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