Date BSE-30 Rs= (P2-P1)/P1 RS - sum of RS (RS - sum of RS)2

4/30/1996 3376.64
6/28/1996 3731.96 10.522886656558 10.291762688558 105.920379237595
9/30/1996 3519.42 -5.69513070879645 -5.92625467679645 35.1204944942518
12/24/1996 2883.88 -18.0580891169568 -18.2892130849568 334.495315266954
3/31/1997 3360.89 16.5405634076314 16.3094394396314 265.997814835003
6/30/1997 4256.09 26.635801826302 26.404677858302 697.207012800702
9/30/1997 3902.03 -8.31890303071598 -8.55002699871598 73.1029616787722
12/31/1997 3658.98 -6.22880910705454 -6.45993307505454 41.7307353341836
3/31/1997 3892.75 6.38893899392727 6.15781502592727 37.9186858935356
6/30/1998 3250.69 -16.4937383597714 -16.7248623277714 279.721019882906
9/30/1998 2812.49 -13.4802149697449 -13.7113389377449 188.000815465719
12/31/1998 3055.41 8.63718626555117 8.40606229755117 70.6618833503113
3/31/1999 3739.96 22.4045218154029 22.1733978474029 491.659572099209
6/30/1999 4140.73 10.7158900095188 10.4847660415188 109.930318945386
9/30/1999 4764.92 15.0743950945848 14.8432711265848 220.322697737306
12/30/1999 5005.82 5.05569873156317 4.82457476356317 23.2765216492106
3/31/2000 5001.28 -0.090694431681522 -0.321818399681522 0.103567082373576
6/30/2000 4748.77 -5.04890747968519 -5.28003144768519 27.8787320885445
9/29/2000 4090.38 -13.8644322635125 -14.0955562315125 198.68470547573
12/29/2000 3972.12 -2.89117392516099 -3.12229789316099 9.74874413363757
3/30/2001 3604.39 -9.25777670362426 -9.48890067162426 90.0392359559514
6/29/2001 3456.79 -4.09500636723551 -4.32613033523551 18.7154036774449
9/28/2001 2811.66 -18.6626899522389 -18.8938139202389 356.976204452614
12/31/2001 3263.33 16.0641756115604 15.8330516435604 250.685524347652
3/28/2002 3469.35 6.31318315953336 6.08205919153336 36.9914440093154
6/28/2002 3244.7 -6.47527634859556 -6.70640031659556 44.9758052064331
9/30/2002 2930.51 -9.6831756402749 -9.9142996082749 98.2933367226398

Average Return Err:522 Variance

Standard Deviation
((RS - sum of RS)2)/25

4.23681516950379
1.40481977977007
13.3798126106782
10.6399125934001
27.8882805120281
2.92411846715089
1.66922941336734
1.51674743574143
11.1888407953162
7.52003261862877
2.82647533401245
19.6663828839684
4.39721275781544
8.81290790949222
0.931060865968423
0.004142683294943
1.11514928354178
7.94738821902918
0.389949765345503
3.60156943823805
0.748616147097795
14.2790481781046
10.0274209739061
1.47965776037262
1.79903220825732
3.93173346890559

164.326357272935
12.8189842527766
 Date RPL Rs=(P2-P1)/P1 RS - sum of RS (RS - sum of RS)2
4/30/1996 14.75
6/28/1996 12.9 -12.5423728813559 -16.6004620623559 275.575340683719
9/30/1996 10.25 -20.5426356589147 -24.6007248399147 605.195662649198
12/24/1996 10.4 1.46341463414634 -2.59467454685366 6.73233600409022
3/31/1997 12.7 22.1153846153846 18.0572954343846 326.065918404647
6/30/1997 17.4 37.007874015748 32.949784834748 1085.68832065619
9/30/1997 19 9.19540229885059 5.13731311785059 26.3919860708397
12/31/1997 23.55 23.9473684210526 19.8892792400526 395.583428688789
3/31/1997 20.5 -12.9511677282378 -17.0092569092378 289.314820604454
6/30/1998 20 -2.4390243902439 -6.4971135712439 42.2124847576417
9/30/1998 17.6 -12 -16.058089181 257.862228144949
12/31/1998 18.8 6.81818181818181 2.76009263718181 7.61811136582526
3/31/1999 18.7 -0.53191489361703 -4.59000407461703 21.0681374050009
6/30/1999 27.05 44.6524064171123 40.5943172361123 1647.89859186613
9/30/1999 46.9 73.3826247689464 69.3245355879464 4805.89123448445
12/30/1999 65.7 40.0852878464819 36.0271986654819 1297.9590436821
3/31/2000 60.04 -8.61491628614917 -12.6730054671492 160.605067570393
6/30/2000 53.95 -10.143237841439 -14.201327022439 201.677689198257
9/29/2000 56.75 5.1899907321594 1.1319015511594 1.28120112151706
12/29/2000 56.6 -0.26431718061674 -4.32240636161674 18.6831967549448
3/30/2001 48.55 -14.2226148409894 -18.2807040219894 334.18413953958
6/29/2001 47 -3.19258496395468 -7.25067414495468 52.5722755563143
9/28/2001 29.75 -36.7021276595745 -40.7602168405745 1661.39527689065
12/31/2001 29.3 -1.5126050420168 -5.5706942230168 31.0326341263528
3/28/2002 25.85 -11.7747440273038 -15.8328332083038 250.678607401966
6/28/2002 24.05 -6.96324951644101 -11.021338697441 121.469906683711
9/30/2002 23.1 -3.95010395010395 -8.00819313110395 64.1311572250604

Average Return Err:522 Variance

Standard Deviation
((RS - sum of RS)2)/25

11.0230136273487
24.2078265059679
0.269293440163609
13.0426367361859
43.4275328262476
1.05567944283359
15.8233371475516
11.5725928241781
1.68849939030567
10.314489125798
0.30472445463301
0.842725496200037
65.915943674645
192.235649379378
51.918361747284
6.42420270281571
8.06710756793029
0.051248044860682
0.747327870197794
13.3673655815832
2.10289102225257
66.455811075626
1.24130536505411
10.0271442960786
4.85879626734843
2.56524628900242

Err:522
23.6548250891863
 Date MRPL RS= (P2-P1)/P1 RS - sum of RS (RS - sum of RS)2
4/30/1996 32.5
6/28/1996 28.25 -13.0769230769231 -9.93774845992308 98.7588444527035
9/30/1996 19.35 -31.5044247787611 -28.3652501617611 804.587416739286
12/24/1996 20.6 6.45994832041344 9.59912293741344 92.1431611675768
3/31/1997 17.65 -14.3203883495146 -11.1812137325146 125.019540532173
6/30/1997 18.1 2.54957507082155 5.68874968782155 32.3618730106897
9/30/1997 21.6 19.3370165745856 22.4761911915856 505.179170480712
12/31/1997 19.85 -8.10185185185185 -4.96267723485185 24.6281653373168
3/31/1997 19.25 -3.02267002518892 0.116504591811077 0.013573319913066
6/30/1998 16.15 -16.1038961038961 -12.9647214868961 168.084003232786
9/30/1998 13.9 -13.9318885448916 -10.7927139278916 116.482673929306
12/31/1998 12.9 -7.19424460431655 -4.05506998731655 16.4435926020354
3/31/1999 10.3 -20.1550387596899 -17.0158641426899 289.539632522481
6/30/1999 19 84.4660194174757 87.6051940344757 7674.67002181814
9/30/1999 21 10.5263157894737 13.6654904064737 186.745628049424
12/30/1999 16.7 -20.4761904761905 -17.3370158591905 300.572118901822
3/31/2000 12.35 -26.0479041916168 -22.9087295746168 524.809890722921
6/30/2000 9.9 -19.8380566801619 -16.6988820631619 278.852662159391
9/29/2000 8.8 -11.1111111111111 -7.97193649411111 63.5517714661405
12/29/2000 8.8 0 3.139174617 9.8544172760171
3/30/2001 7.7 -12.5 -9.36082538300001 87.6250518510172
6/29/2001 6.85 -11.038961038961 -7.89978642196104 62.4066255126001
9/28/2001 6.3 -8.02919708029197 -4.89002246329197 23.9123196915
12/31/2001 6.8 7.93650793650794 11.0756825535079 122.67074402608
3/28/2002 6.8 0 3.139174617 9.8544172760171
6/28/2002 10 47.0588235294118 50.1979981464118 2519.83901790716
9/30/2002 7.65 -23.5 -20.360825383 414.563210277017

Average Return -3.13917461671836 Variance

Standard Deviation
((RS - sum of RS)2)/25

3.95035377810814
32.1834966695714
3.68572644670307
5.0007816212869
1.29447492042759
20.2071668192285
0.985126613492673
0.000542932796523
6.72336012931143
4.65930695717224
0.657743704081417
11.5815853008992
306.986800872725
7.46982512197697
12.0228847560729
20.9923956289168
11.1541064863757
2.54207085864562
0.394176691040684
3.50500207404069
2.496265020504
0.956492787660002
4.9068297610432
0.394176691040684
100.793560716286
16.5825284110807

582.126781770489
24.1273036572778
 BSE (RS-Sum of MRPL(RS-Sum RPL(RS-Sum of Co-Variance of
Date RS) of RS) RS) BSE and MRPL
6/28/1996 10.2917 -9.9377 -16.6004 -4.0910330836
9/30/1996 -5.9262 -28.3652 -24.6007 6.7239139296
12/24/1996 -18.2892 9.5991 -2.5946 -7.0223943888
3/31/1997 16.3094 -11.1812 18.0572 -7.2943465312
6/30/1997 26.4046 5.6887 32.9497 6.0083139208
9/30/1997 -8.55 22.4761 5.1373 -7.6868262
12/31/1997 -6.4599 -4.9626 19.8892 1.2823159896
3/31/1997 6.1781 0.1165 -17.0092 0.028789946
6/30/1998 -16.7248 -12.9647 -6.4971 8.6732805824
9/30/1998 -13.7113 -10.7927 -16.058 5.9192779004
12/31/1998 8.406 -4.055 2.76 -1.3634532
3/31/1999 22.1733 -17.0158 -4.59 -15.0918575256
6/30/1999 10.4847 87.6051 40.5943 36.7405276788
9/30/1999 14.8432 13.6654 69.3245 8.1135306112
12/30/1999 4.8245 -17.337 36.0271 -3.34569426
3/31/2000 -0.3218 -22.9087 -12.673 0.2948807864
6/30/2000 -5.28 -16.6988 -14.2013 3.52678656
9/29/2000 -14.0955 -7.9719 1.1319 4.494716658
12/29/2000 -3.1222 3.1391 -4.3224 -0.3920359208
3/30/2001 -9.4889 -9.3608 -18.2807 3.5529478048
6/29/2001 -4.3261 -7.8997 -7.2506 1.3669956868
9/28/2001 -18.8938 -4.89 -40.7602 3.69562728
12/31/2001 15.833 11.0756 -5.5706 7.014398992
3/28/2002 6.082 3.1391 -15.8328 0.763680248
6/28/2002 -6.7064 50.1979 -11.0213 -13.4658878624
9/30/2002 -9.9142 -20.3608 -8.0081 8.0744417344

CO-VARIANCE = 46.5208973368

Required rate of Return of MRPL=risk free rate+(m

Required rate of Return of RPL=risk free rate+(ma

 Co-Variance of Co-Variance of
BSE and RPL MRPL and RPL
-6.8338534672 6.5987918032 BSE MRPL RPL
5.8315467336 27.9121510256 Standard Deviation 12.8189 23.6548 24.1273
1.8981263328 -0.9962329944
11.7800839072 -8.0760465856
34.8009459448 7.4976383356
-1.7569566 4.6186587412 CORRELATION COEFFICIENT MRPL, Market =
-5.1392897232 -3.9480857568 (Covariance of Bse and MRPL)/Standard Deviaton
-4.2033815408 -0.079262872 Of market *Standard Deviaton Of MRPL
4.3465079232 3.3693180948
8.807042216 6.932367064
0.9280224 -0.447672
-4.07101788 3.12410088 CORRELATION COEFFICIENT RPL, Market =
17.0247622884 142.2507084372 (Covariance of Bse and RPL)/Standard Deviaton Of
41.159896736 37.893880892 market *Standard Deviaton Of RPL
6.952509758 -24.984073308
0.163126856 11.612878204
2.99931456 9.4857867376
-0.638187858 -0.3609357444 CORRELATION COEFFICIENT RPL, MRPL =
0.5398158912 -0.5427378336 (Covariance of MRPL and RPL)/Standard Deviaton
6.9385493692 6.8448790624 Of MRPL *Standard Deviaton Of RPL
1.2546728264 2.2911025928
30.8046026704 7.97269512
-3.527972392 -2.4679094944
-3.851803584 -1.9880296992 Beta Of MRPL= Covariance of MRPL and Market/ Variance of MRPL
2.9565298528 -22.1298446108 = 0.08314
3.1757562008 6.5220528992

Beta Of RPL= Covariance of RPL and Market/ Variance of RPL

152.3393494216 218.9061789904 = 0.261695

ed rate of Return of MRPL=risk free rate+(market return- risk free return)* Beta of MRPL
6.89565534

ed rate of Return of RPL=risk free rate+(market return- risk free return)* Beta of RPL
5.597739045
rket =

0.153419

et =

0.492553

L=

0.383557

Market/ Variance of MRPL

rket/ Variance of RPL

 CALCULATION OF PORTFOLIO

RISK OF PORTFOLIO = (WMRPL2*SD OF MRPL2) + (WRPL2* SD OF RPL2) + (2(WMRPL *WRPL) * COV OF MR

% INVESTMENT IN RPL (WRPL) % INVESTMENT IN MRPL ( WMRPL)

1 100 0
2 90 10
3 80 20
4 70 30
5 60 40
6 50 50
7 40 60
8 30 70
9 20 80
10 10 90
11 0 100

Sytematic Risk of MRPL= (Beta of MRPL)2 * (SD of market)2

1.13585150967712

Unsystematic Risk of MRPL= (SD of MRPL)2 - systematic risk of MRPL

580.990753780323
F RPL2) + (2(WMRPL *WRPL) * COV OF MRPL & RPL)

RISK OF PORTFOLIO

582.12660529
516.5211572353
464.9929855872
427.5420903457
404.1684715108
394.8721290825
399.6530630608
418.5112734457
451.4467602372
498.4595234353
559.54956304

Sytematic Risk of RPL= (Beta of RPL)2 * (SD of market)2

11.25362

Unsystematic Risk of RPL= (SD of RPL)2 - systematic risk of RPL

548.2959