Date

Apr-05
May-05

Monthly Closing Prices

Gold
Gold Spot
S&P CNX
S&P CNX
USD/INR
S&P CNX IT
Futures
(10gm)
Nifty
FMCG
(10gm)
1092.50
2938.88
2539.75
6229.00
6151.00
43.74
2087.55
3193.06
2899.55
5966.00
6036.00
43.49

Finance

S&P CNX
Petro

936.88

2342.51

1082.14

2461.21

Jun-05

6214.00

6142.00

43.59

2220.60

3433.89

3072.10

1454.09

2567.40

Jul-05

6084.00

6064.00

43.54

2312.30

3525.39

2985.95

1727.63

2824.50

Aug-05

6263.00

6248.00

43.63

2384.65

3681.64

3177.15

1825.45

2893.71

Sep-05

6731.00

6529.00

43.92

2601.40

4119.51

3296.50

1682.94

3255.31

3702.87

3211.95

1523.29

2918.17

Oct-05

6822.00

6878.00

44.82

2370.95

Nov-05

7416.00

7141.00

45.73

2652.25

4120.79

3533.95

1705.82

3132.90

Dec-05

7638.00

7585.00

45.65

2836.55

4421.43

3906.90

1833.32

3190.43

Jan-06

8166.00

7922.00

44.40

3001.10

4669.83

4010.30

1937.66

3347.07

Feb-06

8111.00

8030.00

44.33

3074.70

5262.66

3972.90

1966.01

3182.08

5897.48

4352.90

2092.85

3356.11

Mar-06

8382.00

8063.00

44.48

3402.55

Apr-06

9609.00

8963.00

44.95

3557.60

6172.28

4341.85

2255.75

3617.40

May-06

9526.00

9928.00

45.41

3071.05

5067.71

3869.65

2053.55

3167.15

Jun-06

9220.00

8958.00

46.06

3128.20

5159.14

3957.55

1869.27

3239.11

Jul-06

9560.00

9570.00

46.46

3143.20

4983.22

4113.55

1688.63

3001.37

Aug-06

9554.00

9539.00

46.54

3413.90

5368.97

4445.60

1916.61

3531.09

Sep-06

8859.00

9016.00

46.12

3588.40

5530.27

4540.50

2303.47

3717.59

Oct-06

8894.00

8699.00

45.47

3744.10

5456.68

4888.95

2389.21

3607.88

Nov-06

9269.00

9141.00

44.85

3954.50

5415.25

5267.85

2599.87

3455.05

Dec-06

9265.00

9127.00

44.63

3966.40

5176.73

5432.25

2764.04

3542.38

Jan-07

9242.00

9072.00

44.33

4082.70

5145.37

5535.00

2860.43

3467.92

Feb-07

9628.00

9541.00

44.16

3745.30

4774.95

5129.60

2861.52

3218.54

Mar-07

9339.00

9366.00

44.03

3821.55

4724.77

5180.70

2946.25

3210.21

Apr-07

9203.00

9331.00

42.15

4087.90

4825.77

5418.40

3177.92

3635.68

May-07

8694.00

8883.00

40.78

4295.80

5135.35

5218.35

3859.85

3993.94

Jun-07

8662.00

8707.00

40.77

4318.30

4960.32

5192.30

4285.56

3940.59

Jul-07

8708.00

8749.00

40.42

4528.85

5337.74

5086.70

4548.29

4209.92

Aug-07

8935.00

8828.00

40.82

4464.00

5291.81

4813.20

4402.57

4310.15

Sep-07

9530.00

9322.00

40.34

5021.35

5756.72

4804.20

5406.37

5088.99

Oct-07

10083.00

9695.00

39.51

5900.65

5636.75

4793.65

6634.62

5542.01

Nov-07

10033.00

10358.00

39.44

5762.75

5830.23

4431.15

7492.02

6048.49

Dec-07

10598.00

10293.00

39.44

6138.60

6329.60

4812.60

8907.97

7526.89

Jan-08

11707.00

11284.00

39.37

5137.45

5674.00

3838.15

6965.67

5999.40

Feb-08

12396.00

11889.00

39.73

5223.50

5881.53

3984.50

6579.58

5414.53

Mar-08

11920.00

12636.00

40.36

4734.50

5817.72

3704.95

4715.80

4664.27

Apr-08

11370.00

11834.00

40.02

5165.90

6228.03

4357.65

5500.64

6333.56

May-08

12199.00

12139.00

42.13

4870.10

6091.79

4688.35

4653.99

5778.76

Jun-08

12879.00

12356.00

42.82

4040.55

5202.74

3999.40

3643.40

4163.30

Jul-08

12618.00

13028.00

42.84

4332.95

5444.04

3752.85

4317.65

4423.20

Aug-08

11895.00

11863.00

42.94

4360.00

5553.64

3926.80

4408.79

4029.94

Sep-08

13192.00

12221.00

45.56

3921.20

5450.79

3107.05

3594.15

3823.82

Oct-08

11630.00

12757.00

48.64

2885.60

4606.12

2686.95

2296.38

3040.26

Nov-08

13125.00

12159.00

49.00

2755.10

4916.84

2449.95

1866.82

3003.35

Dec-08

13630.00

12905.00

48.64

2959.15

5090.13

2187.00

2149.67

3329.40

Jan-09

14452.00

13492.00

48.83

2874.80

5164.24

2225.75

1888.89

3221.81

Feb-09

15504.00

14779.00

49.22

2763.65

5136.70

2094.10

1743.64

3037.50

Mar-09

15132.00

15244.00

51.23

3020.95

5134.66

2318.70

1824.86

3222.47

Apr-09

14503.00

14477.00

50.08

3473.95

5299.81

2770.85

2270.87

3443.65

May-09

14923.00

14603.00

48.61

4448.95

5410.16

3206.20

3674.26

3865.73

Jun-09

14451.00

14639.00

47.78

4291.10

5838.79

3497.65

3541.65

3967.54

Gold
Futures
(10gm)

RETURN
RISK

Gold Spot
(10gm)

USD/INR

S&P CNX
Nifty

S&P CNX
FMCG

S&P CNX IT

Finance

S&P CNX
Petro

1.84%

1.86%

0.20%

3.71%

1.63%

1.05%

4.08%

1.69%

5.42%

4.80%

2.09%

15.69%

6.95%

8.98%

17.04%

11.37%

18.00%
16.00%
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%

RETURN
RISK

RETURNS
S&P CNX
Pharma
2817.87

Gold
Futures
(10gm)

Gold Spot
(10gm)

USD/INR

S&P CNX
Nifty

S&P CNX
FMCG

S&P CNX IT

Finance

3109.71

-0.0422

-0.0187

-0.0057

0.9108

0.0865

0.1417

0.1550

3200.31

0.0416

0.0176

0.0023

0.0637

0.0754

0.0595

0.3437

3345.09

-0.0209

-0.0127

-0.0011

0.0413

0.0266

-0.0280

0.1881

3516.85

0.0294

0.0303

0.0021

0.0313

0.0443

0.0640

0.0566

3576.23

0.0747

0.0450

0.0066

0.0909

0.1189

0.0376

-0.0781

3167.80

0.0135

0.0535

0.0205

-0.0886

-0.1011

-0.0256

-0.0949

3519.73

0.0871

0.0382

0.0203

0.1186

0.1129

0.1003

0.1198

3678.64

0.0299

0.0622

-0.0017

0.0695

0.0730

0.1055

0.0747

3855.35

0.0691

0.0444

-0.0274

0.0580

0.0562

0.0265

0.0569

4140.99

-0.0067

0.0136

-0.0016

0.0245

0.1269

-0.0093

0.0146

4476.07

0.0334

0.0041

0.0034

0.1066

0.1206

0.0956

0.0645

4589.65

0.1464

0.1116

0.0106

0.0456

0.0466

-0.0025

0.0778

3978.08

-0.0086

0.1077

0.0102

-0.1368

-0.1790

-0.1088

-0.0896

3688.72

-0.0321

-0.0977

0.0143

0.0186

0.0180

0.0227

-0.0897

3761.65

0.0369

0.0683

0.0087

0.0048

-0.0341

0.0394

-0.0966

4150.23

-0.0006

-0.0032

0.0017

0.0861

0.0774

0.0807

0.1350

4289.54

-0.0727

-0.0548

-0.0090

0.0511

0.0300

0.0213

0.2018

4262.01

0.0040

-0.0352

-0.0141

0.0434

-0.0133

0.0767

0.0372

4370.76

0.0422

0.0508

-0.0136

0.0562

-0.0076

0.0775

0.0882

4467.68

-0.0004

-0.0015

-0.0049

0.0030

-0.0440

0.0312

0.0631

4522.32

-0.0025

-0.0060

-0.0067

0.0293

-0.0061

0.0189

0.0349

4160.11

0.0418

0.0517

-0.0038

-0.0826

-0.0720

-0.0732

0.0004

4344.67

-0.0300

-0.0183

-0.0029

0.0204

-0.0105

0.0100

0.0296

4504.06

-0.0146

-0.0037

-0.0427

0.0697

0.0214

0.0459

0.0786

4722.32

-0.0553

-0.0480

-0.0325

0.0509

0.0642

-0.0369

0.2146

4720.28

-0.0037

-0.0198

-0.0002

0.0052

-0.0341

-0.0050

0.1103

4544.89

0.0053

0.0048

-0.0086

0.0488

0.0761

-0.0203

0.0613

4355.23

0.0261

0.0090

0.0099

-0.0143

-0.0086

-0.0538

-0.0320

4570.70

0.0666

0.0560

-0.0118

0.1249

0.0879

-0.0019

0.2280

4756.21

0.0580

0.0400

-0.0206

0.1751

-0.0208

-0.0022

0.2272

4585.66

-0.0050

0.0684

-0.0018

-0.0234

0.0343

-0.0756

0.1292

5244.88

0.0563

-0.0063

0.0000

0.0652

0.0857

0.0861

0.1890

4295.48

0.1046

0.0963

-0.0018

-0.1631

-0.1036

-0.2025

-0.2180

4670.76

0.0589

0.0536

0.0091

0.0167

0.0366

0.0381

-0.0554

4549.10

-0.0384

0.0628

0.0159

-0.0936

-0.0108

-0.0702

-0.2833

5113.00

-0.0461

-0.0635

-0.0084

0.0911

0.0705

0.1762

0.1664

5213.16

0.0729

0.0258

0.0527

-0.0573

-0.0219

0.0759

-0.1539

4957.40

0.0557

0.0179

0.0164

-0.1703

-0.1459

-0.1469

-0.2171

5006.18

-0.0203

0.0544

0.0005

0.0724

0.0464

-0.0616

0.1851

5174.52

-0.0573

-0.0894

0.0023

0.0062

0.0201

0.0464

0.0211

4513.27

0.1090

0.0302

0.0610

-0.1006

-0.0185

-0.2088

-0.1848

3423.14

-0.1184

0.0439

0.0676

-0.2641

-0.1550

-0.1352

-0.3611

3514.20

0.1285

-0.0469

0.0074

-0.0452

0.0675

-0.0882

-0.1871

3637.77

0.0385

0.0614

-0.0073

0.0741

0.0352

-0.1073

0.1515

3295.81

0.0603

0.0455

0.0039

-0.0285

0.0146

0.0177

-0.1213

3161.99

0.0728

0.0954

0.0080

-0.0387

-0.0053

-0.0591

-0.0769

3465.02

-0.0240

0.0315

0.0408

0.0931

-0.0004

0.1073

0.0466

3743.35

-0.0416

-0.0503

-0.0224

0.1500

0.0322

0.1950

0.2444

4220.82

0.0290

0.0087

-0.0294

0.2807

0.0208

0.1571

0.6180

4305.48

-0.0316

0.0025

-0.0171

-0.0355

0.0792

0.0909

-0.0361

CORRELATION MATRIX
Gold
Futures
(10gm)

S&P CNX
Pharma

1.18%
7.95%

Gold
Futures
(10gm)
Gold Spot
(10gm)
USD/INR
S&P CNX
Nifty
S&P CNX
FMCG

Gold Spot
(10gm)

USD/INR

0.48991 0.104467

S&P CNX
Nifty

S&P CNX
FMCG

-0.1025 0.103698

S&P CNX IT

-0.20736

0.4899097

S&P CNX IT

RETURN

Finance
S&P CNX
Petro
S&P CNX
Pharma

RISK

RETURN RISK
4.08%
17.04%
3.71%
15.69%

0.1

0.2

0.3

0.4

0.9

0.8

0.7

0.6

S&P CNX
Petro

S&P CNX
Pharma

0.0507

0.1036

0.0431

0.0291

0.1001

0.0452

0.0245

0.0513

0.1250

0.0169

-0.1036

-0.1142

0.0736

0.1111

0.0184

0.0451

0.0491

0.0480

-0.0493

0.0741

0.0547

0.0809

0.0779

0.0254

-0.1245

-0.1332

0.0227

-0.0727

-0.0734

0.0198

0.1765

0.1033

0.0528

0.0336

-0.0295

-0.0064

-0.0424

0.0255

0.0253

0.0222

-0.0210

0.0122

-0.0719

-0.0801

-0.0026

0.0444

0.1325

0.0367

0.0985

0.0485

-0.0134

-0.0004

0.0683

-0.0372

0.0238

-0.0417

0.1807

0.0495

0.0890

0.0406

0.0914

-0.0359

0.2444

0.1438

-0.2029

-0.1810

-0.0975

0.0874

-0.1386

-0.0260

0.3579

0.1240

-0.0876

0.0196

-0.2796

-0.0491

0.0624

0.0098

-0.0889

0.0336

-0.0511

-0.1278

-0.2049

-0.2415

-0.0121

0.0266

0.1086

0.0352

-0.0323

-0.0940

-0.0572

-0.0406

0.0609

0.0958

0.0686

0.0803

0.1226

0.1276

0.0263

0.0201

ATRIX

Finance

-0.10682

S&P CNX
Petro

S&P CNX
Pharma

-0.05 0.001476

0.5

0.6

0.7

0.8

0.9

0.5

0.4

0.3

0.2

0.1