Portfolio Management

Portfolio Management in itself is a complex process because of:-

      1) Portfolio contains lot of diversified instruments.
      2) Many different  techniques available to manage portfolio.

 What we need to ascertain here is whether action taken has any impact on result?.

Chisquare test can help us in this, See the code below which verifies that:-

DATA PORTFOLIO_MGMT;
 INPUT ACTION $ PORTFOLIO $ RESULT $;
DATALINES;
Hedging   P1 P
Diversify P2 P
Treasury  P3 N
Hedging   P2 I
Diversify P3 P
Treasury  P1 N
Hedging   P3 I
Diversify P2 P
Treasury  P1 I
;

PROC FREQ DATA=PORTFOLIO_MGMT;
 TABLES   (ACTION )*RESULT/CHISQ;
RUN;

The result for this is as follows:-

Statistic	DF	Value	Prob
WARNING: 100% of the cells have expected counts less than 5. Chi-Square may not be a valid test.
Chi-Square	4	9.5000	0.0497

Conclusion:- Action taken has an impact on the portfolio Result.