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  • LD & Sharpe1

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    deeldo
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    This document shows the average return, return contribution, variance contribution, and standard deviation of 4 stocks - AALI, BUMI, TINS, and UNTR - in a portfolio with a total 100% allocation. It also includes the portfolio return, partial variance, covariance between stock pairs, total portfolio risk, coefficient of variation and Sharpe ratio of the portfolio.

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    This document shows the average return, return contribution, variance contribution, and standard deviation of 4 stocks - AALI, BUMI, TINS, and UNTR - in a portfolio with a total 100% allocation. It also includes the portfolio return, partial variance, covariance between stock pairs, total portfolio risk, coefficient of variation and Sharpe ratio of the portfolio.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    Download as xls, pdf, or txt
    21 views1 page

    LD & Sharpe1

    Uploaded by

    deeldo
    This document shows the average return, return contribution, variance contribution, and standard deviation of 4 stocks - AALI, BUMI, TINS, and UNTR - in a portfolio with a total 100% allocation. It also includes the portfolio return, partial variance, covariance between stock pairs, total portfolio risk, coefficient of variation and Sharpe ratio of the portfolio.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    of 1

    AVERAGE RETURN VARIANCE

    No Stock ALLOCATION STANDARD DEVIATION


    RETURN CONTRIBUTION CONTRIBUTION
    1 AALI 10.00% 0.3200% 0.0320% 4.1088% 0.0017%
    2 BUMI 10.00% 0.3309% 0.0331% 4.8966% 0.0024%
    3 TINS 10.00% 0.1010% 0.0101% 4.6216% 0.0021%
    4 UNTR 70.00% 0.4910% 0.3437% 3.6562% 0.0655%
    TOTAL 100.00% PORT. RETURN 0.42% PARTIAL VAR 0.0717%
    2xW1xW2xR12xT1xT2 0.0031%
    2xW1xW3xR13xT1xT3 0.0030%
    2xW1xW4xR14xT1xT4 0.0173%
    2xW2xW3xR23xT2xT3 0.0027%
    2xW2xW4xR24xT2xT4 0.0140%
    2xW3xW4xR34xT3xT4 0.0166%
    TOTAL 0.1283%
    PORT. RISK 3.5825%

    CV 8.55
    SHARPE RATIO 10.8554%

    R AALI BUMI TINS UNTR


    AALI
    BUMI 0.77
    TINS 0.78 0.59
    UNTR 0.82 0.56 0.70

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