Portfolio

2998 WordsNov 20, 201512 Pages
W14232 INVESTMENTS: DELINEATING AN EFFICIENT PORTFOLIO Upasana Mitra and M. Kannadhasan wrote this case solely to provide material for class discussion. The authors do not intend to illustrate either effective or ineffective handling of a managerial situation. The authors may have disguised certain names and other identifying information to protect confidentiality. This publication may not be transmitted, photocopied, digitized or otherwise reproduced in any form or by any means without the permission of the copyright holder. Reproduction of this material is not covered under authorization by any reproduction rights organization. To order copies or request permission to reproduce materials, contact Ivey Publishing, Ivey Business…show more content…
It also provided quarterly return data for funds’ previous five years. Sharma shortlisted a few funds from each of the preferred categories based on their past five years of annualized returns, with the assumption that funds that had performed well in the past five years would also be expected to perform well in the future. Such assumptions of expecting future performance based on the past performance of assets were common in investment literature. According to Noble Laureate Sharpe:1 Most performance measures are computed using historic data but justified on the basis of predicted relationships. Practical implementations use ex post results while theoretical discussions focus on ex ante values. Implicitly or explicitly, it is assumed that historic results have at least some predictive ability. Sharma’s shortlisted funds and their past performance are provided in Exhibit 1. To make a detailed analysis of risk and return, Sharma required the historical net asset value (NAV) of the funds under consideration. Although the details were available elsewhere, www.moneycontrol.com also provided the quarterly returns of the funds for the past five years. Sharma wanted to make his task easier and hence decided to evaluate the performance of funds based on the previous five years’ quarterly returns, as the required information was readily available. The time-series of quarterly returns of the selected funds over the previous five years were

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