Particulars | Portfolio | Annualised Return (%) | Annualised Stand Dev (%) | Sharpe Ratio = (Rp-Rf)/σp |
Period 2005-2014 | MCX-Comdex-Spot | 16.96 | 23.97 | 0.3837 |
MCX-Comdex-Fut | 16.30 | 20.92 | 0.4081 | |
CNX-Nifty | 23.48 | 31.07 | 0.5059 | |
Pre-Recesion (2005-06 to 2007-08) | MCX-Comdex-Spot | 33.96 | 20.78 | 1.2605 |
MCX-Comdex-Fut | 30.37 | 20.20 | 1.1190 | |
CNX-Nifty | 54.54 | 32.99 | 1.4179 | |
Resession (2008-09 to 2010-11) | MCX-Comdex -Spot | 14.90 | 27.49 | 0.2596 |
MCX-Comdex-Fut | 14.84 | 24.84 | 0.2851 | |
CNX-Nifty | 10.82 | 37.92 | 0.0806 | |
Post-Recession (April 2011 to June 2014) | MCX-Comdex-Spot | 7.45 | 22.95 | −0.0136 |
MCX-Comdex-Fut | 6.15 | 17.36 | −0.0929 | |
CNX-Nifty | 12.86 | 20.85 | 0.2445 | |
Central Govt Securities-Avg Returns (2004-05 to 2013-14) | 7.763 |