Portfolio Risk and Return Relationship – An Empirical Study

A. Jeyachitra1, M. Selvam2 and J. Gayathri3

Department of Commerce and Financial Studies, Bharathidasan University,
Tiruchirappalli - 620024, Tamilnadu, India
1E-mail: jaivanith@yahoo.co.in, 2E-mail: drmselvam@yahoo.co.in
3E-mail: gayajayapal@gmail.com   

Abstract

The present study attempts to analyze the portfolio performance of Nifty stocks during the study period and to measure the total risk. For the purpose of analysis, the daily, weekly and monthly closing prices of NSE Nifty listed companies, for the period from April 2004 to 2009, have been identified. The study found that there was a high positive correlation between portfolio returns and risk. It also reveals that the portfolio unsystematic risk declined due to diversification. The study is useful to understand the impact of systematic and unsystematic risk through portfolio construction.

Keywords: Systematic Risk, Unsystematic Risk and Time Series Regression