Portfolio Analysis Case Study Solution
Portfolio return for the month of February = SUMPRODUCT (return of February*weight of portfolio)
The Treynor measure ratio of portfolio for February and S&P 500 index has been calculated and compared which shows the portfolio is underperforming as compared to the S&P 500 index Treynor measure ratio for February because the Treynor measure ratio for S&P 500 index is much high from the portfolio’s Treynor measure ratio which shows that the portfolio is underperforming as compared to the S&P 500 index.
Rate of return (March) = slope of security * coefficient correlation
In the further step, as per the instruction, the return of the portfolio for the month of March for each security is calculated by multiplying the slope of security and its coefficient correlation. After calculating the monthly return of each of the security the weight for each security has been multiplied with the rate of return of March in order to find the return of the portfolio. The formula to calculate the portfolio return for the month of March is:
Portfolio return for the month of March = SUMPRODUCT (return of March*weight of portfolio)
The Treynor measure ratio of portfolio for March and S&P 500 index has been calculated and compared which shows the portfolio is underperforming as compared to the S&P 500 index Treynor measure ratio for March because the Treynor measure ratio for S&P 500 index is much high from the portfolio’s Treynor measure ratio which shows that the portfolio is underperforming as compared to the S&P 500 index.
Rate of return (April) = slope of security * coefficient correlation
In the further step, as per the instruction, the return of the portfolio for the month of April for each security is calculated by multiplying the slope of security and its coefficient correlation. After calculating the monthly return of each of the security the weight for each security has been multiplied with the rate of return of April in order to find the return of the portfolio. The formula to calculate the portfolio return for the month of April is:
Portfolio return for the month of April = SUMPRODUCT (return of April*weight of portfolio)
The Treynor measure ratio of portfolio for April and S&P 500 index has been calculated and compared which shows the portfolio is underperforming as compared to the S&P 500 index Treynor measure ratio for April because the Treynor measure ratio for S&P 500 index is much high from the portfolio’s Treynor measure ratio which shows that the portfolio is underperforming as compared to the S&P 500 index.
Rate of return (May) = slope of security * coefficient correlation
In the further step, as per the instruction, the return of the portfolio for the month of May for each security is calculated by multiplying the slope of security and its coefficient correlation. After calculating the monthly return of each of the security the weight for each security has been multiplied with the rate of return of May in order to find the return of the portfolio. The formula to calculate the portfolio return for the month of May is:
Portfolio return for the month of May = SUMPRODUCT (return of May*weight of portfolio)
The Treynor measure ratio of portfolio for May and S&P 500 index has been calculated and compared which shows the portfolio is underperforming as compared to the S&P 500 index Treynor measure ratio for May because the Treynor measure ratio for S&P 500 index is much high from the portfolio’s Treynor measure ratio which shows that the portfolio is underperforming as compared to the S&P 500 index.
Rate of return (June) = slope of security * coefficient correlation
In the further step, as per the instruction, the return of the portfolio for the month of June for each security is calculated by multiplying the slope of security and its coefficient correlation. After calculating the monthly return of each of the security the weight for each security has been multiplied with the rate of return of June in order to find the return of the portfolio. The formula to calculate the portfolio return for the month of June is:
Portfolio return for the month of June = SUMPRODUCT (return of June*weight of portfolio)
The Treynor measure ratio of portfolio for June and S&P 500 index has been calculated and compared which shows the portfolio is underperforming as compared to the S&P 500 index Treynor measure ratio for June because the Treynor measure ratio for S&P 500 index is much high from the portfolio’s Treynor measure ratio which shows that the portfolio is underperforming as compared to the S&P 500 index.
In overall, it has been concluded that the portfolio contains some very low coefficient of variances which decreases the relation of portfolio with S&P 500 index and moving inversely. The summary of the calculations is shown in Exhibit 1 of the document..................................
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