Sto

Month

Bajaj Auto
11-Jul
11-Aug
11-Sep
11-Oct
11-Nov
11-Dec
12-Jan
12-Feb
12-Mar
12-Apr
12-May
12-Jun

ACC
1464.85
1573
1534.35
1733.15
1672.85
1592.8
1600.95
1798.95
1677.9
1623.1
1513
1572

1012.05
1002.55
1098.15
1195.25
1145.05
1136.35
1189.9
1304.9
1356.35
1234.65
1140.2
1267.55

Average Returns
S.D. of Returns
Correlation Matrix
Bajaj Auto
ACC
HUL
Hero Motors
Kotak M. Bank
ITC
Sun Pharma
Power Grid
TCS
Amb. Cement

Variance -Covariance Matrix

Bajaj Auto
ACC
HUL
Hero Motors
Kotak M. Bank
ITC
Sun Pharma
Power Grid
TCS
Amb. Cement
Portfolio Variance

Bajaj Auto
ACC
HUL
Hero Motors
Kotak M. Bank
ITC
Sun Pharma
Power Grid
TCS
Amb. Cement
Total
Portfolio Return
Portfolio Variance
Portfolio S.D.

HUL

Stock Prices
Hero Motors
Kotak M. Bank
ITC
323.95
1787.2
446.85
320.9
2047.85
441.75
340.25
1941.85
459.65
375.25
2175.7
510.85
396.1
2003.25
464.45
407.8
1905.25
432.25
379.35
1863.9
497.7
380.2
1950.45
547.9
409.9
2054.85
542.45
416.35
2234.9
583.05
426.7
1837
562.15
454.35
2007.2
592.25

Sun Pharma
208.3
200
197.85
213.15
200.7
201.3
203.35
207.75
226.85
245.55
230.25
258.95

516.8
490.3
461.7
503.3
523.4
496.85
547.65
549.95
569.5
602.35
567.5
635.55

Bajaj Auto

ACC
HUL
Hero Motors
Kotak M. Bank
1 0.5722057217
-0.0088818727 0.6428627447
0.5699775936
0.572205722
1
0.2348190772 0.3608280294
0.5189287554
-0.008881873 0.2348190772
1 0.1144728024
-0.2838311482
0.642862745 0.3608280294
0.1144728024
1
0.442024899
0.569977594 0.5189287554
-0.2838311482 0.442024899
1
0.21667709 0.4430529223
0.3631543473 0.637469955
0.4934938937
0.278018672 0.3152939165
0.0732649039 0.4238947705
0.5618770179
0.650962897 0.5545506345
-0.0869571598 0.4305514974
0.7677480898
0.31667836 0.142665223
0.2626093412 0.0571027524
0.3253735572
0.119448817 0.7566969233
0.3077969821 0.0869602889
0.0723216143

Bajaj Auto
ACC
HUL
Hero Motors
Kotak M. Bank
0.005253985 0.0030044948 -3.07801398E-005 0.0046140898
0.0032309063
0.003004495 0.0052474667
0.0008132608 0.0025882039
0.0029397117
-3.0780E-005 0.0008132608
0.0022858265 0.0005419351
-0.0010612161
0.00461409 0.0025882039
0.0005419351 0.0098049806
0.0034228847
0.003230906 0.0029397117
-0.0010612161 0.0034228847
0.0061156741
0.001007046 0.0020578901
0.0011132805 0.0040473878
0.0024745468
0.001370304 0.0015530626
0.0002381859 0.0028541708
0.0029878718
0.002451726 0.0020873117
-0.0002160221 0.0022152346
0.0031196952
0.001184017 0.0005330747
0.0006476299 0.0002916591
0.0013125006
0.00063744 0.0040356187
0.0010834261 0.0006339539
0.0004163932
Bajaj Auto
Weight

ACC
0.00

HUL
0.00

Hero Motors
0.79

0.00

0.00
0.00
0.79
0.00
0.21
0.00
0.00
0.00
0.00
0.00
1.00
0.0315
0.001343197
0.036649651

0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0 0.0014250298
0
0
0 -0.000176321
0
0
0
0
0
0
0
0
0
0
0 0.0012487092

0
0
0
0
0
0
0
0
0
0
0

Power Grid
TCS
104.9
100.25
98.3
104.65
98.95
99.9
103.95
112.85
107.9
111.2
106.35
113.45

1134.45
1040.6
1037.5
1114.2
1113.1
1161.25
1130.5
1221.05
1167.85
1244.9
1245.8
1277.55

Amb. Cement
129.3
133.1
148.6
155.4
148.4
155.4
160.7
160.05
171.25
150.9
151.05
173.95

Bajaj Auto

ACC

0.073830085
-0.0245708837
0.1295662658
-0.0347921415
-0.0478524673
0.0051167755
0.123676567
-0.0672892521
-0.0326598725
-0.0678331588
0.0389953734

-0.009387
0.095357
0.088421
-0.042
-0.007598
0.047125
0.096647
0.039428
-0.089726
-0.076499
0.111691

0.0087
0.0230
0.0724843778 0.072439
ITC
Sun Pharma Power Grid
TCS
Amb. Cement
0.2166770898 0.278018672 0.6509628967 0.3166784 0.1194488172
0.4430529223 0.315293916 0.5545506345 0.1426652 0.7566969233
0.3631543473 0.073264904 -0.0869571598 0.2626093 0.3077969821
0.637469955 0.423894771 0.4305514974 0.0571028 0.0869602889
0.4934938937 0.561877018 0.7677480898 0.3253736 0.0723216143
1 0.683810996 0.5993529833 0.3739034 0.2643516725
0.6838109959
1
0.562348284 0.2551878 0.0392589312
0.5993529833 0.562348284
1 0.7179715 0.1036788296
0.3739033577 0.255187787
0.717971458
1 -0.2505230816
0.2643516725 0.039258931 0.1036788296 -0.250523
1

ITC
Sun Pharma Power Grid
TCS
Amb. Cement
0.0010070456 0.001370304 0.0024517258 0.001184 0.0006374404
0.0020578901 0.001553063 0.0020873117 0.0005331 0.0040356187
0.0011132805 0.000238186 -0.0002160221 0.0006476 0.0010834261
0.0040473878 0.002854171 0.0022152346 0.0002917 0.0006339539
0.0024745468 0.002987872 0.0031196952 0.0013125 0.0004163932
0.0041113406 0.002981442
0.001996851 0.0012366
0.001247921
0.0029814418 0.004623779 0.0019868961 0.0008951 0.0001965397
0.001996851 0.001986896 0.0026998678 0.0019243
0.00039662
0.0012366483 0.000895063 0.0019243033 0.0026607 -0.0009513847
0.001247921 0.00019654
0.00039662 -0.000951 0.0054203412
Kotak M. Bank ITC
0.21

Sun Pharma
0.00

Power Grid TCS

0.00
0.00

Amb. Cement
0.00
0.00

0
0
-0.000176321
0
0.0002708082
0
0
0
0
0
9.44877E-005

0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0

HUL

Hero Motors

Stock Returns
Kotak M. Bank
ITC

-0.009415
0.060299
0.102866
0.055563
0.029538
-0.069765
0.002241
0.078117
0.015736
0.024859
0.0648

0.1458426589
-0.0517616036
0.1204263975
-0.0792618468
-0.0489205042
-0.0217031886
0.0464348946
0.0535261094
0.0876219675
-0.1780392859
0.0926510615

-0.0114132259
0.0405206565
0.1113891004
-0.0908290105
-0.0693293142
0.151417004
0.1008639743
-0.0099470706
0.0748456079
-0.0358459823
0.0535444276

0.0323
0.04781

0.0152
0.0990201021

0.0287
0.0782027752

mb. Cement

-0.039846
-0.01075
0.077331
-0.05841
0.00299
0.010184
0.021638
0.091937
0.082433
-0.062309
0.124647

Sun Pharma
-0.0512770898
-0.0583316337
0.0901017977
0.0399364196
-0.0507260222
0.1022441381
0.0041997626
0.0355486862
0.0576821773
-0.0578567278
0.1199118943

Power Grid
-0.04432793
-0.01945137
0.064598169
-0.05446727
0.009600808
0.040540541
0.085618086
-0.04386354
0.030583874
-0.04361511
0.066760696

0.0218
0.0210
0.0084
0.06412 0.0679983736 0.051960252

TCS
-0.082727
-0.002979
0.073928
-0.000987
0.043258
-0.02648
0.080097
-0.043569
0.065976
0.000723
0.025486

Amb. Cement
0.0293890178
0.1164537941
0.0457604307
-0.045045045
0.0471698113
0.0341055341
-0.004044804
0.0699781318
-0.1188321168
0.0009940358
0.1516054287

0.0121
0.0298
0.051582 0.0736229664

Portfolio

return
s.d
Utility (A=3)
0.007
0
1
0.018 0.03463
2
0.019 0.03387
3
0.02 0.03333
4
0.021 0.03298
5
0.022 0.03273
6
0.023 0.03257
7
0.024 0.03249
8
0.025 0.03249
9
0.026 0.03258
10
0.027 0.03276
11
0.028 0.03304
12
0.029 0.03343
13
0.03 0.03394
14
0.031 0.03457
15
0.0312 0.03492
16
0.0313 0.03532
17
0.0314 0.03589

Sharpe Ratio
0.3176436616
0.354295837
0.3900390039
0.4244996968
0.4582951421
0.4912496162
0.5232379194
0.5540166205
0.5831798649
0.6105006105
0.6355932203
0.6580915345
0.6776664702
0.6942435638
0.6930126002
0.68799547
0.6798551128

CML
0.007
0.031042
0.041472
0.041931
0.042422
0.021
0.022
0.023
0.035
0.024
0.0250.03
0.026
0.025
0.027
0.0280.02
0.029
0.015
0.03
0.01
0.031
0.005
0.0312
0.0313 0

0.032 0.0325 0.033 0.0

SCATTER PLOT GRAPH

0.045
0.04
0.035

35

03

25

02

15

01

05

s.d

0.03
0.025
0.02
0.015

ret sd
cml sd

s.d

0.01
0.005
0

0
0
0.005
0.01
0.015
0.02
0.032 0.0325 0.033 0.0335 0.034 0.0345 0.035 0.0355 0.036 0.0365

0.025

0.03

0.035

0.04

35

ret sd
cml sd

0.04