Month Open PriceHigh Price Low Price Close PriceNo.of SharNo. of TradTotal TurnoDeliverable% Deli.

Qty
Jan-16 2963.1 3012 2587.95 2682.85 245920 36430 6.96E+08 101311 41.2
Feb-16 2695 2952 2506.65 2758.5 330009 46898 9.04E+08 114263 34.62
Mar-16 2767 2912.5 2523.15 2675.55 245263 32768 6.69E+08 100023 40.78
Apr-16 2675.55 2917 2609 2857.2 212279 33026 5.88E+08 89395 42.11
May-16 2879.9 3034 2611.2 2706 734083 51755 2.03E+09 479480 65.32
Jun-16 2735 2820.75 2523.9 2756.8 377493 42102 1.01E+09 193971 51.38
Jul-16 2760 2944.55 2747.4 2929.85 255154 28235 7.24E+08 123667 48.47
Aug-16 2951 3497 2811.15 3453.8 739101 66845 2.36E+09 297261 40.22
Sep-16 3452 3575 3199 3366.8 252960 32024 8.69E+08 104739 41.41
Oct-16 3390 3525 3177 3312.55 232977 23715 7.76E+08 143757 61.7
Nov-16 3326.3 3379.35 2781 3037.6 417714 44561 1.29E+09 258053 61.78
Dec-16 3020 3087 2776 2882.2 554039 34052 1.62E+09 461164 83.24
Jan-17 2897.7 3160.5 2832.9 3127.15 237820 37351 7.18E+08 97202 40.87
Feb-17 3131 3293.25 3112 3229.2 172366 27848 5.57E+08 65574 38.04
Mar-17 3240 3444 3052 3382.9 625991 28684 2.05E+09 498302 79.6
Apr-17 3383 3650 3320 3627.4 176743 22022 6.07E+08 54738 30.97
May-17 3624 3796.3 3372 3533.05 234854 32467 8.38E+08 96184 40.95
Jun-17 3588 3711.45 3525 3694.65 283284 24071 1.03E+09 140610 49.64
Jul-17 3709.8 3952.35 3661 3921.85 207314 22155 7.81E+08 105097 50.69
Aug-17 3919.8 4350.95 3837.05 4212.55 271467 43390 1.13E+09 85509 31.5
Sep-17 4200 4408.55 4152.55 4344.05 176982 14914 7.61E+08 116943 66.08
Oct-17 4357.35 4769.2 4305 4649.35 93712 14603 4.27E+08 37454 39.97
Nov-17 4650.05 4926 4591.3 4782.75 152104 25655 7.25E+08 68784 45.22
Dec-17 4820 4963.7 4600.9 4715.75 414574 16311 2.01E+09 343817 82.93
Jan-18 4715 4790 4600 4672.5 524750 17811 2.45E+09 383324 73.05
Feb-18 4700 5057.25 4400 4984.85 160188 17640 7.61E+08 79380 49.55
Mar-18 4969 4998.95 4724.4 4971.45 346393 12020 1.68E+09 284414 82.11
Apr-18 4999 5534.95 4984.65 5506.75 104689 16246 5.52E+08 45493 43.46
May-18 5515 6011.8 5290.75 5930.55 139725 19434 7.76E+08 46109 33
Jun-18 6020 6237.05 5719 6196.4 165436 15273 9.82E+08 38331 23.17
Jul-18 6196 6565.95 6178.2 6530.05 128207 18355 8.19E+08 44890 35.01
Aug-18 6530 6944.1 6170 6733.4 333687 28811 2.18E+09 166882 50.01
Sep-18 6767 6809.85 5361 5800.9 335953 37373 1.99E+09 147336 43.86
Oct-18 5840 5931 5220.05 5634.55 205766 27290 1.14E+09 59597 28.96
Nov-18 5679.95 6074.5 2990 3159.25 176272 21873 9.25E+08 58694 33.3
Dec-18 3184 3245.1 2933.85 3118.4 681212 25802 2.11E+09 149932 22.01
Jan-19 3129.9 3270.4 3064.55 3195.95 382536 18323 1.2E+09 236849 61.92
Feb-19 3238 3317 2758.95 3059.95 435115 33262 1.32E+09 131711 30.27
Mar-19 3078.5 3179.3 3008.1 3081.95 371996 20667 1.15E+09 232045 62.38
Apr-19 3080 3107.45 2879.15 2893.1 396648 20944 1.18E+09 178341 44.96
May-19 2911 2965.35 2616.45 2932.9 686927 41163 1.9E+09 283515 41.27
Jun-19 2939 2999.9 2861 2896.45 55240 5813 1.64E+08 22310 40.39
Spread HigSpread Close-Open
424.05 -280.25
445.35 63.5
389.35 -91.45
308 181.65
422.8 -173.9
296.85 21.8
197.15 169.85
685.85 502.8
376 -85.2
348 -77.45
598.35 -288.7
311 -137.8
327.6 229.45
181.25 98.2
392 142.9
330 244.4
424.3 -90.95
186.45 106.65
291.35 212.05
513.9 292.75
256 144.05
464.2 292
334.7 132.7
362.8 -104.25
190 -42.5
657.25 284.85
274.55 2.45
550.3 507.75
721.05 415.55
518.05 176.4
387.75 334.05
774.1 203.4
1448.85 -966.1
710.95 -205.45
3084.5 -2520.7
311.25 -65.6
205.85 66.05
558.05 -178.05
171.2 3.45
228.3 -186.9
348.9 21.9
138.9 -42.55
Month Britannia DHFL ONGC Maruti suzuki Voltas NBCC JSW Cadila
Jan-16 2682.85 183.65 226.1 4097.45 286.25 963.25 1058.5 304.7
Feb-16 2758.5 153.6 194.1 3242.6 222.55 866.55 1125.15 314.8
Mar-16 2675.55 196.2 214.75 3719.1 276.95 940.8 1280.55 316.95
Apr-16 2857.2 198.15 217.9 3794.95 293.2 1001.45 1371.95 327
May-16 2706 198.7 211.15 4167.9 335.9 945.05 1391.2 336.15
Jun-16 2756.8 203.6 216.3 4185.15 321.3 190.7 1464.9 327.85
Jul-16 2929.85 223 219.95 4755.2 349.75 246.6 1673.7 366.05
Aug-16 3453.8 290.7 237.05 5052.65 390.6 240.55 1755.35 380.65
Sep-16 3366.8 283.6 256.7 5479.2 379.5 251.35 1731.65 388
Oct-16 3312.55 329.6 289.95 5898.9 387.15 241.25 1659.55 418.8
Nov-16 3037.6 256 289 5263.45 314.5 228.35 1726.5 401.75
Dec-16 2882.2 243.7 191.45 5323 328.25 239.1 1624.6 356.25
Jan-17 3127.15 284.55 202.15 5896.5 327.5 271 198.4 349.25
Feb-17 3229.2 333.35 193.4 5922.85 372 168.9 186.7 440.15
Mar-17 3382.9 367 185.05 6024.3 412.15 172.1 187.6 443.25
Apr-17 3627.4 427.75 186.3 6525.5 410.45 199.8 199 439.9
May-17 3533.05 417.35 177.05 7214.9 486.4 194.5 194.05 464.55
Jun-17 3694.65 438 157.3 7217.9 457.85 202.5 203.25 525.6
Jul-17 3921.85 456.55 169.35 7707.95 503.75 209.3 221.4 542.9
Aug-17 4212.55 505.05 157 7702.5 524.35 205.05 254.75 500.1
Sep-17 4344.05 549.6 170.65 7973.15 504.7 212.65 248.35 470.5
Oct-17 4649.35 641.8 191.1 8217.1 568.35 260.05 257.85 502.65
Nov-17 4782.75 616.9 180.55 8602.3 636.7 262.5 254.5 429.4
Dec-17 4715.75 582.85 194.65 9731.35 655.7 246.75 269.7 433.6
Jan-18 4672.5 583.35 203.35 9514.15 604.4 225.85 290.15 424.8
Feb-18 4984.85 547 188.5 8873.15 608.75 196.45 312.1 404.65
Mar-18 4971.45 509.9 177.8 8863.15 620.6 190.35 288.05 378.65
Apr-18 5506.75 640.6 180.5 8822.8 643.6 104.6 325.15 412.15
May-18 5930.55 614.05 177.35 8534.95 540.2 91.95 332.35 362.3
Jun-18 6196.4 639.05 158.2 8821.2 521.65 75 326.6 377.3
Jul-18 6530.05 601.3 165.5 9506.4 568.2 70.6 329.9 381.35
Aug-18 6733.4 666.8 179.95 9097.25 616.6 72.05 396.5 402.85
Sep-18 5800.9 275.4 177.25 7350.55 529.15 58.5 380.35 386.5
Oct-18 5634.55 225 153.15 6608.95 538.05 55.2 338.45 358.8
Nov-18 3159.25 212.4 140.2 7664.6 553.8 52.95 314.55 363.9
Dec-18 3118.4 249.4 150.2 7462.3 552.45 57.7 306.25 347.55
Jan-19 3195.95 135.85 141.7 6628.05 540.5 58.75 274.6 319.05
Feb-19 3059.95 127.2 148.8 6832.25 566.1 52.8 281.05 318.7
Mar-19 3081.95 150.5 159.55 6671.7 630.45 66.3 292.85 346.6
Apr-19 2893.1 134.75 169.3 6658.7 602.85 57.95 307.9 324.95
May-19 2932.9 111.65 171.85 6863.65 578.9 61.95 271.55 247.5
Jun-19 2896.45 83.5 167.55 6947.6 617.2 60.9 262.45 242.7
Average
1
2
3
4
5
6
7
8
Return on Britannia Return on DHFL Return on ONGC Return on Maruti suReturn on Voltas

2.820 -16.363 -14.153 -20.863 -22.253

-3.007 27.734 10.639 14.695 24.444
6.789 0.994 1.467 2.039 5.867
-5.292 0.278 -3.098 9.828 14.563
1.877 2.466 2.439 0.414 -4.347
6.277 9.528 1.687 13.621 8.855
17.883 30.359 7.774 6.255 11.680
-2.519 -2.442 8.289 8.442 -2.842
-1.611 16.220 12.953 7.660 2.016
-8.300 -22.330 -0.328 -10.772 -18.765
-5.116 -4.805 -33.754 1.131 4.372
8.499 16.762 5.589 10.774 -0.228
3.263 17.150 -4.328 0.447 13.588
4.760 10.094 -4.317 1.713 10.793
7.228 16.553 0.675 8.320 -0.412
-2.601 -2.431 -4.965 10.565 18.504
4.574 4.948 -11.155 0.042 -5.870
6.149 4.235 7.661 6.789 10.025
7.412 10.623 -7.293 -0.071 4.089
3.122 8.821 8.694 3.514 -3.747
7.028 16.776 11.984 3.060 12.611
2.869 -3.880 -5.521 4.688 12.026
-1.401 -5.520 7.809 13.125 2.984
-0.917 0.086 4.470 -2.232 -7.824
6.685 -6.231 -7.303 -6.737 0.720
-0.269 -6.782 -5.676 -0.113 1.947
10.767 25.632 1.519 -0.455 3.706
7.696 -4.145 -1.745 -3.263 -16.066
4.483 4.071 -10.798 3.354 -3.434
5.385 -5.907 4.614 7.768 8.924
3.114 10.893 8.731 -4.304 8.518
-13.849 -58.698 -1.500 -19.200 -14.183
-2.868 -18.301 -13.597 -10.089 1.682
-43.931 -5.600 -8.456 15.973 2.927
-1.293 17.420 7.133 -2.639 -0.244
2.487 -45.529 -5.659 -11.180 -2.163
-4.255 -6.367 5.011 3.081 4.736
0.719 18.318 7.224 -2.350 11.367
-6.128 -10.465 6.111 -0.195 -4.378
1.376 -17.143 1.506 3.078 -3.973
-1.243 -25.213 -2.502 1.223 6.616
0.699 0.044 -0.297 1.637 2.362
 2.121 -17.062 -14.852 -21.562 -22.952
-3.706 27.035 9.940 13.996 23.745
6.090 0.295 0.768 1.340 5.168
-5.991 -0.422 -3.797 9.128 13.864
1.178 1.767 1.740 -0.285 -5.046
5.578 8.829 0.988 12.922 8.156
17.184 29.660 7.075 5.556 10.981
-3.218 -3.141 7.590 7.743 -3.541
-2.310 15.521 12.254 6.961 1.317
-8.999 -23.029 -1.027 -11.471 -19.464
-5.815 -5.504 -34.453 0.432 3.673
7.800 16.063 4.890 10.075 -0.928
2.564 16.451 -5.028 -0.252 12.889
4.061 9.395 -5.017 1.014 10.094
6.528 15.854 -0.024 7.621 -1.112
-3.300 -3.130 -5.664 9.866 17.805
3.875 4.249 -11.854 -0.658 -6.569
5.450 3.536 6.961 6.090 9.326
6.713 9.924 -7.992 -0.770 3.390
2.423 8.122 7.995 2.815 -4.447
6.329 16.077 11.285 2.361 11.912
2.170 -4.579 -6.220 3.989 11.327
-2.100 -6.219 7.110 12.426 2.285
-1.616 -0.613 3.770 -2.931 -8.523
5.986 -6.930 -8.002 -7.436 0.021
-0.968 -7.482 -6.375 -0.812 1.248
10.068 24.933 0.819 -1.154 3.007
6.997 -4.844 -2.444 -3.962 -16.765
3.784 3.372 -11.497 2.655 -4.133
4.685 -6.606 3.915 7.069 8.225
2.415 10.194 8.032 -5.003 7.819
-14.548 -59.397 -2.200 -19.899 -14.882
-3.567 -19.000 -14.296 -10.788 0.983
-44.630 -6.299 -9.155 15.274 2.228
-1.992 16.721 6.434 -3.338 -0.943
1.788 -46.228 -6.358 -11.879 -2.862
-4.954 -7.066 4.312 2.382 4.037
0.020 17.619 6.525 -3.049 10.668
-6.827 -11.164 5.412 -0.894 -5.077
0.677 -17.842 0.807 2.379 -4.672
-1.942 -25.912 -3.201 0.524 5.917

1.000 2.000 3 4 5
82.007 64.048855810388 15.1891743808266 -5.09363006497079 10.083943996265
 64.049 314.98030844018 56.6161170047298 78.7500056645919 85.403284437973
15.189 56.61611700473 78.9721257539081 21.8050308905771 15.132621446852
-5.09363006497079 78.750005664592 21.8050308905771 67.0048295531657 50.556444456855
10.0839439962649 85.403284437973 15.1326214468517 50.5564444568545 95.415350364205
7.09934041272828 42.656691895872 25.24152369297 32.8791243081269 35.132296882072
6.94362392134071 24.122798754281 9.6103245139994 -14.3383697276382 14.216664266686
7.90122912992984 67.171893555019 15.6792152802104 12.4121864853009 25.143009955561
Return on NBCC Return on JSW Return on Cadila

-10.039 6.297 3.315

8.568 13.811 0.683 1
6.447 7.138 3.171 Britannia
-5.632 1.403 2.798 1 Britannia 1
-79.821 5.298 -2.469 2 DHFL 0.398786
29.313 14.254 11.652 3 ONGC 0.18994
-2.453 4.878 3.989 4 Maruti suzuki -0.069171
4.490 -1.350 1.931 5 Voltas 0.115686
-4.018 -4.164 7.938 6 NBCC 0.042848
-5.347 4.034 -4.071 7 JSW 0.049003
4.708 -5.902 -11.325 8 Cadila 0.104856
13.342 -87.788 -1.965
-37.675 -5.897 26.027
1.895 0.482 0.704
16.095 6.077 -0.756
-2.653 -2.487 5.604
4.113 4.741 13.142
3.358 8.930 3.291
-2.031 15.063 -7.884
3.706 -2.512 -5.919
22.290 3.825 6.833
0.942 -1.299 -14.573
-6.000 5.972 0.978
-8.470 7.582 -2.030
-13.017 7.565 -4.743
-3.105 -7.706 -6.425
-45.049 12.880 8.847
-12.094 2.214 -12.095
-18.434 -1.730 4.140
-5.867 1.010 1.073
2.054 20.188 5.638
-18.806 -4.073 -4.059
-5.641 -11.016 -7.167
-4.076 -7.062 1.421
8.971 -2.639 -4.493
1.820 -10.335 -8.200
-10.128 2.349 -0.110
25.568 4.199 8.754
-12.594 5.139 -6.246
6.903 -11.806 -23.834
-1.695 -3.351 -1.939
-3.660 -0.141 -0.204
 -10.738 5.598 2.616
7.869 13.112 -0.016
5.748 6.438 2.472
-6.331 0.704 2.099
-80.520 4.599 -3.168
28.614 13.554 10.953
-3.152 4.179 3.289
3.791 -2.049 1.232
-4.717 -4.863 7.239
-6.046 3.335 -4.770
4.009 -6.601 -12.025
12.643 -88.487 -2.664
-38.374 -6.596 25.328
1.196 -0.217 0.005
15.396 5.378 -1.455
-3.352 -3.187 4.904
3.414 4.042 12.443
2.659 8.231 2.592
-2.730 14.364 -8.583
3.007 -3.211 -6.618
21.591 3.126 6.134
0.243 -1.998 -15.272
-6.699 5.273 0.279
-9.169 6.883 -2.729
-13.717 6.866 -5.442
-3.804 -8.405 -7.124
-45.748 12.181 8.148
-12.793 1.515 -12.794
-19.133 -2.429 3.441
-6.566 0.311 0.374
1.355 19.489 4.939
-19.505 -4.772 -4.758
-6.340 -11.715 -7.866
-4.775 -7.761 0.722
8.272 -3.338 -5.192
1.121 -11.034 -8.899
-10.827 1.650 -0.809
24.869 3.499 8.055
-13.293 4.440 -6.945
6.203 -12.505 -24.534
-2.394 -4.050 -2.638

6 7 8 weights Returns
7.09934041272828 6.94362392134071 7.90122912992984 0.2 0.699083
42.6566918958718 24.1227987542805 67.1718935550192 0.1 0.044151
25.24152369297 9.6103245139994 15.6792152802104 0.2 -0.296795
32.8791243081269 -14.3383697276382 12.4121864853009 0.1 1.637418
35.1322968820724 14.2166642666862 25.1430099555614 0.1 2.361766
353.761901475392 -29.9921537716804 -6.94597730898548 0.1 -3.660079
-29.992153771681 245.541149734159 23.9276549944886 0.1 -0.14115
-6.9459773089855 23.9276549944886 70.0550425967269 0.1 -0.204235

1
 2 3 4 5 6 7 8
DHFL ONGC Maruti suzuki Voltas NBCC JSW Cadila
0.398786 0.1899398 -0.069170523 0.115686 0.042848 0.049003 0.104856
1 0.35732998 0.5503006693 0.506648 0.122656 0.084942 0.451153
0.35733 1 0.3166704519 0.197512 0.129358 0.063496 0.201138
0.550301 0.31667045 1 0.625976 0.248483 -0.106493 0.195966
0.506648 0.19751194 0.6259761789 1 0.240642 0.103668 0.332671
0.122656 0.12935821 0.2484826344 0.240642 1 -0.117556 -0.071488
0.084942 0.06349596 -0.106492757 0.103668 -0.117556 1 0.177946
0.451153 0.20113845 0.1959659913 0.332671 -0.071488 0.177946 1
port return 0.084245
port variance 37.34653
port std 6.11118

Sharp Ratio 0.003967

Ra Rb Wa Wb Rp Rstd
2.819763 -16.362646338 0 1 0.044151 16.36265 6.044151
-3.007069 27.734375 0.05 0.95 0.076897 26.28806 6.076897
6.789258 0.993883792 0.1 0.9 0.109644 1.321145 6.109644
-5.291894 0.2775674994 0.15 0.85 0.142391 0.732385 6.142391
1.87731 2.4660291897 0.2 0.8 0.175137 2.150298 6.175137
6.277205 9.5284872299 0.25 0.75 0.207884 7.904294 6.207884
0.8
17.88317 30.358744395 0.3 0.7 0.24063 23.90241 6.24063
-2.518965 -2.442380461 0.35 0.65 0.273377 2.10093 6.273377 0.7
-1.611322 16.220028209 0.4 0.6 0.306124 9.493405 6.306124 0.6
-8.300252 -22.330097087 0.45 0.55 0.33887 14.19065 6.33887
0.5
-5.115881 -4.8046875 0.5 0.5 0.371617 4.149149 6.371617
8.498716 16.762412803 0.55 0.45 0.404364 10.33772 6.404364 0.4
3.263355 17.149885785 0.6 0.4 0.43711 7.848929 6.43711 0.3
4.759693 10.094495275 0.65 0.35 0.469857 5.547267 6.469857
0.2
7.227527 16.553133515 0.7 0.3 0.502604 8.38421 6.502604
-2.601037 -2.4313267095 0.75 0.25 0.53535 2.262898 6.53535 0.1
4.573952 4.9478854678 0.8 0.2 0.568097 4.154125 6.568097 0
6.149432 4.2351598174 0.85 0.15 0.600843 5.511233 6.600843 0

7.412318 10.6231519 0.9 0.1 0.63359 7.161294 6.63359

3.121625 8.8209088209 0.95 0.05 0.666337 3.167356 6.666337
7.028004 16.775836972 1 0.00 0.699083 7.028004 6.699083
2.869218 -3.8797133063 0.5 0.5 0.371617 1.897776
-1.400868 -5.5195331496
-0.917139 0.085785365
6.684858 -6.2312505357
-0.268815 -6.7824497258 RF 0.01
10.76748 25.632476956 Sharpe 0.190548 risky
7.696009 -4.1445519825 free
4.482721 4.0713296963 cor
5.384578 -5.9072060089
3.114065 10.893065026
-13.84887 -58.698260348
-2.867658 -18.300653595 risky free ret sd
-43.93075 -5.6 0 1
-1.293028 17.419962335 0.05 0.95
2.486852 -45.529270249 0.1 0.9
-4.255386 -6.3673168936 0.15 0.85
0.718966 18.317610063 0.2 0.8
-6.127614 -10.465116279 0.25 0.75
1.375687 -17.142857143 0.3 0.7
-1.242797 -25.212718316 0.35 0.65
0.4 0.6
0.45 0.55
0.5 0.5
Mean 0.699083 0.044151 0.55 0.45
Variance 0.6 0.4
SD 9.168273 17.95592 0.65 0.35
Correlation 0.398786 0.7 0.3
0.75 0.25
0.8 0.2
0.85 0.15
0.9 0.1
0.95 0.05
1 0
 Chart Title
0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 5 10 15 20 25 30

r sd

0.01 0
0