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PORTFOLIO OPTIMISATION ASSIGNM

Inputs & Visual Adjustments: Outputs:


Allow Short Sales Visualisation of Efficient Frontier
0
Display 12%
0 Efficient Frontier with SS
Display Efficient Frontier without SS 11%
0 10%
View Simulation
0
9%
100 % to be Shorted
8%
300 Number of Portfolios
7%

Recalculate 6%

Asset Allocation: 5%
Risk-Free Rate 4.00% 400 4%
Required Return 5.10% 510
3%
Std Deviation 4.06%
2%
0% 20% 40% 60% 80% 100%
70% 35%
60% 65% Individual Stock Information
-35%
P rim a ry A x is

50%
40%
Risk Free Risky AsseBorrowing
30% 35% 1200%
65% 0%
1000%
20% 800%

10%
0.00% 4.00% 600%

35%12.40% 65% 7.36% 0% 400%


0% 200%
Risk Free Risky Asset Borrowing 0%
CHH FER UBIX IN LN S

Short Sale 1
# of Rand 300 100 Beta
10 10 Mean Return
50 25 Std Dev
300 50 % of with SS
500 75 % of Without SS
1000 100

Calculation of the Random Portfolios


CHH FER UBIX IN LN S
Rand # 0.029863 0.235649 0.822332 0.38766 0.903041 0.160305 2.539
Prop 1.2% 9.3% 32.4% 15.3% 35.6% 6.3% 2.539

Portfolio Details
Mean (r) 4.35%
VARP 0.37%
STDEVP 6.11%
Storage for the 300 random portfolios Means Std Devs
StdDev Mean (r) Min (r): 0.00% 0.00%
Max (r): 0.00% 0.00%
Stock Return Information

ON ASSIGNMENT Created
Created by
by X
X
Date
2-May-91
CHH
14.91%
4-Jun-91 -0.54%
1-Jul-91 -11.96%
1-Aug-91 10.03%
2-Sep-91 -6.40%
Tangent 1-Oct-91 11.80%
Return 5.68% 1-Nov-91 13.33%
Std Dev 6.20% 2-Dec-91 8.33%
6-Jan-92 11.78%
Minimum Variance 3-Feb-92 -4.17%
Return #N/A 3-Mar-92 4.35%
Std Dev 0.00% 1-Apr-92 -5.42%
1-May-92 10.13%
Sharpe Ratio 2-Jun-92 11.20%
Tangent Portfolio 0.27 1-Jul-92 -3.96%
Minimum Variance #N/A 3-Aug-92 1.86%
1-Sep-92 -0.75%
2-Oct-92 -5.30%
2-Nov-92 -8.00%
60% 80% 100% 120%
1-Dec-92 20.43%
S e c o n d a ry A x is

5-Jan-93 1.43%
1-Feb-93 -2.53%
Graph Options: 1-Mar-93 8.89%

1200%
Primary Axis Variance-Covariance Matrix (Crea
1000%
800%
CHH
Mean Return
600% CHH 0.0073
400% Secondary Axis FER 0.0025
200%
UBIX 0.0016
0% Beta
LN S IN 0.0046
LN 0.0050
CHH FER UBIX IN LN S S 0.0035
0.36 0.18 1.12 0.37 0.25 0.90
3.46% 3.17% 8.85% 3.21% 1.02% 4.69% With Short Sales
8.52% 5.74% 10.28% 9.09% 9.04% 11.49% Z
59.8% -15.9% 79.9% 8.0% -77.3% 45.5% CHH 3.0929
10.0% 19.1% 42.7% 13.9% 4.5% 9.9% FER 9.8416
UBIX 7.2125
IN -1.3873
LN -4.6723
S 1.6056

Transpose of X
0.197089 0.627135

Transpose of Y
0.243554 0.609424
X
Mean 0.0663
Var 0.0042
StdDev 0.0650

Cov (x,y) 0.0047


Corr (x,y) 0.991144

A Single Portfolio Calculation


Proportion of X:
p's Mean return:
p's std dev:

Gap 0.14
Prop of X Std Dev
7%
0% 7%
14% 7%
28% 7%
42% 7%
56% 7%
70% 7%
84% 7%
98% 7%
112% 6%
126% 6%
140% 6%
154% 6%
168% 6%
182% 6%
196% 6%
210% 6%
224% 6%
238% 6%
252% 6%
266% 6%
280% 5%
294% 5%
308% 5%
322% 5%
336% 5%
350% 5%
364% 5%
378% 5%
392% 5%
406% 5%
turn Information
FER UBIX IN LN S Market PR A
12.75% 2.94% 19.62% -2.42% 7.41% 5.23% 4.91% 8.77%
0.87% 9.71% -8.99% 11.18% -3.38% 4.65% 5.61% 2.14%
0.86% 4.17% -11.60% -4.37% -2.27% 1.33% -2.18% -3.64%
5.13% 24.00% 0.00% 1.48% 4.19% 16.45% 9.16% 7.08%
4.07% 14.92% -3.07% -10.82% -6.25% 7.24% 0.42% -0.38%
9.73% 13.68% 0.86% 13.11% 23.81% 16.24% 11.77% 10.66%
5.07% 10.35% 19.54% 15.07% 28.85% 16.53% 14.15% 14.20%
-2.76% 11.76% 1.22% -5.54% -7.49% 5.08% 1.39% 0.69%
6.38% 22.37% -3.61% 10.07% 13.11% 18.10% 11.83% 9.02%
-0.67% -3.23% -4.25% -13.09% 1.45% -1.80% -6.37% -4.73%
-0.40% -3.33% 3.13% 9.09% 12.00% 1.84% 3.40% 3.35%
5.16% -5.27% 0.55% 4.08% -6.12% -5.17% -0.14% 0.12%
10.39% 18.52% 20.51% 11.17% 22.28% 19.65% 15.59% 15.40%
11.76% 16.67% 8.51% 10.05% -2.41% 10.24% 11.34% 10.30%
-2.11% 5.36% -3.92% -6.64% -3.45% 2.05% -1.68% -2.33%
7.53% 11.86% 20.41% 0.67% 5.95% 10.28% 8.29% 9.17%
-5.00% 24.24% -0.85% -5.74% 14.61% 19.66% 6.13% 3.41%
0.30% -3.05% -0.85% 3.04% -5.88% -3.81% -0.44% -0.96%
1.06% 10.52% 4.00% -15.91% 25.00% 14.54% -0.06% 1.28%
9.47% 6.98% 12.61% 12.97% 1.66% 5.66% 10.02% 10.57%
7.69% -2.72% 0.00% -2.59% -4.96% -3.18% -1.38% 0.16%
-7.14% 25.14% -0.75% -9.50% -12.17% 11.80% 3.19% -0.17%
-7.21% -12.05% 0.75% -1.93% 1.98% -6.92% -4.92% -3.21%

Covariance Matrix (Created using VBA)


FER UBIX IN LN S Means Means-C
0.0025 0.0016 0.0046 0.0050 0.0035 3.46% 2.46%
0.0033 0.0007 0.0029 0.0027 0.0019 3.17% 2.17%
0.0007 0.0106 0.0009 0.0006 0.0026 8.85% 7.85%
0.0029 0.0009 0.0083 0.0029 0.0049 3.21% 2.21%
0.0027 0.0006 0.0029 0.0082 0.0035 1.02% 0.02%
0.0019 0.0026 0.0049 0.0035 0.0132 4.69% 3.69%

C 0.01 4.0000 Without Short Sales


X Z Y A
0.1971 2.917602 0.243554 0.0000
0.6271 7.300477 0.609424 0.0000
0.4596 6.518631 0.544158 1.0000
-0.0884 -1.375095 -0.114789 0.0000
-0.2977 -4.822831 -0.402597 0.0000
0.1023 1.440523 0.120251 0.0000
100%

0.459601 -0.088405 -0.297731 0.102311

Transpose of A
0.544158 -0.114789 -0.402597 0.120251 0 0 1
Y A
0.0738 Mean 8.85%
0.0053 StdDev 10.28%
0.0730 Theta 0.763475
'Without Short Sales' Table Created using VBA
C Std Dev Mean
-0.49 5.20% 4.41%
-0.48 5.20% 4.41%
Portfolio Calculation -0.47 5.20% 4.42%
0.3 -0.46 5.20% 4.42%
7.15% -0.45 5.20% 4.43%
7.04% 7.04% 0.00038 0.002608 0.001974 -0.44 5.20% 4.43%
-0.43 5.20% 4.44%
15 -0.42 5.20% 4.44%
Return -0.41 5.20% 4.44%
7% -0.40 5.20% 4.45%
7% -0.39 5.20% 4.45%
7% -0.38 5.20% 4.46%
7% -0.37 5.20% 4.47%
7% -0.36 5.21% 4.47%
7% -0.35 5.21% 4.48%
7% -0.34 5.21% 4.48%
7% -0.33 5.21% 4.49%
7% -0.32 5.21% 4.50%
7% -0.31 5.21% 4.51%
6% -0.30 5.21% 4.52%
6% -0.29 5.21% 4.52%
6% -0.28 5.21% 4.53%
6% -0.27 5.22% 4.54%
6% -0.26 5.22% 4.55%
6% -0.25 5.22% 4.56%
6% -0.24 5.22% 4.56%
6% -0.23 5.22% 4.57%
6% -0.22 5.22% 4.58%
5% -0.21 5.23% 4.59%
5% -0.20 5.23% 4.61%
5% -0.19 5.23% 4.62%
5% -0.18 5.23% 4.63%
5% -0.17 5.24% 4.65%
5% -0.16 5.24% 4.66%
5% -0.15 5.25% 4.68%
5% -0.14 5.25% 4.70%
5% -0.13 5.26% 4.72%
5% -0.12 5.27% 4.75%
4% -0.11 5.27% 4.78%
4% -0.10 5.29% 4.81%
-0.09 5.30% 4.85%
-0.08 5.32% 4.89%
-0.07 5.34% 4.94%
-0.06 5.37% 5.01%
-0.05 5.41% 5.08%
-0.04 5.46% 5.17%
-0.03 5.53% 5.29%
-0.02 5.64% 5.45%
-0.01 5.82% 5.66%
0.00 6.12% 5.97%
0.01 6.67% 6.46%
0.02 7.89% 7.36%
0.03 10.03% 8.71%
0.04 10.28% 8.85%
0.05 10.28% 8.85%
0.06 10.28% 8.85%
0.07 10.28% 8.85%
0.08 10.28% 8.85%
0.09 10.28% 8.85%
0.10 10.28% 8.85%
B Opt
10.00% 10.23%
1.89% 1.85%
-3.72% -3.73%
9.33% 9.75%
0.18% 0.29%
12.55% 12.91%
13.01% 12.79%
2.53% 2.87%
11.46% 11.91%
-3.14% -2.84%
2.93% 2.85%
-1.54% -1.85%
13.95% 13.68%
10.45% 10.47%
-1.89% -1.81%
6.71% 6.25%
4.26% 4.42%
-2.51% -2.81%
1.93% 2.06%
11.64% 11.84%
1.10% 1.27%
-0.24% -0.25%
-1.50% -1.18%

With SS Tangent Without SS Tangent


Weights Return A B
0.221 0.008 7.36% 28.44%
0.618 0.020 20.56% 26.35%
0.502 0.044 19.13% 18.69%
-0.102 -0.003 22.24% 5.85%
-0.351 -0.004 21.83% 8.41%
0.111 0.005 8.88% 12.27%
1 1.00 1.00
Return 7.01% R 3.95% 4.32%
StdDev 6.89% S 5.84% 5.82%
49.47% X V 0.34% 0.34%
50.53% Y Cov 0.33%
0 0 0
Weight -18.74% 118.74%
Return 4.39%
Std Dev 5.85%
Sharpe: 0.066674

Table Created using VBA


CHH FER UBIX IN LN S SHARPE
0.054 0.674 0.209 0.000 0.016 0.047 0.0792 0.471689
0.054 0.674 0.210 0.000 0.016 0.047 0.0797
0.054 0.674 0.210 0.000 0.015 0.047 0.0805
0.054 0.673 0.211 0.000 0.015 0.047 0.0813
0.054 0.673 0.211 0.000 0.014 0.047 0.0820
0.054 0.673 0.212 0.000 0.014 0.047 0.0829
0.055 0.673 0.212 0.000 0.013 0.047 0.0837
0.055 0.673 0.213 0.000 0.013 0.047 0.0846
0.055 0.672 0.213 0.000 0.012 0.047 0.0855
0.056 0.672 0.214 0.000 0.011 0.047 0.0864
0.056 0.672 0.215 0.000 0.010 0.047 0.0874
0.056 0.672 0.215 0.000 0.010 0.047 0.0885
0.056 0.671 0.216 0.000 0.009 0.048 0.0895
0.057 0.671 0.217 0.000 0.008 0.048 0.0907
0.057 0.671 0.217 0.000 0.007 0.048 0.0919
0.057 0.670 0.218 0.000 0.006 0.048 0.0931
0.058 0.670 0.219 0.000 0.005 0.048 0.0945
0.058 0.670 0.220 0.000 0.004 0.048 0.0959
0.058 0.669 0.221 0.000 0.003 0.048 0.0974
0.059 0.669 0.222 0.000 0.002 0.048 0.0989
0.059 0.669 0.223 0.000 0.001 0.048 0.1006
0.059 0.668 0.224 0.000 0.000 0.049 0.1023
0.059 0.668 0.225 0.000 0.000 0.049 0.1035
0.059 0.666 0.226 0.000 0.000 0.049 0.1050
0.058 0.665 0.228 0.000 0.000 0.049 0.1065
0.058 0.664 0.229 0.000 0.000 0.049 0.1081
0.058 0.662 0.231 0.000 0.000 0.049 0.1098
0.057 0.661 0.233 0.000 0.000 0.049 0.1117
0.057 0.659 0.235 0.000 0.000 0.049 0.1137
0.057 0.658 0.237 0.000 0.000 0.049 0.1159
0.056 0.656 0.239 0.000 0.000 0.049 0.1182
0.056 0.654 0.241 0.000 0.000 0.049 0.1208
0.055 0.652 0.244 0.000 0.000 0.050 0.1236
0.054 0.649 0.247 0.000 0.000 0.050 0.1266
0.054 0.647 0.250 0.000 0.000 0.050 0.1300
0.053 0.644 0.254 0.000 0.000 0.050 0.1337
0.052 0.640 0.258 0.000 0.000 0.050 0.1379
0.051 0.637 0.262 0.000 0.000 0.050 0.1425
0.050 0.632 0.267 0.000 0.000 0.050 0.1477
0.049 0.628 0.273 0.000 0.000 0.051 0.1535
0.047 0.622 0.279 0.000 0.000 0.051 0.1602
0.046 0.616 0.287 0.000 0.000 0.051 0.1679
0.044 0.608 0.296 0.000 0.000 0.052 0.1768
0.041 0.599 0.307 0.000 0.000 0.052 0.1873
0.039 0.589 0.320 0.000 0.000 0.053 0.1998
0.035 0.575 0.336 0.000 0.000 0.053 0.2148
0.031 0.558 0.357 0.000 0.000 0.054 0.2332
0.025 0.536 0.384 0.000 0.000 0.055 0.2561
0.017 0.505 0.422 0.000 0.000 0.057 0.2851
0.005 0.459 0.477 0.000 0.000 0.059 0.3224
0.000 0.376 0.563 0.000 0.000 0.060 0.3693
0.000 0.217 0.722 0.000 0.000 0.061 0.4263
0.000 0.000 0.966 0.000 0.000 0.034 0.4696
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717
0.000 0.000 1.000 0.000 0.000 0.000 0.4717

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