NMIMS – Capital Market and Portfolio Management – Calculate the standard deviation and return of portfolio consisting of 70% of Security A and 30% of Security B

Calculate the standard deviation

Capital Market and Portfolio Management

 

  1. Calculate the standard deviation and return of portfolio consisting of 70% of Security A and 30% of Security B.

 

Year Security A return(%) Security B return(%)
2001 9 8
2002 6 7
2003 7 9
2004 10 8
2005 8 5

 

  1. Reliance and HDFC are two mutual funds.

 

Observed Return Beta Residual Variance
Portfolio Reliance 16% 0.8 0.02
Portfolio HDFC 25% 1.2 0.01
           
  1. a) Compute the Jensen index for each of the funds
  2. b) Compute the Treynor index for each of the funds
  3. c) Compute the Sharpe index for each of the funds

 

Calculate the standard deviation

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Calculate the standard deviation