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SAPM Assignment

Students are assigned to groups and companies. They must calculate annual returns, risk parameters, betas and expected returns for their companies. As a group, they must create equal-weighted and optimized portfolios over 5 years and comment on the results. Individually, they must also create equal-weighted and optimized 1-year portfolios for each year and comment on changes in weights over time.

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vinay agarwal
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202 views

SAPM Assignment

Students are assigned to groups and companies. They must calculate annual returns, risk parameters, betas and expected returns for their companies. As a group, they must create equal-weighted and optimized portfolios over 5 years and comment on the results. Individually, they must also create equal-weighted and optimized 1-year portfolios for each year and comment on changes in weights over time.

Uploaded by

vinay agarwal
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Notice - SAPM Assignment:

Each student has been assigned one company. Students have to work in groups of 5 members.
The details about Groups, companies, market index and time horizon are mentioned in the
excel sheet.

Assignment

1. Each student must calculate and submit the following statistics for his/her own
company:
a. Annual return and risk parameters (for each of the 5 individual Financial
years in the Time horizon)
b. Use NIFTY50 index as market index, Calculate Beta, expected return (for
each of the 5 individual Financial years in the Time horizon) by using the
CAPM model.

2. As a part of the group assignment, make a portfolio of the 5 assigned stocks with
equal weights. Calculate the portfolio return, Risk and Sharpe ratio for a 5-year
time horizon.

By using the Solver tool in MS Excel, calculate optimal weights which can be
assigned to different stocks in the five-year portfolio. Calculate the portfolio
return, risk and Sharpe ratio.

Note: Use five-year risk and return values for designing the group portfolio.

Conclusively mention your comments on the use of an optimal portfolio and that
of a portfolio in which equal weights have been assigned

Note: Optimization process in MS Excel solver must be done by maximising the


Sharpe ratio.

3. Each Individual must also calculate the portfolio (all 5 assigned stocks) risk,
return and Sharpe ratio Separately for each Financial year by assigning equal
weights for the five companies assigned one financial year.

By using the Solver tool in MS Excel, calculate optimal weights which can be
assigned to different stocks in the one-year portfolio. Calculate the portfolio
Return, Risk and Sharpe ratio.

Note: Use one-year risk and returns for calculating the optimal weights.
Write your comments on the use of an optimal portfolio and that of a portfolio in
which equal weights have been assigned on yearly basis

Also comment on the changes you observe in the assigned optimal portfolio weights
(calculated for one year) over the Time horizon of five years.

Note: Optimization process in MS Excel solver must be done by maximising the


Sharpe ratio.

Guidelines:
 Each individual must contribute.
 One person from each group must submit the assignment on CMS.
 Give the link of your data download page, in the word file.
 Submission format:
o 1 MS Excel workbook which contains data and calculations in
different worksheets.
o 1 MS Word file which contains your observations, comments and
data link.

 Submission Date: Submit your assignment by 11:59 pm, 13 April, 2019.

 Academic Honesty and Integrity Policy: Academic honesty and integrity are to
be maintained by all the students and no type of academic dishonesty is
acceptable.

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