Comparative Analysis of Markowitz Model and Sharpes Index Model: An Empirical Study on Singaporean Stock Market

In this paper, the researcher uses the Markowitz model and Sharpes index model, two commonly used models in investment, to analyze the Singaporean stock market. The researcher selected 10 years of daily stock prices of 10 companies listed on the Singapore Stock Exchange, including Z74.SI, DBS, UOB, G07.SI, S68.SI, Flex, KLIC, V03.SI, U96.SI, and C07.SI. The Singapore Traits Index (STI) and the federal funds rate are included, respectively, as the market index and risk-free rate of return to simulate real-world diversified investment products better. Following data aggregation and processing, the researcher calculates the minimal variances and maximum Sharpe ratios by adjusting the weights of each stock within the portfolio separately under five constraints based on Markowitz and Sharpes index models. In addition, the researcher uses the Solver Table in Excel to calculate the minimum variance frontiers, maximum return frontiers, and minimum return frontiers under each constraint and visualizes all frontiers in scatter diagrams. Lastly, based on the calculations and diagrams, the researcher proposes recommendations for prospective investors looking for investment opportunities in Singapores stock market.