SHARP (SINGLE) INDEX MODEL:

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:

σi2 = βi2 σm2 + σei2

Where,

σi2 = variance of individual security

σm2 = variance of market index return
βi2 = β co-efficient of individual security
σei2 = variance of residual returns of individual security
Portfolio risk:

αρ =

βρ =

σρ2 = βρ2 σm2 +

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 ”.

Step 5 : After determining the securities to be selected, the portfolio

manager should find out, how much should be investment in each security?
The percentage of fund to be invested in each security can be estimated as
follows:

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

10. Hero honda

MONTHLY
Date Close RETURN
10/2/2006 1669.65
11/1/2006 1511.35 -9.481029 -7.615985768 58.00324
12/1/2006 1605.5 6.22952989 8.09457308 65.52211
1/1/2007 1397.85 -12.933666 -11.06862233 122.5144
2/1/2007 1340.9 -4.0741138 -2.209070628 4.879993
3/1/2007 1184.25 -11.682452 -9.817408894 96.38152
4/2/2007 1070.15 -9.63479 -7.769746761 60.36896
5/1/2007 926.55 -13.41868 -11.55363643 133.4865
6/1/2007 876.95 -5.3531919 -3.488148759 12.16718
7/2/2007 801.55 -8.5979816 -6.732938451 45.33246
8/1/2007 800.8 -0.0935687 1.771474479 3.138122
9/3/2007 748.3 -6.5559441 -4.690900866 22.00455
10/1/2007 868.9 16.1165308 17.98157399 323.337
11/1/2007 825.05 -5.0466107 -3.181567467 10.12237
12/3/2007 804.65 -2.4725774 -0.60753423 0.369098
1/1/2008 682.8 -15.14323 -13.27818679 176.3102
2/1/2008 746.7 9.35852373 11.22356692 125.9685
3/3/2008 850.7 13.9279496 15.79299284 249.4186
4/1/2008 690.2 -18.866816 -17.00177237 289.0603
5/2/2008 764.45 10.7577514 12.62279457 159.3349
6/2/2008 676.95 -11.446138 -9.581094556 91.79737
7/1/2008 697.65 3.05783293 4.922876117 24.23471
8/1/2008 722.7 3.59062567 5.455668862 29.76432
9/1/2008 726.85 0.57423551 2.439278696 5.950081
10/1/2008 744.8 2.46956043 4.334603622 18.78879
11/3/2008 648.6 -12.916219 -11.05117593 122.1285
12/1/2008 673.65 3.86216466 5.727207852 32.80091
1/2/2009 688.9 2.26378683 4.128830023 17.04724
2/2/2009 732.35 6.30715634 8.172199526 66.78485
 3/2/2009 683.6 -6.6566532 -4.79161005 22.95953
4/1/2009 685.15 0.22674078 2.091783974 4.37556
5/4/2009 670.5 -2.1382179 -0.273174718 0.074624
6/1/2009 715.5 6.7114094 8.576452586 73.55554
7/1/2009 762.35 6.54786862 8.412911813 70.77709
8/3/2009 742.65 -2.5841149 -0.719071718 0.517064
9/1/2009 756.15 1.81781458 3.682857773 13.56344
TOTAL -65.276512 0.00 2552.84
AVERAGE -1.8650432
N 35
EX2 2552.84 FOR r
(EX)2 0 YEAR 1 -55.182224
NEX2 89349.4 YEAR 2 -16.348256
N2 1225 YEAR 3 1.52389903
ei2 72.9382857 AVERAGE -23.335527

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

13. Jindal Steel

MONTHLY
Date Close RETURN
10/3/2006 587.55
11/1/2006 3129.5 432.63552 408.7770113 167098.6
12/1/2006 2942.25 -5.9833839 -29.84189303 890.5386
1/2/2007 2491.3 -15.326706 -39.18521485 1535.481
2/1/2007 2092.4 -16.011721 -39.87022989 1589.635
3/1/2007 1629.3 -22.132479 -45.99098855 2115.171
4/2/2007 1201.55 -26.253606 -50.11211494 2511.224
5/3/2007 1043.15 -13.182972 -37.04148109 1372.071
6/4/2007 1037.05 -0.5847673 -24.44327639 597.4738
7/2/2007 911.9 -12.067885 -35.92639397 1290.706
8/1/2007 713.6 -21.745805 -45.60431456 2079.754
9/3/2007 794.7 11.3649103 -12.49359879 156.09
10/1/2007 1264.85 59.1606896 35.30218047 1246.244
11/1/2007 1907.4 50.8004902 26.94198108 725.8703
12/3/2007 2070.05 8.52731467 -15.33119443 235.0455
1/1/2008 1752 -15.364363 -39.22287228 1538.434
2/1/2008 2341.7 33.6586758 9.800166699 96.04327
3/3/2008 2396.7 2.34872101 -21.50978809 462.671
4/1/2008 2072.4 -13.531105 -37.38961437 1397.983
5/2/2008 2304.75 11.2116387 -12.64687042 159.9433
6/2/2008 2314.55 0.42520881 -23.43330029 549.1196
7/1/2008 15359.25 563.595515 539.7370062 291316
8/1/2008 13508.35 -12.050719 -35.90922772 1289.473
9/1/2008 11884.4 -12.021824 -35.88033264 1287.398
10/1/2008 5182.9 -56.389048 -80.24755693 6439.67
11/3/2008 3941.3 -23.9557 -47.81420958 2286.199
12/1/2008 4194.65 6.4280821 -17.430427 303.8198
1/1/2009 3464.5 -17.406697 -41.26520573 1702.817
2/2/2009 3206.85 -7.4368596 -31.29536868 979.4001
3/2/2009 2898.7 -9.609118 -33.46762708 1120.082
4/1/2009 2371.5 -18.187463 -42.04597245 1767.864
5/4/2009 2335.35 -1.5243517 -25.38286078 644.2896
6/1/2009 2330.4 -0.2119597 -24.07046876 579.3875
7/1/2009 2267.8 -2.6862341 -26.54474322 704.6234
8/3/2009 2155.15 -4.9673693 -28.82587836 830.9313
9/1/2009 1800.05 -16.476811 -40.33532046 1626.938
TOTAL 835.047819 0.00 500527.1
AVERAGE 23.8585091
N 35
EX2 500527.1 FOR r
(EX)2 0 YEAR 1 35.2565739
NEX2 17518448.5 YEAR 2 839.589675
N2 1225 YEAR 3 -65.269444
ei2 14300.7743 AVERAGE 269.858935

14. Kotak Bank

MONTHLY
Date Close RETURN
10/2/2006 776.1
11/1/2006 715.45 -7.8147146 -7.607468009 57.87357
12/1/2006 653.9 -8.6029771 -8.395730557 70.48829
1/1/2007 632.1 -3.3338431 -3.126596505 9.775606
2/1/2007 680.15 7.60164531 7.808891899 60.97879
3/1/2007 385.55 -43.313975 -43.10672827 1858.19
4/2/2007 282.95 -26.611334 -26.40408787 697.1759
5/1/2007 259.25 -8.3760382 -8.168791579 66.72916
6/1/2007 283.5 9.3539055 9.561152087 91.41563
7/2/2007 357.3 26.031746 26.23899262 688.4847
8/1/2007 334.9 -6.2692415 -6.061994944 36.74778
9/3/2007 336.9 0.59719319 0.804439782 0.647123
10/1/2007 554.8 64.677946 64.88519257 4210.088
11/1/2007 605.75 9.18348955 9.390736136 88.18593
12/3/2007 533.1 -11.993397 -11.78615003 138.9133
1/1/2008 461.2 -13.487151 -13.27990404 176.3559
2/1/2008 693.65 50.4011275 50.60837408 2561.208
3/3/2008 789.35 13.7965833 14.00382988 196.1073
4/1/2008 628.55 -20.371191 -20.1639449 406.5847
5/2/2008 801.35 27.4918463 27.6990929 767.2397
6/2/2008 1032.8 28.8825108 29.08975735 846.214
7/2/2008 1296.2 25.5034857 25.71073226 661.0418
8/1/2008 1234.3 -4.7754976 -4.568251018 20.86892
9/1/2008 1000 -18.982419 -18.77517259 352.5071
10/2/2008 921.65 -7.835 -7.62775341 58.18262
11/3/2008 706.9 -23.300602 -23.09335559 533.3031
12/1/2008 740.9 4.80973264 5.016979225 25.17008
1/2/2009 672.5 -9.2320151 -9.024768527 81.44645
2/2/2009 572.65 -14.847584 -14.64033705 214.3395
3/2/2009 544.05 -4.9943246 -4.787078041 22.91612
4/1/2009 479.65 -11.837147 -11.62990073 135.2546
5/4/2009 423.75 -11.654331 -11.44708469 131.0357
6/1/2009 465.9 9.94690265 10.15414924 103.1067
7/2/2009 399.4 -14.273449 -14.06620265 197.8581
8/3/2009 380.75 -4.6695043 -4.462257666 19.91174
9/1/2009 346.65 -8.9560079 -8.748761289 76.54082
TOTAL -7.2536306 0.00 15662.89
AVERAGE -0.2072466
N 35
EX2 15662.89 FOR r
(EX)2 0 YEAR 1 -56.590646
NEX2 548201.15 YEAR 2 80.2451334
N2 1225 YEAR 3 -62.388108
ei2 447.511143 AVERAGE -12.911207

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

17. Asian Hotels

MONTHLY
Date Close RETURN
10/3/2006 371.05
11/1/2006 321.95 -13.232718 -16.2324365 263.492
12/1/2006 309.7 -3.8049387 -6.804657195 46.30336
1/2/2007 320.05 3.34194382 0.342225277 0.117118
2/1/2007 283.2 -11.513826 -14.5135445 210.643
3/1/2007 236.9 -16.34887 -19.3485886 374.3679
4/2/2007 224.65 -5.1709582 -8.17067675 66.75996
5/3/2007 221.5 -1.4021812 -4.401899711 19.37672
6/4/2007 240 8.35214447 5.35242593 28.64846
7/2/2007 267 11.25 8.25028146 68.06714
8/1/2007 217.95 -18.370787 -21.37050506 456.6985
9/3/2007 278.45 27.7586602 24.7589417 613.0052
10/1/2007 407 46.1662776 43.16655907 1863.352
11/1/2007 443 8.84520885 5.845490305 34.16976
12/3/2007 464 4.74040632 1.740687781 3.029994
1/1/2008 498.45 7.42456897 4.424850426 19.5793
2/1/2008 634.7 27.3347377 24.33501915 592.1932
3/3/2008 655.85 3.33228297 0.332564428 0.110599
4/1/2008 571 -12.937409 -15.93712801 253.992
5/2/2008 675 18.2136602 15.21394171 231.464
6/2/2008 660 -2.2222222 -5.221940762 27.26867
7/1/2008 840 27.2727273 24.27300873 589.179
8/1/2008 649.15 -22.720238 -25.71995664 661.5162
9/1/2008 636.8 -1.9024879 -4.902206409 24.03163
10/1/2008 697.25 9.49277638 6.493057842 42.1598
11/3/2008 730 4.69702402 1.697305483 2.880846
12/1/2008 753.1 3.16438356 0.164665022 0.027115
1/1/2009 751 -0.2788474 -3.278565971 10.74899
2/2/2009 767 2.13049268 -0.869225864 0.755554
3/2/2009 789 2.86831812 -0.131400417 0.017266
4/1/2009 715.05 -9.3726236 -12.37234211 153.0748
5/4/2009 750.1 4.90175512 1.902036582 3.617743
6/1/2009 799.2 6.54579389 3.546075354 12.57465
7/1/2009 714 -10.660661 -13.6603792 186.606
8/3/2009 716 0.28011204 -2.719606495 7.396259
9/1/2009 764.8 6.81564246 3.815923918 14.56128
 TOTAL 104.990149 0.00 6881.786
AVERAGE 2.99971854
N 35
EX2 6881.786 FOR r
(EX)2 0 YEAR 1 -24.956205
NEX2 240862.51 YEAR 2 56.4619165
N2 1225 YEAR 3 9.68806024
ei2 196.622457 AVERAGE 13.7312571

18. Blue Star

MONTHLY
Date Close RETURN
10/2/2006 361
11/1/2006 335.5 -7.0637119 -6.053064311 36.63959
12/1/2006 397.85 18.5842027 19.59485028 383.9582
1/2/2007 342 -14.037954 -13.0273064 169.7107
2/1/2007 289 -15.497076 -14.48642842 209.8566
3/1/2007 172 -40.484429 -39.47378147 1558.179
4/2/2007 156 -9.3023256 -8.291677981 68.75192
5/1/2007 140 -10.25641 -9.245762656 85.48413
6/4/2007 147.6 5.42857143 6.439219029 41.46354
7/2/2007 150 1.62601626 2.63666386 6.951996
8/1/2007 148 -1.3333333 -0.322685733 0.104126
9/3/2007 180 21.6216216 22.63226922 512.2196
10/1/2007 290 61.1111111 62.12175871 3859.113
11/1/2007 425 46.5517241 47.56237174 2262.179
12/3/2007 378 -11.058824 -10.04817593 100.9658
1/2/2008 376 -0.5291005 0.481547071 0.231888
2/1/2008 417 10.9042553 11.91490292 141.9649
3/3/2008 440.25 5.57553957 6.586187168 43.37786
4/1/2008 425 -3.4639409 -2.453293343 6.018648
5/1/2008 479.9 12.9176471 13.92829466 193.9974
6/2/2008 488 1.68785164 2.698499236 7.281898
7/1/2008 500 2.45901639 3.469663993 12.03857
8/1/2008 443 -11.4 -10.3893524 107.9386
9/1/2008 390 -11.963883 -10.95323502 119.9734
10/1/2008 317.5 -18.589744 -17.57909599 309.0246
11/3/2008 324.55 2.22047244 3.231120041 10.44014
12/1/2008 291.2 -10.275766 -9.265118846 85.84243
1/2/2009 233.85 -19.694368 -18.68372053 349.0814
2/2/2009 228.9 -2.1167415 -1.106093901 1.223444
3/2/2009 233.3 1.92223678 2.932884385 8.601811
4/1/2009 209.9 -10.030004 -9.019356686 81.3488
5/1/2009 212.1 1.04811815 2.058765752 4.238516
6/1/2009 218.05 2.80528053 3.815928128 14.56131
7/1/2009 186.45 -14.492089 -13.48144137 181.7493
8/3/2009 174.55 -6.3824082 -5.371760552 28.85581
9/1/2009 150.35 -13.864222 -12.85357469 165.2144
TOTAL -35.372666 0.00 11168.58
AVERAGE -1.0106476
 N 35
EX2 11168.58 FOR r
(EX)2 0 YEAR 1 -50.138504
NEX2 390900.3 YEAR 2 34.4827586
N2 1225 YEAR 3 -52.645669
ei2 319.102286 AVERAGE -22.767138

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

20. Cadila Healthcare

MONTHLY
Date Close RETURN
10/2/2006 518.65
11/1/2006 455.25 -12.224043 -11.54749095 133.3445
12/1/2006 463.35 1.77924217 2.455794415 6.030926
1/3/2007 379 -18.204381 -17.5278289 307.2248
2/1/2007 336.95 -11.094987 -10.41843457 108.5438
3/1/2007 307.1 -8.8588811 -8.1823289 66.95051
4/2/2007 272.1 -11.396939 -10.72038687 114.9267
5/1/2007 254.2 -6.5784638 -5.90191156 34.83256
6/1/2007 249.4 -1.8882769 -1.211724707 1.468277
7/2/2007 267.6 7.29751403 7.974066274 63.58573
8/1/2007 225 -15.919283 -15.24273027 232.3408
9/4/2007 256 13.7777778 14.45433002 208.9277
10/1/2007 310.1 21.1328125 21.80936474 475.6484
11/1/2007 323 4.1599484 4.836500644 23.39174
12/3/2007 310 -4.0247678 -3.348215562 11.21055
1/2/2008 297.35 -4.0806452 -3.404092921 11.58785
2/1/2008 295.5 -0.6221624 0.054389805 0.002958
3/3/2008 288.65 -2.3181049 -1.641552667 2.694695
4/1/2008 254.65 -11.778971 -11.10241883 123.2637
5/1/2008 260.8 2.41507952 3.091631761 9.558187
6/2/2008 247.3 -5.1763804 -4.499828128 20.24845
7/1/2008 315 27.3756571 28.05220934 786.9264
8/1/2008 288.45 -8.4285714 -7.752019189 60.0938
9/2/2008 316.8 9.82839314 10.50494538 110.3539
10/1/2008 310.95 -1.8465909 -1.170038669 1.36899
11/3/2008 307.7 -1.0451841 -0.368631873 0.135889
12/1/2008 351.4 14.2021449 14.87869719 221.3756
1/2/2009 374.2 6.48833238 7.164884625 51.33557
2/2/2009 335.8 -10.261892 -9.585339796 91.87874
3/2/2009 323 -3.8117927 -3.135240494 9.829733
4/1/2009 338.95 4.9380805 5.614632735 31.5241
5/1/2009 320.05 -5.5760437 -4.899491424 24.00502
6/1/2009 336.65 5.18668958 5.86324182 34.3776
7/1/2009 351.45 4.39625724 5.07280948 25.7334
8/3/2009 323.8 -7.8674065 -7.190854219 51.70838
9/1/2009 344.35 6.34651019 7.023062431 49.32341
TOTAL -23.679328 0.00 3505.753
AVERAGE -0.6765522
N 35
EX2 3505.753 FOR r
 (EX)2 0 YEAR 1 -50.641087
NEX2 122701.355 YEAR 2 2.16059336
N2 1225 YEAR 3 10.7412767
ei2 100.164371 AVERAGE -12.579739

Sharpe Index Calculation

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 ∑(Ri - Rf)*βi/σei² βi² βi²/σei² ∑βi²/σei² σm²

 1 0.010014439 1.1053076 -0.003021515 -0.003021515 139.340543
2 -0.016321128 8.82769466 -0.005024076 -0.008045591 139.340543
3 -0.063036883 8.37339892 -0.009540365 -0.017585956 139.340543
4 -0.152842045 9.49224774 -0.015669366 -0.033255321 139.340543
5 -0.252881216 22.905768 -0.007504611 -0.040759932 139.340543
6 -0.388249313 8.39232231 0.006473471 -0.034286461 139.340543
7 -0.603377875 1.56189698 0.015853296 -0.018433165 139.340543
8 -1.017925262 5.49872185 0.022467511 0.004034345 139.340543
9 -1.436190592 15.3929396 0.016411674 0.020446019 139.340543
10 -1.897049708 12.7112074 0.019291019 0.039737039 139.340543
11 -2.38035726 34.5972437 -0.026533786 0.013203253 139.340543
12 -2.87289539 26.0954834 0.016008578 0.029211831 139.340543
13 -3.409908866 12.2311438 0.022767462 0.051979292 139.340543
14 -3.989834704 7.96694333 0.028179455 0.080158748 139.340543
15 -4.575741612 78.8761954 0.012313601 0.092472349 139.340543
16 -5.468173931 6.8519201 0.045378837 0.137851186 139.340543
17 -6.576886268 3666.24996 -0.004234006 0.13361718 139.340543
18 -8.001617943 116.090622 -0.035600277 0.098016902 139.340543
19 -9.949780661 29.6761594 0.060353998 0.1583709 139.340543
20 -12.19921488 27.4147123 0.071785428 0.230156329 139.340543
0.230156329

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:

The investor should invest in the 2 securities out of the 20

securities in the proportion as under:

Securities Proportion
IDBI 31.38915
Escorts 68.61085
Total (%) 100