Portfolio ion,,NIT DURGAPUR
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Modify Correlation Matrix Manually Data is entered as
Risk free Rate: 0.36% Maintain Return Level TarMin Constraint: 10.00% 30.00% 0.00% 0.00% 10.00%
Max Constraint: 70.00% 90.00% 100.00% 80.00% 100.00%
Current Units: 1.00 1.00 1.00 1.00 1.00
Product Name: MSFT IBM INTC SUNW AMZN
HistoricObservation
Periods
Jan-03 47 78 16 3 22
Feb-03 24 78 17 3 22
Mar-03 24 78 16 3 26Apr-03 26 85 18 3 29
May-03 25 88 21 4 36
Jun-03 26 83 21 5 36
Jul-03 26 81 25 4 42
Aug-03 27 82 29 4 46
Sep-03 28 88 28 3 48
Oct-03 26 89 33 4 54
Nov-03 26 91 34 4 54Dec-03 27 93 32 4 53
Jan-04 28 99 31 5 50
Feb-04 27 97 29 5 43
Mar-04 25 92 27 4 43
Apr-04 26 88 26 4 44
May-04 26 89 29 4 49
Jun-04 29 88 28 4 54
Jul-04 28 87 24 4 39
Aug-04 27 85 21 4 38Sep-04 28 86 20 4 41
Oct-04 28 90 22 5 34
Nov-04 27 94 22 6 40
Dec-04 27 99 23 5 44
Jan-05 26 93 22 4 43
$
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Prices Returns
et Return 2.00%0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
q
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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
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FALSE 2 36 184.65
TRUE 1 0
0.00%
100.00%
1.00
166.26
144.35 -13.18% -50.06% -0.32% 10.15%
148.21 2.67% 2.15% 0.62% -5.62%160.87 8.54% 5.62% 8.25% 13.02%
173.71 7.98% -3.75% 3.70% 13.15%
169.92 -2.18% 4.19% -6.29% -0.05%
177.95 4.73% 3.00% -1.52% 19.61%
187.34 5.28% 0.42% 0.94% 14.87%
195.39 4.30% 4.83% 7.71% -3.74%
206.95 5.92% -5.97% 1.30% 19.73%
208.020.52%
-1.64% 1.18% 1.79%209.19 0.56% 6.46% 2.36% -4.44%
213.09 1.86% 1.02% 7.07% -4.77%
200.55 -5.88% -4.05% -2.75% -4.33%
191.42 -4.55% -6.03% -4.83% -6.85%
187.53 -2.03% 4.81% -4.00% -5.40%
196.04 4.54% 0.38% 0.48% 10.96%
203.04 3.57% 8.88% -0.50% -3.33%
182.81 -9.96% -0.25% -1.23% -11.67%
175.29 -4.11% -4.18% -2.73% -12.67%178.35 1.75% 1.28% 1.24% -5.78%
178.61 0.15% 1.16% 4.68% 10.97%
188.66 5.63% -4.15% 5.00% 0.54%
198.37 5.15% -0.34% 4.61% 4.51%
189 73 -4 36% -1 65% -5 23% -4 02%
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0
11.33% 0.73%
-5.23% 18.26%1.53% 10.22%
31.42% 25.10%
6.90% 1.20%
-19.14% 14.65%
3.72% 11.24%
-15.13% 4.56%
19.34% 12.39%
7.85% -0.85%
4.93% -2.50%
18.34% -4.22%
0.38% -14.66%
-21.47% 0.63%
-6.47% 0.74%
6.92% 11.24%
3.84% 12.16%
-8.78% -28.46%
-2.03% -2.00%4.39% 7.13%
11.39% -16.47%
23.33% 16.26%
-2.88% 11.62%
-19 11% -2 42%
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CORRELATION Risk free Rate: 0.36% No. Products: Mean 0.48%
MATRIX Iterations: 2500 5 StdDev 6.03%
Product Weight Min Max Mean StdDev MSFT IBM INTC SUNW AMZN
MSFT 14.16% 10.00% 70.00% -1.06% 9.55% 100.00% 9.44% -10.14% -22.16% 11.75%
IBM 44.52% 30.00% 90.00% 0.28% 5.35% 100.00% 29.36% 30.79% 44.88%
INTC 13.52% 0.00% 100.00% 1.72% 8.97% 100.00% 27.25% 45.12%
SUNW 2.27% 0.00% 80.00% 1.52% 11.61% 100.00% 22.05%
AMZN 25.53% 10.00% 100.00% 3.05% 13.12% 100.00%
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PORTFOLIO OPTIMIZATION RESULTS
CURRENT PORTFOLIO OPTIMAL PORTFOLIO
Iterations
2500
Risk-free rate
0.36%
Mean Std Dev Sharpe Ratio Mean Std Dev
0.48% 6.03% 0.019 1.37% 6.36%
MSFT 14.16%
IBM 44.52%
INTC 13.52%SUNW 2.27%
AMZN 25.53%
IBM 30.77%
INTC 20.71%
SUNW 8.36%
-1 8 % -1 2 % -6 % -2 % 2 % 5 % 8 % 1 2 % 1 7 %
0%
5%
10%
15%
20%
Period Return Probability
Portfolio Returns
Prob
-1 8 % -1 2 % -6 % -2 % 2 % 5
0%
5%
10%
Period Return Probabi
Portfolio Return
Prob
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Probability of achieving 2.0% target return : 40.02% Probability of achieving 2.0% target return :
ProductCurrent Theoretical Change Opti
Weighting Units Weighting Units Weighting
MSFT 14.16% 1.00 -3.83% -0.27 10.33%IBM 44.52% 1.00 -13.75% -0.31 30.77%
INTC 13.52% 1.00 7.19% 0.53 20.71%
SUNW 2.27% 1.00 6.09% 2.69 8.36%
AMZN 25.53% 1.00 4.29% 0.17 29.83%
100.00% 100.00%
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46.05%
mal
Units
0.73
0.691.53
3.69
1.17
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ber of Assets
5
Iteration Current Optimal Axis Increment10,000 Mean 0.48% 1.37% MIN -17.71% 0.76%
Stdev 6.03% 6.36% MAX 20.44%
Axis Return Probability Probability- . --16.9% -17% 1% 1% 0% 0%
-16.2% -16% 0% 1% 0% 0%
-15.4% -15% 0% 0% 0% 0%
-14.7% -15% 0% 0% 0% 0%
-13.9% -14% 0% 1% 0% 0%
-13.1% -13% 2% 0% 0% 0%.
-11.6% -12% 3% 2% 0% 0%
-10.8% -11% 3% 3% 0% 0%
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-10.1% -10% 4% 4% 1% 1%- . -
-8.5% -9% 6% 6% 1% 1%
-7.8% -8% 9% 8% 1% 1%.
-6.3% -6% 13% 11% 2% 2%
-5.5% -5% 16% 14% 3% 2%-4.7% -5% 19% 17% 3% 3%
-4.0% -4% 23% 20% 4% 3%
-3.2% -3% 27% 24% 4% 4%
-2.4% -2% 31% 28% 5% 4%
-1.7% -2% 36% 32% 6% 5%
-0.9% -1% 41% 36% 6% 5%
-0.2% 0% 46% 41% 7% 6%
0.6% 1% 49% 45% 8% 7%
1.4% 1% 44% 50% 7% 7%
2.1% 2% 39% 45% 6% 7%
2.9% 3% 34% 41% 5% 6%
3.7% 4% 30% 36% 5% 5%
4.4% 4% 26% 32% 4% 5%
5.2% 5% 22% 27% 3% 4%
5.9% 6% 18% 23% 3% 4%
6.7% 7% 15% 20% 2% 3%
7.5% 7% 12% 17% 2% 3%
8.2% 8% 10% 14% 2% 2%
9.0% 9% 8% 11% 1% 2%
9.8% 10% 6% 10% 1% 1%
10.5% 11% 5% 8% 1% 1%11.3% 11% 4% 6% 1% 1%
12.1% 12% 3% 5% 0% 1%
12.8% 13% 3% 4% 0% 1%
13.6% 14% 2% 3% 0% 0%
14.3% 14% 1% 2% 0% 0%
15.1% 15% 1% 1% 0% 0%
15.9% 16% 1% 1% 0% 0%
16.6% 17% 0% 1% 0% 0%
17.4% 17% 0% 1% 0% 0%
18.2% 18% 0% 0% 0% 0%
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18.9% 19% 0% 0% 0% 0%
19.7% 20% 0% 0% 0% 0%
20.4% 20% 0% 1% 0% 0%
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Chart of the Efficient Frontier
Optimal Coordinates: Return = 1.4% and Standard Deviation = 6.4%
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0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%0.40%
0.45%
0.50%
0.55%
0.60%
0.65%
0.70%
0.75%
0.80%
0.85%
0.90%0.95%
Efficient Frontier and Portfolio Set
Standard Deviation
Expected
return
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Mean SD
0.65% 5.14% 0 0
0.92% 5.52% 0.06 0.01
0.06 0.01