How were the Sharpe Ratios found given the following information?
Third image is to show the S&P index month to month.
STOCK PORTFOLIO ANALYSIS Interest Rate Transaction Sources & Uses Sources (Initial Capital - June 3, 2019) Margin Loan 50,000 Equity 50,000 Total 100,000 Interest Rate 7.00% 50.0% 50.0% 100.0% Uses Stocks Cash Total Anount $ 88,500 $ 11,500 $ 100,000 88.5% 11.5% 100.0% 1.50% SUMMARY $ $ Portfolio Return Analysis Summary Equity Cash Flow Summary Portfolio Value (incl. Cash) Portflio Appreciation/(Depreciation) - P Cummulative Appreciation S&P 500 (Market - M) 3-Jun-191-Jul-191-Aug-192-Sep-191 (50.000) $ (27) $ 1,593 $ 2,815 $ 100,000 $ 99,473 $ 105,065 $ 108,080 $ -0.527% 5.622% 2.869% -0.527% 5.095% 7.964% 0.091% 2.180% 3.111% -Oct-191 (3) $ 110,477 $ 2.218% 10.182% 1.293% -NOV-19 2-Dec-19 (97) $ 64,608 114,280 3.443% 13.625% 3.745% Portfolio Returns/Analysis HPR (Unlevered) - Risky Portfolio HPR (Levered) Average Monthly Returns (N-1) Standard Deviation Sharpe Ratio Correletion (Portfolio and S&P) S&P Return/Analysis 13.34% (assuming no debt) 37.78% 2.72% Average Monthly Returns (n-1) 2.22% Standard Deviation 1.170 Sharpe Ratio 0.659 2.08% 1.45% 1.350 x M M^2 Portfolio Vs S&P 500 P (Y - Avg Y) (X - Avg X) 0.06 Monthly Change % -0.03252 0.02897 0.00144 -0.00507 0.00718 -0.01993 0.00096 0.01027 -0.00791 0.01661 0.00065 0.00003 0.00001 0.00004 0.00012 0.00040 0.00000 0.00011 0.00006 0.00028 Portfolio S&P 500 0.00085 0.00084 Beta (Slope) = 1.0096 Months Regression Statistics Regression Statistics Multiple R 0.6589 R Square 0.43420968 Adjusted R Squar -1.6667 Standard Error 0.0193 Observations ANOVA SS Regression Residual Total cows 2.3023 MS 0.0002 0.0004 0.0009 0.0011 0.0020 Coefficients Standard Errort Stat P-value Intercept X Variable 4 X Variable 5 0.0062 .0096 0.0163 0.6654 0.3802 1.51730 0.7291 .2265 Lower 95% Upper 95% Lower 95.0% Upper 95.0% -1.3756 1.3881 -0.0458 0.0582 -0.0458 0.0582 -1.10793 .1270 -1.1079 3 .1270 1 CASH FLOW ANALYSIS IRR per month 3-Jun-19 50,000 1-Aug-192-Sep-19 11,473 13,065 1-Oct-19 15,880 1-Nov-19 15,877 2-Dec-19 15,780 Beginning Cash 11,500 250 $ 0 $ (88,500) $ 50,000 120 1,750 $ $ 390 $ 2,700 $ 269 - $ S $ $ Plus Dividends Buy / Sell Stock Less Debt (Principal) Less Debt (Interest Payments) Interest Income Plus Cash Total Cash Flow 20 $ (292) $ 14 $ (27) $ (11,500) 175 $ . . $ 99, 100 $ (50,000) (292) $ (292) 20 $ $ 15,780 (292) $ 14 $ 1,593 $ (292) $ 16 $ 2,815 $ (292) $ 20 $ (3) $ 5.71% $ 150,000) S (97) $ 64,608 $ $ $ $ $ Cash Deposit Ending Cash Cash % of Total Value 11,500 11,500 11.5% - 11,473 11.5% - 13,065 12.4% - 15,880 14.7% 15,877 14.4% 15,780 13.8% $ (15,780) 64,608 100.0% Stock Prices Companies ABC BCD CDE DEF EFG FGH GHI HIK IKL KLM LMN MNO NOP OPQ PQR Industry Chemicals Industrial Publishing Hospitality TV/Cable Techonlogy Service Retail Pharmaceutical Healthcare Hospitality TV/Cable Techonlogy Retail Chemicals 3-Jun-19 23.00 12.00 18.00 40.00 52.00 31.00 15.00 8.00 15.00 25.00 1-Jul-19 24.00 10.00 19.00 42.00 60.00 20.00 16.00 9.50 13.00 26.00 30.00 20.00 52.00 1-Aug-192-Sep-19 22.50 25.00 12.00 12.00 20.00 19.00 48.00 49.00 60.00 60.00 25.00 26.00 17.00 18.00 10.50 11.00 12.00 14.00 26.00 26.00 32.00 35.00 19.00 18.00 55.00 56.00 11.00 11.00 1-Oct-19 26.00 15.00 22.00 51.00 62.00 20.00 19.00 11.50 15.00 26.00 42.00 18.00 58.00 11.00 20.00 1-Nov-19 28.00 18.00 20.00 55.00 64.00 22.00 19.00 12.00 18.00 26.00 44.00 16.00 59.00 11.00 22.00 2-Dec-19 32.00 18.00 18.00 54.00 65.00 25.00 18.00 12.50 20.00 20.00 45.00 18.00 65.00 12.00 23.00 S&P Index 1,100.00 1,101.00 1,125.00 1,160.00 1,175.00 1,219.00 STOCK PORTFOLIO ANALYSIS Interest Rate Transaction Sources & Uses Sources (Initial Capital - June 3, 2019) Margin Loan 50,000 Equity 50,000 Total 100,000 Interest Rate 7.00% 50.0% 50.0% 100.0% Uses Stocks Cash Total Anount $ 88,500 $ 11,500 $ 100,000 88.5% 11.5% 100.0% 1.50% SUMMARY $ $ Portfolio Return Analysis Summary Equity Cash Flow Summary Portfolio Value (incl. Cash) Portflio Appreciation/(Depreciation) - P Cummulative Appreciation S&P 500 (Market - M) 3-Jun-191-Jul-191-Aug-192-Sep-191 (50.000) $ (27) $ 1,593 $ 2,815 $ 100,000 $ 99,473 $ 105,065 $ 108,080 $ -0.527% 5.622% 2.869% -0.527% 5.095% 7.964% 0.091% 2.180% 3.111% -Oct-191 (3) $ 110,477 $ 2.218% 10.182% 1.293% -NOV-19 2-Dec-19 (97) $ 64,608 114,280 3.443% 13.625% 3.745% Portfolio Returns/Analysis HPR (Unlevered) - Risky Portfolio HPR (Levered) Average Monthly Returns (N-1) Standard Deviation Sharpe Ratio Correletion (Portfolio and S&P) S&P Return/Analysis 13.34% (assuming no debt) 37.78% 2.72% Average Monthly Returns (n-1) 2.22% Standard Deviation 1.170 Sharpe Ratio 0.659 2.08% 1.45% 1.350 x M M^2 Portfolio Vs S&P 500 P (Y - Avg Y) (X - Avg X) 0.06 Monthly Change % -0.03252 0.02897 0.00144 -0.00507 0.00718 -0.01993 0.00096 0.01027 -0.00791 0.01661 0.00065 0.00003 0.00001 0.00004 0.00012 0.00040 0.00000 0.00011 0.00006 0.00028 Portfolio S&P 500 0.00085 0.00084 Beta (Slope) = 1.0096 Months Regression Statistics Regression Statistics Multiple R 0.6589 R Square 0.43420968 Adjusted R Squar -1.6667 Standard Error 0.0193 Observations ANOVA SS Regression Residual Total cows 2.3023 MS 0.0002 0.0004 0.0009 0.0011 0.0020 Coefficients Standard Errort Stat P-value Intercept X Variable 4 X Variable 5 0.0062 .0096 0.0163 0.6654 0.3802 1.51730 0.7291 .2265 Lower 95% Upper 95% Lower 95.0% Upper 95.0% -1.3756 1.3881 -0.0458 0.0582 -0.0458 0.0582 -1.10793 .1270 -1.1079 3 .1270 1 CASH FLOW ANALYSIS IRR per month 3-Jun-19 50,000 1-Aug-192-Sep-19 11,473 13,065 1-Oct-19 15,880 1-Nov-19 15,877 2-Dec-19 15,780 Beginning Cash 11,500 250 $ 0 $ (88,500) $ 50,000 120 1,750 $ $ 390 $ 2,700 $ 269 - $ S $ $ Plus Dividends Buy / Sell Stock Less Debt (Principal) Less Debt (Interest Payments) Interest Income Plus Cash Total Cash Flow 20 $ (292) $ 14 $ (27) $ (11,500) 175 $ . . $ 99, 100 $ (50,000) (292) $ (292) 20 $ $ 15,780 (292) $ 14 $ 1,593 $ (292) $ 16 $ 2,815 $ (292) $ 20 $ (3) $ 5.71% $ 150,000) S (97) $ 64,608 $ $ $ $ $ Cash Deposit Ending Cash Cash % of Total Value 11,500 11,500 11.5% - 11,473 11.5% - 13,065 12.4% - 15,880 14.7% 15,877 14.4% 15,780 13.8% $ (15,780) 64,608 100.0% Stock Prices Companies ABC BCD CDE DEF EFG FGH GHI HIK IKL KLM LMN MNO NOP OPQ PQR Industry Chemicals Industrial Publishing Hospitality TV/Cable Techonlogy Service Retail Pharmaceutical Healthcare Hospitality TV/Cable Techonlogy Retail Chemicals 3-Jun-19 23.00 12.00 18.00 40.00 52.00 31.00 15.00 8.00 15.00 25.00 1-Jul-19 24.00 10.00 19.00 42.00 60.00 20.00 16.00 9.50 13.00 26.00 30.00 20.00 52.00 1-Aug-192-Sep-19 22.50 25.00 12.00 12.00 20.00 19.00 48.00 49.00 60.00 60.00 25.00 26.00 17.00 18.00 10.50 11.00 12.00 14.00 26.00 26.00 32.00 35.00 19.00 18.00 55.00 56.00 11.00 11.00 1-Oct-19 26.00 15.00 22.00 51.00 62.00 20.00 19.00 11.50 15.00 26.00 42.00 18.00 58.00 11.00 20.00 1-Nov-19 28.00 18.00 20.00 55.00 64.00 22.00 19.00 12.00 18.00 26.00 44.00 16.00 59.00 11.00 22.00 2-Dec-19 32.00 18.00 18.00 54.00 65.00 25.00 18.00 12.50 20.00 20.00 45.00 18.00 65.00 12.00 23.00 S&P Index 1,100.00 1,101.00 1,125.00 1,160.00 1,175.00 1,219.00
