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Sharpe WORD
Sharpe WORD
Sharpe WORD
Return:
Ri = αi + βi*Rm + ei
Market return is independent variable
Security return is dependent variable
Where,
αi = component of security is return that is independent of the market
performance
Rm = rate of return on market index
βi = sensitivity, constant that measure the expected change in Ri, given the
change in Rm
ei = error term representing the random or residual return. Unexpected return
resulting from influence not identified by the model
Risk:
αρ =
βρ =
Portfolio return :
Rρ = αρ + βρ Rm
Steps for finding out the stocks to be included in the portfolio which
is optimal:
Step 1 : Find out the excess return to β ratio for each stock under
consideration
( )
Step 2 : Rank them from highest to lowest
Step 3 : Proceed to calculate “Ci” for all stock according to the rank using
the following formula
Ci =
Step 4 : The calculated value of “Ci” start declining after a particular point
and that point is taken as the “cut-off point” and the stock ratio is “cut-off
*
ratio”. The highest value is taken as cut-off point “ C ”.
Zi = *( - )
Xi =
MONTHLY
Date Close RETURN (x-x‾) (x-x‾)2
10/2/2006 6,552.75
11/1/2006 6,044.61 -7.7546068 -7.620927334 58.07853
12/1/2006 5,940.38 -1.7243462 -1.590666643 2.53022
1/3/2007 5,492.03 -7.547497 -7.413817451 54.96469
2/1/2007 5,520.25 0.5138355 0.647515013 0.419276
3/1/2007 4,140.42 -24.995788 -24.86210872 618.1245
4/2/2007 3,523.53 -14.899213 -14.76553361 218.021
5/1/2007 3,232.11 -8.2706831 -8.137003583 66.21083
6/1/2007 3,426.76 6.02238166 6.156061174 37.89709
7/2/2007 3,596.85 4.96358076 5.097260269 25.98206
8/1/2007 3,295.60 -8.375384 -8.241704507 67.92569
9/4/2007 3,570.07 8.32837723 8.46205674 71.6064
10/1/2007 4,897.59 37.1847051 37.31838457 1392.662
BSE 11/1/2007 5,631.51 14.9853295 15.11900903 228.5844 500
12/3/2007 5,525.77 -1.8776492 -1.743969646 3.04143
1/2/2008 5,215.37 -5.6173167 -5.483637172 30.07028
2/1/2008 6,474.97 24.1516901 24.28536961 589.7792
3/3/2008 6,885.03 6.33300232 6.466681825 41.81797
4/1/2008 6,157.27 -10.570179 -10.43649956 108.9205
5/1/2008 7,108.12 15.4427206 15.57640007 242.6242
6/2/2008 7,160.03 0.73029155 0.863971064 0.746446
7/1/2008 8,592.43 20.0055028 20.13918228 405.5867
8/1/2008 7,865.98 -8.454535 -8.32085547 69.23664
9/2/2008 7,785.22 -1.0266998 -0.893020278 0.797485
10/1/2008 6,773.54 -12.99488 -12.86120053 165.4105
11/3/2008 5,950.11 -12.156568 -12.02288855 144.5498
12/1/2008 6,063.20 1.90063713 2.034316641 4.138444
1/2/2009 5,781.37 -4.6482056 -4.514526058 20.38095
2/2/2009 5,646.90 -2.3259193 -2.192239779 4.805915
3/2/2009 5,311.03 -5.9478652 -5.81418569 33.80476
4/1/2009 4,955.39 -6.6962529 -6.562573383 43.06737
5/1/2009 4,938.08 -0.3493166 -0.215637093 0.046499
6/1/2009 5,408.71 9.53062729 9.664306798 93.39883
7/1/2009 5,270.76 -2.5505157 -2.416836232 5.841097
8/3/2009 5,227.73 -0.8163908 -0.682711295 0.466095
9/1/2009 4,957.37 -5.1716519 -5.037972431 25.38117
TOTAL -4.6787828 0.00 4876.919
AVERAGE -0.1336795
N 35 Market Return
EX2 4876.919 FOR r
(EX)2 0 YEAR 1 -45.517989
NEX2 170692.165 YEAR 2 58.9602233
N2 1225 YEAR 3 -26.812715
ei2 139.340543 AVERAGE -4.4568269
Index
1. Berger Paint X X2
MONTHLY
Date Close RETURN (x-x‾) (x-x‾)2
10/3/2006 59.45
11/1/2006 54.1 -8.999159 -9.537759437 90.96886
12/1/2006 43.5 -19.593346 -20.13194614 405.2953
1/2/2007 40.5 -6.8965517 -7.435152204 55.28149
2/1/2007 42.5 4.9382716 4.399671125 19.35711
3/1/2007 36.8 -13.411765 -13.95036519 194.6127
4/2/2007 34.9 -5.1630435 -5.701643958 32.50874
5/3/2007 33.5 -4.0114613 -4.550061798 20.70306
6/4/2007 32.7 -2.3880597 -2.926660181 8.56534
7/2/2007 34.4 5.19877676 4.660176278 21.71724
8/1/2007 30.5 -11.337209 -11.87580978 141.0349
9/3/2007 30.9 1.31147541 0.77287493 0.597336
10/1/2007 36.2 17.1521036 16.61350308 276.0085
11/1/2007 39.85 10.0828729 9.544272448 91.09314
12/3/2007 40 0.37641154 -0.162188937 0.026305
1/1/2008 38.4 -4 -4.53860048 20.59889
2/1/2008 38 -1.0416667 -1.580267147 2.497244
3/3/2008 44.5 17.1052632 16.56666268 274.4543
4/1/2008 35.7 -19.775281 -20.31388138 412.6538
5/2/2008 41.4 15.9663866 15.42778607 238.0166
6/2/2008 42.7 3.14009662 2.601496138 6.767782
7/1/2008 64.75 51.6393443 51.10074378 2611.286
8/1/2008 47.2 -27.104247 -27.64284758 764.127
9/1/2008 48 1.69491525 1.156314774 1.337064
10/1/2008 51.6 7.5 6.96139952 48.46108
11/3/2008 49.2 -4.6511628 -5.189763271 26.93364
12/1/2008 50.1 1.82926829 1.290667813 1.665823
1/1/2009 49.05 -2.0958084 -2.634408863 6.94011
2/2/2009 44.5 -9.2762487 -9.814849206 96.33126
3/2/2009 38 -14.606742 -15.14534205 229.3814
4/1/2009 36.5 -3.9473684 -4.485968901 20.12392
5/4/2009 40.15 10 9.46139952 89.51808
6/1/2009 44.85 11.7061021 11.16750164 124.7131
7/1/2009 47.25 5.35117057 4.812570089 23.16083
8/3/2009 47.75 1.05820106 0.519600578 0.269985
9/1/2009 53.05 11.0994764 10.56087596 111.5321
TOTAL 18.8510167 0.00 6468.54
AVEARAGE 0.53860048
N 35 FOR r
EX2 6468.54 YEAR 1 -48.023549
(EX)2 0 YEAR 2 0.32596685
NEX2 226398.9 YEAR 3 0.02810078
N2 1225 AVERAGE -15.889827
ei2 184.815429
2. Cipla
MONTHLY
Date Close RETURN
10/3/2006 279.5
11/1/2006 271 -3.0411449 -3.232770172 10.4508
12/1/2006 276 1.84501845 1.65339318 2.733709
1/2/2007 253.5 -8.1521739 -8.343799183 69.61898
2/1/2007 222.05 -12.406312 -12.59793691 158.708
3/1/2007 242 8.98446296 8.792837689 77.31399
4/2/2007 220.1 -9.0495868 -9.241212047 85.4
5/3/2007 191.5 -12.994094 -13.18571886 173.8632
6/4/2007 191.95 0.23498695 0.043361675 0.00188
7/2/2007 187.6 -2.2662152 -2.45784043 6.04098
8/1/2007 198.05 5.57036247 5.378737203 28.93081
9/3/2007 176.75 -10.75486 -10.94648515 119.8255
10/1/2007 230.95 30.6647808 30.47315549 928.6132
11/1/2007 240.05 3.94024681 3.748621537 14.05216
12/3/2007 220 -8.3524266 -8.544051848 73.00082
1/1/2008 210 -4.5454545 -4.737079815 22.43993
2/1/2008 212 0.95238095 0.760755682 0.578749
3. Atul
3/3/2008 212.95
Ltd 0.44811321 0.256487938 0.065786
4/1/2008 219 2.8410425
MONTHLY 2.649417228 7.019412
5/2/2008
Date 205.5
Close -6.1643836
RETURN -6.356008832
X 40.39885
X2
6/2/2008
10/3/2006 191
85.7 -7.0559611 -7.247586341 52.52751
7/1/2008
11/1/2006 211.45
74.9 10.7068063
-12.6021 10.51518101
-14.61313558 110.569
213.5437
8/1/2008
12/1/2006 183.6
63.95 -13.170962
-14.619493 -13.36258767
-16.63052789 178.5587
276.5745
9/1/2008
1/2/2007 179
61.6 -2.5054466
-3.6747459 -2.697071893
-5.685781125 7.274197
32.32811
10/1/2008
2/1/2007 183.8
66.55 2.68156425
8.03571429 2.489938976
6.024679056 6.199796
36.29676
11/3/2008
3/1/2007 167.25
48 -9.0043526
-27.873779 -9.195977827
-29.88481434 84.56601
893.1021
12/1/2008
4/2/2007 191.05
43 14.2301943
-10.416667 14.03856905
-12.4277019 197.0814
154.4478
1/1/2009
5/3/2007 208.15
42.8 8.95053651
-0.4651163 8.758911239
-2.476151509 76.71853
6.131326
2/2/2009
6/4/2007 217.45
43.35 4.46793178
1.28504673 4.27630651
-0.725988501 18.2868
0.527059
3/2/2009
7/2/2007 210.95
42.95 -2.9891929
-0.922722 -3.180818188
-2.93375726 10.1176
8.606932
4/1/2009
8/1/2007 236.8
37.05 12.2540886
-13.736903 12.06246338
-15.74793861 145.503
247.9976
5/4/2009
9/3/2007 231.95
43 -2.0481419
16.0593792 -2.239767162
14.04834399 5.016557
197.356
6/1/2009
10/1/2007 246.3
54.05 6.18667816
25.6976744 5.995052893
23.68663919 35.94066
561.0569
7/1/2009
11/1/2007 251.35
66.75 2.05034511
23.4967623 1.858719838
21.48572703 3.454839
461.6365
8/3/2009
12/3/2007 254.85
56.9 1.3924806
-14.756554 1.200855335
-16.76758954 1.442054
281.1521
9/1/2009
1/1/2008 262
52.8 2.80557191
-7.2056239 2.613946635
-9.216659132 6.832717
84.94681
2/1/2008 TOTAL
54.9 6.70688461
3.97727273 0.00
1.966237497 2759.146
3.86609
3/3/2008 AVEARAGE
61.65 0.19162527
12.295082 10.28404674 105.7616
4/1/2008 N
54.5 35
-11.597729 -13.60876435 185.1985
5/2/2008 EX2
67.5 2759.146
23.853211 FOR r
21.84217578 477.0806
6/2/2008 (EX)2
72.75 0
7.77777778 YEAR 1
5.766742548 -36.762075
33.25532
7/1/2008 NEX2
106.65 96570.11
46.5979381 YEAR 2
44.58690291 -22.494046
1987.992
8/1/2008 N2
97.3 1225
-8.7669948 YEAR 3
-10.77803007 42.5462459
116.1659
9/1/2008 ei2
91 78.8327429
-6.4748201 AVERAGE
-8.485855374 -5.5699585
72.00974
10/1/2008 74.95 -17.637363 -19.64839787 386.0595
11/3/2008 74 -1.2675117 -3.278546904 10.74887
12/1/2008 80 8.10810811 6.097072878 37.1743
1/1/2009 88.6 10.75 8.73896477 76.36951
2/2/2009 87.5 -1.241535 -3.252570219 10.57921
3/2/2009 86.1 -1.6 -3.61103523 13.03958
4/1/2009 85.65 -0.5226481 -2.533683314 6.419551
5/4/2009 93 8.58143608 6.570400847 43.17017
6/1/2009 115 23.655914 21.64487875 468.5008
7/1/2009 115.55 0.47826087 -1.53277436 2.349397
8/3/2009 131.85 14.1064474 12.0954122 146.299
9/1/2009 120 -8.9874858 -10.99852101 120.9675
TOTAL 70.3862331 0.00 7758.711
AVERAGE 2.01103523
N 35
EX2 7758.711 FOR r
(EX)2 0 YEAR 1 -49.824971
NEX2 271554.885 YEAR 2 68.3626272
N2 1225 YEAR 3 60.1067378
ei2 221.677457 AVERAGE 26.2147981
4. bank of India
MONTHLY
Date Close RETURN
10/2/2006 412.05
11/1/2006 337.4 -18.116733 -16.83939339 283.5652
12/1/2006 329.65 -2.2969769 -1.019636862 1.039659
1/1/2007 352.25 6.8557561 8.133096125 66.14725
2/1/2007 337.85 -4.0880057 -2.810665658 7.899841
3/1/2007 235.15 -30.398106 -29.12076565 848.019
4/2/2007 219.9 -6.4852222 -5.207882179 27.12204
5/1/2007 225.25 2.43292406 3.710264076 13.76606
6/1/2007 249.15 10.6104329 11.88777287 141.3191
7/2/2007 287.7 15.4726069 16.74994688 280.5607
8/1/2007 250.35 -12.982273 -11.70493318 137.0055
9/3/2007 240.7 -3.8546036 -2.577263535 6.642287
10/1/2007 282.6 17.4075613 18.6849013 349.1255
11/1/2007 267.35 -5.3963199 -4.118979867 16.966
12/3/2007 271.5 1.5522723 2.829612322 8.006706
1/1/2008 216.65 -20.202578 -18.92523825 358.1646
2/1/2008 295 36.1643203 37.44166035 1401.878
3/3/2008 342.65 16.1525424 17.42988239 303.8008
4/1/2008 252.9 -26.192908 -24.9155682 620.7855
5/2/2008 359.55 42.1708185 43.44815853 1887.742
6/2/2008 354.85 -1.3071895 -0.029849522 0.000891
7/1/2008 365.45 2.98717768 4.264517701 18.18611
8/1/2008 350.7 -4.0361199 -2.758779832 7.610866
9/1/2008 357.3 1.88195038 3.159290405 9.981116
10/1/2008 276.9 -22.502099 -21.22475906 450.4904
11/3/2008 244.6 -11.664861 -10.38752094 107.9006
12/1/2008 258.55 5.70318888 6.9805289 48.72778
1/1/2009 232.75 -9.9787275 -8.701387499 75.71414
2/2/2009 210 -9.7744361 -8.49709607 72.20064
3/2/2009 191.65 -8.7380952 -7.460755218 55.66287
4/1/2009 167.8 -12.44456 -11.16722038 124.7068
5/4/2009 161.8 -3.5756853 -2.29834532 5.282391
6/1/2009 190.9 17.9851669 19.26250689 371.0442
7/1/2009 207.9 8.90518596 10.18252598 103.6838
8/3/2009 200.95 -3.3429533 -2.065613323 4.266758
9/1/2009 173.6 -13.610351 -12.33301081 152.1032
TOTAL -44.706901 0.00 8367.119
AVEARAGE -1.27734
N 35
EX2 8367.119 FOR r
(EX)2 0 YEAR 1 -41.584759
NEX2 292849.165 YEAR 2 26.433121
N2 1225 YEAR 3 -37.305887
ei2 239.060543 AVERAGE -17.485842
5. Balaji Tele
MONTHLY
Date Close RETURN
10/2/2006 73.3
11/1/2006 61.7 -15.825375 -20.17749777 407.1314
12/1/2006 50.85 -17.585089 -21.93721174 481.2413
1/1/2007 54.65 7.47295969 3.120837085 9.739624
2/1/2007 56.8 3.93412626 -0.417996342 0.174721
3/1/2007 44.2 -22.183099 -26.53522119 704.118
4/2/2007 29.5 -33.257919 -37.61004115 1414.515
5/1/2007 31.6 7.11864407 2.766521468 7.653641
6/1/2007 44.7 41.4556962 37.1035736 1376.675
7/2/2007 64.9 45.1901566 40.838034 1667.745
8/1/2007 59.9 -7.7041602 -12.05628285 145.354
9/3/2007 70.1 17.0283806 12.67625803 160.6875
10/1/2007 142.05 102.639087 98.28696442 9660.327
11/1/2007 168.45 18.5850053 14.23288268 202.5749
12/3/2007 171.65 1.89967349 -2.452449106 6.014507
1/1/2008 169.4 -1.3108069 -5.662929474 32.06877
2/1/2008 208 22.7863046 18.434182 339.8191
3/3/2008 177.4 -14.711538 -19.06366106 363.4232
4/1/2008 196.35 10.6820744 6.329951808 40.06829
5/2/2008 211.5 7.7158136 3.363690998 11.31442
6/2/2008 232.9 10.1182033 5.76608071 33.24769
7/1/2008 354.85 52.3615286 48.00940595 2304.903
8/1/2008 345.95 -2.508102 -6.860224615 47.06268
9/1/2008 307.05 -11.244399 -15.59652208 243.2515
10/6/2008 262.45 -14.525322 -18.87744421 356.3579
11/3/2008 263.65 0.45722995 -3.894892651 15.17019
12/1/2008 252.3 -4.3049497 -8.657072344 74.9449
1/5/2009 223.95 -11.236623 -15.58874567 243.009
2/2/2009 219.25 -2.0986827 -6.450805342 41.61289
3/2/2009 165.9 -24.332953 -28.68507585 822.8336
4/1/2009 127 -23.44786 -27.79998276 772.839
5/1/2009 114.05 -10.19685 -14.54897299 211.6726
6/1/2009 119.95 5.17316966 0.821047062 0.674118
7/1/2009 126.85 5.75239683 1.400274232 1.960768
8/3/2009 142.05 11.9826567 7.630534081 58.22505
9/1/2009 137 -3.5550862 -7.907208837 62.52395
TOTAL 152.324291 0.00 22320.93
AVEARGE 4.3521226
N 35
EX2 22320.93 FOR r
(EX)2 0 YEAR 1 -4.3656207
NEX2 781232.55 YEAR 2 116.156283
N2 1225 YEAR 3 -47.799581
ei2 637.740857 AVERAGE 21.3303605
6. Bhel
MONTHLY
Date Close RETURN
10/2/2006 2325.15
11/1/2006 2314.7 -0.4494334 -1.79995431 3.239836
12/1/2006 2228.05 -3.7434657 -5.093986616 25.9487
1/1/2007 2204.35 -1.0637104 -2.414231359 5.828513
2/1/2007 2174.9 -1.3359947 -2.686515678 7.217366
3/1/2007 1651.75 -24.053979 -25.40450043 645.3886
4/2/2007 1504.35 -8.9238686 -10.27438956 105.5631
5/1/2007 1396.3 -7.1825041 -8.533025012 72.81252
6/1/2007 1320.45 -5.4322137 -6.782734648 46.00549
7/2/2007 1362.4 3.17694725 1.826426313 3.335833
8/1/2007 1361.3 -0.0807399 -1.431260811 2.048508
9/3/2007 1281.6 -5.8546977 -7.205218655 51.91518
10/1/2007 1586 23.7515605 22.40103961 501.8066
11/1/2007 1706.55 7.60088272 6.250361784 39.06702
12/3/2007 1679.05 -1.6114383 -2.961959222 8.773202
1/1/2008 1380.6 -17.774932 -19.12545319 365.783
2/1/2008 1662.15 20.3933073 19.04278632 362.6277
3/3/2008 1897 14.1292904 12.77876944 163.2969
4/1/2008 2056.55 8.41064839 7.060127452 49.8454
5/2/2008 2282 10.9625343 9.612013401 92.3908
6/2/2008 2064.1 -9.5486415 -10.89916248 118.7917
7/1/2008 2584.25 25.199845 23.84932403 568.7903
8/1/2008 2680.25 3.71481087 2.364289934 5.589867
9/1/2008 2613.35 -2.4960358 -3.846556758 14.796
10/1/2008 2032.75 -22.216695 -23.56721599 555.4137
11/3/2008 1889.15 -7.0643217 -8.414842672 70.80958
12/1/2008 1731.7 -8.3344361 -9.684957062 93.79839
1/1/2009 1538.25 -11.171104 -12.52162448 156.7911
2/2/2009 1398.9 -9.0589956 -10.40951655 108.358
3/2/2009 2487.25 77.8004146 76.44989367 5844.586
4/1/2009 2260.75 -9.1064429 -10.4569638 109.3481
5/4/2009 2176.8 -3.7133695 -5.063890397 25.64299
6/1/2009 2517.25 15.6399302 14.28940923 204.1872
7/1/2009 2298.15 -8.7039428 -10.05446373 101.0922
8/3/2009 2506.8 9.07904184 7.728520898 59.73004
9/1/2009 2414.8 -3.6700176 -5.020538492 25.20581
TOTAL 47.2682331 0.00 10615.83
AVERAGE 1.35052094
N 35
EX2 10615.83 FOR r
(EX)2 0 YEAR 1 -44.880975
NEX2 371554.05 YEAR 2 64.7761665
N2 1225 YEAR 3 18.7947362
ei2 303.309429 AVERAGE 12.8966424
7. Essar
Oil
MONTHLY
Date Close RETURN
10/3/2006 158.9
11/1/2006 145.2 -8.6217747 -9.965707601 99.31533
12/1/2006 151 3.99449036 2.650557458 7.025455
1/2/2007 152.5 0.99337748 -0.350555417 0.122889
2/1/2007 166.9 9.44262295 8.098690051 65.58878
3/1/2007 144.2 -13.600959 -14.94489156 223.3498
4/2/2007 72.55 -49.687933 -51.03186633 2604.251
5/3/2007 66.55 -8.2701585 -9.614091411 92.43075
6/4/2007 74.1 11.3448535 10.00092059 100.0184
7/2/2007 86.75 17.071525 15.72759207 247.3572
8/1/2007 74.3 -14.351585 -15.69551791 246.3493
9/3/2007 83.6 12.5168237 11.17289079 124.8335
10/1/2007 159.95 91.3277512 89.9838183 8097.088
11/1/2007 209.4 30.9159112 29.57197832 874.5019
12/3/2007 187.65 -10.386819 -11.73075238 137.6106
1/1/2008 176.8 -5.782041 -7.125973934 50.7795
2/1/2008 223.65 26.4988688 25.15493588 632.7708
3/3/2008 277.05 23.8765929 22.53265999 507.7208
4/1/2008 204.05 -26.349034 -27.69296737 766.9004
5/2/2008 258.3 26.5866209 25.24268803 637.1933
6/2/2008 224.65 -13.027487 -14.37142032 206.5377
7/1/2008 325.5 44.8920543 43.54812141 1896.439
8/1/2008 241.95 -25.668203 -27.01213566 729.6555
9/1/2008 56.65 -76.586072 -77.9300044 6073.086
10/1/2008 58.3 2.91262136 1.568688459 2.460783
11/3/2008 52.2 -10.463122 -11.80705468 139.4065
12/1/2008 53 1.53256705 0.18863415 0.035583
1/1/2009 55 3.77358491 2.429652006 5.903209
2/2/2009 55.25 0.45454545 -0.889387445 0.79101
3/2/2009 57.6 4.25339367 2.909460765 8.464962
4/1/2009 51.75 -10.15625 -11.5001829 132.2542
5/4/2009 54.15 4.63768116 3.293748259 10.84878
6/1/2009 61.2 13.0193906 11.67545768 136.3163
7/1/2009 54.55 -10.866013 -12.20994597 149.0828
8/3/2009 48.85 -10.449129 -11.79306214 139.0763
9/1/2009 54.35 11.258956 9.915023088 98.30768
TOTAL 47.0376513 0.00 25243.87
AVERAGE 1.3439329
N 35
EX2 25243.87 FOR r
(EX)2 0 YEAR 1 -47.388295
NEX2 883535.45 YEAR 2 -64.582682
N2 1225 YEAR 3 -6.7753002
ei2 721.253429 AVERAGE -39.582092
8. Escorts
MONTHLY
Date Close RETURN
10/3/2006 110.45
11/1/2006 72.4 -34.449977 -37.44114477 1401.839
12/1/2006 72.95 0.75966851 -2.231498892 4.979587
1/2/2007 57.95 -20.562029 -23.55319619 554.7531
2/1/2007 65.55 13.1147541 10.1235867 102.487
3/1/2007 40.75 -37.833715 -40.82488212 1666.671
4/2/2007 35.3 -13.374233 -16.36540053 267.8263
5/3/2007 33.95 -3.8243626 -6.815530006 46.45145
6/4/2007 36.85 8.54197349 5.55080609 30.81145
7/2/2007 40 8.54816825 5.55700085 30.88026
8/1/2007 32 -20 -22.9911674 528.5938
9/3/2007 35.65 11.40625 8.4150826 70.81362
10/1/2007 60.25 69.0042076 66.01304017 4357.721
11/1/2007 81.3 34.9377593 31.94659194 1020.585
12/3/2007 74.65 -8.1795818 -11.1707492 124.7856
1/1/2008 71.9 -3.683858 -6.675025404 44.55596
2/1/2008 94.9 31.9888734 28.99770604 840.867
3/3/2008 102.95 8.48261328 5.491445877 30.15598
4/1/2008 85.75 -16.707139 -19.69830679 388.0233
5/2/2008 106.35 24.0233236 21.03215622 442.3516
6/2/2008 88.35 -16.925247 -19.91641423 396.6636
7/1/2008 162.25 83.6445954 80.65342796 6504.975
8/1/2008 152.6 -5.9476117 -8.93877911 79.90177
9/1/2008 119.7 -21.559633 -24.55080043 602.7418
10/1/2008 118.5 -1.0025063 -3.993673666 15.94943
11/3/2008 95.2 -19.662447 -22.65361466 513.1863
12/1/2008 104.2 9.45378151 6.462614113 41.76538
1/1/2009 109.55 5.13435701 2.143189606 4.593262
2/2/2009 123.7 12.9164765 9.925309095 98.51176
3/2/2009 131.35 6.1843169 3.193149496 10.1962
4/1/2009 115.5 -12.066997 -15.05816397 226.7483
5/4/2009 125.45 8.61471861 5.623551215 31.62433
6/1/2009 121.45 -3.1885213 -6.179688723 38.18855
7/1/2009 111.4 -8.2750103 -11.26617769 126.9268
8/3/2009 117.5 5.47576302 2.484595616 6.173215
9/1/2009 128.9 9.70212766 6.71096026 45.03699
TOTAL 104.690859 0.00 20698.34
AVERAGE 2.9911674
N 35
EX2 20698.34 FOR r
(EX)2 0 YEAR 1 -67.722952
NEX2 724441.9 YEAR 2 98.6721992
N2 1225 YEAR 3 8.77637131
ei2 591.381143 AVERAGE 13.241873
9. Godrej Consumer Products
MONTHLY
Date Close RETURN
10/2/2006 245
11/1/2006 237.85 -2.9183673 -2.385139657 5.688891
12/1/2006 222 -6.6638638 -6.13063609 37.5847
1/3/2007 165.8 -25.315315 -24.78208763 614.1519
2/1/2007 184 10.9770808 11.51030851 132.4872
3/1/2007 140 -23.913043 -23.37981579 546.6158
4/2/2007 134.7 -3.7857143 -3.252486596 10.57867
5/1/2007 127 -5.7164068 -5.18317914 26.86535
6/1/2007 132.5 4.33070866 4.863936351 23.65788
7/2/2007 139 4.90566038 5.438888067 29.5815
8/1/2007 118 -15.107914 -14.57468598 212.4215
9/4/2007 99.85 -15.381356 -14.84812824 220.4669
10/1/2007 111.9 12.0681022 12.60132984 158.7935
11/1/2007 132 17.9624665 18.49569418 342.0907
12/3/2007 121.6 -7.8787879 -7.345560189 53.95725
1/2/2008 135.45 11.3898026 11.92303032 142.1587
2/1/2008 135.7 0.18456995 0.717797642 0.515233
3/3/2008 130 -4.2004422 -3.667214462 13.44846
4/1/2008 124 -4.6153846 -4.082156925 16.66401
5/1/2008 135 8.87096774 9.404195432 88.43889
6/2/2008 115.5 -14.444444 -13.91121675 193.522
7/1/2008 135 16.8831169 17.41634457 303.3291
8/1/2008 128 -5.1851852 -4.651957495 21.64071
9/2/2008 122.55 -4.2578125 -3.72458481 13.87253
10/1/2008 141.5 15.4630763 15.99630399 255.8817
11/3/2008 134.95 -4.6289753 -4.095747575 16.77515
12/1/2008 140.75 4.29788811 4.831115797 23.33968
1/2/2009 144.3 2.52220249 3.055430177 9.335654
2/2/2009 143.75 -0.3811504 0.152077309 0.023128
3/2/2009 139.65 -2.8521739 -2.318946223 5.377512
4/1/2009 146.85 5.15574651 5.688974199 32.36443
5/1/2009 150.65 2.5876745 3.120902188 9.74003
6/1/2009 154.6 2.62197146 3.155199147 9.955282
7/1/2009 150.25 -2.8137128 -2.280485117 5.200612
8/3/2009 157.35 4.72545757 5.258685261 27.65377
9/1/2009 167.5 6.45058786 6.983815551 48.77368
TOTAL -18.662969 0.00 3652.952
AVERAGE -0.5332277
N 35
EX2 3652.952 FOR r
(EX)2 0 YEAR 1 -59.244898
NEX2 127853.32 YEAR 2 9.51742627
N2 1225 YEAR 3 18.3745583
ei2 104.370057 AVERAGE -10.450971
11. HDFC
MONTHLY
Date Close RETURN
10/2/2006 2764.9
11/1/2006 2470 -10.665847 -9.610258796 92.35707
12/1/2006 2545 3.03643725 4.092025317 16.74467
1/1/2007 2355 -7.4656189 -6.410030791 41.08849
2/1/2007 2168.9 -7.9023355 -6.846747386 46.87795
3/1/2007 1738 -19.867214 -18.81162573 353.8773
4/2/2007 1407 -19.044879 -17.9892911 323.6146
5/1/2007 1271 -9.6659559 -8.610367865 74.13843
6/1/2007 1535.6 20.8182533 21.87384141 478.4649
7/2/2007 1486.8 -3.1779109 -2.122322844 4.504254
8/1/2007 1479 -0.5246166 0.530971444 0.281931
9/3/2007 1775 20.0135227 21.06911072 443.9074
10/1/2007 2107.9 18.7549296 19.81051765 392.4566
11/1/2007 2331.9 10.6266901 11.68227814 136.4756
12/3/2007 2269.9 -2.6587761 -1.603188035 2.570212
1/1/2008 1934 -14.798009 -13.74242065 188.8541
2/1/2008 2585 33.6608066 34.71639469 1205.228
3/3/2008 2779.9 7.53965184 8.595239908 73.87815
4/1/2008 2374.9 -14.568869 -13.51328131 182.6088
5/2/2008 2780 17.0575603 18.11314839 328.0861
6/2/2008 2839.7 2.14748201 3.203070084 10.25966
7/1/2008 2853.9 0.50005282 1.555640892 2.420019
8/1/2008 2750 -3.6406321 -2.585044047 6.682453
9/1/2008 2765 0.54545455 1.601042615 2.563337
10/1/2008 2529.7 -8.5099458 -7.45435768 55.56745
11/3/2008 1976 -21.887971 -20.83238284 433.9882
12/1/2008 2017.1 2.07995951 3.135547584 9.831659
1/1/2009 2033.7 0.82296366 1.878551731 3.528957
2/2/2009 1882.6 -7.4298077 -6.37421967 40.63068
3/2/2009 1666.35 -11.486774 -10.43118554 108.8096
4/1/2009 1519.8 -8.794671 -7.739082917 59.8934
5/4/2009 1507.25 -0.8257665 0.229821522 0.052818
6/1/2009 1673.85 11.0532427 12.10883073 146.6238
7/1/2009 1626.9 -2.8049108 -1.749322764 3.06013
8/3/2009 1646.95 1.23240519 2.287993258 5.234913
9/1/2009 1463.9 -11.114484 -10.05889628 101.1814
TOTAL -36.945583 0.00 5376.343
AVERAGE -1.0555881
N 35
EX2 5376.343 FOR r
(EX)2 0 YEAR 1 -35.80238
NEX2 188172.005 YEAR 2 31.1732056
N2 1225 YEAR 3 -42.131478
ei2 153.6098 AVERAGE -15.586884
12. IDBI
MONTHLY
Date Close RETURN
10/3/2006 127.2
11/1/2006 103.85 -18.356918 -18.79873901 353.3926
12/1/2006 105.7 1.7814155 1.339594733 1.794514
1/2/2007 109.9 3.97350993 3.531689164 12.47283
2/1/2007 93.2 -15.195632 -15.63745316 244.5299
3/1/2007 63.6 -31.759657 -32.20147742 1036.935
4/2/2007 45.4 -28.616352 -29.05817297 844.3774
5/3/2007 48.35 6.49779736 6.055976587 36.67485
6/4/2007 57.1 18.0972079 17.65538709 311.7127
7/2/2007 67.65 18.4763573 18.0345365 325.2445
8/1/2007 57.95 -14.338507 -14.78032779 218.4581
9/3/2007 58.35 0.69025022 0.248429446 0.061717
10/1/2007 74.4 27.5064267 27.06460597 732.4929
11/1/2007 83.75 12.5672043 12.12538353 147.0249
12/3/2007 74.95 -10.507463 -10.94928346 119.8868
1/1/2008 64.5 -13.942628 -14.38444919 206.9124
2/1/2008 87.3 35.3488372 34.90701644 1218.5
3/3/2008 104.65 19.8739977 19.43217694 377.6095
4/1/2008 89.05 -14.906832 -15.34865307 235.5812
5/2/2008 118.45 33.01516 32.57333925 1061.022
6/2/2008 113.5 -4.1789785 -4.620799242 21.35179
7/1/2008 165.3 45.6387665 45.19694575 2042.764
8/1/2008 162.85 -1.4821537 -1.92397443 3.701678
9/1/2008 160.4 -1.5044519 -1.94627272 3.787977
10/1/2008 156.2 -2.6184539 -3.060274635 9.365281
11/3/2008 124.35 -20.390525 -20.83234574 433.9866
12/1/2008 112.2 -9.7708082 -10.21262897 104.2978
1/1/2009 118.65 5.7486631 5.306842332 28.16258
2/2/2009 95 -19.932575 -20.37439557 415.116
3/2/2009 84.5 -11.052632 -11.49445235 132.1224
4/1/2009 77.55 -8.2248521 -8.666672841 75.11122
5/4/2009 80.55 3.86847195 3.426651184 11.74194
6/1/2009 101.4 25.8845438 25.44272299 647.3322
7/1/2009 76.3 -24.753452 -25.19527245 634.8018
8/3/2009 73.85 -3.2110092 -3.652829944 13.34317
9/1/2009 82.15 11.238998 10.7971772 116.579
TOTAL 15.4637271 0.00 12178.25
AVERAGE 0.44182077
N 35
EX2 12178.25 FOR r
(EX)2 0 YEAR 1 -54.127358
NEX2 426238.75 YEAR 2 115.591398
N2 1225 YEAR 3 -47.40717
ei2 347.95 AVERAGE 4.68562302
15. Lupin
MONTHLY
Date Close RETURN
10/2/2006 1136.85
11/1/2006 1015.15 -10.705018 -8.918751662 79.54413
12/1/2006 945.9 -6.821652 -5.035385383 25.35511
1/1/2007 817.1 -13.616661 -11.83039479 139.9582
2/1/2007 833.85 2.04993269 3.836199279 14.71642
3/1/2007 717.05 -14.007315 -12.22104887 149.354
4/2/2007 689.2 -3.883969 -2.09770245 4.400356
5/1/2007 650.25 -5.65148 -3.865213387 14.93987
6/1/2007 569.9 -12.356786 -10.57051926 111.7359
7/2/2007 617.85 8.4137568 10.20002339 104.0405
8/1/2007 585.35 -5.2601764 -3.473909828 12.06805
9/3/2007 661.9 13.0776459 14.86391244 220.9359
10/1/2007 719.9 8.76265297 10.54891956 111.2797
11/1/2007 734.8 2.06973191 3.855998497 14.86872
12/3/2007 737.4 0.35383778 2.140104369 4.580047
1/1/2008 668 -9.4114456 -7.62517903 58.14336
2/1/2008 710.95 6.42964072 8.215907309 67.50113
3/3/2008 566.3 -20.346016 -18.5597493 344.4643
4/1/2008 488 -13.826594 -12.04032709 144.9695
5/2/2008 555.6 13.852459 15.63872561 244.5697
6/2/2008 570.6 2.69978402 4.486050607 20.12465
7/1/2008 633.7 11.0585349 12.84480147 164.9889
8/1/2008 525.55 -17.066435 -15.28016863 233.4836
9/1/2008 586.7 11.6354295 13.42169614 180.1419
10/1/2008 586.15 -0.0937447 1.692521916 2.86463
11/3/2008 586.7 0.09383264 1.880099227 3.534773
12/1/2008 643.8 9.73240157 11.51866816 132.6797
1/1/2009 732.55 13.7853371 15.57160365 242.4748
2/2/2009 711.15 -2.9213023 -1.13503571 1.288306
3/2/2009 704.85 -0.8858891 0.900377537 0.81068
4/1/2009 605.65 -14.073916 -12.28764985 150.9863
5/4/2009 603.5 -0.3549905 1.431276084 2.048551
6/1/2009 600.6 -0.4805302 1.30573635 1.704947
7/1/2009 612.05 1.90642691 3.692693496 13.63599
8/3/2009 528.9 -13.585491 -11.79922479 139.2217
9/1/2009 512.55 -3.0913216 -1.305055021 1.703169
TOTAL -62.519331 0.00 3159.118
AVERAGE -1.7862666
N 35
EX2 3159.118 FOR r
(EX)2 0 YEAR 1 -41.777719
NEX2 110569.13 YEAR 2 -18.50257
N2 1225 YEAR 3 -12.556513
ei2 90.2605143 AVERAGE -24.278934
16 . raymond
MONTHLY
Date Close RETURN
10/2/2006 208.5
11/1/2006 178.85 -14.220624 -18.06273605 326.2624
12/1/2006 174.65 -2.3483366 -6.190449145 38.32166
1/1/2007 177 1.34554824 -2.496564311 6.232833
2/1/2007 152.65 -13.757062 -17.5991747 309.731
3/1/2007 87.05 -42.974124 -46.81623636 2191.76
4/2/2007 76.45 -12.17691 -16.01902237 256.6091
5/1/2007 77.4 1.24264225 -2.5994703 6.757246
6/1/2007 91.65 18.4108527 14.56874016 212.2482
7/2/2007 107.15 16.9121658 13.0700533 170.8263
8/1/2007 81.9 -23.565096 -27.40720821 751.1551
9/3/2007 84.25 2.86935287 -0.972759681 0.946261
10/1/2007 134.7 59.8813056 56.03919309 3140.391
11/1/2007 194.45 44.3578322 40.51571967 1641.524
12/3/2007 208.15 7.04551299 3.203400435 10.26177
1/1/2008 223.85 7.54263752 3.700524971 13.69389
2/1/2008 262.05 17.0649989 13.22288633 174.8447
3/3/2008 277.3 5.8195001 1.977387545 3.910062
4/1/2008 297.65 7.33862243 3.496509881 12.22558
5/2/2008 342.2 14.9672434 11.12513086 123.7685
6/2/2008 357.35 4.42723553 0.585122985 0.342369
7/1/2008 441.2 23.4643907 19.6222781 385.0338
8/1/2008 420.8 -4.6237534 -8.46586595 71.67089
9/1/2008 353.1 -16.088403 -19.93051559 397.2255
10/1/2008 324.1 -8.2129708 -12.05508338 145.325
11/3/2008 258.05 -20.379512 -24.22162505 586.6871
12/1/2008 276.1 6.99476846 3.152655906 9.939239
1/1/2009 308.2 11.6262224 7.784109833 60.59237
2/2/2009 323.95 5.11031798 1.268205425 1.608345
3/2/2009 344.95 6.48248186 2.640369314 6.97155
4/1/2009 340.55 -1.2755472 -5.117659731 26.19044
5/4/2009 345.25 1.38012039 -2.461992157 6.061405
6/1/2009 392.95 13.8160753 9.973962758 99.47993
7/1/2009 400.05 1.80684565 -2.035266895 4.142311
8/3/2009 436.9 9.21134858 5.369236031 28.8287
9/1/2009 458.65 4.97825589 1.136143344 1.290822
TOTAL 134.473939 0.00 11222.86
AVERAGE 3.84211255
N 35
EX2 11222.86 FOR r
(EX)2 0 YEAR 1 -59.592326
NEX2 392800.1 YEAR 2 162.138085
N2 1225 YEAR 3 41.5149645
ei2 320.653143 AVERAGE 48.020241
19. Britannia
MONTHLY
Date Close RETURN
10/3/2006 1577.5
11/1/2006 1647.05 4.4088748 5.014041612 25.14061
12/1/2006 1861.95 13.0475699 13.65273671 186.3972
1/2/2007 1586.4 -14.799001 -14.19383424 201.4649
2/1/2007 1712.9 7.97402925 8.579196059 73.60261
3/1/2007 1601.7 -6.4919143 -5.886747487 34.6538
4/2/2007 1400 -12.59287 -11.98770327 143.705
5/3/2007 1315.05 -6.0678571 -5.462690333 29.84099
6/4/2007 1380 4.9389757 5.544142514 30.73752
7/2/2007 1324.9 -3.9927536 -3.387586813 11.47574
8/1/2007 1100 -16.974866 -16.36969922 267.9671
9/3/2007 1173 6.63636364 7.241530446 52.43976
10/1/2007 1346 14.7485081 15.35367491 235.7353
11/1/2007 1440 6.98365527 7.588822085 57.59022
12/3/2007 1385 -3.8194444 -3.214277634 10.33158
1/1/2008 1435 3.6101083 4.215275113 17.76854
2/1/2008 1445 0.69686411 1.302030921 1.695285
3/3/2008 1363.5 -5.6401384 -5.034971598 25.35094
4/1/2008 1358 -0.4033737 0.201793139 0.04072
5/2/2008 1362.1 0.30191458 0.90708139 0.822797
6/2/2008 1435 5.35202995 5.957196764 35.48819
7/1/2008 1475.3 2.80836237 3.413529179 11.65218
8/1/2008 1494.65 1.31159764 1.916764451 3.673986
9/1/2008 1518 1.56223865 2.167405461 4.697646
10/1/2008 1475 -2.8326746 -2.227507762 4.961791
11/3/2008 1570 6.44067797 7.045844776 49.64393
12/1/2008 1704.55 8.57006369 9.175230504 84.18485
1/1/2009 1574.8 -7.6119797 -7.006812891 49.09543
2/2/2009 1526.6 -3.0607061 -2.455539311 6.029673
3/2/2009 1264.05 -17.198349 -16.59318246 275.3337
4/1/2009 1250.05 -1.1075511 -0.502384315 0.25239
5/4/2009 1235 -1.2039518 -0.598785032 0.358544
6/1/2009 1138 -7.854251 -7.249084202 52.54922
7/1/2009 1090 -4.2179262 -3.612759376 13.05203
8/3/2009 1120 2.75229358 3.357460388 11.27254
9/1/2009 1148.5 2.54464286 3.149809667 9.921301
TOTAL -21.180838 0.00 2018.928
AVERAGE -0.6051668
N 35
EX2 2018.928 FOR r
(EX)2 0 YEAR 1 -25.641838
NEX2 70662.48 YEAR 2 12.7786033
N2 1225 YEAR 3 -22.135593
ei2 57.6836571 AVERAGE -11.666276
Security Ri Rm βi σei² Rf
IDBI 4.68562302 -4.4568269 -1.051336102 347.95 8
Escorts 13.241873 -4.4568269 -2.971143663 591.381143 8
Bhel 12.8966424 -4.4568269 -2.893682588 303.309429 8
Asian Hotels 13.7312571 -4.4568269 -3.080949161 196.622457 8
Balaji
Telefilms 21.3303605 -4.4568269 -4.785997073 637.740857 8
Kotak Bank -12.911207 -4.4568269 2.896950519 447.511143 8
Cipla -5.5699585 -4.4568269 1.249758769 78.8327429 8
Godrej -10.450971 -4.4568269 2.344935362 104.370057 8
Bank of India -17.485842 -4.4568269 3.923383697 239.060543 8
Berger Paint -15.889827 -4.4568269 3.565278023 184.815429 8
Atul Ltd 26.2147981 -4.4568269 -5.881942173 221.677457 8
Blue Star -22.767138 -4.4568269 5.108373852 319.102286 8
HDFC -15.586884 -4.4568269 3.497305224 153.6098 8
Cadila
Healthcare -12.579739 -4.4568269 2.822577426 100.164371 8
Essar Oil -39.582092 -4.4568269 8.881227135 721.253429 8
Britannia -11.666267 -4.4568269 2.617617256 57.6836571 8
Jindal Steel 269.858935 -4.4568269 -60.5495661 14300.7743 8
Raymond 48.020241 -4.4568269 -10.7745358 302.653143 8
Lupin -24.278934 -4.4568269 5.447582898 90.2605143 8
Hero honda -23.335527 -4.4568269 5.235906066 72.9382857 8
Security Ri - Rf Ri - Rf/βi (Ri - Rf)*βi/σei² Rank
IDBI -3.31437698 3.152537969 0.010014439 1
Escorts 5.241873 -1.764261037 -0.026335567 2
Bhel 4.8966424 -1.692183662 -0.046715755 3
Asian Hotels 5.7312571 -1.860224496 -0.089805163 4
Balaji Telefilms 13.3303605 -2.78528388 -0.100039171 5
Kotak Bank -20.911207 -7.218351458 -0.135368097 6
Cipla -13.5699585 -10.85806224 -0.215128562 7
Godrej -18.450971 -7.868434797 -0.414547387 8
Bank of India -25.485842 -6.495883138 -0.41826533 9
Berger Paint -23.889827 -6.700691179 -0.460859116 10
Atul Ltd 18.2147981 -3.096731924 -0.483307552 11
Blue Star -30.767138 -6.022882994 -0.49253813 12
HDFC -23.586884 -6.744302395 -0.537013476 13
Cadila Healthcare -20.579739 -7.291115847 -0.579925837 14
Essar Oil -47.582092 -5.357603322 -0.585906908 15
Britannia -19.666267 -7.513041471 -0.892432319 16
Jindal Steel 261.858935 -4.32470374 -1.108712337 17
Raymond 40.020241 -3.714335516 -1.424731675 18
Lupin -32.278934 -5.925368114 -1.948162718 19
Hero honda -31.335527 -5.984738192 -2.249434221 20
Total -12.19921488
Rank Security Ci zi Xi %
1 IDBI 2.410128608 0.047227819 0.313892 31.38915
2 Escorts C*=18.78304826 0.103231238 0.686108 68.61085
3 Bhel 6.055827268
4 Asian Hotels 5.860809241
5 Balaji Telefilms 7.529975966
6 Kotak Bank 14.32136465
7 Cipla 53.60260311
8 Godrej -90.79694884
9 Bank of India -51.99316365
10 Berger Paint -40.43700834
11 Atul Ltd -116.7991757
12 Blue Star -78.95065605
13 HDFC -57.64269873
14 Cadila Healthcare -45.68404391
15 Essar Oil -45.9185852
16 Britannia -37.70430306
17 Jindal Steel -46.71288306
18 Raymond -76.06566028
19 Lupin -60.10224801
20 Hero honda -51.40126052
Total 0.150459058 1 100
Conclusion:
Securities Proportion
IDBI 31.38915
Escorts 68.61085
Total (%) 100