Month MPRET-AMPRET -B MPRET-C DFM-A DFM-B DFM-C Cov AB Cov AC Cov BC

1
2 2.12 10.20 0.57 0.07 9.29 -0.4524 0.63 -0.03 -4.20
3 -1.54 0.63 -1.09 -3.59 -0.29 -2.1049 1.03 7.56 0.60
4 1.10 -2.69 4.99 -0.95 -3.60 3.9697 3.43 -3.79 -14.29
5 19.96 -1.50 3.27 17.91 -2.41 2.2490 -43.17 40.27 -5.42
6 -3.71 -11.31 -8.23 -5.76 -12.23 -9.2468 70.47 53.30 113.05
7 -11.07 -1.97 -3.43 -13.13 -2.88 -4.4534 37.77 58.45 12.82
8 -7.41 10.26 3.96 -9.47 9.35 2.9448 -88.47 -27.87 27.52
9 -2.39 1.83 0.92 -4.44 0.92 -0.0984 -4.07 0.44 -0.09
10 -10.48 -0.06 -0.88 -12.54 -0.97 -1.9038 12.17 23.87 1.85
11 2.37 -3.40 -1.24 0.31 -4.31 -2.2551 -1.34 -0.70 9.71
12 4.25 10.01 7.04 2.20 9.10 6.0251 19.97 13.23 54.81
13 5.22 3.90 0.19 3.17 2.99 -0.8241 9.46 -2.61 -2.46
14 -11.89 9.78 1.35 -13.94 8.87 0.3296 -123.64 -4.60 2.92
15 2.08 -2.66 -0.33 0.02 -3.58 -1.3452 -0.09 -0.03 4.81
16 -14.39 2.56 -6.19 -16.44 1.65 -7.2060 -27.13 118.48 -11.89
17 -8.42 -5.80 -0.80 -10.48 -6.71 -1.8194 70.30 19.06 12.21
18 5.75 14.88 4.01 3.69 13.97 2.9880 51.59 11.03 41.74
19 -0.85 -4.25 4.33 -2.90 -5.16 3.3110 15.00 -9.61 -17.10
20 14.71 2.58 1.18 12.66 1.67 0.1632 21.19 2.07 0.27
21 3.25 4.28 0.60 1.19 3.37 -0.4159 4.03 -0.50 -1.40
22 -7.17 0.44 -0.09 -9.22 -0.47 -1.1064 4.35 10.20 0.52
23 -5.98 -4.22 -6.24 -8.04 -5.13 -7.2557 41.25 58.33 37.23
24 -37.95 -20.01 -23.45 -40.01 -20.93 -24.4660 837.14 978.79 511.96
25 23.52 4.72 9.93 21.47 3.81 8.9149 81.72 191.37 33.94
26 1.97 -9.81 -0.42 -0.09 -10.73 -1.4387 0.97 0.13 15.43
27 2.80 11.15 10.16 0.74 10.24 9.1449 7.58 6.77 93.61
28 16.32 0.39 6.47 14.26 -0.52 5.4494 -7.44 77.73 -2.84
29 22.50 2.61 4.08 20.44 1.70 3.0562 34.66 62.47 5.18
30 2.95 -9.50 -0.63 0.89 -10.41 -1.6509 -9.28 -1.47 17.19
31 11.25 22.02 2.64 9.20 21.10 1.6233 194.07 14.93 34.26
32 13.33 23.25 11.56 11.28 22.33 10.5429 251.88 118.90 235.47
33 10.57 4.64 8.10 8.51 3.73 7.0772 31.74 60.23 26.39
34 -5.26 -14.16 -1.89 -7.31 -15.07 -2.9046 110.21 21.24 43.79
35 7.80 3.93 8.89 5.74 3.02 7.8727 17.36 45.19 23.80
36 18.46 -1.54 0.39 16.40 -2.45 -0.6273 -40.15 -10.29 1.54
37 53.24 -0.24 0.33 51.18 -1.15 -0.6930 -58.90 -35.47 0.80
38 -0.97 3.37 7.14 -3.02 2.46 6.1236 -7.43 -18.52 15.05
39 -3.80 -5.63 2.25 -5.85 -6.55 1.2277 38.31 -7.19 -8.04
40 7.76 -2.99 0.75 5.70 -3.90 -0.2641 -22.26 -1.51 1.03
41 -6.70 5.98 6.36 -8.75 5.07 5.3451 -44.33 -46.78 27.08
42 -2.81 14.36 4.21 -4.86 13.45 3.1907 -65.38 -15.51 42.91
43 0.13 1.28 0.55 -1.93 0.37 -0.4718 -0.71 0.91 -0.17
44 -9.08 -3.41 -2.76 -11.13 -4.32 -3.7801 48.11 42.09 16.33
45 7.82 -8.45 1.98 5.76 -9.36 0.9564 -53.93 5.51 -8.95
46 -4.12 3.40 -0.24 -6.17 2.49 -1.2611 -15.39 7.78 -3.14
47 -0.24 -0.78 -4.33 -2.29 -1.69 -5.3474 3.88 12.27 9.05
48 16.77 -4.82 4.14 14.71 -5.74 3.1248 -84.37 45.97 -17.92
49 -0.75 2.10 0.00 -2.81 1.19 -1.0189 -3.35 2.86 -1.22
50 -24.19 3.13 -4.51 -26.25 2.22 -5.5256 -58.31 145.02 -12.28
51 2.40 -10.06 -5.14 0.35 -10.97 -6.1635 -3.82 -2.15 67.61
52 11.53 8.99 9.55 9.48 8.07 8.5283 76.52 80.82 68.86
53 5.92 5.81 3.97 3.87 4.89 2.9500 18.94 11.41 14.44
54 -5.29 -5.02 -2.24 -7.34 -5.94 -3.2622 43.58 23.95 19.36
55 6.70 4.55 3.82 4.64 3.64 2.8055 16.88 13.02 10.21
56 10.30 2.37 2.56 8.25 1.46 1.5402 12.05 12.71 2.25
57 3.32 -6.15 -1.70 1.26 -7.06 -2.7203 -8.90 -3.43 19.22
58 -6.72 -5.27 -3.96 -8.77 -6.18 -4.9805 54.21 43.70 30.77
59 -6.87 -0.10 -2.72 -8.93 -1.01 -3.7422 9.04 33.42 3.79
60 3.13 0.21 0.37 1.08 -0.70 -0.6484 -0.76 -0.70 0.46
2.06 0.91 1.02 12.71 7.91 5.43 25.50 39.357 27.5929
E(R)-A E(R)-B E(R)-C SD -A SD-B SD-C Cov AB Cov AC Cov BC

XL Cov AB 25.07 38.69 27.1252

Correlation Coefficient 0.249411 0.5607 0.63
XLCorrelation Coefficient 0.253711 0.5704 0.64
 Stock A Stock B Nifty500 Weighted
Weightag Weightag Weightag Portfolio Portfolio Standardiz sum of
Portfolio e% e% e% Return Risk ed Risk Risk Difference
1 100% 0% 0% 0.9068414 9.42 0.0962609
2 0% 100% 0% 0.8232243 5.79 0.1421343
3 0% 0% 100% 1.0189458 5.43 0.1877307
4 50% 50% 0% 0.8650328 6.20 0.1395649 7.61 -1.41
5 0% 50% 50% 0.921085 4.67 0.1973795 5.61 -0.94
6 50% 0% 50% 0.9628936 5.92 0.1626276 7.42 -1.50
7 33% 33% 34% 0.9173632 5.03 0.1823307 6.87 -1.83

Correlation Coefficient
X-A 0.9068414 rAB 0.2874607
X-B 0.8232243 rAC 0.2152945
X-C 1.0189458 rBC 0.3833387

SD-A 9.42 Rank Portfolio

SD-B 5.79 3 1.0189458
SD-C 5.43 6 0.9628936
5 0.921085
7 0.9173632
1 0.9068414
4 0.8650328
2 0.8232243
3 1.01894576
6 0.96289356
5 0.92108502
7 0.91736322
1 0.90684137
4 0.86503282
2 0.82322427