Abstract: Many researchers have worked on traditional Markowitz model and Sharpe’s Single Index model individually to analyze the returns, but very less attempts have been made to examine the efficiency of returns obtained by comparing these two models individually. The current study is to identify the level of deviation in returns by comparing these two models and to check if the results obtained are constant or not. The measurement of beta will help the investor to quantify the systematic risk and unsystematic risk associated with the particular investment.
This study is conducted on the stocks which are listed is S&P BSE SENSEX (Automobile, banking and pharmaceuticals sectors) are taken. The study is undertaken for a period of 6 years starting from 1st January 2011 till 31st December 2016 where yearly closing balance are taken for the purpose of computation of risk and return.
Keywords: Beta, Markowitz, returns, systematic risk, unsystematic risk Sharpe’s Single Index.
Title: Comparison of Returns and Risk Using Markowitz And Sharpe’s Model
Author: Mr. Suresh A.S, Ms. Harshitha N
International Journal of Management and Commerce Innovations
ISSN 2348-7585 (Online)
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