly stock price data for HDFC and TCS stocks over a period of 13 months from December 2016 to December 2017. 2) It also shows the portfolio mix and allocation between the two stocks, ranging from 0% to 100% holdings of TCS each month. 3) Key statistics calculated include the mean and variance of returns for each stock and the portfolio over the period, as well as the efficient frontier graph showing the efficient portfolio allocations.

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Rajarshi Daharwal
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32 views

Efficient Frontier: Month HDFC TCS % Return TCS % Return HDFC HDFC TCS RP S.D Portfolio Mix (W)

1) The document shows monthly stock price data for HDFC and TCS stocks over a period of 13 months from December 2016 to December 2017. 2) It also shows the portfolio mix and allocation between the two stocks, ranging from 0% to 100% holdings of TCS each month. 3) Key statistics calculated include the mean and variance of returns for each stock and the portfolio over the period, as well as the efficient frontier graph showing the efficient portfolio allocations.

Uploaded by

Rajarshi Daharwal
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Month HDFC TCS % Return TCS % Return HDFC Portfolio Mix (W)

Dec-16 1204.2 2,361.95 HDFC TCS Rp S.D


Jan-17 1286.95 2,229.90 6.87% -5.59% 0% 100% 1.31% 6.18%
Feb-17 1389.2 2,466.50 7.95% 10.61% 10% 90% 1.56% 5.63%
Mar-17 1442.3 2,431.10 3.82% -1.44% 20% 80% 1.81% 5.10%
Apr-17 1542.15 2,272.10 6.92% -6.54% 30% 70% 2.06% 4.59%
May-17 1633.35 2,544.35 5.91% 11.98% 40% 60% 2.30% 4.12%
Jun-17 1652.25 2,364.35 1.16% -7.07% 50% 50% 2.55% 3.70%
Jul-17 1783.35 2,494.05 7.93% 5.49% 60% 40% 2.80% 3.34%
Aug-17 1775 2,496.75 -0.47% 0.11% 70% 30% 3.05% 3.08%
Sep-17 1803.05 2,437.00 1.58% -2.39% 80% 20% 3.30% 2.92%
Oct-17 1808.8 2,616.30 0.32% 7.36% 90% 10% 3.55% 2.90%
Nov-17 1852.05 2,634.25 2.39% 0.69% 100% 0% 3.80% 3.02%
Dec-17 1873.55 2,700.40 1.16% 2.51%
Mean 3.80% 1.31%
Variance 0.09% 0.38%
S.D. 3.02% 6.18%
Correl 0.200132

S.D =((W1*SD1)^2+(W2*SD2)^2+(R2W1W2SD1SD2))^0.5

Efficient Frontier
Efficient Frontier
4.00%
3.80%

3.50% 3.55%
3.30%

3.00% 3.05%
2.80%

2.50% 2.55%
2.30%

2.00% 2.06%
1.81%

1.50% 1.56%
1.31%

1.00%

0.50%

0.00%
0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00%

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