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ROLL : 95

Fundamental Analysis of Assets in the Portfolio

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

Polaris 9.04 1.58 19.4 23 18.1

The Capital Market Line & the Security Market Line

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

Security Market Line

Portfolio Risk & Return

The portfolio risk is 5.26% while the portfolio return comes is 2.49% The sum is 7.75% which tells us what we could expect in a bull market. In a bear market, we could expect -2.77% returns as this is the difference between the variables.

Capital Asset Pricing Model

We use CAPM to find Jensens Alpha:

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%

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.

Portfolio Performance Ratios

Measure Sharpe Ratio Value -0.29 Remarks - Since the value is less than 1, there is a risk of capital erosion by holding this portfolio. - A large Sortino Ratio indicates a low risk of large losses occurring. A large Sortino Ratio indicates a low risk of large losses occurring. - The ratio signifies the portfolio performance against the market risk. - A value less than 1 is indicative of inherent risk of capital erosion - The ratio signifies that the correlation between the portfolio returns & the market returns is moderate & hence the Beta value will not play a significant role in evaluation of the performance - The portfolio has not been able to outperform the market expectation

Sortino Ratio


Treynor Ratio


R Squared


Jensons Alpha


Fama & French Model

Fama French Model Risk Free Rate Compensation for Systematic Risk Compensation for Diversification Net Selectivity 4.00% 8.66% -7.11% -2.97%

CAPM Return


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.