Portfolio Ranking

RikManager has to decide in which portfolio to invest more and in which portfolio to invest less . Ranking portfolio is  a better tool to achieve this.

What? We need to rank portfolio by assigning weights and rank based on the assigned weight.

How? Use below formula to obtain to get weight of the portfolio:-

                    PWeight=(2*ROI)-(0.75*RISK)-(0.5*LIQ_HORIZON);

            You can use your own custom formula and custom factors.

Implementation:-

Program:-

DATA PORTFOLIO_INFO;

 INPUT PORTFOLIO $ ROI RISK LIQ_HORIZON;

 PWeight=(2*ROI)-(0.75*RISK)-(0.5*LIQ_HORIZON);

DATALINES;

P1  10    3    10

P2  11    4     8

P7   7    3     8

;

PROC RANK DATA=PORTFOLIO_INFO GROUP=3 OUT=PORTFOLIO_RANK;

VAR  PWeight;

RUN;

PROC SORT DATA=PORTFOLIO_RANK;

BY PWeight;

RUN;

Result:- Portfolios(P4,P7) are high performing, (P5,P6) are low performing.

Obs	PORTFOLIO	ROI	RISK	LIQ_HORIZON	PRank
1	P4	8	2	9	0
2	P7	7	3	8	0
3	P1	10	3	10	1
4	P2	11	4	8	1
5	P3	9	5	7	1
6	P5	13	4	11	2
7	P6	12	8	4	2

Conclusion:- Based on given factors of ROI, RISK, LIQ_HORIZON we can group portfolio into 3 groups. Where in group 0 is high performing and 2 is low performing portfolios. Try  to invest in high performing and divest low performing portfolios. :)