Jan-01

Feb-01
Mar-01
Apr-01
May-01
Jun-01
Jul-01
Aug-01
Sep-01
Oct-01
Nov-01
Dec-01
Jan-02
Feb-02
Mar-02
Apr-02
May-02
Jun-02
Jul-02
Aug-02
Sep-02
Oct-02
Nov-02
Dec-02
Jan-03
Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04
Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05

Hindustan Unilever
Infosys Technologies
Ltd.State BankLtd.
Steel
Of India
Authority
TataOfSteel
IndiaLtd.
Wipro
Ltd. Ltd. B S E Sensex
Yield on TB
3.47
20.88
17.41
6.98
3.17
17.38
9.4
9.6001
12.62
-5.8
7.46
21.09
20.23
-6.47
0.29
8.9643
-3.74
-34.76
-18.51
-27.74
-20.81
-47.57
-15.13
9.1418
-3.66
-8.51
4.87
2.68
10.18
7.66
-2.36
8.8520
-6.17
1.25
5.45
2.61
8.77
16.88
3.2
8.4269
2.19
-3.92
-2.74
-8.47
-19.05
-19.12
-5.61
7.8907
8.92
0
-5.92
-7.41
-18.78
3.22
-3.69
7.3215
3.62
-2.36
-3.41
-2
-12.85
-0.6
-1.19
7.0940
-5.33
-36.5
-17.49
-16.16
-15.65
-30.82
-14.82
7.3057
2.38
25.32
5.81
9.52
8.11
3.72
6.94
6.8697
0.02
31.42
11.56
8.6
14.91
39.78
11.16
6.7481
6.45
4.56
-12.45
-3.96
-2.9
10.69
-0.77
7.3521
0.09
-3.36
14.36
1.02
17.13
3.16
2
6.6351
12.83
-6.29
8.45
2.02
10.41
1.5
7.52
6.6096
-6.71
-2.84
-15.54
-13.27
-9.47
2.33
-6.56
5.7633
-10.01
-1.23
3.75
0
13.88
-9.5
-3.78
6.3246
-8.85
-8.02
-3.55
71.43
2.44
-1.3
-6.36
6.8175
0.47
-7.15
9
62.91
32.05
-3.55
2.67
6.2956
-12.1
-8.13
-1.78
-31.69
-13.42
-23.14
-9.15
6.2149
10.79
18.96
4.16
2.41
-1.28
11.05
6.48
5.9593
-7.53
-6.04
-4.86
-24.12
-6.07
4.25
-5.97
5.8572
-4.98
11.4
0.02
7.69
7.51
2.34
-0.35
5.7670
5.68
20.33
13.92
28.57
19.63
22.03
11.78
5.5128
5.58
4.69
7.59
19.88
8.56
-3.29
4.6
5.6200
-5.95
-10.25
-0.69
0.99
0.6
-15.33
-4.12
5.7205
-2.11
2
0.81
0
-2.85
4.29
1.41
5.8786
-12.53
-5.69
-5.55
-16.19
-10.89
-16.33
-7.15
5.6192
-0.49
-30.93
3.2
3.98
-1.16
-29.41
-2.92
4.9818
9.14
-3.73
26.48
33.88
19.36
-7.08
7.47
5.1133
14.43
22.17
9.05
40.98
12.7
17.53
13.41
5.2334
-4.78
8.72
12.72
24.39
22.23
0.76
5.22
4.8239
11.37
9.66
0.6
73.93
20.71
13.45
12.28
4.7669
-0.65
15.7
2.81
-6.88
7.77
17.63
4.91
4.6904
-5.21
4.12
8.57
18.21
32.86
8.13
10.14
4.6751
0.71
8.05
-3.18
-1.18
9.21
22.56
6.34
4.4829
14.39
7.48
14.56
16.67
19.96
7.32
13.14
4.5529
-7.79
-6.62
10.64
-12.33
-8.92
-10.36
-2.45
4.4894
-9.87
-6.74
-7.59
-6.87
-1.6
-12.02
-3.55
4.2466
-11.32
-7.22
0.77
-22.17
-12.11
-9.32
-3.99
4.4462
-8.46
4.23
6.09
8.51
-6.7
13.62
1.15
4.4282
-0.85
3.4
-27.64
-15.69
-17.2
0.69
-15.83
4.6452
-7.15
6.03
-4.96
-7.45
4.95
4.51
0.75
4.6048
-8.72
12.53
2.62
45.7
30.32
2.76
7.82
4.8817
-1.43
1.36
0.2
0.63
-3.61
5.81
0.42
5.1662
12.01
7.64
5.72
16.21
14.71
3.13
7.54
5.4571
0.52
16.6
-5.41
6.82
-0.76
12.63
2.62
5.7363
15.92
12.69
18.41
10.94
12.43
16.52
9.91
5.7806
0.28
-0.9
20.69
11.59
17.59
-0.94
6.02
5.7912
11.39
-1.04
-1.48
4.55
0.14
-5.81
-0.71
5.6824
-5.94
9.71
14.72
10.08
10.98
-0.11
4.59
5.7395

Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09

-9.79
4.87
3.96
16.28
2.61
-3.35
9.36
-10.9
12.73
8.41
-1.24
24.05
11.17
6.29
-18.84
-1.97
1.37
3.94
8.51
-8.82
0.96
-8.22
-3.86
-17.63
16.52
-1.43
2.06
-4.96
9.27
4.97
8.59
-6.65
1.34
3.26
-5.32
15.64
1.95
9.09
-4.95
-13.09
21.24
4.39
2.51
-12.65
13.45
7.66
4.38
-2.01
-6.15
-2.03
-1.47

3.25
-13
19.25
5.06
-2.36
5.06
5.92
0.53
6.35
11.65
-3.91
-2.6
2.57
4.7
-7.24
5.83
7.48
9.05
2.73
13.64
4.09
3.87
0.18
-7.31
-3.16
1.83
-6.3
1.65
2.49
-3.86
3.42
-2.54
-12.78
10.25
-14.05
3.62
-7.54
22.63
13.23
-11.38
-7.43
9.1
-20.07
-4.22
-4.77
-9.36
16.79
-4.19
7.54
16.14
6.28

-5.52
-11.53
14.69
3.52
19.06
0.98
17.82
-10.69
6.92
1.25
-2.28
-3.96
9.79
-5.37
-9.05
-10.84
11.36
14.69
10.37
6.54
19.95
-4.25
-8.66
-10.06
-4.45
11.32
22.36
16.39
6.5
3.31
23.86
9.22
11.23
3.07
-3.92
-5
-24.21
11.1
-17.55
-23
38.07
1.22
4.42
-26.1
-1.26
22
-10.56
-7.51
3.84
25.02
46.29

-1.25
-14.37
3.02
-11.89
6.14
21.25
4.92
-21.2
-1.17
6.51
4.07
12.58
25.93
1.64
-5.01
1.88
-13.49
5.36
4
10.71
1.56
-0.06
21.24
-2.25
4.73
14.24
7.48
-5.79
14.45
17.85
28.44
26.95
-1.05
10.02
-23.83
17.25
-27.68
0.16
-13.73
-12.65
3.3
16.17
-17.98
-30.92
-21.84
21.21
8.59
-4.64
26.91
17.09
58.14

-4.79
-14.03
6.47
-2.67
6.25
7.19
8.41
-19.94
2.99
8.91
6.3
8.86
21.28
23.57
-18
3.21
-6.84
0.09
5.73
-8.44
-4.59
1.11
-3.8
-14.79
1.6
22.24
15.03
-2.35
9.75
10.81
28.87
7.62
-8.77
13.21
-21.4
10.79
-13.52
17.95
10.43
-19.33
-3.61
-4.71
-29.11
-52.1
-19.43
41.27
-14.85
-2.54
19.52
21.36
70.68

-0.7
0.22
13.35
7.64
-2.47
0.68
1.96
-1.91
15.81
9.73
14.34
2.87
5.79
-4.4
-16.54
15.36
-4.37
4.51
-0.16
2.49
11.3
3.7
1.38
-11.09
0.4
2.31
-4.67
-3.09
-4.41
1.38
-2.2
11.65
-8.82
14.19
-19.83
5.47
-2.15
14.88
3.97
-13.01
-0.01
2.33
-21.43
-22.04
-5.09
-0.11
-1.05
-11.52
18.35
37.08
15.45

-2.38
-3.56
9.11
7.13
7.24
1.77
10.62
-8.6
11.36
6.93
5.55
5.06
6.76
6.5
-13.65
2.03
1.27
8.81
6.23
4.07
5.67
1.25
2.21
-8.96
1.04
6.12
4.84
1.66
6.15
2.56
15.33
14.48
-2.39
4.77
-13.06
-1.01
-11
10.5
-5.04
-17.99
10.76
1.94
-11.7
-25.03
0.53
9.13
-2.31
-3.95
9.19
19.18
28.26

5.5157
5.6816
5.7742
5.7629
5.7811
5.8694
5.9301
5.9267
5.9743
6.2957
6.6684
6.7442
6.4163
6.0628
6.4811
7.0219
6.9534
6.9631
6.6855
7.0961
6.9959
7.4422
7.5263
7.6383
7.8941
7.9308
7.8277
7.5803
7.1362
7.6839
7.6836
7.6895
7.7597
7.6573
7.4307
7.4481
7.4252
7.7279
7.8502
9.1340
9.4748
9.0966
8.7855
7.3525
6.6751
5.0196
4.7313
4.8830
5.1071
4.0065
4.0090

Jun-09
Jul-09
Aug-09
Sep-09
Oct-09

17.39
6.78
-10.77
1.15
7.65

11.84
14.87
3.31
8.26
-4.03

-5.26
1.92
-3.91
25.97
-0.21

-12.58
15.03
-7.35
5.04
-3.66

-3.81
21.87
-8.3
20.28
-7.59

0.02
29.65
12.25
9.26
0.98

-0.9
7
-0.02
9.32
-7.18

average
1.138113 1.841792 3.194528 5.10717 3.50717 1.650377 1.870943
Standard Dev8.775504 11.26029 12.70395 19.46963 16.42815

1.138113
1.841792
3.194528
5.10717
3.50717

8.775504
11.26029
12.70395
19.46963
16.42815

4.4459

Monthly yield
0.800008
0.747025
0.761817
0.737667
0.702242
0.657558
0.610125
0.591167
0.608808
0.572475
0.562342
0.612675
0.552925
0.5508
0.480275
0.52705
0.568125
0.524633
0.517908
0.496608
0.4881
0.480583
0.4594
0.468333
0.476708
0.489883
0.468267
0.41515
0.426108
0.436117
0.401992
0.397242
0.390867
0.389592
0.373575
0.379408
0.374117
0.353883
0.370517
0.369017
0.3871
0.383733
0.406808
0.430517
0.454758
0.478025
0.481717
0.4826
0.473533
0.478292

Hindustan Unilever
Infosys Technologies
Ltd.State BankLtd.
Steel
Of India
Authority
TataOfSteel
IndiaLtd.
Ltd.
2.6700 20.0800 16.6100
6.1800
2.3700
11.8730
-6.5470
6.7130 20.3430 19.4830
-4.5018 -35.5218 -19.2718 -28.5018 -21.5718
-4.3977
-9.2477
4.1323
1.9423
9.4423
-6.8722
0.5478
4.7478
1.9078
8.0678
1.5324
-4.5776
-3.3976
-9.1276 -19.7076
8.3099
-0.6101
-6.5301
-8.0201 -19.3901
3.0288
-2.9512
-4.0012
-2.5912 -13.4412
-5.9388 -37.1088 -18.0988 -16.7688 -16.2588
1.8075 24.7475
5.2375
8.9475
7.5375
-0.5423 30.8577 10.9977
8.0377 14.3477
5.8373
3.9473 -13.0627
-4.5727
-3.5127
-0.4629
-3.9129 13.8071
0.4671 16.5771
12.2792
-6.8408
7.8992
1.4692
9.8592
-7.1903
-3.3203 -16.0203 -13.7503
-9.9503
-10.5371
-1.7571
3.2230
-0.5271 13.3530
-9.4181
-8.5881
-4.1181 70.8619
1.8719
-0.0546
-7.6746
8.4754 62.3854 31.5254
-12.6179
-8.6479
-2.2979 -32.2079 -13.9379
10.2934 18.4634
3.6634
1.9134
-1.7766
-8.0181
-6.5281
-5.3481 -24.6081
-6.5581
-5.4606 10.9194
-0.4606
7.2094
7.0294
5.2206 19.8706 13.4606 28.1106 19.1706
5.1117
4.2217
7.1217 19.4117
8.0917
-6.4267 -10.7267
-1.1667
0.5133
0.1233
-2.5999
1.5101
0.3201
-0.4899
-3.3399
-12.9983
-6.1583
-6.0183 -16.6583 -11.3583
-0.9052 -31.3452
2.7849
3.5649
-1.5752
8.7139
-4.1561 26.0539 33.4539 18.9339
13.9939 21.7339
8.6139 40.5439 12.2639
-5.1820
8.3180 12.3180 23.9880 21.8280
10.9728
9.2628
0.2028 73.5328 20.3128
-1.0409 15.3091
2.4191
-7.2709
7.3791
-5.5996
3.7304
8.1804 17.8204 32.4704
0.3364
7.6764
-3.5536
-1.5536
8.8364
14.0106
7.1006 14.1806 16.2906 19.5806
-8.1641
-6.9941 10.2659 -12.7041
-9.2941
-10.2239
-7.0939
-7.9439
-7.2239
-1.9539
-11.6905
-7.5905
0.3995 -22.5405 -12.4805
-8.8290
3.8610
5.7210
8.1410
-7.0690
-1.2371
3.0129 -28.0271 -16.0771 -17.5871
-7.5337
5.6463
-5.3437
-7.8337
4.5663
-9.1268 12.1232
2.2132 45.2932 29.9132
-1.8605
0.9295
-0.2305
0.1995
-4.0405
11.5552
7.1852
5.2652 15.7552 14.2552
0.0420 16.1220
-5.8880
6.3420
-1.2380
15.4383 12.2083 17.9283 10.4583 11.9483
-0.2026
-1.3826 20.2074 11.1074 17.1074
10.9165
-1.5135
-1.9535
4.0765
-0.3335
-6.4183
9.2317 14.2417
9.6017 10.5017

0.459642
0.473467
0.481183
0.480242
0.481758
0.489117
0.494175
0.493892
0.497858
0.524642
0.5557
0.562017
0.534692
0.505233
0.540092
0.585158
0.57945
0.580258
0.557125
0.591342
0.582992
0.620183
0.627192
0.636525
0.657842
0.6609
0.652308
0.631692
0.594683
0.640325
0.6403
0.640792
0.646642
0.638108
0.619225
0.620675
0.618767
0.643992
0.654183
0.761167
0.789567
0.75805
0.732125
0.612708
0.556258
0.4183
0.394275
0.406917
0.425592
0.333875
0.334083

-10.2496
4.3965
3.4788
15.7998
2.1282
-3.8391
8.8658
-11.3939
12.2321
7.8854
-1.7957
23.4880
10.6353
5.7848
-19.3801
-2.5552
0.7906
3.3597
7.9529
-9.4113
0.3770
-8.8402
-4.4872
-18.2665
15.8622
-2.0909
1.4077
-5.5917
8.6753
4.3297
7.9497
-7.2908
0.6934
2.6219
-5.9392
15.0193
1.3312
8.4460
-5.6042
-13.8512
20.4504
3.6320
1.7779
-13.2627
12.8937
7.2417
3.9857
-2.4169
-6.5756
-2.3639
-1.8041

2.7904
-13.4735
18.7688
4.5798
-2.8418
4.5709
5.4258
0.0361
5.8521
11.1254
-4.4657
-3.1620
2.0353
4.1948
-7.7801
5.2448
6.9006
8.4697
2.1729
13.0487
3.5070
3.2498
-0.4472
-7.9465
-3.8178
1.1691
-6.9523
1.0183
1.8953
-4.5003
2.7797
-3.1808
-13.4266
9.6119
-14.6692
2.9993
-8.1588
21.9860
12.5758
-12.1412
-8.2196
8.3420
-20.8021
-4.8327
-5.3263
-9.7783
16.3957
-4.5969
7.1144
15.8061
5.9459

-5.9796
-12.0035
14.2088
3.0398
18.5782
0.4909
17.3258
-11.1839
6.4221
0.7254
-2.8357
-4.5220
9.2553
-5.8752
-9.5901
-11.4252
10.7806
14.1097
9.8129
5.9487
19.3670
-4.8702
-9.2872
-10.6965
-5.1078
10.6591
21.7077
15.7583
5.9053
2.6697
23.2197
8.5792
10.5834
2.4319
-4.5392
-5.6207
-24.8288
10.4560
-18.2042
-23.7612
37.2804
0.4620
3.6879
-26.7127
-1.8163
21.5817
-10.9543
-7.9169
3.4144
24.6861
45.9559

-1.7096
-14.8435
2.5388
-12.3702
5.6582
20.7609
4.4258
-21.6939
-1.6679
5.9854
3.5143
12.0180
25.3953
1.1348
-5.5501
1.2948
-14.0695
4.7797
3.4429
10.1187
0.9770
-0.6802
20.6128
-2.8865
4.0722
13.5791
6.8277
-6.4217
13.8553
17.2097
27.7997
26.3092
-1.6966
9.3819
-24.4492
16.6293
-28.2988
-0.4840
-14.3842
-13.4112
2.5104
15.4120
-18.7121
-31.5327
-22.3963
20.7917
8.1957
-5.0469
26.4844
16.7561
57.8059

-5.2496
-14.5035
5.9888
-3.1502
5.7682
6.7009
7.9158
-20.4339
2.4921
8.3854
5.7443
8.2980
20.7453
23.0648
-18.5401
2.6248
-7.4195
-0.4903
5.1729
-9.0313
-5.1730
0.4898
-4.4272
-15.4265
0.9422
21.5791
14.3777
-2.9817
9.1553
10.1697
28.2297
6.9792
-9.4166
12.5719
-22.0192
10.1693
-14.1388
17.3060
9.7758
-20.0912
-4.3996
-5.4681
-29.8421
-52.7127
-19.9863
40.8517
-15.2443
-2.9469
19.0944
21.0261
70.3459

0.370492

17.0195

11.4695

-5.6305

-12.9505

-4.1805

Beta
0.5
Average Return0.6019

0.79
1.1606

1.19
2.5531

1.48
4.6849

1.57
2.8536

Wipro Ltd. B S E Sensex

16.5800
8.6000
-7.2170
-0.4570
-48.3318 -15.8918
6.9223
-3.0977
16.1778
2.4978
-19.7776
-6.2676
2.6099
-4.3001
-1.1912
-1.7812
-31.4288 -15.4288
3.1475
6.3675
39.2177 10.5977
10.0773
-1.3827
2.6071
1.4471
0.9492
6.9692
1.8497
-7.0403
-10.0271
-4.3071
-1.8681
-6.9281
-4.0746
2.1454
-23.6579
-9.6679
10.5534
5.9834
3.7619
-6.4581
1.8594
-0.8306
21.5706 11.3206
-3.7583
4.1317
-15.8067
-4.5967
3.8001
0.9201
-16.7983
-7.6183
-29.8252
-3.3352
-7.5061
7.0439
17.0939 12.9739
0.3580
4.8180
13.0528 11.8828
17.2391
4.5191
7.7404
9.7504
22.1864
5.9664
6.9406 12.7606
-10.7341
-2.8241
-12.3739
-3.9039
-9.6905
-4.3605
13.2510
0.7810
0.3029 -16.2171
4.1263
0.3663
2.3532
7.4132
5.3795
-0.0105
2.6752
7.0852
12.1520
2.1420
16.0383
9.4283
-1.4226
5.5374
-6.2835
-1.1835
-0.5883
4.1117

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.477677
R Square 0.228175
Adjusted R Square
0.220457
Standard Error
7.787418
Observations
102
ANOVA
df
Regression
Residual
Total

SS
MS
F
1 1792.817 1792.817 29.56303
100 6064.388 60.64388
101 7857.204

Coefficients
Standard Error t Stat
P-value
Intercept
-0.06248 0.780691 -0.08003 0.93637
X Variable 1 0.502858 0.092485 5.437189 3.84E-07

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.579704
R Square 0.336057
Adjusted R Square
0.329418
Standard Error
9.335523
Observations
102
ANOVA
df
Regression
Residual
Total

SS
MS
F
1 4411.229 4411.229 50.61536
100 8715.199 87.15199
101 13126.43

Coefficients
Standard Error t Stat
P-value
Intercept
0.118475 0.935889 0.126591 0.899518
X Variable 1 0.788783 0.110871 7.114447 1.72E-10

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.784196
R Square 0.614963
Adjusted R Square
0.611113

-1.1596
-0.2535
12.8688
7.1598
-2.9518
0.1909
1.4658
-2.4039
15.3121
9.2054
13.7843
2.3080
5.2553
-4.9052
-17.0801
14.7748
-4.9495
3.9297
-0.7171
1.8987
10.7170
3.0798
0.7528
-11.7265
-0.2578
1.6491
-5.3223
-3.7217
-5.0047
0.7397
-2.8403
11.0092
-9.4666
13.5519
-20.4492
4.8493
-2.7688
14.2360
3.3158
-13.7712
-0.7996
1.5720
-22.1621
-22.6527
-5.6463
-0.5283
-1.4443
-11.9269
17.9244
36.7461
15.1159

-2.8396
-4.0335
8.6288
6.6498
6.7582
1.2809
10.1258
-9.0939
10.8621
6.4054
4.9943
4.4980
6.2253
5.9948
-14.1901
1.4448
0.6906
8.2297
5.6729
3.4787
5.0870
0.6298
1.5828
-9.5965
0.3822
5.4591
4.1877
1.0283
5.5553
1.9197
14.6897
13.8392
-3.0366
4.1319
-13.6792
-1.6307
-11.6188
9.8560
-5.6942
-18.7512
9.9704
1.1820
-12.4321
-25.6427
-0.0263
8.7117
-2.7043
-4.3569
8.7644
18.8461
27.9259

Standard Error
7.943704
Observations
102
ANOVA
df
Regression
Residual
Total

SS
MS
F
1 10078.44 10078.44 159.7156
100 6310.243 63.10243
101 16388.68

Coefficients
Standard Error t Stat
P-value
Intercept
0.977833 0.796359 1.22788 0.222374
X Variable 1 1.192269 0.094341 12.63786
1.9E-22

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.627709
R Square 0.394018
Adjusted R Square
0.387958
Standard Error
15.48103
Observations
102
ANOVA
df
Regression
Residual
Total

SS
MS
F
1 15583.18 15583.18 65.02141
100 23966.23 239.6623
101 39549.41

Coefficients
Standard Error t Stat
P-value
Intercept
2.726189 1.551978 1.756589 0.082049
X Variable 1 1.482538 0.183856 8.063586 1.66E-12

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.796651
R Square 0.634652
Adjusted R Square
0.630999
Standard Error
10.03399
Observations
102
ANOVA
df
Regression
Residual
Total

SS
MS
F
1 17489.47 17489.47 173.7117
100 10068.1 100.681
101 27557.57

-0.3505

-1.2705

1.09
0.6702

1
1.3212

Coefficients
Standard Error t Stat
P-value
Intercept
0.778465 1.005911 0.77389 0.440821
X Variable 1 1.570602 0.119166 13.17997 1.36E-23

Significance F
3.84E-07

Significance F
1.72E-10

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-1.7383 1.975253
-1.7383 1.975253
0.568819 1.008747 0.568819 1.008747

Significance F
1.9E-22

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-0.60212 2.557787 -0.60212 2.557787
1.005099 1.379439 1.005099 1.379439

Significance F
1.66E-12

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-0.35289 5.80527 -0.35289 5.80527
1.117773 1.847303 1.117773 1.847303

Significance F
1.36E-23

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-1.21723 2.774164 -1.21723 2.774164
1.33418 1.807023 1.33418 1.807023

HUL
HUL
Infosys
SBI
SAIL
Tata Steel
Wipro

Infosys
1.00
0.22
0.31
0.23
0.27
0.26

1.00
0.27
0.31
0.38
0.78

SBI

1.00
0.47
0.64
0.34

SAIL

1.00
0.72
0.39

Tata Steel
Wipro

1.00
0.49

1.00

HUL

SBI
3.47
12.62
-3.74
-3.66
-6.17
2.19
8.92
3.62
-5.33
2.38
0.02
6.45
0.09
12.83
-6.71
-10.01
-8.85
0.47
-12.1
10.79
-7.53
-4.98
5.68
5.58
-5.95
-2.11
-12.53
-0.49
9.14
14.43
-4.78
11.37

17.41
7.46
-18.51
4.87
5.45
-2.74
-5.92
-3.41
-17.49
5.81
11.56
-12.45
14.36
8.45
-15.54
3.75
-3.55
9
-1.78
4.16
-4.86
0.02
13.92
7.59
-0.69
0.81
-5.55
3.2
26.48
9.05
12.72
0.6

Tata Steel ONGC

SUN
3.17
14.36
16.04
20.23
4.89
4.85
-20.81
-8.43
-8.94
10.18
4.34
1.77
8.77
6.07
8.89
-19.05
6.18
-13.76
-18.78
7.79
16.3
-12.85
-2.33
-7.8
-15.65
-8.69
-2.3
8.11
5.19
7.68
14.91
2.84
2.45
-2.9
-7.31
0.67
17.13
7.4
10.35
10.41
56.22
0.53
-9.47
13
2.89
13.88
25.77
-5.88
2.44
-6.98
-11.44
32.05
1.24
-7.14
-13.42
3.62
-1.55
-1.28
7.36
8.97
-6.07
-3.45
-5.41
7.51
11.91
-1.65
19.63
-3.05
2.3
8.56
-0.92
6.47
0.6
10.6
-2.98
-2.85
4.36
-2.2
-10.89
-5.36
-3.41
-1.16
-0.35
2.51
19.36
35.02
6.89
12.7
0.86
17.51
22.23
-5.64
16.02
20.71
30.9
29.04

-0.65
-5.21
0.71
14.39
-7.79
-9.87
-11.32
-8.46
-0.85
-7.15
-8.72
-1.43
12.01
0.52
15.92
0.28
11.39
-5.94
-9.79
4.87
3.96
16.28
2.61
-3.35
9.36
-10.9
12.73
8.41
-1.24
24.05
11.17
6.29
-18.84

2.81
8.57
-3.18
14.56
10.64
-7.59
0.77
6.09
-27.64
-4.96
2.62
0.2
5.72
-5.41
18.41
20.69
-1.48
14.72
-5.52
-11.53
14.69
3.52
19.06
0.98
17.82
-10.69
6.92
1.25
-2.28
-3.96
9.79
-5.37
-9.05

7.77
32.86
9.21
19.96
-8.92
-1.6
-12.11
-6.7
-17.2
4.95
30.32
-3.61
14.71
-0.76
12.43
17.59
0.14
10.98
-4.79
-14.03
6.47
-2.67
6.25
7.19
8.41
-19.94
2.99
8.91
6.3
8.86
21.28
23.57
-18

1.49
-1.28
6.79
28.43
-7.61
-5.44
10.53
-0.05
-25.54
0.61
13.83
-0.34
6.34
5.46
3.28
3.21
-0.08
6.8
2.12
-5.57
13.56
10.79
-5.62
3.73
10.32
-12.46
10.89
16.5
5.35
-10.34
16.76
-2.27
-14.82

-1.55
9.3
16.51
-3.08
3.21
4.9
-2.28
15.55
2.76
-5.09
-3.21
9.01
10.51
6.16
12.23
13.36
-10.56
-2.19
-2.72
6.68
5.01
9.83
5.6
2.74
6.85
-9.61
10.17
2.97
1.99
13.87
11.72
-2.86
-6.75

-1.97
1.37
3.94
8.51
-8.82
0.96
-8.22
-3.86
-17.63
16.52
-1.43
2.06
-4.96
9.27
4.97
8.59
-6.65
1.34
3.26
-5.32
15.64
1.95
9.09
-4.95
-13.09
21.24
4.39
2.51
-12.65
13.45
7.66
4.38
-2.01

-10.84
11.36
14.69
10.37
6.54
19.95
-4.25
-8.66
-10.06
-4.45
11.32
22.36
16.39
6.5
3.31
23.86
9.22
11.23
3.07
-3.92
-5
-24.21
11.1
-17.55
-23
38.07
1.22
4.42
-26.1
-1.26
22
-10.56
-7.51

3.21
-6.84
0.09
5.73
-8.44
-4.59
1.11
-3.8
-14.79
1.6
22.24
15.03
-2.35
9.75
10.81
28.87
7.62
-8.77
13.21
-21.4
10.79
-13.52
17.95
10.43
-19.33
-3.61
-4.71
-29.11
-52.1
-19.43
41.27
-14.85
-2.54

-0.41
6.11
2.84
-2.63
4.57
5.67
3.68
3.83
-13.56
11.07
3.84
0.3
-1.16
1.31
-3.03
16.66
25.15
-6.18
7.15
-20.9
4.53
-3.06
5.3
-16.36
-5.74
26.04
3.34
2.49
-35.78
6.97
0.56
-1.42
7.61

-1.82
3.38
12.54
3.31
-2.66
12.09
-6.21
4.98
-9.26
14.39
-2.57
7.92
-7.85
-8.96
3.13
7.22
9.27
4.58
10.84
-5.01
6.18
0.45
17.69
-3.19
-0.74
2.86
3.53
-0.53
-22.7
-5.45
-0.66
0.8
-12.31

Average
SD

-6.15
-2.03
-1.47
17.39
6.78
-10.77
1.15
7.65
1.14
8.78

Average of AR
Average of SD

3.84
25.02
46.29
-5.26
1.92
-3.91
25.97
-0.21
3.19
12.70

19.52
21.36
70.68
-3.81
21.87
-8.3
20.28
-7.59
3.51
16.43

2.85
11.73

26%

12.81
10.55
35.86
-9.25
10.63
1.78
0
-3.3
3.69
12.24

9.65
17.84
-5.14
-9.82
4.8
2.71
17.59
-1.26
2.74
8.51

CORRELATION MATRIX
HUL
SBI
Tata Steel
ONGC
SUN

HUL
1.0000
0.3137
0.2731
0.3233
0.3808

SBI
1.0000
0.6410
0.5272
0.3697

Tata Steel

1.0000
0.4972
0.3498

ONGC

1.0000
0.3016

COVARIANCE MATRIX
HUL
SBI
Tata Steel
ONGC
SUN

HUL
76.28
34.65
39.00
34.39
28.17

SBI
Tata Steel
34.65
39.00
159.87
132.52
132.52
267.34
81.18
99.01
39.60
48.45

ONGC
34.39
81.18
99.01
148.33
31.11

PORTFOLIO VARIANCE MATRIX

WEIGHTS

HUL

SBI

Tata Steel

WEIGHTS

0.03323 0.09098

HUL
0.0332252
SBI
0.090978
Tata Steel
0
ONGC
0.2883414
SUN
0.5874554
TOTAL
1
Portfolio Variance
Portfolio SD
Portfolio Mean

0.08421 0.10473
0.10473 1.323226
0
0
0.329449 2.12959
0.549914 2.116245

0
0
0
0
0

59.50658
7.714051
3

Unrestricted Efficient Fronter

Ret

SD
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
3.2
3.4
3.6
3.8

8.75
8.25
7.81
7.45
7.17
7
6.93
6.97
7.12
7.37
7.71
8.13
8.62
9.17
9.76

HUL
0.97
0.87

-0.06
-0.15

SBI
Tata Steel
0.03
-0.06
0.04
-0.07

0.11
0.12

-0.02
-0.01

10.4

5
4
3
2
1
0
0

10

Portfolio
10.89
10.01
-12.086
3.5
4.602
-5.436
1.662
-4.554
-9.892
5.834
6.356
-3.108
9.866
17.688
-3.166
5.502
-5.676
7.124
-5.046
6
-5.464
2.562
7.696
5.456
0.316
-0.398
-7.548
0.742
19.378
10.91
8.11
18.524

1.974
8.848
6.008
14.852
-2.094
-3.92
-2.882
1.286
-13.694
-2.328
6.968
0.766
9.858
1.194
12.454
11.026
-0.118
4.874
-4.14
-3.916
8.738
7.55
5.58
2.258
10.552
-12.72
8.74
7.608
2.024
6.496
14.144
3.872
-13.492

-2.366
3.076
6.82
5.058
-1.762
6.816
-2.778
-1.502
-13.06
7.826
6.68
9.534
0.014
3.574
3.838
17.04
8.922
0.44
7.506
-11.31
6.428
-7.678
12.226
-6.324
-12.38
16.92
1.554
-4.044
-29.866
-1.144
14.166
-4.33
-3.352

7.934
14.548
29.244
-2.15
9.2
-3.698
12.998
-0.942
2.85
8.67

SUN

1.0000

SUN
28.17
39.60
48.45
31.11
71.77

MATRIX
ONGC

SUN

0.2883 0.58746
0.32945
2.12959
0
12.3322
5.27024

0.549914
2.116245
0
5.270243
24.76657

t Fronter
ONGC
-0.14
-0.1

SUN
0.22
0.25

R-V
0.114
0.145
0.179
0.215
0.251
0.286
0.317
0.344
0.365
0.380
0.389

0.34
0.38

0.63
0.67

0.394
0.394
0.393
0.389

Maximum Reward to Variablity

0.385

15

d to Variablity

HUL

Infosys Comb.
3.47
12.62
-3.74
-3.66
-6.17
2.19
8.92
3.62
-5.33
2.38
0.02
6.45
0.09
12.83
-6.71
-10.01
-8.85
0.47
-12.1
10.79
-7.53
-4.98
5.68
5.58
-5.95
-2.11
-12.53
-0.49
9.14
14.43
-4.78
11.37
-0.65
-5.21
0.71
14.39
-7.79
-9.87
-11.32
-8.46
-0.85
-7.15
-8.72
-1.43
12.01
0.52
15.92
0.28
11.39
-5.94

20.88
-5.8
-34.76
-8.51
1.25
-3.92
0
-2.36
-36.5
25.32
31.42
4.56
-3.36
-6.29
-2.84
-1.23
-8.02
-7.15
-8.13
18.96
-6.04
11.4
20.33
4.69
-10.25
2
-5.69
-30.93
-3.73
22.17
8.72
9.66
15.7
4.12
8.05
7.48
-6.62
-6.74
-7.22
4.23
3.4
6.03
12.53
1.36
7.64
16.6
12.69
-0.9
-1.04
9.71

50%
12.175
3.41
-19.25
-6.085
-2.46
-0.865
4.46
0.63
-20.915
13.85
15.72
5.505
-1.635
3.27
-4.775
-5.62
-8.435
-3.34
-10.115
14.875
-6.785
3.21
13.005
5.135
-8.1
-0.055
-9.11
-15.71
2.705
18.3
1.97
10.515
7.525
-0.545
4.38
10.935
-7.205
-8.305
-9.27
-2.115
1.275
-0.56
1.905
-0.035
9.825
8.56
14.305
-0.31
5.175
1.885

-9.79
4.87
3.96
16.28
2.61
-3.35
9.36
-10.9
12.73
8.41
-1.24
24.05
11.17
6.29
-18.84
-1.97
1.37
3.94
8.51
-8.82
0.96
-8.22
-3.86
-17.63
16.52
-1.43
2.06
-4.96
9.27
4.97
8.59
-6.65
1.34
3.26
-5.32
15.64
1.95
9.09
-4.95
-13.09
21.24
4.39
2.51
-12.65
13.45
7.66
4.38
-2.01
-6.15
-2.03
-1.47
17.39

3.25
-13
19.25
5.06
-2.36
5.06
5.92
0.53
6.35
11.65
-3.91
-2.6
2.57
4.7
-7.24
5.83
7.48
9.05
2.73
13.64
4.09
3.87
0.18
-7.31
-3.16
1.83
-6.3
1.65
2.49
-3.86
3.42
-2.54
-12.78
10.25
-14.05
3.62
-7.54
22.63
13.23
-11.38
-7.43
9.1
-20.07
-4.22
-4.77
-9.36
16.79
-4.19
7.54
16.14
6.28
11.84

-3.27
-4.065
11.605
10.67
0.125
0.855
7.64
-5.185
9.54
10.03
-2.575
10.725
6.87
5.495
-13.04
1.93
4.425
6.495
5.62
2.41
2.525
-2.175
-1.84
-12.47
6.68
0.2
-2.12
-1.655
5.88
0.555
6.005
-4.595
-5.72
6.755
-9.685
9.63
-2.795
15.86
4.14
-12.235
6.905
6.745
-8.78
-8.435
4.34
-0.85
10.585
-3.1
0.695
7.055
2.405
14.615

Average Return
Standard Dev.
Average of av Ret $
Average of St Dev $
Correlation

w1

6.78
-10.77
1.15
7.65

14.87
3.31
8.26
-4.03

10.825
-3.73
4.705
1.81

1.14
8.78

1.84
11.26

1.49
7.87

1.49
10.02
0.22

w2
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

2.00
1.80

21%

0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

Return ST DEV
Reward to Variability Ra
1.49
7.87
1.14
8.78 0.1297
1.21
8.22 0.1470
1.28
7.83 0.1632
1.35
7.64 0.1766
1.42
7.65 0.1856
1.49
7.87 0.1894
1.56
8.28 0.1885
1.63
8.85 0.1843
1.70
9.55 0.1781
1.77
10.36 0.1709
1.84
11.26 0.1636

1.80
1.60
1.40

Ret

1.20
1.00
0.80
0.60
0.40
0.20
0.00
7.50

8.00

8.50

9.00

9.50
Stdev

10.00

10.50

11.00

11.50

Infosys Wipro Ltd.

20.88
-5.8
-34.76
-8.51
1.25
-3.92
0
-2.36
-36.5
25.32
31.42
4.56
-3.36
-6.29
-2.84
-1.23
-8.02
-7.15
-8.13
18.96
-6.04
11.4
20.33
4.69
-10.25
2
-5.69
-30.93
-3.73
22.17
8.72
9.66
15.7
4.12
8.05
7.48
-6.62
-6.74
-7.22
4.23
3.4
6.03
12.53
1.36
7.64
16.6
12.69
-0.9
-1.04
9.71

17.38
-6.47
-47.57
7.66
16.88
-19.12
3.22
-0.6
-30.82
3.72
39.78
10.69
3.16
1.5
2.33
-9.5
-1.3
-3.55
-23.14
11.05
4.25
2.34
22.03
-3.29
-15.33
4.29
-16.33
-29.41
-7.08
17.53
0.76
13.45
17.63
8.13
22.56
7.32
-10.36
-12.02
-9.32
13.62
0.69
4.51
2.76
5.81
3.13
12.63
16.52
-0.94
-5.81
-0.11

Comb.
19.13
-6.135
-41.165
-0.425
9.065
-11.52
1.61
-1.48
-33.66
14.52
35.6
7.625
-0.1
-2.395
-0.255
-5.365
-4.66
-5.35
-15.635
15.005
-0.895
6.87
21.18
0.7
-12.79
3.145
-11.01
-30.17
-5.405
19.85
4.74
11.555
16.665
6.125
15.305
7.4
-8.49
-9.38
-8.27
8.925
2.045
5.27
7.645
3.585
5.385
14.615
14.605
-0.92
-3.425
4.8

3.25
-13
19.25
5.06
-2.36
5.06
5.92
0.53
6.35
11.65
-3.91
-2.6
2.57
4.7
-7.24
5.83
7.48
9.05
2.73
13.64
4.09
3.87
0.18
-7.31
-3.16
1.83
-6.3
1.65
2.49
-3.86
3.42
-2.54
-12.78
10.25
-14.05
3.62
-7.54
22.63
13.23
-11.38
-7.43
9.1
-20.07
-4.22
-4.77
-9.36
16.79
-4.19
7.54
16.14
6.28
11.84

-0.7
0.22
13.35
7.64
-2.47
0.68
1.96
-1.91
15.81
9.73
14.34
2.87
5.79
-4.4
-16.54
15.36
-4.37
4.51
-0.16
2.49
11.3
3.7
1.38
-11.09
0.4
2.31
-4.67
-3.09
-4.41
1.38
-2.2
11.65
-8.82
14.19
-19.83
5.47
-2.15
14.88
3.97
-13.01
-0.01
2.33
-21.43
-22.04
-5.09
-0.11
-1.05
-11.52
18.35
37.08
15.45
0.02

1.275
-6.39
16.3
6.35
-2.415
2.87
3.94
-0.69
11.08
10.69
5.215
0.135
4.18
0.15
-11.89
10.595
1.555
6.78
1.285
8.065
7.695
3.785
0.78
-9.2
-1.38
2.07
-5.485
-0.72
-0.96
-1.24
0.61
4.555
-10.8
12.22
-16.94
4.545
-4.845
18.755
8.6
-12.195
-3.72
5.715
-20.75
-13.13
-4.93
-4.735
7.87
-7.855
12.945
26.61
10.865
5.93

$
$

14.87
3.31
8.26
-4.03

29.65
12.25
9.26
0.98

22.26
7.78
8.76
-1.525

1.84
11.26

1.65
13.13

1.75
11.51

1.75
12.19

6%

0.78

eward to Variability Ratio

22 cov1, 2
w1
12 22 2 cov1, 2
Minimum Variance Portfolio
Maximum Reward to Variablity

w1 w2
32% 68%

11.50

Hindustan
Infosys
Unilever
Technologies
State
Ltd.
Bank
Portfolio
OfLtd.
India
Weights
0.3
0.5
0.2
1
3.47 20.88 17.41 14.96
12.62
-5.8
7.46 2.378
-3.74 -34.76 -18.51 -22.2
-3.66 -8.51
4.87 -4.38
-6.17
1.25
5.45 -0.14
2.19 -3.92 -2.74 -1.85
8.92
0 -5.92 1.492
3.62 -2.36 -3.41 -0.78
-5.33 -36.5 -17.49 -23.3
2.38 25.32
5.81 14.54
0.02 31.42 11.56 18.03
6.45
4.56 -12.45 1.725
0.09 -3.36 14.36 1.219
12.83 -6.29
8.45 2.394
-6.71 -2.84 -15.54 -6.54
-10 -1.23
3.75 -2.87
-8.85 -8.02 -3.55 -7.38
0.47 -7.15
9 -1.63
-12.1 -8.13 -1.78 -8.05
10.79 18.96
4.16 13.55
-7.53 -6.04 -4.86 -6.25
-4.98
11.4
0.02 4.21
5.68 20.33 13.92 14.65
5.58
4.69
7.59 5.537
-5.95 -10.25 -0.69 -7.05
-2.11
2
0.81 0.529
-12.5 -5.69 -5.55 -7.71
-0.49 -30.93
3.2
-15
9.14 -3.73 26.48 6.173
14.43 22.17
9.05 17.22
-4.78
8.72 12.72 5.47
11.37
9.66
0.6 8.361

-0.65
-5.21
0.71
14.39
-7.79
-9.87
-11.3
-8.46
-0.85
-7.15
-8.72
-1.43
12.01
0.52
15.92
0.28
11.39
-5.94
-9.79
4.87
3.96
16.28
2.61
-3.35
9.36
-10.9
12.73
8.41
-1.24
24.05
11.17
6.29
-18.8
-1.97

15.7
4.12
8.05
7.48
-6.62
-6.74
-7.22
4.23
3.4
6.03
12.53
1.36
7.64
16.6
12.69
-0.9
-1.04
9.71
3.25
-13
19.25
5.06
-2.36
5.06
5.92
0.53
6.35
11.65
-3.91
-2.6
2.57
4.7
-7.24
5.83

2.81
8.57
-3.18
14.56
10.64
-7.59
0.77
6.09
-27.64
-4.96
2.62
0.2
5.72
-5.41
18.41
20.69
-1.48
14.72
-5.52
-11.53
14.69
3.52
19.06
0.98
17.82
-10.69
6.92
1.25
-2.28
-3.96
9.79
-5.37
-9.05
-10.84

8.217
2.211
3.602
10.97
-3.52
-7.85
-6.85
0.795
-4.08
-0.12
4.173
0.291
8.567
7.374
14.8
3.772
2.601
6.017
-2.42
-7.35
13.75
8.118
3.415
1.721
9.332
-5.14
8.378
8.598
-2.78
5.123
6.594
3.163
-11.1
0.156

1.37
3.94
8.51
-8.82
0.96
-8.22
-3.86
-17.6
16.52
-1.43
2.06
-4.96
9.27
4.97
8.59
-6.65
1.34
3.26
-5.32
15.64
1.95
9.09
-4.95
-13.1
21.24
4.39
2.51
-12.7
13.45
7.66
4.38
-2.01
-6.15
-2.03

7.48
9.05
2.73
13.64
4.09
3.87
0.18
-7.31
-3.16
1.83
-6.3
1.65
2.49
-3.86
3.42
-2.54
-12.78
10.25
-14.05
3.62
-7.54
22.63
13.23
-11.38
-7.43
9.1
-20.07
-4.22
-4.77
-9.36
16.79
-4.19
7.54
16.14

11.36
14.69
10.37
6.54
19.95
-4.25
-8.66
-10.06
-4.45
11.32
22.36
16.39
6.5
3.31
23.86
9.22
11.23
3.07
-3.92
-5
-24.21
11.1
-17.55
-23
38.07
1.22
4.42
-26.1
-1.26
22
-10.56
-7.51
3.84
25.02

6.423
8.645
5.992
5.482
6.323
-1.38
-2.8
-11
2.486
2.75
1.94
2.615
5.326
0.223
9.059
-1.42
-3.74
6.717
-9.41
5.502
-8.03
16.26
1.62
-14.2
10.27
6.111
-8.4
-11.1
1.398
2.018
7.597
-4.2
2.693
12.47

-1.47
6.28
17.39 11.84
6.78 14.87
-10.8
3.31
1.15
8.26
Average Return
1.08
1.90
SD
8.75 11.25

46.29
-5.26
1.92
-3.91
25.97
3.23
12.70

11.96
10.09
9.853
-2.36
9.669
1.92
7.97

0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

7.97
7.87
7.812
7.968
8.325
8.859
9.539
10.34
11.23
12.19
13.21
14.28

1.92
1.49
1.702
1.917
2.132
2.347
2.562
2.777
2.993
3.208
3.423
3.638

0.1
3.5
3
2.5
2
1.5
1

0.2

0.5
0
0

10

12

14

0.3

0.4

0.5

0.6

0.7

0.8

0.9
1

1.2

0.8

0.6

0.4

0.2

0
1 3 5 7 9 1113151719212325

0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
0
0.1
0.2
0.3

8.752
8.366
8.169
8.175
8.383
8.779
9.339
10.04
10.84
11.74
12.7
8.205
7.865
7.73
7.809
8.098
8.574
9.209
9.973
10.84
11.78
7.824
7.543
7.478
7.636

1.076
1.291
1.506
1.721
1.936
2.152
2.367
2.582
2.797
3.012
3.227
1.158
1.373
1.588
1.804
2.019
2.234
2.449
2.664
2.879
3.094
1.24
1.456
1.671
1.886

0.4
0.5
0.6
0.7
0.8
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0
0.1
0.2
0.3
0.4
0.5
0.6
0
0.1
0.2
0.3
0.4
0.5
0
0.1
0.2
0.3
0.4
0
0.1
0.2

8.003
8.552
9.25
10.07
10.98
7.634
7.423
7.435
7.669
8.105
8.713
9.46
10.32
7.649
7.515
7.602
7.904
8.396
9.048
9.828
7.868
7.812
7.968
8.325
8.859
9.539
8.275
8.291
8.506
8.906
9.467
8.844
8.923
9.186

2.101
2.316
2.531
2.746
2.961
1.323
1.538
1.753
1.968
2.183
2.398
2.613
2.828
1.405
1.62
1.835
2.05
2.265
2.48
2.695
1.487
1.702
1.917
2.132
2.347
2.562
1.569
1.784
1.999
2.214
2.429
1.651
1.866
2.081

0.3
0
0.1
0.2
0
0.1
0

9.617
9.546
9.679
9.979
10.35
10.53
11.25

2.296
1.733
1.948
2.164
1.816
2.031
1.898

2123252729313335373941434547495153555759616365

2
1, 2

w w 2w1w21 1r1
2 2
1 1
Sec 1

Average Return
St dev
Correl.
Portfolio weights
Portfolio

2
2

2
2

Sec 2

0.30

15%
45%
0.5
0.5
Return
20%

25%
75%
0.5
St dev
53%

0.25
0.20
0.15
0.10

0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

20%
0.25
0.24
0.23
0.22
0.21
0.20
0.19
0.18
0.17
0.16
0.15

53%
0.75
0.70
0.65
0.60
0.56
0.53
0.49
0.47
0.45
0.45
0.45

0.05
0.00
0.00

cov1, 2
w1 2
2
1 2 2 cov1, 2
2
2

 cov1, 2
w1 2
2
1 2 2 cov1, 2
2
2

Cov
w

0.16875
0.921053

w 1r1,2

1 2 1

ov1, 2

0.20

0.40

0.60

0.80

ov1, 2