Risk-return Analysis and Portfolio Construction of S&P BSE-30 Listed Companies

Abstract

Portfolio construction is the process of choosing securities with the lowest possible risk in order to get the highest returns. A risk and return analysis are the trade-off between aids in portfolio creation. The study aims to formulate portfolio based on assessment of volatility. Exploratory research is being undertaken. For the analysis, S&P BSE listed 30 companies are considered. The data during 2017-2022 is collected from secondary sources. Using the Beta, a volatility measure, all 30 companies are divided into three portfolios. Hypothesis was tested. And Sharpe’s, Treynor’s and Jensen’s Performance Measure were calculated and Portfolio’s were ranked. It is reported that, P3 has outperformed during the years. It is concluded that when volatility < 0.5, there is no significant impact of volatility on portfolio performance whereas the portfolio with volatility more than one has reported significant impact of volatility on its performance.