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SAPM ASSIGNMENT
PRASHANT KOLASE (PGDM 2011-13)
ROLL : 95
Indian Hotels P/E P/BV RONW ROCE EPS 36.5 1.5 4.40% 5.90% 1.80
Mahindra & Mahindra SBI 14.78 3.385 25.6 25.4 47.2 12.32 1.67 15.7 0 170.1
16% 14% 12% Expected Return 10% 8% 6% 4% 2% 0% 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 Standard Deviation of Returns Capital Market Line
14% 12% 10% Return 8% 6% 4% 2% 0% 0 0.2 0.4 0.6 Beta 0.8 1 1.2 1.4
Variables to be plugged in above Realized Return Market Return Risk Free Rate Beta of Portfolio Market Risk Premium Jensens Alpha (Calculated) 2.49% 10.57% 4% 1.3175 6.57%
-10.167%
Comment: Jensen's measure is one of the ways to help determine if a portfolio is earning the proper return for its level of risk. If the value is positive, then the portfolio is earning excess returns. In other words, a positive value for Jensen's alpha means a fund manager has "beat the market" with his or her stock picking skills.
Sortino Ratio
-3.24
Treynor Ratio
-6.13
R Squared
0.44
Jensons Alpha
-10.17%
CAPM Return
2.49%
The Compensation for Systemic Risk signifies the compensation for the market risk inherent in the portfolio. It shows the proportion of return generated by the portfolio as a reward for the risk born by the manager. Compensation for Diversification signifies the compensation for the potential downside of diversification. Net Selectivity signifies the efficiency of the portfolio manager in terms of selecting the portfolio. Since the factor forms a major proportion of the total returns generated, the portfolio manager has a significant contribution to the gains.