hari.adams2003
F G
NISSAR
Project Title:
‘ A study on Portfolio Performance Evaluation’
Research Problem
Forecasting of expected return on investment and comparing the actual return with the expected return are two important phases in investment management. While forecasting of expected return on investment is made for making investment decisions, comparison of realized return with expected return is performed with the objective of determining whether the portfolio of investment has performed as expected. Portfolio Performance Evaluation is a major phase of Portfolio Management. The study focuses on the various techniques employed for the evaluation of the performance of a portfolio.
Primary Objective
To study the techniques employed in Portfolio Performance Evaluation
Secondary Objectives
To examine the application of Sharpe Ratio, Treynor Ratio, Jensen Alpha and Fama Net Selectivity Measure in evaluating the performance of a portfolio.
To examine the mechanics of portfolio construction
To examine the use of the techniques of security analysis and portfolio analysis in determining the risk and return of a portfolio.
RESEARCH METHODOLOGY
The research focuses on the application of various portfolio evaluation techniques in evaluating the performance of a portfolio.
Research Methodology
Research methodology is concerned with how research is done. It includes the following aspects:
Type of Research: Analytical research.
Source of Data: The research is mainly based on secondary data obtained from National Stock Exchange Website (NSE). Data is also collected from news papers, financial journals, books and technical papers.
Period of study: The period of study was for 21 days from to.
Tools for Analysis: The data has been analyzed using statistical tool like Regression analysis. Ratios and charts are also used for the study. The following portfolio evaluation tools are used for the analysis:
Sharpe Ratio
Treynor Ratio
Jensen Alpha
Fama Net Selectivity Measure
LIMITATIONS OF THE STUDY
Portfolio selected for the study contains only 10 stocks.
The conclusions cannot be final because the study didn’t analyze the behavioural aspects that drive the market.
The market fluctuations are unpredictable, so the conditions cannot be continuing.
Data is considered only for three years.
Numbers taken for simulation model is only 500; simulation should be done 100000 times for a more precise prediction.
Duration of the study was limited to a period of one month so an extensive and in-depth study could not be possible.
Project Title:
‘ A study on Portfolio Performance Evaluation’
Research Problem
Forecasting of expected return on investment and comparing the actual return with the expected return are two important phases in investment management. While forecasting of expected return on investment is made for making investment decisions, comparison of realized return with expected return is performed with the objective of determining whether the portfolio of investment has performed as expected. Portfolio Performance Evaluation is a major phase of Portfolio Management. The study focuses on the various techniques employed for the evaluation of the performance of a portfolio.
Primary Objective
To study the techniques employed in Portfolio Performance Evaluation
Secondary Objectives
To examine the application of Sharpe Ratio, Treynor Ratio, Jensen Alpha and Fama Net Selectivity Measure in evaluating the performance of a portfolio.
To examine the mechanics of portfolio construction
To examine the use of the techniques of security analysis and portfolio analysis in determining the risk and return of a portfolio.
RESEARCH METHODOLOGY
The research focuses on the application of various portfolio evaluation techniques in evaluating the performance of a portfolio.
Research Methodology
Research methodology is concerned with how research is done. It includes the following aspects:
Type of Research: Analytical research.
Source of Data: The research is mainly based on secondary data obtained from National Stock Exchange Website (NSE). Data is also collected from news papers, financial journals, books and technical papers.
Period of study: The period of study was for 21 days from to.
Tools for Analysis: The data has been analyzed using statistical tool like Regression analysis. Ratios and charts are also used for the study. The following portfolio evaluation tools are used for the analysis:
Sharpe Ratio
Treynor Ratio
Jensen Alpha
Fama Net Selectivity Measure
LIMITATIONS OF THE STUDY
Portfolio selected for the study contains only 10 stocks.
The conclusions cannot be final because the study didn’t analyze the behavioural aspects that drive the market.
The market fluctuations are unpredictable, so the conditions cannot be continuing.
Data is considered only for three years.
Numbers taken for simulation model is only 500; simulation should be done 100000 times for a more precise prediction.
Duration of the study was limited to a period of one month so an extensive and in-depth study could not be possible.