Group 15

Meenakshi MS17A070
Sanam Manisha Devi MS17A049
Imran Kadolkar MS17A022
We have taken these five companies from Health sector

ABT Abott Lab

ABEO Abeona Therapeutics Inc.
ACAD ACADIA Pharmaceuticals
ACER Acer Therapeutics Inc.
ACHN Achillion Pharmaceuticals, Inc.
 (ABT) (ABEO) (ACAD) (ACER)
1 0.774038 0 0.104091 0.021389
=
1
Historical data
Expected return = 0.2200000012 Year (ABT) (ABEO) (ACAD)
Standard deviation = 0.3114649143 2007 25.97 151 11.34
2008 25.13672 52.5 1.28
Required return = 0.2199999988 2009 26.1443 156 1.23
2010 22.3155 145 0.67
2011 26.17309 66.5 0.98
2012 31.187 16 5.2
2013 38.19 15 23.29
2014 44.51 7.01 29.87
2015 44.92 4.65 37.95
2016 38.07 6.25 26.99
2017 56.37 17.3 30.25

return deviation^2 Historical data on returns

-0.215339 0.1895200518 Year (ABT) (ABEO) (ACAD)
0.5773837 0.1277230916 2007 -0.03209 -0.65232 -0.88713
-0.13127 0.1233903839 2008 0.040084 1.971429 -0.03906
0.3098903 0.008080272 2009 -0.14645 -0.07051 -0.45528
0.6011061 0.1452418578 2010 0.172866 -0.54138 0.462687
0.4841789 0.0697904967 2011 0.191567 -0.7594 4.306122
0.4182572 0.0393059146 2012 0.224549 -0.0625 3.478846
0.0052578 0.0461142015 2013 0.165488 -0.53267 0.282525
-0.223934 0.1970771733 2014 0.009211 -0.33666 0.270506
0.3744684 0.0238604852 2015 -0.15249 0.344086 -0.2888
2016 0.480693 1.768 0.120785
mean 0.095343 0.112808 0.72512
std dev p 0.182202 0.932992 1.638534
(ACHN)
0.100482

(ACER) (ACHN)
970 4.97
30 1.14
683.3333 2.1
463.3333 2.86
350 6.65
143.3333 7.79
170.8333 3.46
70.83334 12.87
40.9375 10.18
9.895833 4.14
16.64 3.12

(ACER) (ACHN)
-0.96907 -0.77062
21.77778 0.842105
-0.32195 0.361905
-0.2446 1.325175
-0.59048 0.171429
0.19186 -0.55584
-0.58537 2.719653
-0.42206 -0.20901
-0.75827 -0.59332
0.681516 -0.24638
1.875936 0.304509
6.649275 1.022452
Oneway analysis for Solver model in Optimized return value worksheet

Input (cell $C$9) values along side, output cell(s) along top

$G$2

$H$2
$F$2

$J$2
$I$2
5
0.1 0.993877 0 0 0.002148 0.003975
0.12 0.955211 0 0.008374 0.007488 0.028927
0.14 0.918977 0 0.027518 0.010268 0.043238
0.16 0.882742 0 0.046661 0.013048 0.057549
0.18 0.846508 0 0.065804 0.015829 0.07186
0.2 0.810273 0 0.084948 0.018609 0.08617
0.22 0.774039 0 0.104091 0.021389 0.100481
0.24 0.737804 0 0.123234 0.02417 0.114792
0.26 0.70157 0 0.142377 0.02695 0.129103
0.28 0.665335 0 0.16152 0.02973 0.143414
0.3 0.6291 0 0.180664 0.032511 0.157725

1.2
0.18
1 0.16
0.14
0.8 0.12
0.1
0.6 0.08
ACHAN 0.06
ACER 0.04
0.4
ACAD 0.02
ABEO 0
0.2
ABT
0
Sensitivity of $J$2 to Input

Data for chart

When you select an output from the
$J$2

dropdown list in cell $K$4, the chart

0.003975 will adapt to that output.
0.028927
0.043238
0.057549
0.07186
0.08617
0.100481
0.114792
0.129103
0.143414
0.157725

Sensitivity of $J$2 to Input

0.18
0.16
0.14
0.12
0.1
0.08
0.06
0.04
0.02
0

Input ($C$9)
Oneway analysis for Solver model in Optimized return value worksheet

Input (cell $C$9) values along side, output cell(s) along top

$C$7
1
0.1 0.181627
0.12 0.191539
0.14 0.209233
0.16 0.23099
0.18 0.255776
0.2 0.282794
0.22 0.311465
0.24 0.341372
0.26 0.372218
0.28 0.403787
0.3 0.435922

Efficient Frontier 0.5

0.45
0.4
0.35 0.35
0.3
0.3 0.25
0.2
0.15
0.25 0.1
0.05
0.2 0

0.15 expected return

0.1

0.05

0
Sensitivity of $C$7 to Input

Data for chart

When you select an output from the
$C$7

dropdown list in cell $K$4, the chart

0.181627 will adapt to that output.
0.191539
0.209233
0.23099
0.255776
0.282794
0.311465
0.341372
0.372218
0.403787
0.435922

Sensitivity of $C$7 to Input

0.5
0.45
0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0

Input ($C$9)
 (ABT) (ABEO) (ACAD) (ACER)
1 0.936418 -0.1197 0.083809 0.03383
=
1
Historical data
Expected return = 0.22 Year (ABT) (ABEO) (ACAD)
Standard deviation = 0.306322 2007 25.97 151 11.34
2008 25.13672 52.5 1.28
Required return = 0.22 2009 26.1443 156 1.23
2010 22.3155 145 0.67
2011 26.17309 66.5 0.98
2012 31.187 16 5.2
2013 38.19 15 23.29
2014 44.51 7.01 29.87
2015 44.92 4.65 37.95
2016 38.07 6.25 26.99
2017 56.37 17.3 30.25

return deviation^2 Historical data on returns

-0.109681641 0.10869 Year (ABT) (ABEO) (ACAD)
0.5902953537 0.137119 2007 -0.03209 -0.65232 -0.88713
-0.153990796 0.139869 2008 0.040084 1.971429 -0.03906
0.3441623024 0.015416 2009 -0.14645 -0.07051 -0.45528
0.6224555047 0.16197 2010 0.172866 -0.54138 0.462687
0.47931851 0.067246 2011 0.191567 -0.7594 4.306122
0.4011160988 0.032803 2012 0.224549 -0.0625 3.478846
0.0435964702 0.031118 2013 0.165488 -0.53267 0.282525
-0.27278471 0.242837 2014 0.009211 -0.33666 0.270506
0.2555128716 0.001261 2015 -0.15249 0.344086 -0.2888
2016 0.480693 1.768 0.120785
mean 0.095343 0.112808 0.72512
std dev p 0.182202 0.932992 1.638534
(ACHN)
0.065639

(ACER) (ACHN)
970 4.97
30 1.14
683.3333 2.1
463.3333 2.86
350 6.65
143.3333 7.79
170.8333 3.46
70.83334 12.87
40.9375 10.18
9.895833 4.14
16.64 3.12

(ACER) (ACHN)
-0.96907 -0.77062
21.77778 0.842105
-0.32195 0.361905
-0.2446 1.325175
-0.59048 0.171429
0.19186 -0.55584
-0.58537 2.719653
-0.42206 -0.20901
-0.75827 -0.59332
0.681516 -0.24638
1.875936 0.304509
6.649275 1.022452
Oneway analysis for Solver model in OPtimized value wo shorting worksheet

Input (cell $C$9) values along side, output cell(s) along top

$G$2

$H$2
$C$6

$C$7
$F$2

$J$2
$I$2
1
0.1 0.1 1.208084 -0.15962 -0.03779 0.021304 -0.03198 0.162564
0.12 0.12 1.162808 -0.15296 -0.01752 0.023391 -0.01572 0.177466
0.14 0.14 1.117531 -0.14629 0.002752 0.025479 0.000533 0.197555
0.16 0.16 1.072255 -0.13963 0.023023 0.027567 0.016788 0.221425
0.18 0.18 1.026979 -0.13297 0.043294 0.029654 0.033044 0.247985
0.2 0.2 0.981702 -0.12631 0.063565 0.031742 0.0493 0.276462
0.22 0.22 0.936426 -0.11965 0.083836 0.03383 0.065555 0.306322
0.24 0.24 0.891149 -0.11298 0.104107 0.035917 0.081811 0.337197
0.26 0.26 0.845873 -0.10632 0.124378 0.038005 0.098067 0.368832
0.28 0.28 0.800597 -0.09966 0.144649 0.040093 0.114322 0.401048
0.3 0.3 0.75532 -0.093 0.16492 0.04218 0.130578 0.433715
0.32 0.32 0.710044 -0.08634 0.185191 0.044268 0.146834 0.466739
0.34 0.34 0.664767 -0.07967 0.205462 0.046356 0.163089 0.500048
0.36 0.36 0.619491 -0.07301 0.225733 0.048443 0.179345 0.53359
0.38 0.38 0.574215 -0.06635 0.246004 0.050531 0.195601 0.567323
0.4 0.4 0.528938 -0.05969 0.266275 0.052619 0.211856 0.601215
0.42 0.42 0.483662 -0.05303 0.286546 0.054706 0.228112 0.63524
0.44 0.44 0.438386 -0.04636 0.306817 0.056794 0.244367 0.669379
0.46 0.46 0.393109 -0.0397 0.327088 0.058882 0.260623 0.703614
0.48 0.48 0.347833 -0.03304 0.347359 0.060969 0.276879 0.737932
0.5 0.5 0.302557 -0.02638 0.36763 0.063057 0.293134 0.772323

Efficient Frontier without shorting

0.6
0.6
0.5
0.5
0.4
0.4 0.3
0.3 0.2
return
0.2 0.1
0.1 0

0
Sensitivity of $C$6 to Input

Data for chart

When you select an output from the
$C$6

dropdown list in cell $K$4, the chart

0.1 will adapt to that output.
0.12
0.14
0.16
0.18 1.4
0.2 1.2 Optimal Protfolio without shorting
0.22
1
0.24
0.26 0.8
0.28 0.6 $J$2
$I$2
0.3
0.4 $H$2
0.32
0.2 $G$2
0.34 $F$2
0.36 0
0.38
-0.2
0.4
0.42 -0.4
0.44
0.46
0.48
0.5

Sensitivity of $C$6 to Input

0.6
0.5
0.4
0.3
0.2
0.1
0

Input ($C$9)