Development of a quantitatively managed fund

Abstract

The quantitative model that is used to develop the portfolio has following characteristics:_ The data is collected over a period of 10 years._ The data is obtained from Capitaline. It is the quarterly data for all listed companies._ This model is developed to screen the companies based on different parameters like Mkt Cap,EBITDAM etc._ It arrives at a portfolio from which we can choose top n stocks in descending order forrebalancing._ The model has been back tested by taking BSE 100 as the benchmark._ During back testing, the model was used to develop 12 stocks, 15 stocks, 19 stocks, 20 stocks,23 stocks and 25 stocks portfolios._ The portfolio with highest Sharpe ratio and highest values of a and ß is chosen (i.e. 15 stocksportfolio)