Month Infosys RIL Biocon SBI

201406 811.61 1,014.70 176.65 268.59

201407 841.43 1,006.00 156.65 243.98
201408 898.5 999.25 154.92 246.05
201409 936.91 945.35 166 244.24
201410 1,012.86 999.2 149.33 270.17
201411 1,089.81 990.85 151.85 321.45
201412 985.6 891.15 141.73 311.85
201501 1,071.38 915.35 138.05 310
201502 1,147.43 866.25 142.5 301.6
201503 1,108.30 824.7 156.5 267
201504 971.2 862.85 150.97 270.05
201505 1,011.20 877.15 150.45 278.15
201506 985.35 1,000.45 153.78 262.8
201507 1,078.05 1,001.65 152.53 270.4
201508 1,095.20 856.8 148.03 247.1
201509 1,160.45 860.5 147.87 237.25
201510 1,136.05 947.85 151.55 237.2
201511 1,088.45 968 153.88 250.45
201512 1,104.55 1,012.60 172.68 224.4
201601 1,164.85 1,035.05 163.53 179.95
201602 1,083.75 966.55 156.32 158.4
201603 1,217.95 1,045.25 160.7 194.3
201604 1,210.85 982.55 195.18 188.95
201605 1,249.85 958.95 238.86 204.85
201606 1,170.75 969.45 246.9 218.65
201607 1,073.95 1,015.50 276.21 229.05
201608 1,036.80 1,058.00 305.66 252.55
201609 1,038.10 1,082.10 311.36 250.7
201610 1,002.50 1,051.20 308.65 257.85
201611 975.45 992.75 305.53 258.4
201612 1,010.70 1,080.10 317.03 249.75
201701 929.3 1,043.40 336.56 260
201702 1,012.30 1,238.25 374.38 269.2
201703 1,020.80 1,319.20 377.83 292.6
201704 919.4 1,394.80 368.45 289.45
201705 976.95 1,340.60 316.3 288.55
201706 943.35 1,435.00 329.7 288.85
AM
SD
Percentile
Beta
SR
UR
Weight
SR-Var
UR-Var
UR
Kurtosis
Sharpe Ratio
Alpha
Negative Deviation
Sortino Ratio
Treynor Ratio
RSQ
CAGR
Loss Deviation
Upcapture Market
Downcapture Market
Cumulative Return
VaR
Tata Steel BSE Sensex Infosys RIL Biocon SBI
528.3 25413.78
553.4 25894.97 3.67% -0.86% -11.32% -9.16%
513.55 26638.11 6.78% -0.67% -1.10% 0.85%
459.3 26630.51 4.27% -5.39% 7.15% -0.74%
489.35 27865.83 8.11% 5.70% -10.04% 10.62%
473.3 28693.99 7.60% -0.84% 1.69% 18.98%
399.35 27499.42 -9.56% -10.06% -6.66% -2.99%
390.45 29182.95 8.70% 2.72% -2.60% -0.59%
355.65 29361.5 7.10% -5.36% 3.22% -2.71%
316.85 27957.49 -3.41% -4.80% 9.82% -11.47%
360.5 27011.31 -12.37% 4.63% -3.53% 1.14%
328.5 27828.44 4.12% 1.66% -0.34% 3.00%
304.7 27780.83 -2.56% 14.06% 2.21% -5.52%
247.3 28114.56 9.41% 0.12% -0.81% 2.89%
225.05 26283.09 1.59% -14.46% -2.95% -8.62%
211.9 26154.83 5.96% 0.43% -0.11% -3.99%
246.75 26656.83 -2.10% 10.15% 2.49% -0.02%
230.05 26145.67 -4.19% 2.13% 1.54% 5.59%
259.55 26117.54 1.48% 4.61% 12.22% -10.40%
250.05 24870.69 5.46% 2.22% -5.30% -19.81%
249.1 23002 -6.96% -6.62% -4.41% -11.98%
319.5 25341.86 12.38% 8.14% 2.80% 22.66%
350.55 25606.62 -0.58% -6.00% 21.46% -2.75%
334.45 26667.96 3.22% -2.40% 22.38% 8.41%
321.9 26999.72 -6.33% 1.09% 3.37% 6.74%
354.75 28051.86 -8.27% 4.75% 11.87% 4.76%
370.45 28452.17 -3.46% 4.19% 10.66% 10.26%
374.4 27865.96 0.13% 2.28% 1.86% -0.73%
404.65 27930.21 -3.43% -2.86% -0.87% 2.85%
414.95 26652.81 -2.70% -5.56% -1.01% 0.21%
391.1 26626.46 3.61% 8.80% 3.76% -3.35%
462.4 27655.96 -8.05% -3.40% 6.16% 4.10%
482.65 28743.32 8.93% 18.67% 11.24% 3.54%
482.65 29620.5 0.84% 6.54% 0.92% 8.69%
448.85 29918.4 -9.93% 5.73% -2.48% -1.08%
504.9 31145.8 6.26% -3.89% -14.15% -0.31%
507.4 31138.21 -3.44% 7.04% 4.24% 0.10%
0.62% 1.18% 2.04% 0.53%
6.40% 6.66% 7.87% 8.28%
-9.66% -7.48% -10.36% -11.60%
0.82 0.81 0.34 1.55
3.05% 3.00% 1.25% 5.73%
3.35% 3.67% 6.63% 2.56%
0% 0% 0% 0%
0.09% 0.09% 0.02% 0.33%
0.32% 0.35% 0.60% 0.36%
5.63% 5.95% 7.77% 5.98%
-0.91 0.64 1.02 1.30
0.10 0.18 0.26 0.06
-0.50% 0.07% 1.29% -1.13%
3.53% 3.36% 3.51% 4.66%
0.03 0.20 0.44 0.01
0.008 0.015 0.061 0.003
23% 20% 3% 48%
3.83% 9.05% 16.88% 1.83%

0.71 0.68 0.86 1.45

0.56 0.02 -0.46 1.79
22.28% 42.48% 73.36% 19.19%
-9.66% -7.48% -10.36% -11.60%
Tata Steel BSE Sensex Portfolio Tracking Error Infosys RIL

4.75% 1.89% 4.8% 2.9% 0 -0.00857

-7.20% 2.87% -7.2% -10.1% 0 -0.00671
-10.56% -0.03% -10.6% -10.5% 0 -0.05394
6.54% 4.64% 6.5% 1.9% 0 0
-3.28% 2.97% -3.3% -6.3% 0 -0.00836
-15.62% -4.16% -15.6% -11.5% -0.09562 -0.10062
-2.23% 6.12% -2.2% -8.4% 0 0
-8.91% 0.61% -8.9% -9.5% 0 -0.05364
-10.91% -4.78% -10.9% -6.1% -0.0341 -0.04797
13.78% -3.38% 13.8% 17.2% -0.1237 0
-8.88% 3.03% -8.9% -11.9% 0 0
-7.25% -0.17% -7.2% -7.1% -0.02556 0
-18.84% 1.20% -18.8% -20.0% 0 0
-9.00% -6.51% -9.0% -2.5% 0 -0.14461
-5.84% -0.49% -5.8% -5.4% 0 0
16.45% 1.92% 16.4% 14.5% -0.02103 0
-6.77% -1.92% -6.8% -4.9% -0.0419 0
12.82% -0.11% 12.8% 12.9% 0 0
-3.66% -4.77% -3.7% 1.1% 0 0
-0.38% -7.51% -0.4% 7.1% -0.06962 -0.06618
28.26% 10.17% 28.3% 18.1% 0 0
9.72% 1.04% 9.7% 8.7% -0.00583 -0.05999
-4.59% 4.14% -4.6% -8.7% 0 -0.02402
-3.75% 1.24% -3.8% -5.0% -0.06329 0
10.21% 3.90% 10.2% 6.3% -0.08268 0
4.43% 1.43% 4.4% 3.0% -0.03459 0
1.07% -2.06% 1.1% 3.1% 0 0
8.08% 0.23% 8.1% 7.8% -0.03429 -0.02856
2.55% -4.57% 2.5% 7.1% -0.02698 -0.0556
-5.75% -0.10% -5.7% -5.6% 0 0
18.23% 3.87% 18.2% 14.4% -0.08054 -0.03398
4.38% 3.93% 4.4% 0.4% 0 0
 0.00% 3.05% 0.0% -3.1% 0 0
-7.00% 1.01% -7.0% -8.0% -0.09933 0
12.49% 4.10% 12.5% 8.4% 0 -0.03886
0.50% -0.02% 0.5% 0.5% -0.03439 0
0.38% 0.63% 0.38% -0.25%
10.26% 3.71% 10.26% 9.30% 3.53% 3.36%
-12.09% -5.21% -12.09%
1.18 1.00 1.18
4.39% 3.71% 4.39%
5.87% 0.00% 5.87%
100% 100%
0.19% 0.14% 0.19%
0.86% 0.00% 0.86%
9.27% 0.00% 9.27%
0.23 0.43 0.23
0.04 0.17 0.04
-1.00% -0.62% -1.00%
4.93% 2.12% 4.93%
-0.02 0.06 -0.02
0.003 0.006 0.003
18% 100%
-1.00% 5.21%

0.93 1.00 0.93

1.11 1.00 1.11
13.81% 22.77% 13.81%
-12.09% -5.21% -12.09%
Biocon SBI Tata SteelBSE Sensex EWP Infosys RIL

-0.11322 -0.09163 0 0 0 0.036742 -0.00857

-0.01104 0 -0.07201 0 -0.07201 0.067825 -0.00671
0 -0.00736 -0.10564 -0.00029 -0.10564 0 0
-0.10042 0 0 0 0 0.081064 0.056963
0 0 -0.0328 0 -0.0328 0.075973 -0.00836
-0.06664 -0.02986 -0.15624 -0.04163 -0.15624 0 0
-0.02596 -0.00593 -0.02229 0 -0.02229 0.087033 0.027156
0 -0.0271 -0.08913 0 -0.08913 0.070983 -0.05364
0 -0.11472 -0.1091 -0.04782 -0.1091 0 0
-0.03534 0 0 -0.03384 0 0 0
-0.00344 0 -0.08877 0 -0.08877 0.041186 0.016573
0 -0.05519 -0.07245 -0.00171 -0.07245 0 0
-0.00813 0 -0.18838 0 -0.18838 0.094078 0.001199
-0.0295 -0.08617 -0.08997 -0.06514 -0.08997 0 0
-0.00108 -0.03986 -0.05843 -0.00488 -0.05843 0 0
0 -0.00021 0 0 0 -0.02103 0.101511
0 0 -0.06768 -0.01918 -0.06768 0 0
0 -0.10401 0 -0.00108 0 0 0
-0.05299 -0.19808 -0.0366 -0.04774 -0.0366 0 0
-0.04409 -0.11976 -0.0038 -0.07514 -0.0038 0 0
0 0 0 0 0 0.123829 0.081424
0 -0.02753 0 0 0 -0.00583 -0.05999
0 0 -0.04593 0 -0.04593 0.032209 -0.02402
0 0 -0.03752 0 -0.03752 -0.06329 0.010949
0 0 0 0 0 -0.08268 0.047501
0 0 0 0 0 -0.03459 0.041851
0 -0.00733 0 -0.0206 0 0 0
-0.0087 0 0 0 0 -0.03429 -0.02856
-0.01011 0 0 -0.04574 0 0 0
0 -0.03348 -0.05748 -0.00099 -0.05748 0 0
0 0 0 0 0 -0.08054 -0.03398
0 0 0 0 0 0.089315 0.186745
 0 0 0 0 0 0.008397 0.065375
-0.02483 -0.01077 -0.07003 0 -0.07003 -0.09933 0.057307
-0.14154 -0.00311 0 0 0 0.062595 -0.03886
0 0 0 -0.00024 0 0 0
1.25% 1.20%
3.51% 4.66% 4.93% 2.12% 4.93%
Biocon SBI Tata SteelBSE Sensex EWP Infosys RIL

-0.11322 -0.09163 0.047511 0.018934 0.047511 0 0

-0.01104 0.008484 -0.07201 0.028698 -0.07201 0 0
0 0 0 0 0 0.042749 -0.05394
-0.10042 0.106166 0.065426 0.046387 0.065426 0 0
0.016875 0.189806 -0.0328 0.02972 -0.0328 0 0
0 0 0 0 0 -0.09562 -0.10062
-0.02596 -0.00593 -0.02229 0.061221 -0.02229 0 0
0.032235 -0.0271 -0.08913 0.006118 -0.08913 0 0
0 0 0 0 0 -0.0341 -0.04797
0 0 0 0 0 -0.1237 0.046259
-0.00344 0.029994 -0.08877 0.030251 -0.08877 0 0
0 0 0 0 0 -0.02556 0.140569
-0.00813 0.028919 -0.18838 0.012013 -0.18838 0 0
0 0 0 0 0 0.015908 -0.14461
0 0 0 0 0 0.059578 0.004318
0.024887 -0.00021 0.164464 0.019193 0.164464 0 0
0 0 0 0 0 -0.0419 0.021259
0 0 0 0 0 0.014792 0.046074
0 0 0 0 0 0.054592 0.022171
0 0 0 0 0 -0.06962 -0.06618
0.028019 0.226641 0.282617 0.101724 0.282617 0 0
0.214561 -0.02753 0.097183 0.010448 0.097183 0 0
0.223793 0.084149 -0.04593 0.041448 -0.04593 0 0
0.03366 0.067366 -0.03752 0.01244 -0.03752 0 0
0.118712 0.047565 0.10205 0.038969 0.10205 0 0
0.106622 0.102598 0.044257 0.01427 0.044257 0 0
0 0 0 0 0 0.001254 0.022779
-0.0087 0.02852 0.080796 0.002306 0.080796 0 0
0 0 0 0 0 -0.02698 -0.0556
0 0 0 0 0 0.036137 0.087988
0.061603 0.041041 0.182306 0.038665 0.182306 0 0
0.112372 0.035385 0.043793 0.039317 0.043793 0 0
0.009215 0.086924 0 0.030518 0 0 0
-0.02483 -0.01077 -0.07003 0.010057 -0.07003 0 0
-0.14154 -0.00311 0.124875 0.041025 0.124875 0 0
0 0 0 0 0 -0.03439 0.070416
1.51% 2.55% 1.63% 1.76% 1.63% -0.63% -0.02%
Biocon SBI Tata SteelBSE Sensex EWP

0 0 0 0 0
0 0 0 0 0
0.071521 -0.00736 -0.10564 -0.00029 -0.10564
0 0 0 0 0
0 0 0 0 0
-0.06664 -0.02986 -0.15624 -0.04163 -0.15624
0 0 0 0 0
0 0 0 0 0
0.098246 -0.11472 -0.1091 -0.04782 -0.1091
-0.03534 0.011423 0.137762 -0.03384 0.137762
0 0 0 0 0
0.022134 -0.05519 -0.07245 -0.00171 -0.07245
0 0 0 0 0
-0.0295 -0.08617 -0.08997 -0.06514 -0.08997
-0.00108 -0.03986 -0.05843 -0.00488 -0.05843
0 0 0 0 0
0.015374 0.05586 -0.06768 -0.01918 -0.06768
0.122173 -0.10401 0.128233 -0.00108 0.128233
-0.05299 -0.19808 -0.0366 -0.04774 -0.0366
-0.04409 -0.11976 -0.0038 -0.07514 -0.0038
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0.018648 -0.00733 0.010663 -0.0206 0.010663
0 0 0 0 0
-0.01011 0.002133 0.025454 -0.04574 0.025454
0.03764 -0.03348 -0.05748 -0.00099 -0.05748
0 0 0 0 0
0 0 0 0 0
 0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0.042365 0.00104 0.004951 -0.00024 0.004951
0.52% -2.01% -1.25% -1.13% -1.25%
 Month Infosys RIL Biocon SBI Tata Steel BSE Sensex
201406 811.61 1,014.70 176.65 268.59 528.3 25413.78
201407 841.43 1,006.00 156.65 243.98 553.4 25894.97
201408 898.5 999.25 154.92 246.05 513.55 26638.11
201409 936.91 945.35 166 244.24 459.3 26630.51
201410 1,012.86 999.2 149.33 270.17 489.35 27865.83
201411 1,089.81 990.85 151.85 321.45 473.3 28693.99
201412 985.6 891.15 141.73 311.85 399.35 27499.42
201501 1,071.38 915.35 138.05 310 390.45 29182.95
201502 1,147.43 866.25 142.5 301.6 355.65 29361.5
201503 1,108.30 824.7 156.5 267 316.85 27957.49
201504 971.2 862.85 150.97 270.05 360.5 27011.31
201505 1,011.20 877.15 150.45 278.15 328.5 27828.44
201506 985.35 1,000.45 153.78 262.8 304.7 27780.83
201507 1,078.05 1,001.65 152.53 270.4 247.3 28114.56
201508 1,095.20 856.8 148.03 247.1 225.05 26283.09
201509 1,160.45 860.5 147.87 237.25 211.9 26154.83
201510 1,136.05 947.85 151.55 237.2 246.75 26656.83
201511 1,088.45 968 153.88 250.45 230.05 26145.67
201512 1,104.55 1,012.60 172.68 224.4 259.55 26117.54
201601 1,164.85 1,035.05 163.53 179.95 250.05 24870.69
201602 1,083.75 966.55 156.32 158.4 249.1 23002
201603 1,217.95 1,045.25 160.7 194.3 319.5 25341.86
201604 1,210.85 982.55 195.18 188.95 350.55 25606.62
201605 1,249.85 958.95 238.86 204.85 334.45 26667.96
201606 1,170.75 969.45 246.9 218.65 321.9 26999.72
201607 1,073.95 1,015.50 276.21 229.05 354.75 28051.86
201608 1,036.80 1,058.00 305.66 252.55 370.45 28452.17
201609 1,038.10 1,082.10 311.36 250.7 374.4 27865.96
201610 1,002.50 1,051.20 308.65 257.85 404.65 27930.21
201611 975.45 992.75 305.53 258.4 414.95 26652.81
201612 1,010.70 1,080.10 317.03 249.75 391.1 26626.46
201701 929.3 1,043.40 336.56 260 462.4 27655.96
201702 1,012.30 1,238.25 374.38 269.2 482.65 28743.32
201703 1,020.80 1,319.20 377.83 292.6 482.65 29620.5
201704 919.4 1,394.80 368.45 289.45 448.85 29918.4
201705 976.95 1,340.60 316.3 288.55 504.9 31145.8
201706 943.35 1,435.00 329.7 288.85 507.4 31138.21
Down
DEFINITION of 'Kurtosis'

Kurtosis is a statistical measure that's used to describe the distribution, or skewness, o

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BREAKING DOWN 'Kurtosis'

Put simply, kurtosis is a measure of the combined weight of a distribution's tails relativ
depicted, it usually has a standard normal distribution, like a bell curve, with a central
the distribution are different than they would be under a normal bell-curved distributi

Kurtosis is sometimes confused with a measure of the peakedness of a distribution. Ho

distribution's tails in relation to its overall shape. A data set that shows kurtosis someti
kurtosis can be evenly distributed so that both its tails are equal.

Types of Kurtosis

There are three categories of kurtosis that can be displayed by a set of data. All measu
or bell curve.

The first category of kurtosis is a mesokurtic distribution. This type of kurtosis is the m

The second category is a leptokurtic distribution. Any distribution that is leptokurtic di

The final type of distribution is a platykurtic distribution. These type of distributions ha

distribution. The prefix of "platy-" means "broad," and it is meant to describe a short a

What is 'Leptokurtic'

Leptokurtic is a statistical distribution where the points along the X-axis are clustered,
found in a normal distribution. This high peak and corresponding fat tails mean the dis
a mesokurtic or platykurtic distribution and has a relatively smaller standard deviation
positive.

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https://i.investopedia.com/kurtosis_2.png
BREAKING DOWN 'Leptokurtic'

The prefix "lepto-" means thin or skinny when referring to the shape of its peak, while

Leptokurtosis and Estimated Value at Risk

Leptokurtosis can impact how analysts estimate value at risk (VaR). An investor using a
of significance but might overestimate at high levels of significance if the return distrib
having a fatter tail. The fat tail means risk is coming from outlier events and extreme o
investors should avoid this type of return distribution.

Leptokurtosis and Normal Distribution

In order to determine the classification of kurtosis present, a normal distribution is use

known, a quantitative measurement is required based on the formula _4/_4, where _4
Pearson’s fourth moment about the mean, and sigma refers to the standard deviation

Leptokurtosis, Mesokurtosis and Platykurtosis

While leptokurtosis demonstrates a tighter distribution in regards to the mean, mesok

models. Mesokurtic distributions show a peak that is neither higher nor lower than tha
considered a baseline upon which the other two distributions are classified. Platykurtic
resulting in a lower peak when compared to that displayed in the normal distribution g

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What is 'Platykurtic'

Platykurtic describes a statistical distribution with extremely dispersed points along th

Because this distribution has thin tails, it is less clustered around the mean than are m
means broad, and distributions are deemed platykurtic when the excess kurtosis value
its tails and less data in its peak.
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https://i.investopedia.com/kurtosis_0.png

BREAKING DOWN 'Platykurtic'

Platykurtic distributions produce less extreme outliers compared to outliers found in a

because the distribution of values can offer an estimation of asset risk on potential inv

Platykurtic distributions generally have a fairly basic and structured data layout; return

Market, or equity, returns are regarded as being closer to leptokurtic distributions, as

Leptokurtic, Mesokurtic and Platykurtic

There are three basic data set distributions: leptokurtic, mesokurtic and platykurtic.

Leptokurtic distributions have data points on the X-axis that sit clustered and, thus, ha
leptokurtic distributions are higher than normal distributions and are significantly high
tails that correspond with their high peaks, meaning that their distribution is more hea
directly opposite of platykurtic distributions.

The kurtosis is a measurement of the ends of a distribution and is used to dictate the s
distribution’s tails, kurtosis also works to measure the distribution’s peak. The coefficie
Gaussian distribution, with neither thin or fat tails. Thus, data distributions with a kurt
data distributions with a kurtosis of less than three – platykurtic distributions – have th
Read more: Platykurtic https://www.investopedia.com/terms/p/platykurtic.asp#ixzz59
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DEFINITION of 'Excess Kurtosis'

Excess kurtosis is a statistical term describing that a probability, or return distribution,

with a normal distribution, which is around 3. This signals that the probability of obtain
higher than would be found in a probabilistically normal distribution of outcomes.

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BREAKING DOWN 'Excess Kurtosis'

Kurtosis refers to the size of the tails on a distribution. The tails of a distribution measu
normal range. Excess kurtosis means the distribution of event outcomes have lots of in
distribution curve. This means the event in question is prone to extreme outcomes. It
returns from a stock or portfolio, for example. The higher the kurtosis coefficient is ab
distribution graph, the more likely that future returns will be either extremely large or

Example of Excess Kurtosis

For example, if you track the closing value of stock ABC every day for a year you will ha
build a graph with the closing values along the "X" axis and the number of instances of
create a bell-shaped curve showing the distribution of the stock's closing values. If the
graph will have a very slender and steep bell-shaped curve. If the closing values vary w
The "tails" of this bell will show you how often heavily deviated closing prices occurred
side of the bell. 
Stock prices that have a higher likelihood of outliers either on the positive or negative

DEFINITION of 'Uniform Distribution'

In statistics, a type of probability distribution in which all outcomes are equally likely. A
drawing a heart, a club, a diamond or a spade is equally likely. A coin also has a uniform
in a coin toss is the same.

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BREAKING DOWN 'Uniform Distribution'

There are two types of uniform distributions: discrete and continuous. The possible re
distribution: it is possible to roll a 1, 2, 3, 4, 5 or 6, but it is not possible to roll a 2.3, 4.7

Uniform distribution is a statistical probability definition whereby every variable has th

statisticians, mathematicians and investors to organize, analyze and display variable pr

Understanding Uniform Distributions

A distribution is a simple way to appear in a set of data, either in a graph or in a list of

probability. There are many different types of probability distributions, yet uniform dis
the bell curve distribution, as it is often used in college grading systems. Usually, stude
students achieving an average mark, with a few at either end achieving a very poor or
However, a uniform distribution is a set of variables that all have the exact same possi
graph, has the exact same height of each bar and a standard number of bars. In this w
as the rectangle distribution. If you think about the possibility of pulling each suit's fac
chance of pulling the jack of hearts as there is for pulling the king of spades.

Continuous Uniform Distributions

The other type of uniform distributions is continuous. An idealized random number ge

Functions of Distributions

There are also multiple functions associated with distributions to help consider variabl
include probability density function, cumulative density and moment generating functi

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What is the 'Long Tail'

The long tail, in business, is a phrase coined by Chris Anderson in 2004. Anderson argu
collectively make up a market share that rivals or exceeds the relatively few current be
channel is large enough.

BREAKING DOWN 'Long Tail'

Chris Anderson is a British-American writer and editor most notably known for his wor
after writing about the concept in Wired Magazine where he was editor-in-chief. In 20
of Business Is Selling Less of More.”
The Long Tail Concept

The long tail concept looks at less popular goods in lower demand. Anderson argues th
navigating away from mainstream markets. This theory is supported by the growing nu
space and allow an unmeasurable number of products to be sold, specifically through

Long Tail Goods

Anderson’s research shows the demand overall for these less popular goods as a comp
While mainstream products achieve a greater number of hits through leading distributi
on their profitability. In comparison, long tail goods have remained in the market over
These goods have low distribution and production costs, yet are readily available for sa

Long Tail Probability Distribution

The long tail of a distribution represents a period in time when sales for less common p
distribution costs. Overall, long tail occurs when sales are made for goods not common
and distribution costs.

The long tail also serves as a statistical property that states a larger share of population

The head and long tail graphic depicted by Anderson in his research represents this co
economy is likely to shift from one of mass-market buying to an economy of niche buy

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KURT function
Applies To: Excel 2016 Excel 2013 Excel 2010 Excel 2007 Excel 2016 for Mac More...

This article describes the formula syntax and usage of the KURT function in Microsoft E

Description

Returns the kurtosis of a data set. Kurtosis characterizes the relative peakedness or fla
Positive kurtosis indicates a relatively peaked distribution. Negative kurtosis indicates

Syntax

KURT(number1, [number2], ...)

The KURT function syntax has the following arguments:

Number1, number2, ...    Number1 is required, subsequent numbers are optional. 1 to

also use a single array or a reference to an array instead of arguments separated by co

Remarks

Arguments can either be numbers or names, arrays, or references that contain numbe

Logical values and text representations of numbers that you type directly into the list o

If an array or reference argument contains text, logical values, or empty cells, those va

Arguments that are error values or text that cannot be translated into numbers cause

If there are fewer than four data points, or if the standard deviation of the sample equ
Kurtosis is defined as: 

where s is the sample standard deviation.

Example

Copy the example data in the following table, and paste it in cell A1 of a new Excel wor
press Enter. If you need to, you can adjust the column widths to see all the data.

Data

Formula
To calculate kurtosis in Excel, you use the KURT function. The first has a peak at its cen
positive. The second is platykurtic; its kurtosis is negative.

Negative? Wait a second. How can that be? Kurtosis involves the sum of fourth power
the fourth power of a negative deviation is positive. If you’re adding all positive numbe

Here’s how. The formula for kurtosis is

where 
 is the mean of the scores, N is the number of scores, and s is the standard deviation.
Uh, why 3? The 3 comes into the picture because that’s the kurtosis of something spec
refer to this formula as kurtosis excess — meaning that it shows the kurtosis in a set of
If you’re about to ask the question “Why is the kurtosis of the standard normal distribu
This is another formula you’ll probably never use because Excel’s KURT function takes
selected cell, and the Function Arguments dialog box for KURT.
To use KURT:
Enter your numbers into a worksheet and select a cell for the result.
For this example, you enter scores into the first ten rows of columns B, C, D, and E. You
From the Statistical Functions menu, select KURT to open the Function Arguments dial
In the Function Arguments dialog box, enter the appropriate values for the arguments
In the Number1 box, enter the array of cells that holds the data. Here, the array is B1:E
shows the kurtosis, which for this example is negative.
Click OK to put the result into the selected cell.
Using KURT to calculate kurtosis.
Descripti
on Result

Kurtosis
of the
data set
above -0.151799637
DEFINITION of 'Stutzer Index'

A performance measure that rewards portfolios with a lower probability of underperfo

negative skewness and high kurtosis - such a distribution will have a lower Stutzer inde

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BREAKING DOWN 'Stutzer Index'

This measure differs from the Sharpe ratio in that it does not assume that returns are
shape of the distribution of returns. Where the distribution is normal, the Stutzer inde

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For the planarity measure in graph theory, see Graph skewness.

Example distribution with non-zero (positive) skewness. These data are from experime

In probability theory and statistics, skewness is a measure of the asymmetry of the pro

skewness value can be positive or negative, or undefined.

The qualitative interpretation of the skew is complicated and unintuitive. Skew does n

is true. For a unimodal distribution, negative skew indicates that the tail on the left sid
does not distinguish these two kinds of shape. Conversely, positive skew indicates that
one tail is long but the other tail is fat, skewness does not obey a simple rule. For exam
overall; this is the case for a symmetric distribution, but is also true for an asymmetric
thin, and the other being short but fat. Further, in multimodal distributions and discret
skewness does not determine the relationship of mean and median. In cases where it
Consider the two distributions in the figure just below. Within each graph, the values o
left side. These tapering sides are called tails, and they provide a visual means to deter

negative skew: The left tail is longer; the mass of the distribution is concentrated on th

positive skew: The right tail is longer; the mass of the distribution is concentrated on t
Pr[X>x]=x−2 for x>1, Pr[X<1]=0

where the third cumulants are infinite, or as when

Pr[X<x]=(1−x)−3/2 for negative x and Pr[X>x]=(1+x)−3/2 for positive x.

where the third cumulant is undefined.

Properties[edit]
Starting from a standard cumulant expansion around a normal distribution, one can sh
skewness = 6 (mean − median)/standard deviation (1 + kurtosis/8) + O (skewness2).[citati

If Y is the sum of n independent and identically distributed random variables, all with t

Skewness in a data series may sometimes be observed not only graphically but by simp
Sample skewness[edit]
Relationship of mean and median[edit]

The skewness is not directly related to the relationship between the mean and median
In the older notion of nonparametric skew, defined as (μ−ν)/σ,
 where µ is the mean, ν is the median, and σ is the standard deviation, the skewness is
means the mean is greater than (to the right of) the median, while negative/left nonpa
However, the modern definition of skewness and the traditional nonparametric definiti
of distributions, they differ in general, and conflating them is misleading.
If the distribution is symmetric, then the mean is equal to the median, and the distribu
the mean = median = mode. This is the case of a coin toss or the series 1,2,3,4,... Note
not imply that the mean is equal to the median.

Paul T. von Hippel points out: "Many textbooks, teach a rule of thumb stating that the
left skew. This rule fails with surprising frequency. It can fail in multimodal distribution
commonly, though, the rule fails in discrete distributions where the areas to the left an
the textbook relationship between mean, median, and skew, they also contradict the t
Another common definition of the sample skewness is[6][7]
Definition[edit]
Pearson's moment coefficient of skewness[edit]
The skewness of a random variable X is the third standardized moment γ1, defined as:[

γ1=E⁡[(X−μσ)3]=μ3σ3=E⁡[(X−μ)3]   (E⁡[(X−μ)2])3/2=κ3κ23/2
 is the unique symmetric unbiased estimator of the third cumulant and k2=s2
 is the symmetric unbiased estimator of the second cumulant (i.e. the variance).

where μ is the mean, σ is the standard deviation, E is the expectation operator, μ3 is th

to as Pearson's moment coefficient of skewness,[5] or simply the moment coefficient
statistics (see below). The last equality expresses skewness in terms of the ratio of the
analogous to the definition of kurtosis as the fourth cumulant normalized by the squar
Skewness can be expressed in terms of the non-central moment E[X3] by expanding th
γ1=E⁡[(X−μσ)3]=E⁡[X3]−3μE⁡[X2]+3μ2E⁡[X]−μ3σ3=E⁡[X3]−3μ(E⁡[X2]−μE⁡[X])−μ3σ3=E⁡[X3]−3μσ
; their expected values can even have the opposite sign from the true skewness. (For in
−99, 0.5, and 2 with weights 0.01, 0.66, and 0.33 has a skewness of about −9.77, but in
 has an expected value of about 0.32, since usually all three samples are in the positive
Nevertheless, b1
 and G1
 each have obviously the correct expected value of zero for any symmetric distribution
Under the assumption that the underlying random variable X
 is normally distributed, it can be shown that nb1→dN(0,6)
. The variance of the skewness of a random sample of size n from a normal distribution
var⁡(G1)=6n(n−1)(n−2)(n+1)(n+3).

An approximate alternative is 6/n, but this is inaccurate for small samples.

In normal samples, b1
 has the smaller variance of the two estimators, with
var⁡(b1)<var⁡(m3m23/2)<var⁡(G1),

where m2 in the denominator is the (biased) sample second central moment.[6]

The adjusted Fisher–Pearson standardized moment coefficient G1
 is the version found in Excel and several statistical packages including Minitab, SAS an

Applications[edit]
Skewness has few benefits as it is not often used in statistical analysis. Aside from indi
deviates from normal, skewness itself offers few analytical insights I.E. aside from calcu
further calculations.

Many models assume normal distribution; i.e., data are symmetric about the mean. Th
not be perfectly symmetric. So, an understanding of the skewness of the dataset indic
D'Agostino's K-squared test is a goodness-of-fit normality test based on sample skewn

Other measures of skewness[edit]

Comparison of mean, median and mode of two log-normal distributions with different

Other measures of skewness have been used, including simpler calculations suggested
skewness, see above). These other measures are:
Pearson's first skewness coefficient (mode skewness)[edit]
The Pearson mode skewness,[12] or first skewness coefficient, is defined as
mean − mode/standard deviation.
Pearson's second skewness coefficient (median skewness)[edit]
The Pearson median skewness, or second skewness coefficient, [13][14] is defined as
3 (mean − median)/standard deviation.
The latter is a simple multiple of the nonparametric skew.
Quantile-based measures[edit]
Bowley's measure of skewness (from 1901), [15][16] also called Yule's coefficient (from 19
B1=Q3+Q1−2Q2Q3−Q1
.
When writing it as Q3+Q12−Q2Q3−Q12
, it is easier to see that the numerator is the average of the upper and lower quartiles
Q1)/2 which (for symmetric distributions) is the MADmeasure of dispersion.
Other names for this measure are Galton's measure of skewness, [19] the Yule–Kendall i
A more general formulation of a skewness function was described by Groeneveld, R. A
γ(u)=F−1(u)+F−1(1−u)−2F−1(1/2)F−1(u)−F−1(1−u)
where F is the cumulative distribution function. This leads to a corresponding overall m
1/2 ≤ u < 1. Another measure can be obtained by integrating the numerator and denom
well defined without requiring the existence of any moments of the distribution. [21]
Bowley's measure of skewness is γ(u) evaluated at u = 3/4. Kelley's measure of skewne
Groeneveld & Meeden’s coefficient[edit]
Groeneveld & Meeden have suggested, as an alternative measure of skewness,[21]
B3=skew(X)=(μ−ν)E(|X−ν|),

where μ is the mean, ν is the median, |…| is the absolute value, and E() is the expecta
coefficient.
L-moments[edit]
Use of L-moments in place of moments provides a measure of skewness known as the
Distance skewness[edit]

A value of skewness equal to zero does not imply that the probability distribution is sy
 denotes the norm in the Euclidean space, then a simple measure of asymmetry is
dSkew⁡(X):=1−E⁡‖X−X′‖E⁡‖X+X′‖ if Pr(X=0)≠1

and dSkew(X) := 0 for X = 0 (with probability 1). Distance skewness is always between 0
same probability distribution) and equals 1 if and only if X is a nonzero constant with p
symmetry based on the sample distance skewness:
dSkewn⁡(X):=1−∑i,j‖xi−xj‖∑i,j‖xi+xj‖.

Medcouple[edit]
The medcouple is a scale-invariant robust measure of skewness, with a breakdown po
h(xi,xj)=(xi−xm)−(xm−xj)xi−xj

taken over all couples (xi,xj)

 such that xi≥xm≥xj
, where xm
 is the median of the sample {x1,x2,…,xn}
. It can be seen as the median of all possible quantile skewness measures.
What is 'Tail Risk'

Tail risk is a form of portfolio risk that arises when the possibility that an investment w
greater than what is shown by a normal distribution. Tail risks include events that have
distribution curve.

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BREAKING DOWN 'Tail Risk'

Traditional portfolio strategies typically follow the idea that market returns follow a no

Normal Distribution

When a portfolio of investments is put together, it is assumed that the distribution of r

Distribution Tails

Stock market returns tend to follow a normal distribution that has excess kurtosis. Kur
follow a heavy or light tailed distribution in relation to the normal distribution. The nor
a security follows a distribution with kurtosis greater than three, it is said to have fat ta
situations in which extreme outcomes have occurred more than expected. Therefore,
have exceeded three standard deviations beyond the mean more than 0.03% of the ob
Hedging Against Tail Risk

Although tail events that negatively impact portfolios are rare, they may have large ne
events. Hedging against tail risk aims to enhance returns over the long-term, but inves
their portfolios to hedge against tail risk. For example, if an investor is long exchange-t
500), the investor could hedge against tail risk by purchasing derivatives on the Chicag
correlated to the S&P 500.

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 Month Infosys RIL Biocon SBI
201406
201407 104% 99% 89% 91%
201408 107% 99% 99% 101%
201409 104% 95% 107% 99%
201410 108% 106% 90% 111%
201411 108% 99% 102% 119%
201412 90% 90% 93% 97%
201501 109% 103% 97% 99%
201502 107% 95% 103% 97%
201503 97% 95% 110% 89%
201504 88% 105% 96% 101%
201505 104% 102% 100% 103%
201506 97% 114% 102% 94%
201507 109% 100% 99% 103%
201508 102% 86% 97% 91%
201509 106% 100% 100% 96%
201510 98% 110% 102% 100%
201511 96% 102% 102% 106%
201512 101% 105% 112% 90%
201601 105% 102% 95% 80%
201602 93% 93% 96% 88%
201603 112% 108% 103% 123%
201604 99% 94% 121% 97%
201605 103% 98% 122% 108%
201606 94% 101% 103% 107%
201607 92% 105% 112% 105%
201608 97% 104% 111% 110%
201609 100% 102% 102% 99%
201610 97% 97% 99% 103%
201611 97% 94% 99% 100%
201612 104% 109% 104% 97%
201701 92% 97% 106% 104%
201702 109% 119% 111% 104%
201703 101% 107% 101% 109%
201704 90% 106% 98% 99%
201705 106% 96% 86% 100%
201706 97% 107% 104% 100%
Return
AM 0.62% 1.18% 2.04% 0.53%
GM 0.42% 0.97% 1.75% 0.20%
HPR 16% 41% 87% 8%
Annualized
Annualized AM 8% 15% 27% 7%
Annualized GM 5% 12% 23% 2%
Annualized HPR 5% 12% 23% 2%
Tata Steel BSE Sensex

105% 102%
93% 103%
89% 100%
107% 105%
97% 103%
84% 96%
98% 106%
91% 101%
89% 95%
114% 97%
91% 103%
93% 100%
81% 101%
91% 93%
94% 100%
116% 102%
93% 98%
113% 100%
96% 95%
100% 92%
128% 110%
110% 101%
95% 104%
96% 101%
110% 104%
104% 101%
101% 98%
108% 100%
103% 95%
94% 100%
118% 104%
104% 104%
100% 103%
93% 101%
112% 104%
100% 100%

0.38% 0.63%
-0.11% 0.57%
-4% 23%

5% 8%
-1% 7%
-1% 7%
 Month Infosys RIL Biocon SBI
201406 811.61 1,014.70 176.65 268.59
201407 841.43 1,006.00 156.65 243.98
201408 898.5 999.25 154.92 246.05
201409 936.91 945.35 166 244.24
201410 1,012.86 999.2 149.33 270.17
201411 1,089.81 990.85 151.85 321.45
201412 985.6 891.15 141.73 311.85
201501 1,071.38 915.35 138.05 310
201502 1,147.43 866.25 142.5 301.6
201503 1,108.30 824.7 156.5 267
201504 971.2 862.85 150.97 270.05
201505 1,011.20 877.15 150.45 278.15
201506 985.35 1,000.45 153.78 262.8
201507 1,078.05 1,001.65 152.53 270.4
201508 1,095.20 856.8 148.03 247.1
201509 1,160.45 860.5 147.87 237.25
201510 1,136.05 947.85 151.55 237.2
201511 1,088.45 968 153.88 250.45
201512 1,104.55 1,012.60 172.68 224.4
201601 1,164.85 1,035.05 163.53 179.95
201602 1,083.75 966.55 156.32 158.4
201603 1,217.95 1,045.25 160.7 194.3
201604 1,210.85 982.55 195.18 188.95
201605 1,249.85 958.95 238.86 204.85
201606 1,170.75 969.45 246.9 218.65
201607 1,073.95 1,015.50 276.21 229.05
201608 1,036.80 1,058.00 305.66 252.55
201609 1,038.10 1,082.10 311.36 250.7
201610 1,002.50 1,051.20 308.65 257.85
201611 975.45 992.75 305.53 258.4
201612 1,010.70 1,080.10 317.03 249.75
201701 929.3 1,043.40 336.56 260
201702 1,012.30 1,238.25 374.38 269.2
201703 1,020.80 1,319.20 377.83 292.6
201704 919.4 1,394.80 368.45 289.45
201705 976.95 1,340.60 316.3 288.55
201706 943.35 1,435.00 329.7 288.85

AM
Variance
SD
Weight
Tata Steel BSE Sensex Infosys RIL Biocon SBI
528.3 25413.78
553.4 25894.97 3.67% -0.86% -11.32% -9.16%
513.55 26638.11 6.78% -0.67% -1.10% 0.85%
459.3 26630.51 4.27% -5.39% 7.15% -0.74%
489.35 27865.83 8.11% 5.70% -10.04% 10.62%
473.3 28693.99 7.60% -0.84% 1.69% 18.98%
399.35 27499.42 -9.56% -10.06% -6.66% -2.99%
390.45 29182.95 8.70% 2.72% -2.60% -0.59%
355.65 29361.5 7.10% -5.36% 3.22% -2.71%
316.85 27957.49 -3.41% -4.80% 9.82% -11.47%
360.5 27011.31 -12.37% 4.63% -3.53% 1.14%
328.5 27828.44 4.12% 1.66% -0.34% 3.00%
304.7 27780.83 -2.56% 14.06% 2.21% -5.52%
247.3 28114.56 9.41% 0.12% -0.81% 2.89%
225.05 26283.09 1.59% -14.46% -2.95% -8.62%
211.9 26154.83 5.96% 0.43% -0.11% -3.99%
246.75 26656.83 -2.10% 10.15% 2.49% -0.02%
230.05 26145.67 -4.19% 2.13% 1.54% 5.59%
259.55 26117.54 1.48% 4.61% 12.22% -10.40%
250.05 24870.69 5.46% 2.22% -5.30% -19.81%
249.1 23002 -6.96% -6.62% -4.41% -11.98%
319.5 25341.86 12.38% 8.14% 2.80% 22.66%
350.55 25606.62 -0.58% -6.00% 21.46% -2.75%
334.45 26667.96 3.22% -2.40% 22.38% 8.41%
321.9 26999.72 -6.33% 1.09% 3.37% 6.74%
354.75 28051.86 -8.27% 4.75% 11.87% 4.76%
370.45 28452.17 -3.46% 4.19% 10.66% 10.26%
374.4 27865.96 0.13% 2.28% 1.86% -0.73%
404.65 27930.21 -3.43% -2.86% -0.87% 2.85%
414.95 26652.81 -2.70% -5.56% -1.01% 0.21%
391.1 26626.46 3.61% 8.80% 3.76% -3.35%
462.4 27655.96 -8.05% -3.40% 6.16% 4.10%
482.65 28743.32 8.93% 18.67% 11.24% 3.54%
482.65 29620.5 0.84% 6.54% 0.92% 8.69%
448.85 29918.4 -9.93% 5.73% -2.48% -1.08%
504.9 31145.8 6.26% -3.89% -14.15% -0.31%
507.4 31138.21 -3.44% 7.04% 4.24% 0.10%

0.62% 1.18% 2.04% 0.53%

0.41% 0.44% 0.62% 0.69%
6.40% 6.66% 7.87% 8.28%
Tata Steel BSE Sensex Infosys RIL Biocon SBI

4.75% 1.89% 0.00% -2.04% -13.36% -9.70%

-7.20% 2.87% 0.00% -1.85% -3.14% 0.00%
-10.56% -0.03% 0.00% -6.57% 0.00% -1.27%
6.54% 4.64% 0.00% 0.00% -12.08% 0.00%
-3.28% 2.97% 0.00% -2.02% -0.35% 0.00%
-15.62% -4.16% -10.18% -11.24% -8.70% -3.52%
-2.23% 6.12% 0.00% 0.00% -4.63% -1.13%
-8.91% 0.61% 0.00% -6.54% 0.00% -3.24%
-10.91% -4.78% -4.03% -5.98% 0.00% -12.01%
13.78% -3.38% -12.99% 0.00% -5.57% 0.00%
-8.88% 3.03% 0.00% 0.00% -2.38% 0.00%
-7.25% -0.17% -3.18% 0.00% 0.00% -6.05%
-18.84% 1.20% 0.00% -1.06% -2.85% 0.00%
-9.00% -6.51% 0.00% -15.64% -4.99% -9.15%
-5.84% -0.49% 0.00% -0.75% -2.15% -4.52%
16.45% 1.92% -2.72% 0.00% 0.00% -0.55%
-6.77% -1.92% -4.81% 0.00% -0.50% 0.00%
12.82% -0.11% 0.00% 0.00% 0.00% -10.93%
-3.66% -4.77% 0.00% 0.00% -7.34% -20.34%
-0.38% -7.51% -7.58% -7.80% -6.45% -12.51%
28.26% 10.17% 0.00% 0.00% 0.00% 0.00%
9.72% 1.04% -1.20% -7.18% 0.00% -3.29%
-4.59% 4.14% 0.00% -3.58% 0.00% 0.00%
-3.75% 1.24% -6.95% -0.09% 0.00% 0.00%
10.21% 3.90% -8.89% 0.00% 0.00% 0.00%
4.43% 1.43% -4.08% 0.00% 0.00% 0.00%
1.07% -2.06% -0.49% 0.00% -0.17% -1.27%
8.08% 0.23% -4.05% -4.04% -2.91% 0.00%
2.55% -4.57% -3.32% -6.74% -3.05% -0.32%
-5.75% -0.10% 0.00% 0.00% 0.00% -3.88%
18.23% 3.87% -8.67% -4.58% 0.00% 0.00%
4.38% 3.93% 0.00% 0.00% 0.00% 0.00%
0.00% 3.05% 0.00% 0.00% -1.12% 0.00%
-7.00% 1.01% -10.55% 0.00% -4.52% -1.61%
12.49% 4.10% 0.00% -5.07% -16.19% -0.84%
0.50% -0.02% -4.06% 0.00% 0.00% -0.43%

0.38% 0.63% -2.72% -2.58% -2.85% -2.96%

1.05% 0.14% 0.14% 0.14% 0.17% 0.23%
10.26% 3.71% 3.77% 3.78% 4.18% 4.81%
35% 15% 21% 14%
Tata Steel BSE Sensex Portfolio

0.00% 0.00% -4.49%

-7.58% 0.00% -2.08%
-10.95% -0.66% -2.82%
0.00% 0.00% -2.54%
-3.66% 0.00% -0.93%
-16.01% -4.80% -9.96%
-2.61% 0.00% -1.53%
-9.30% -0.02% -2.84%
-11.29% -5.41% -5.71%
0.00% -4.02% -5.68%
-9.26% 0.00% -1.90%
-7.63% -0.80% -3.12%
-19.22% 0.00% -3.67%
-9.38% -7.15% -6.10%
-6.23% -1.12% -2.15%
0.00% 0.00% -1.02%
-7.15% -2.55% -2.86%
0.00% -0.74% -1.56%
-4.04% -5.41% -5.05%
-0.76% -8.15% -7.05%
0.00% 0.00% 0.00%
0.00% 0.00% -1.95%
-4.98% 0.00% -1.29%
-4.14% 0.00% -3.05%
0.00% 0.00% -3.09%
0.00% 0.00% -1.42%
0.00% -2.69% -0.39%
0.00% -0.40% -2.62%
0.00% -5.21% -2.84%
-6.13% -0.73% -1.48%
0.00% 0.00% -3.69%
0.00% 0.00% 0.00%
-0.38% 0.00% -0.29%
-7.39% 0.00% -5.96%
0.00% 0.00% -4.28%
0.00% -0.66% -1.47%

-4.11% -1.40% -2.97%

0.26% 0.05% 0.05%
5.07% 2.32% 2.18%
15% 100%
 Month Infosys RIL Biocon SBI Tata Steel
201406 811.61 1,014.70 176.65 268.59 528.3
201407 841.43 1,006.00 156.65 243.98 553.4
201408 898.5 999.25 154.92 246.05 513.55
201409 936.91 945.35 166 244.24 459.3
201410 1,012.86 999.2 149.33 270.17 489.35
201411 1,089.81 990.85 151.85 321.45 473.3
201412 985.6 891.15 141.73 311.85 399.35
201501 1,071.38 915.35 138.05 310 390.45
201502 1,147.43 866.25 142.5 301.6 355.65
201503 1,108.30 824.7 156.5 267 316.85
201504 971.2 862.85 150.97 270.05 360.5
201505 1,011.20 877.15 150.45 278.15 328.5
201506 985.35 1,000.45 153.78 262.8 304.7
201507 1,078.05 1,001.65 152.53 270.4 247.3
201508 1,095.20 856.8 148.03 247.1 225.05
201509 1,160.45 860.5 147.87 237.25 211.9
201510 1,136.05 947.85 151.55 237.2 246.75
201511 1,088.45 968 153.88 250.45 230.05
201512 1,104.55 1,012.60 172.68 224.4 259.55
201601 1,164.85 1,035.05 163.53 179.95 250.05
201602 1,083.75 966.55 156.32 158.4 249.1
201603 1,217.95 1,045.25 160.7 194.3 319.5
201604 1,210.85 982.55 195.18 188.95 350.55
201605 1,249.85 958.95 238.86 204.85 334.45
201606 1,170.75 969.45 246.9 218.65 321.9
201607 1,073.95 1,015.50 276.21 229.05 354.75
201608 1,036.80 1,058.00 305.66 252.55 370.45
201609 1,038.10 1,082.10 311.36 250.7 374.4
201610 1,002.50 1,051.20 308.65 257.85 404.65
201611 975.45 992.75 305.53 258.4 414.95
201612 1,010.70 1,080.10 317.03 249.75 391.1
201701 929.3 1,043.40 336.56 260 462.4
201702 1,012.30 1,238.25 374.38 269.2 482.65
201703 1,020.80 1,319.20 377.83 292.6 482.65
201704 919.4 1,394.80 368.45 289.45 448.85
201705 976.95 1,340.60 316.3 288.55 504.9
201706 943.35 1,435.00 329.7 288.85 507.4
Return
Risk
Beta
Weight
Sys Risk
Unsys Risk
Sharpe Ratio
Coeffecient of Variation
BSE Sensex Infosys RIL Biocon SBI Tata Steel BSE Sensex
25413.78
25894.97 3.67% -0.86% -11.32% -9.16% 4.75% 1.89%
26638.11 6.78% -0.67% -1.10% 0.85% -7.20% 2.87%
26630.51 4.27% -5.39% 7.15% -0.74% -10.56% -0.03%
27865.83 8.11% 5.70% -10.04% 10.62% 6.54% 4.64%
28693.99 7.60% -0.84% 1.69% 18.98% -3.28% 2.97%
27499.42 -9.56% ### -6.66% -2.99% -15.62% -4.16%
29182.95 8.70% 2.72% -2.60% -0.59% -2.23% 6.12%
29361.5 7.10% -5.36% 3.22% -2.71% -8.91% 0.61%
27957.49 -3.41% -4.80% 9.82% -11.47% -10.91% -4.78%
27011.31 -12.37% 4.63% -3.53% 1.14% 13.78% -3.38%
27828.44 4.12% 1.66% -0.34% 3.00% -8.88% 3.03%
27780.83 -2.56% 14.06% 2.21% -5.52% -7.25% -0.17%
28114.56 9.41% 0.12% -0.81% 2.89% -18.84% 1.20%
26283.09 1.59% ### -2.95% -8.62% -9.00% -6.51%
26154.83 5.96% 0.43% -0.11% -3.99% -5.84% -0.49%
26656.83 -2.10% 10.15% 2.49% -0.02% 16.45% 1.92%
26145.67 -4.19% 2.13% 1.54% 5.59% -6.77% -1.92%
26117.54 1.48% 4.61% 12.22% -10.40% 12.82% -0.11%
24870.69 5.46% 2.22% -5.30% -19.81% -3.66% -4.77%
23002 -6.96% -6.62% -4.41% -11.98% -0.38% -7.51%
25341.86 12.38% 8.14% 2.80% 22.66% 28.26% 10.17%
25606.62 -0.58% -6.00% 21.46% -2.75% 9.72% 1.04%
26667.96 3.22% -2.40% 22.38% 8.41% -4.59% 4.14%
26999.72 -6.33% 1.09% 3.37% 6.74% -3.75% 1.24%
28051.86 -8.27% 4.75% 11.87% 4.76% 10.21% 3.90%
28452.17 -3.46% 4.19% 10.66% 10.26% 4.43% 1.43%
27865.96 0.13% 2.28% 1.86% -0.73% 1.07% -2.06%
27930.21 -3.43% -2.86% -0.87% 2.85% 8.08% 0.23%
26652.81 -2.70% -5.56% -1.01% 0.21% 2.55% -4.57%
26626.46 3.61% 8.80% 3.76% -3.35% -5.75% -0.10%
27655.96 -8.05% -3.40% 6.16% 4.10% 18.23% 3.87%
28743.32 8.93% 18.67% 11.24% 3.54% 4.38% 3.93%
29620.5 0.84% 6.54% 0.92% 8.69% 0.00% 3.05%
29918.4 -9.93% 5.73% -2.48% -1.08% -7.00% 1.01%
31145.8 6.26% -3.89% -14.15% -0.31% 12.49% 4.10%
31138.21 -3.44% 7.04% 4.24% 0.10% 0.50% -0.02%
0.62% 1.18% 2.04% 0.53% 0.38% 0.63%
6.40% 6.66% 7.87% 8.28% 10.26% 3.71%
0.82 0.81 0.34 1.55 1.18 1.00
27% 1% 39% 0% 32% 100%
3.05% 3.00% 1.25% 5.73% 4.39% 3.71%
3.35% 3.67% 6.63% 2.56% 5.87% 0.00%
0.10 0.18 0.26 0.06 0.04 0.17
9.67% 17.71% 25.89% 6.44% 3.74% 17.07%
Portfolio

-1.97%
-0.93%
0.50%
0.40%
1.65%
-10.37%
0.64%
0.25%
-0.61%
-0.24%
-1.85%
-1.94%
-3.83%
-3.83%
-0.31%
5.85%
-2.67%
9.41%
-1.76%
-3.83%
13.64%
11.35%
8.19%
-1.57%
5.81%
4.76%
1.15%
1.29%
-0.39%
0.74%
6.07%
8.52%
0.68%
-5.82%
0.05%
1.01%
1.11%
4.91%
0.75

2.77%
2.15%
0.23
22.62%
 Month Infosys RIL Biocon SBI Tata Steel
201406 811.61 1,014.70 176.65 268.59 528.3
201407 841.43 1,006.00 156.65 243.98 553.4
201408 898.5 999.25 154.92 246.05 513.55
201409 936.91 945.35 166 244.24 459.3
201410 1,012.86 999.2 149.33 270.17 489.35
201411 1,089.81 990.85 151.85 321.45 473.3
201412 985.6 891.15 141.73 311.85 399.35
201501 1,071.38 915.35 138.05 310 390.45
201502 1,147.43 866.25 142.5 301.6 355.65
201503 1,108.30 824.7 156.5 267 316.85
201504 971.2 862.85 150.97 270.05 360.5
201505 1,011.20 877.15 150.45 278.15 328.5
201506 985.35 1,000.45 153.78 262.8 304.7
201507 1,078.05 1,001.65 152.53 270.4 247.3
201508 1,095.20 856.8 148.03 247.1 225.05
201509 1,160.45 860.5 147.87 237.25 211.9
201510 1,136.05 947.85 151.55 237.2 246.75
201511 1,088.45 968 153.88 250.45 230.05
201512 1,104.55 1,012.60 172.68 224.4 259.55
201601 1,164.85 1,035.05 163.53 179.95 250.05
201602 1,083.75 966.55 156.32 158.4 249.1
201603 1,217.95 1,045.25 160.7 194.3 319.5
201604 1,210.85 982.55 195.18 188.95 350.55
201605 1,249.85 958.95 238.86 204.85 334.45
201606 1,170.75 969.45 246.9 218.65 321.9
201607 1,073.95 1,015.50 276.21 229.05 354.75
201608 1,036.80 1,058.00 305.66 252.55 370.45
201609 1,038.10 1,082.10 311.36 250.7 374.4
201610 1,002.50 1,051.20 308.65 257.85 404.65
201611 975.45 992.75 305.53 258.4 414.95
201612 1,010.70 1,080.10 317.03 249.75 391.1
201701 929.3 1,043.40 336.56 260 462.4
201702 1,012.30 1,238.25 374.38 269.2 482.65
201703 1,020.80 1,319.20 377.83 292.6 482.65
201704 919.4 1,394.80 368.45 289.45 448.85
201705 976.95 1,340.60 316.3 288.55 504.9
201706 943.35 1,435.00 329.7 288.85 507.4
Return
Risk
Beta
Weight
Sys Risk
Unsys Risk
Sharpe Ratio
VaR
BSE Sensex Infosys RIL Biocon SBI Tata Steel
25413.78
25894.97 3.67% -0.86% -11.32% -9.16% 4.75%
26638.11 6.78% -0.67% -1.10% 0.85% -7.20%
26630.51 4.27% -5.39% 7.15% -0.74% -10.56%
27865.83 8.11% 5.70% -10.04% 10.62% 6.54%
28693.99 7.60% -0.84% 1.69% 18.98% -3.28%
27499.42 -9.56% -10.06% -6.66% -2.99% -15.62%
29182.95 8.70% 2.72% -2.60% -0.59% -2.23%
29361.5 7.10% -5.36% 3.22% -2.71% -8.91%
27957.49 -3.41% -4.80% 9.82% -11.47% -10.91%
27011.31 -12.37% 4.63% -3.53% 1.14% 13.78%
27828.44 4.12% 1.66% -0.34% 3.00% -8.88%
27780.83 -2.56% 14.06% 2.21% -5.52% -7.25%
28114.56 9.41% 0.12% -0.81% 2.89% -18.84%
26283.09 1.59% -14.46% -2.95% -8.62% -9.00%
26154.83 5.96% 0.43% -0.11% -3.99% -5.84%
26656.83 -2.10% 10.15% 2.49% -0.02% 16.45%
26145.67 -4.19% 2.13% 1.54% 5.59% -6.77%
26117.54 1.48% 4.61% 12.22% -10.40% 12.82%
24870.69 5.46% 2.22% -5.30% -19.81% -3.66%
23002 -6.96% -6.62% -4.41% -11.98% -0.38%
25341.86 12.38% 8.14% 2.80% 22.66% 28.26%
25606.62 -0.58% -6.00% 21.46% -2.75% 9.72%
26667.96 3.22% -2.40% 22.38% 8.41% -4.59%
26999.72 -6.33% 1.09% 3.37% 6.74% -3.75%
28051.86 -8.27% 4.75% 11.87% 4.76% 10.21%
28452.17 -3.46% 4.19% 10.66% 10.26% 4.43%
27865.96 0.13% 2.28% 1.86% -0.73% 1.07%
27930.21 -3.43% -2.86% -0.87% 2.85% 8.08%
26652.81 -2.70% -5.56% -1.01% 0.21% 2.55%
26626.46 3.61% 8.80% 3.76% -3.35% -5.75%
27655.96 -8.05% -3.40% 6.16% 4.10% 18.23%
28743.32 8.93% 18.67% 11.24% 3.54% 4.38%
29620.5 0.84% 6.54% 0.92% 8.69% 0.00%
29918.4 -9.93% 5.73% -2.48% -1.08% -7.00%
31145.8 6.26% -3.89% -14.15% -0.31% 12.49%
31138.21 -3.44% 7.04% 4.24% 0.10% 0.50%
0.62% 1.18% 2.04% 0.53% 0.38%
6.40% 6.66% 7.87% 8.28% 10.26%
0.82 0.81 0.34 1.55 1.18
27% 1% 39% 0% 32%
3.05% 3.00% 1.25% 5.73% 4.39%
3.35% 3.67% 6.63% 2.56% 5.87%
0.10 0.18 0.26 0.06 0.04
-7.48% -10.36% -11.60% -12.09%
BSE Sensex Portfolio

1.89% -1.97%
2.87% -0.93%
-0.03% 0.50%
4.64% 0.40%
2.97% 1.65%
-4.16% -10.37%
6.12% 0.64%
0.61% 0.25%
-4.78% -0.61%
-3.38% -0.24%
3.03% -1.85%
-0.17% -1.94%
1.20% -3.83%
-6.51% -3.83%
-0.49% -0.31%
1.92% 5.85%
-1.92% -2.67%
-0.11% 9.41%
-4.77% -1.76%
-7.51% -3.83%
10.17% 13.64%
1.04% 11.35%
4.14% 8.19%
1.24% -1.57%
3.90% 5.81%
1.43% 4.76%
-2.06% 1.15%
0.23% 1.29%
-4.57% -0.39%
-0.10% 0.74%
3.87% 6.07%
3.93% 8.52%
 3.05% 0.68%
1.01% -5.82%
4.10% 0.05%
-0.02% 1.01%
0.63% 1.11%
3.71% 4.91%
1.00 0.75
100%
3.71% 2.77%
0.00% 2.15%
0.17 0.23
-5.21% -4.33%
 Infosys RIL Biocon SBI Tata Steel BSE Sensex
Infosys 1.00
RIL 0.13 1.00
Biocon -0.08 0.13 1.00
SBI 0.19 0.26 0.16 1.00
Tata Steel -0.06 0.30 0.09 0.31 1.00
BSE Sensex 0.48 0.45 0.16 0.69 0.43 1.00
EW Portfolio 0.34 0.61 0.47 0.70 0.67 0.77
EW Portfolio

1.00
 Infosys RIL Biocon SBI Tata Steel BSE Sensex
Infosys 0.40%
RIL 0.05% 0.43%
Biocon -0.04% 0.07% 0.60%
SBI 0.10% 0.14% 0.10% 0.67%
Tata Steel -0.04% 0.20% 0.07% 0.25% 1.02%
BSE Sensex 0.11% 0.11% 0.04% 0.21% 0.16% 0.13%
EW Portfolio 0.09% 0.18% 0.16% 0.25% 0.30% 0.13%
EW Portfolio

0.60%
 Month Infosys RIL Biocon SBI Tata Steel
201406 811.61 1,014.70 176.65 268.59 528.3
201407 841.43 1,006.00 156.65 243.98 553.4
201408 898.5 999.25 154.92 246.05 513.55
201409 936.91 945.35 166 244.24 459.3
201410 1,012.86 999.2 149.33 270.17 489.35
201411 1,089.81 990.85 151.85 321.45 473.3
201412 985.6 891.15 141.73 311.85 399.35
201501 1,071.38 915.35 138.05 310 390.45
201502 1,147.43 866.25 142.5 301.6 355.65
201503 1,108.30 824.7 156.5 267 316.85
201504 971.2 862.85 150.97 270.05 360.5
201505 1,011.20 877.15 150.45 278.15 328.5
201506 985.35 1,000.45 153.78 262.8 304.7
201507 1,078.05 1,001.65 152.53 270.4 247.3
201508 1,095.20 856.8 148.03 247.1 225.05
201509 1,160.45 860.5 147.87 237.25 211.9
201510 1,136.05 947.85 151.55 237.2 246.75
201511 1,088.45 968 153.88 250.45 230.05
201512 1,104.55 1,012.60 172.68 224.4 259.55
201601 1,164.85 1,035.05 163.53 179.95 250.05
201602 1,083.75 966.55 156.32 158.4 249.1
201603 1,217.95 1,045.25 160.7 194.3 319.5
201604 1,210.85 982.55 195.18 188.95 350.55
201605 1,249.85 958.95 238.86 204.85 334.45
201606 1,170.75 969.45 246.9 218.65 321.9
201607 1,073.95 1,015.50 276.21 229.05 354.75
201608 1,036.80 1,058.00 305.66 252.55 370.45
201609 1,038.10 1,082.10 311.36 250.7 374.4
201610 1,002.50 1,051.20 308.65 257.85 404.65
201611 975.45 992.75 305.53 258.4 414.95
201612 1,010.70 1,080.10 317.03 249.75 391.1
201701 929.3 1,043.40 336.56 260 462.4
201702 1,012.30 1,238.25 374.38 269.2 482.65
201703 1,020.80 1,319.20 377.83 292.6 482.65
201704 919.4 1,394.80 368.45 289.45 448.85
201705 976.95 1,340.60 316.3 288.55 504.9
201706 943.35 1,435.00 329.7 288.85 507.4
Return
Risk
Beta
Weight
Sys Risk
Unsys Risk
Sharpe Ratio
VaR
BSE Sensex Infosys RIL Biocon SBI Tata Steel
25413.78
25894.97 3.67% -0.86% -11.32% -9.16% 4.75%
26638.11 6.78% -0.67% -1.10% 0.85% -7.20%
26630.51 4.27% -5.39% 7.15% -0.74% -10.56%
27865.83 8.11% 5.70% -10.04% 10.62% 6.54%
28693.99 7.60% -0.84% 1.69% 18.98% -3.28%
27499.42 -9.56% -10.06% -6.66% -2.99% -15.62%
29182.95 8.70% 2.72% -2.60% -0.59% -2.23%
29361.5 7.10% -5.36% 3.22% -2.71% -8.91%
27957.49 -3.41% -4.80% 9.82% -11.47% -10.91%
27011.31 -12.37% 4.63% -3.53% 1.14% 13.78%
27828.44 4.12% 1.66% -0.34% 3.00% -8.88%
27780.83 -2.56% 14.06% 2.21% -5.52% -7.25%
28114.56 9.41% 0.12% -0.81% 2.89% -18.84%
26283.09 1.59% -14.46% -2.95% -8.62% -9.00%
26154.83 5.96% 0.43% -0.11% -3.99% -5.84%
26656.83 -2.10% 10.15% 2.49% -0.02% 16.45%
26145.67 -4.19% 2.13% 1.54% 5.59% -6.77%
26117.54 1.48% 4.61% 12.22% -10.40% 12.82%
24870.69 5.46% 2.22% -5.30% -19.81% -3.66%
23002 -6.96% -6.62% -4.41% -11.98% -0.38%
25341.86 12.38% 8.14% 2.80% 22.66% 28.26%
25606.62 -0.58% -6.00% 21.46% -2.75% 9.72%
26667.96 3.22% -2.40% 22.38% 8.41% -4.59%
26999.72 -6.33% 1.09% 3.37% 6.74% -3.75%
28051.86 -8.27% 4.75% 11.87% 4.76% 10.21%
28452.17 -3.46% 4.19% 10.66% 10.26% 4.43%
27865.96 0.13% 2.28% 1.86% -0.73% 1.07%
27930.21 -3.43% -2.86% -0.87% 2.85% 8.08%
26652.81 -2.70% -5.56% -1.01% 0.21% 2.55%
26626.46 3.61% 8.80% 3.76% -3.35% -5.75%
27655.96 -8.05% -3.40% 6.16% 4.10% 18.23%
28743.32 8.93% 18.67% 11.24% 3.54% 4.38%
29620.5 0.84% 6.54% 0.92% 8.69% 0.00%
29918.4 -9.93% 5.73% -2.48% -1.08% -7.00%
31145.8 6.26% -3.89% -14.15% -0.31% 12.49%
31138.21 -3.44% 7.04% 4.24% 0.10% 0.50%
0.62% 1.18% 2.04% 0.53% 0.38%
6.40% 6.66% 7.87% 8.28% 10.26%
0.82 0.81 0.34 1.55 1.18
0% 0% 100% 0% 0%
3.05% 3.00% 1.25% 5.73% 4.39%
3.35% 3.67% 6.63% 2.56% 5.87%
0.10 0.18 0.26 0.06 0.04
BSE Sensex Portfolio

1.89% -11.32%
2.87% -1.10%
-0.03% 7.15%
4.64% -10.04%
2.97% 1.69%
-4.16% -6.66%
6.12% -2.60%
0.61% 3.22%
-4.78% 9.82%
-3.38% -3.53%
3.03% -0.34%
-0.17% 2.21%
1.20% -0.81%
-6.51% -2.95%
-0.49% -0.11%
1.92% 2.49%
-1.92% 1.54%
-0.11% 12.22%
-4.77% -5.30%
-7.51% -4.41%
10.17% 2.80%
1.04% 21.46%
4.14% 22.38%
1.24% 3.37%
3.90% 11.87%
1.43% 10.66%
-2.06% 1.86%
0.23% -0.87%
-4.57% -1.01%
-0.10% 3.76%
3.87% 6.16%
3.93% 11.24%
 3.05% 0.92%
1.01% -2.48%
4.10% -14.15%
-0.02% 4.24%
0.63% 2.04%
3.71% 7.87%
1.00 0.34
100%
3.71% 1.25%
0.00% 6.63%
0.17 0.26
-10.36%
Portfolio Return Risk Systematic Risk
A 1.06% 4.03% 2.89%
B 1.46% 4.66% 2.18%
C 2.04% 7.87% 1.25%

A 13.49% 13.96% 10.01%

B 19.00% 16.14% 7.55%
C 27.42% 27.26% 4.33%
All the numbers are annulaized
Unsystematic Risk
1.14%
2.48%
6.63%

3.95%
8.59%
22.97%
William Sharpe
Jack Treynor

John Lintner
Jan Mossin