MORGAN RETURNS_NIFT RETURNS_MOR

DATE CLOSE_NIFTY STANLEY_NAV Y GAN

30-Jun-00 1471 16.54
28-Jul-00 1334 15.26 -0.097760494126 -0.080546663739
31-Aug-00 1394 15.64 0.0439953648449 0.0245967092609
29-Sep-00 1272 14.02 -0.09158684742 -0.109346853511
27-Oct-00 1179 13.37 -0.075923843363 -0.047471490493
24-Nov-00 1225 14.24 0.0382742224415 0.06304151487
29-Dec-00 1264 14.33 0.031340451728 0.0063003358563
25-Jan-01 1370 14.98 0.0805294441154 0.044360736249
23-Feb-01 1320 14.04 -0.037179003242 -0.064805579491
30-Mar-01 1148 11.61 -0.139610438701 -0.190043602888
27-Apr-01 1101 11.47 -0.041802440157 -0.012131864569
30-May-01 1178 12.26 0.0675992274889 0.0666069993668
29-Jun-01 1108 10.4 -0.061261496904 -0.164536124361
27-Jul-01 1052 10.12 -0.05186347401 -0.027292142288
31-Aug-01 1054 10.41 0.0018993358037 0.0282532187676
31-Oct-01 972 10 -0.080991924641 -0.040181789633
31-Dec-01 1059 10.96 0.085724541141 0.0916671885258
31-Jan-02 1075 11.5 0.0149955949604 0.0480947538493
28-Feb-02 1142 12.46 0.0604604496542 0.0801764779901
30-Apr-02 1085 12.37 -0.051201124241 -0.007249326955
31-May-02 1029 11.76 -0.052992530141 -0.050570243934
31-Jul-02 959 11.47 -0.070451660951 -0.024969011329
30-Sep-02 963 11.2 0.0041623369147 -0.02382115284
31-Oct-02 951 11.12 -0.012539349253 -0.007168489479
31-Dec-02 1094 12.42 0.1400819204365 0.1105627876829
31-Jan-03 1042 12.22 -0.048698760669 -0.016234122762
28-Feb-03 1063 12.28 0.0199531560286 0.0048979689755
31-Mar-03 978 11.49 -0.083340708307 -0.066494830858
30-Apr-03 934 11.4 -0.046033231806 -0.00786373646
30-Jun-03 1134 13.93 0.1940300460589 0.2004314323913
31-Jul-03 1186 14.89 0.04483509527 0.0666450589042
30-Sep-03 1417 17.84 0.177955660133 0.1807532804559
31-Oct-03 1556 19.41 0.0935764650477 0.0843452700291
31-Dec-03 1880 23.09 0.1891533510857 0.1736112261855
31-Mar-04 1772 22.67 -0.059162924659 -0.018357158847
30-Apr-04 1796 21.71 0.0134531176971 -0.043269480629
31-May-04 1484 17.71 -0.190820825135 -0.203643532095
30-Jun-04 1506 18.24 0.0147159846325 0.0294875328514
31-Aug-04 1632 19.9 0.0803491271642 0.0871027470843
30-Sep-04 1746 21.35 0.0675212008755 0.0703320079442
30-Nov-04 1959 23.74 0.115106681545 0.1061096495069
31-Dec-04 2081 25.8 0.0604144084491 0.083213102746
31-Jan-05 2058 25.35 -0.01111391 -0.01759576189
28-Feb-05 2103 26.59 0.0216302593087 0.0477564752177
31-Mar-05 2036 25.73 -0.032377798032 -0.032877578961
29-Apr-05 1903 25.25 -0.067555510374 -0.018831470572
31-May-05 2088 27.33 0.0927750817064 0.0791588442186
30-Jun-05 2221 28.12 0.0617508748919 0.0284960670025
 29-Jul-05 2312 30.01 0.0401554058978 0.0650495925098
31-Aug-05 2385 31.89 0.0310861735302 0.0607618215697
30-Sep-05 2601 34.7 0.0866968621262 0.0844472059308
31-Oct-05 2371 31.67 -0.092584179383 -0.091369826402
30-Nov-05 2652 36.34 0.1120022652403 0.1375492024175
30-Dec-05 2837 38.14 0.0674330835031 0.0483445372042
31-Jan-06 3001 41.76 0.0561984106315 0.0906753434021
28-Feb-06 3075 43.37 0.0243593348003 0.0378290142729
31-Mar-06 3403 48.19 0.1013524942603 0.105383572805
29-Apr-06 3558 49.98 0.0445411937249 0.0364713947546
31-May-06 3071 41.77 -0.147195347785 -0.179444546898
30-Jun-06 3128 40.11 0.0183905812244 -0.040552698727
BETA 0.98 0.98
INDEX VALUE 4000
VALUE OF PORTFOLIO (IN RUPEES) 10,00,00,000
RISK FREE RATE OF RETURN 0.08
FUTURES PRICE (3 MONTHS MATURITY) 4050
SIZE OF A FUTURES CONTRACT 50
NO. OF FUTURES TO BE SHORTED 490

VALUE OF THE HEDGED PORTFOLIO

Expected Value of Index at the end of month 3800 3850 3900
Initial Value of Future 4050 4050 4050
Expected Value of Futures contract at the end
of month 3795 3843 3896
Gain/ Loss on Futures Position 6247500 5071500 3773000
Returns on Index -0.05 -0.0375 -0.025
Returns on portfolio (Using CAPM) -0.0486 -0.0364 -0.0241

Value of Portfolio
Initial Value 100000000 100000000 100000000
Returns on portfolio -4860000 -3635000 -2410000
Gain/ Loss on Futures
Total Value of Hedged Portfolio 101387500 101436500 101363000

3800 3850 3900

F THE HEDGED PORTFOLIO UNDER DIFFERENT SCENARIOS
3950 4000 4050 4100 4150 4200
4050 4050 4050 4050 4050 4050

3941 3990 4045 4092 4144 4193

2670500 1470000 122500 -1029000 -2303000 -3503500
-0.0125 0 0.0125 0.025 0.0375 0.05
-0.0119 0.0004 0.0127 0.0249 0.0372 0.0494

100000000 100000000 100000000 100000000 100000000 100000000

-1185000 40000 1265000 2490000 3715000 4940000

101485500 101510000 101387500 101461000 101412000 101436500 101431056 48659

3950 4000 4050 4100 4150 4200

0.5 1.5956
0.7643
0.9 0.2639
0.95 0.1026
0.98 0.048
1 0.0906
1.05 0.251
1.25 0.9273
1.5 1.7838
0.047972
Beta COV(%)
0.50 1.60
0.75 0.76
0.90 0.26
0.95 0.10
0.98 0.05
1.00 0.09
1.05 0.25
1.25 0.93
1.50 1.78
 Coefficient of Variation(%)

2.00

1.80

1.60

1.40

1.20

1.00

0.80

0.60

0.40

0.20

0.00
0.50 0.75 0.90 0.95 0.98 1.00 1.05 1.25 1.50