Development of a quantitatively managed fund

The Digital Institutional Repository of IIM Bangalore

Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/123456789/9584

DC Field	Value	Language
dc.contributor.advisor	Jayadev, M	-
dc.contributor.author	Gaurkhede, Tushar Sudhakar
dc.date.accessioned	2017-09-10T14:33:26Z
dc.date.accessioned	2019-03-17T10:02:45Z	-
dc.date.available	2017-09-10T14:33:26Z
dc.date.available	2019-03-17T10:02:45Z	-
dc.date.issued	2008
dc.identifier.uri	http://repository.iimb.ac.in/handle/123456789/9584
dc.description.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)
dc.language.iso	en_US
dc.publisher	Indian Institute of Management Bangalore
dc.relation.ispartofseries	PGP-CCS-P8-047	-
dc.subject	Financial management
dc.title	Development of a quantitatively managed fund
dc.type	CCS Project Report-PGP
dc.pages	23p.
dc.identifier.accession	E32862
Appears in Collections:	2008

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