Calculation of Variance, Returns and Standard Deviation

Monthly Returns of Suzlon (2010 to 2015)

Date Open High Low Close Volume Adj Close %Return LOG Return
1/1/2010 90.35 95.6 72 77.25 7202600 77.25 -7.055016 -3.17740439
2/1/2010 79 80.4 68 71.8 6115900 71.8 0.139276 0.06044461
3/2/2010 73.1 82.35 70 71.9 5416700 71.9 -4.102921 -1.81946199
4/1/2010 63.5 76.2 63.5 68.95 3476400 68.95 -18.34663 -8.80258757
5/3/2010 69.5 71.75 55.55 56.3 6086500 56.3 2.841918 1.21701689
6/1/2010 56.85 59.1 52.15 57.9 4597400 57.9 -2.417962 -1.06301159
7/1/2010 57.5 62.45 56.05 56.5 3163600 56.5 -18.0531 -8.64674568
8/2/2010 56.9 58.8 45.9 46.3 3811100 46.3 12.95896 5.29206978
9/1/2010 45 57.85 43.05 52.3 5454600 52.3 6.022945 2.53998616
10/1/2010 53 60.8 52.7 55.45 4314000 55.45 -14.1569 -6.62945978
11/1/2010 55.75 66.3 43 47.6 2946800 47.6 14.81092 5.99832136
12/1/2010 47.65 55.35 45.95 54.65 4178900 54.65 -9.698079 -4.43030093
1/3/2011 55.1 57.3 46.45 49.35 6018700 49.35 -5.471125 -2.44355089
2/1/2011 49.8 51.75 42.8 46.65 4532500 46.65 -4.287245 -1.90301849
3/1/2011 47.4 50 43.8 44.65 3622300 44.65 19.03695 7.56818056
4/1/2011 44.65 58.45 44.65 53.15 6645400 53.15 1.411101 0.60854963
5/2/2011 53.9 55.15 46.5 53.9 3885200 53.9 -11.03896 -5.08001537
6/1/2011 54.2 54.35 43.85 47.95 2456500 47.95 9.280501 3.85426755
7/1/2011 48.45 59.9 45 52.4 3053700 52.4 -29.38931 -15.1129563
8/1/2011 54.5 54.95 34 37 5178400 37 -1.216216 -0.53143428
9/2/2011 37.55 42.5 36.2 36.55 2915400 36.55 5.608755 2.36999234
10/3/2011 36.4 39.1 34.65 38.6 1850100 38.6 -39.89637 -22.109932
11/1/2011 38.3 38.6 21.1 23.2 6109900 23.2 -22.41379 -11.021548
12/1/2011 24.15 24.4 17.5 18 4149000 18 55.55556 19.1885526
1/2/2012 18.25 29.05 17.25 28 6571800 28 -5 -2.22763947
2/1/2012 27.9 32.35 24.15 26.6 7916900 26.6 -4.887218 -2.17611155
3/1/2012 26.35 30.75 25 25.3 7511200 25.3 -9.881423 -4.51856742
4/2/2012 25.5 26.4 21.15 22.8 3395400 22.8 -20.83333 -10.1457641
5/1/2012 22.75 23.2 17.9 18.05 4491500 18.05 2.770083 1.18667077
6/1/2012 18.05 18.7 17 18.55 4657300 18.55 -0.539084 -0.23475435
7/2/2012 18.7 20.2 17.05 18.45 4188500 18.45 -18.97019 -9.13551778
8/1/2012 18.5 18.9 14.75 14.95 2650600 14.95 18.79599 7.48017688
9/3/2012 15.1 19.24 14.81 17.76 2724100 17.76 -11.5991 -5.3543309
10/1/2012 17.95 18.4 15.25 15.7 2626400 15.7 24.52229 9.52471093
11/1/2012 15.8 20.35 15.15 19.55 4538000 19.55 -5.11509 -2.28028478
12/3/2012 19.75 20.3 16.95 18.55 5847900 18.55 32.07547 12.082217
1/1/2013 18.9 25.65 17.9 24.5 10897900 24.5 -34.4898 -18.3691048
2/1/2013 25.25 26.9 13.55 16.05 26814300 16.05 -14.95327 -7.03423854
3/1/2013 17.65 20.6 13.2 13.65 6215600 13.65 6.739927 2.83269004
 4/1/2013 13.9 15.1 13.27 14.57 2189800 14.57 -19.35484 -9.34216852
5/1/2013 14.57 14.9 11.74 11.75 1645700 11.75 -22.46809 -11.051949
6/3/2013 11.73 11.73 8.7 9.11 1615200 9.11 -23.60044 -11.6909137
7/1/2013 9.15 9.75 6.25 6.96 1595600 6.96 -14.65517 -6.88227946
8/1/2013 7.19 7.5 5.72 5.94 1492800 5.94 9.259259 3.84582518
9/2/2013 6 7 5.93 6.49 1717300 6.49 49.46071 17.4527037
10/1/2013 6.5 11.85 6.43 9.7 2940500 9.7 1.752577 0.75454184
11/1/2013 9.22 10.65 8.24 9.87 2183100 9.87 4.559271 1.93625446
12/2/2013 9.9 11.22 9.22 10.32 1537600 10.32 4.166667 1.7728767
1/1/2014 10.33 12.23 9.36 10.75 2255500 10.75 -6.325581 -2.83789937
2/3/2014 10.74 11.75 9.9 10.07 1020700 10.07 10.2284 4.22935082
3/3/2014 10.05 11.35 9.5 11.1 1374500 11.1 18.01802 7.19483169
4/1/2014 11.3 15.55 11 13.1 3465800 13.1 67.63359 22.436104
5/1/2014 13.1 26.5 13.1 21.96 6478400 21.96 29.09836 11.0920727
6/2/2014 23.95 36.8 23.6 28.35 6287200 28.35 -22.92769 -11.3101622
7/1/2014 28.4 28.95 20.55 21.85 1337900 21.85 -1.601831 -0.70129814
8/1/2014 21.25 24.9 20.6 21.5 2045900 21.5 -39.76744 -22.0168691
9/1/2014 21.6 24.4 12.95 12.95 1909000 12.95 3.861004 1.64525159
10/1/2014 12.31 13.99 10.89 13.45 4948700 13.45 4.609665 1.95718131
11/3/2014 13.9 15.67 13.35 14.07 3565700 14.07 4.477612 1.90232373
12/1/2014 14.1 15.54 12.15 14.7 4836700 14.7 10.27211 4.24656801
1/1/2015 14.72 18.55 13.7 16.21 12575400 16.21 71.80753 23.5042185
2/2/2015 16.2 28.3 16 27.85 20496800 27.85 -1.615799 -0.70746367
3/2/2015 27.45 31.35 24.5 27.4 13022200 27.4 -12.77372 -5.93526619
4/1/2015 27.25 30.25 22.3 23.9 11645700 23.9 5.439331 2.30026398
5/1/2015 23.9 26.9 22.6 25.2 6598000 25.2 -11.90476 -5.50475663
6/1/2015 23.95 24.6 20.05 22.2 7693000 22.2 -1.351351 -0.59088596
7/1/2015 22.45 24 20.6 21.9 6225500 21.9 0.684932 0.2964479
8/3/2015 23.45 28 19.8 22.05 10833700 22.05 -5.442177 -2.43025345
9/1/2015 21.75 22.45 19.05 20.85 4296600 20.85 17.98561 7.18290478
10/1/2015 21 25.2 20.95 24.6 8516800 24.6 -11.99187 -5.54772064
11/2/2015 24.15 25.25 20.4 21.65 6493400 21.65 -3.69515 -1.63518414
12/1/2015 22.1 23.1 20.35 20.85 5754300 20.85 4.796163 2.0345382
1/1/2016 21 22 20.7 21.85 17188600 21.85 0.241575 -0.76173201
Sum 17.39342 -54.8447047
Return 0.241575 -0.76173201
VARiance 438.3295 74.7286617
SD 20.93632 8.64457412
sqrtVar 20.93632 8.64457412
 Calculation of Variance, Returns and Standard Deviation

Monthly Returns of Natco Pharma (2010 to 2015)

Date Open High Low Close Volume Adj Close % Returns LOG Returns
1/1/2010 123.55 133.9 121.95 125 671900 18.97 7.2746442 3.049708267
2/1/2010 125 131.7 110.15 123.4 586900 20.35 8.0589681 3.36608158
3/1/2010 122.95 155.7 120.15 133.3 1889000 21.99 27.103229 10.41565829
4/1/2010 134.3 183.4 133.25 169.45 2552900 27.95 0.0357782 0.015535485
5/3/2010 171 175.75 152.55 169.5 385800 27.96 18.383405 7.32908267
6/1/2010 168.25 206.5 157 200.7 838000 33.1 -2.65861 -1.170245769
7/1/2010 198.8 212.75 187 195.35 431600 32.22 28.646803 10.93989988
8/2/2010 198.9 278.35 183.65 251.3 3621800 41.45 15.898673 6.407846384
9/1/2010 270 309 252.5 291.25 2530100 48.04 -7.348043 -3.314540445
10/1/2010 294 298 265.1 269.85 845200 44.51 17.32195 6.93792732
11/1/2010 273.9 344.95 267.5 316.6 1727700 52.22 -2.010724 -0.882145051
12/1/2010 319.25 357 286 310.2 596700 51.17 -9.869064 -4.512611835
1/3/2011 311 349 275 279.6 455000 46.12 -13.24805 -6.172074724
2/1/2011 279.6 288.45 218 232.95 244800 40.01 18.145464 7.241705092
3/1/2011 236.25 297 233.55 275.2 227500 47.27 0 0
4/1/2011 276.3 295.5 265.55 275.2 273400 47.27 1.6289401 0.701739643
5/2/2011 278 292.8 274.55 279.7 134300 48.04 -5.037469 -2.244771779
6/1/2011 279 297.1 255 265.6 119300 45.62 5.4362122 2.298979543
7/1/2011 267 286.55 252.3 280.05 83100 48.1 -7.546778 -3.407794692
8/1/2011 280.1 282 242.9 258.9 98200 44.47 -10.29908 -4.720309314
9/2/2011 257 257.55 220.15 232.25 59600 39.89 1.5793432 0.680540038
10/3/2011 229.95 254.8 212.1 235.9 364100 40.52 -8.884501 -4.040774433
11/1/2011 232 254 194.95 214.95 197900 36.92 8.0173348 3.349345729
12/1/2011 216 283 212.8 232.2 881600 39.88 20.361083 8.048608774
1/2/2012 231.8 291 231.5 279.45 164700 48 6 2.530586526
2/1/2012 278.1 287 236.65 280.3 193200 50.88 26.257862 10.12584296
3/1/2012 277 361.8 260.05 353.9 1093600 64.24 20.968244 8.267137669
4/2/2012 356.9 436.85 349.95 428.1 598200 77.71 -8.93064 -4.062771335
5/1/2012 426.05 435.7 355.15 389.85 544900 70.77 -13.48029 -6.288493617
6/1/2012 391 396.95 335 337.3 427000 61.23 3.0050629 1.285857156
7/2/2012 339.9 372 330 347.45 284900 63.07 1.1891549 0.513396886
8/1/2012 350 379.9 341.35 351.6 157000 63.82 4.308994 1.832175709
9/3/2012 357.9 388.05 342.65 366.7 284400 66.57 2.3884633 1.025102481
10/1/2012 367.1 414.9 363 375.5 121400 68.16 17.517606 7.010293433
11/1/2012 375 467.9 368 441.25 329200 80.1 4.144819 1.763766943
12/3/2012 444.45 506.8 433 459.55 400000 83.42 0.5274515 0.228467256
1/1/2013 469.8 503 446.3 461.95 308700 83.86 -5.89077 -2.636778149
2/1/2013 464.95 472 403.05 414.75 142800 78.92 3.4338571 1.466271992
 3/1/2013 420.05 524.8 405.6 429 243000 81.63 3.1606027 1.351387085
4/1/2013 439.8 477.85 435 442.55 259200 84.21 -0.154376 -0.067096433
5/1/2013 442.55 467.35 425.1 441.9 229300 84.08 0.7136061 0.308814633
6/3/2013 440.15 460 422.05 445.05 238000 84.68 36.419462 13.48763309
7/1/2013 445.15 634 445.15 607.1 625000 115.52 -3.895429 -1.725595723
8/1/2013 618 650 545.05 583.5 337500 111.02 5.1161953 2.166963305
9/2/2013 588.8 629 582 613.35 247000 116.7 9.9657241 4.125733822
10/1/2013 620 728 612.1 674.45 444000 128.33 15.265332 6.169870388
11/1/2013 677.85 826 660.1 777.4 465000 147.92 4.0156842 1.709882995
12/2/2013 778.55 840 745 808.6 280700 153.86 -8.11127 -3.673775078
1/1/2014 802 829.8 719.45 743.05 243200 141.38 17.081624 6.848873773
2/3/2014 743.05 851.6 696.05 842.9 427300 165.53 -5.261886 -2.347526553
3/3/2014 849.7 878 770.55 798.55 182400 156.82 0.4336182 0.187910861
4/1/2014 781 866.85 650 802 1151900 157.5 -5.796825 -2.593446144
5/1/2014 802 829 706.3 755.5 305300 148.37 32.991845 12.38250101
6/2/2014 759.95 1210 731.7 1004.75 944200 197.32 7.3991486 3.10008385
7/1/2014 1006 1157 971.25 1079.1 124100 211.92 11.593998 4.764083599
8/1/2014 1115 1251 1000.5 1204.25 108300 236.49 20.719692 8.177811932
9/1/2014 1242 1590 1236.65 1453.75 261800 285.49 -0.816141 -0.355899694
10/1/2014 1450 1573.95 1240.25 1441.85 177500 283.16 -5.463342 -2.439975595
11/3/2014 1450 1469.9 1303.25 1363.1 164600 267.69 12.264186 5.024123246
12/1/2014 1363.1 1570.3 1301.2 1530.25 273400 300.52 -9.74644 -4.45356562
1/1/2015 1530 1589 1342 1381.1 316400 271.23 -0.121668 -0.052871893
2/2/2015 1379.9 1469.5 1330 1354.5 245600 270.9 55.69952 19.2287274
3/2/2015 1373.9 2289 1373.9 2108.95 1340100 421.79 1.3750919 0.59312608
4/1/2015 2112 2709.85 1826.65 2137.95 1094700 427.59 3.5244042 1.504273983
5/1/2015 2137.95 2529.05 1925.1 2213.3 552000 442.66 3.1694754 1.355122242
6/1/2015 2230 2293.95 1950 2283.45 447200 456.69 1.2919048 0.557473811
7/1/2015 2300.5 2465 2224.7 2312.95 289600 462.59 -2.665427 -1.17328732
8/3/2015 2319.8 2519.8 1860 2251.3 528700 450.26 9.7810154 4.052724345
9/1/2015 2250 2522 2066.65 2471.5 249700 494.3 3.601052 1.536416537
10/1/2015 2500 2694.75 2256.7 2560.5 231000 512.1 3.2708455 1.397773285
11/2/2015 2560.5 2569.4 492.21 528.85 184600 528.85 9.539567 3.957101981
12/1/2015 531.9 586.4 490 579.3 343500 579.3 -0.500604 -0.217955636
1/1/2016 581 587.5 572.55 576.4 228400 576.4 5.5317988 2.059245335
Sum 398.28951 148.2656641
Return 5.5317988 2.059245335
VARiance 156.55931 23.76334463
SD 12.512366 4.874766111
sqrtVar 12.512366 4.874766111
 Calculation of Variance, Returns and Standard Deviation

Monthly Returns of NIFTY (2010 to 2015)

Date Open High Low Close Volume Adj Close % Returns LOG Returns
1/4/2010 5200.9 5310.85 4766 4882.05 0 4882.05 0.82444878 0.35658563384
2/1/2010 4882.05 4992 4675.4 4922.3 0 4922.3 6.63917896 2.79167926837
3/2/2010 4935.6 5329.55 4935.35 5249.1 0 5249.1 0.5505687 0.23845312347
4/1/2010 5249.2 5399.65 5160.9 5278 0 5278 -3.6320613 -1.6067430394
5/3/2010 5278.4 5278.7 4786.45 5086.3 0 5086.3 4.44724463 1.88969875687
6/1/2010 5086.25 5366.75 4961.05 5312.5 0 5312.5 1.03717832 0.44812090911
7/1/2010 5312.05 5477.5 5225.6 5367.6 0 5367.6 0.64833079 0.28065766845
8/2/2010 5369.55 5549.8 5348.9 5402.4 0 5402.4 11.6161392 4.77269962206
9/1/2010 5403.05 6073.5 5403.05 6029.95 0 6029.95 -0.2031526 -0.0883177892
10/1/2010 6030.3 6284.1 5937.1 6017.7 0 6017.7 -2.5757348 -1.1332861231
11/1/2010 6092.3 6338.5 5690.35 5862.7 0 5862.7 4.63608569 1.96814848653
12/1/2010 5871 6147.3 5721.15 6134.5 0 6134.5 -10.246965 -4.69508592
1/3/2011 6177.45 6181.05 5416.65 5505.9 0 5505.9 -3.1357254 -1.3836369565
2/1/2011 5537.3 5599.25 5177.7 5333.25 0 5333.25 9.38452163 3.89558718612
3/1/2011 5382 5872 5348.2 5833.75 0 5833.75 -1.4441826 -0.6317735583
4/1/2011 5835 5944.45 5693.25 5749.5 0 5749.5 -4.8073728 -2.1396687246
5/2/2011 5766.9 5775.25 5328.7 5473.1 0 5473.1 3.18466319 1.36151508929
6/1/2011 5561.05 5657.9 5195.9 5647.4 0 5647.4 -2.9287797 -1.2909510754
7/1/2011 5705.75 5740.4 5453.95 5482 0 5482 -8.77417 -3.9882176656
8/1/2011 5527.5 5551.9 4720 5001 0 5001 -1.154769 -0.5044279516
9/1/2011 5001 5169.25 4758.85 4943.25 0 4943.25 7.75502145 3.24375177073
10/3/2011 4874.4 5399.7 4728.3 5326.6 0 5326.6 -9.2845396 -4.2318690734
11/1/2011 5278.6 5326.45 4640.95 4832.05 0 4832.05 -4.2994176 -1.9085419275
12/1/2011 4970.85 5099.25 4531.15 4624.3 0 4624.3 12.4332379 5.08947177599
1/3/2012 4675.8 5217 4675.8 5199.25 0 5199.25 3.57648113 1.52611523562
2/1/2012 5198.15 5629.95 5159 5385.2 0 5385.2 -1.664755 -0.7290795885
3/1/2012 5366 5499.4 5135.95 5295.55 0 5295.55 -0.8950894 -0.3904825738
4/2/2012 5296.35 5378.75 5154.3 5248.15 0 5248.15 -6.1716968 -2.7666137641
5/1/2012 5248.15 5279.6 4788.95 4924.25 0 4924.25 7.20211001 3.02033334463
6/1/2012 4910.85 5286.25 4770.35 5278.9 0 5278.9 -0.9452709 -0.4124785199
7/2/2012 5283.85 5348.55 5032.4 5229 0 5229 0.56416141 0.24432364255
8/1/2012 5220.7 5448.6 5164.65 5258.5 0 5258.5 8.45868223 3.52643234606
9/3/2012 5276.5 5735.15 5215.7 5703.3 0 5703.3 -1.4658112 -0.6413054675
10/1/2012 5704.75 5815.35 4888.2 5619.7 0 5619.7 4.62924879 1.96531071918
11/1/2012 5609.85 5885.25 5548.35 5879.85 0 5879.85 0.42943272 0.1861009553
12/3/2012 5878.25 5965.15 5823.15 5905.1 0 5905.1 2.19555807 0.94320196175
1/2/2013 5982.6 6111.8 5940.6 6034.75 0 6034.75 -5.6622096 -2.5314300199
2/1/2013 6040.95 6052.95 5671.9 5693.05 0 5693.05 -0.1844354 -0.0801732394
 3/1/2013 5702.45 5971.2 5604.85 5682.55 0 5682.55 4.35808569 1.85261039567
4/1/2013 5682.55 5962.3 5477.75 5930.2 0 5930.2 0.94010317 0.4063744285
5/1/2013 5930.2 6229.45 5911.25 5985.95 0 5985.95 -2.4014567 -1.0556664166
6/3/2013 5985.95 6010.3 5566.9 5842.2 0 5842.2 -1.7151106 -0.7513246725
7/1/2013 5842.2 6093.35 5675.75 5742 28300 5742 -4.7056809 -2.0932988552
8/1/2013 5776.9 5808.5 5118.85 5471.8 243100 5471.8 4.81560016 2.04259253757
9/2/2013 5480.25 6142.5 5318.9 5735.3 199500 5735.3 9.83122271 4.07258184723
10/1/2013 5756.1 6309.05 5700.95 6299.15 7155900 6299.15 -1.9534351 -0.8567617324
11/1/2013 6289.75 6332.6 5972.45 6176.1 168300 6176.1 2.07088454 0.89018783493
12/2/2013 6171.15 6415.25 6129.95 6304 177100 6304 -3.4026015 -1.5034569674
1/2/2014 6301.25 6358.3 6027.25 6089.5 155700 6089.5 3.07825265 1.31670479099
2/3/2014 6058.8 6282.7 5933.3 6276.95 156700 6276.95 6.80664951 2.85982916227
3/3/2014 6264.35 6730.05 6212.25 6704.2 203600 6704.2 -0.1163493 -0.0505592968
4/1/2014 6729.5 6869.85 6650.4 6696.4 157400 6696.4 7.96771849 3.32939242059
5/2/2014 6709.95 7563.5 6638.55 7229.95 218800 7229.95 5.27527704 2.23263929937
6/2/2014 7264.05 7700.05 7239.5 7611.35 179600 7611.35 1.44454933 0.62287171297
7/1/2014 7629 7840.95 7422.15 7721.3 160200 7721.3 3.018278 1.29142861464
8/1/2014 7662.5 7968.25 7540.1 7954.35 140600 7954.35 0.13137097 0.0570162448
9/1/2014 7990.35 8180.2 7841.8 7964.8 139600 7964.8 4.48724888 1.90632944741
10/1/2014 7960.5 8330.75 7723.85 8322.2 159600 8322.2 3.1968686 1.36665192906
11/3/2014 8348.15 8617 8290.25 8588.25 160800 8588.25 -3.5577656 -1.573273637
12/1/2014 8605.1 8626.95 7961.35 8282.7 61400 8282.7 6.35300305 2.67497574223
1/2/2015 8288.7 8996.6 8065.45 8808.9 106200 8808.9 0.40526305 0.17564782643
2/2/2015 8802.5 8913.45 8470.5 8844.6 182700 8844.6 -3.9979154 -1.7719336496
3/2/2015 8953.85 9119.2 8269.15 8491 185400 8491 -3.6450359 -1.6125906158
4/1/2015 8483.7 8841.65 8144.75 8181.5 187500 8181.5 3.08195797 1.31826590622
5/4/2015 8230.05 8489.55 7997.15 8433.65 187400 8433.65 -0.7725052 -0.3367973319
6/1/2015 8417.25 8467.15 7940.3 8368.5 150700 8368.5 1.96390762 0.84464708179
7/1/2015 8376.25 8654.75 8315.4 8532.85 4562900 8532.85 -6.5810348 -2.9564947791
8/3/2015 8510.65 8621.55 7667.25 7971.3 197000 7971.3 -0.2810069 -0.1222115409
9/1/2015 7907.95 8055 7539.5 7948.9 182300 7948.9 1.47064253 0.63404104326
10/1/2015 7992.05 8336.3 7930.65 8065.8 178100 8065.8 -1.6185599 -0.7086824766
11/2/2015 8054.55 8116.1 7714.15 7935.25 162300 7935.25 0.13988341 0.06070814106
12/1/2015 7958.15 7979.3 7551.05 7946.35 144400 7946.35 -4.8173097 -2.1442024146
1/4/2016 7924.55 7937.55 7241.5 7563.55 8793300 7563.55 0.72232158 0.2640603686
Sum 52.007154 19.0123465389
Return 0.72232158 0.2640603686
VARiance 23.0441964 4.26965052208
SD 4.80043711 2.06631326814
sqrtVar 4.80043711 2.06631326814
 Data for calcualtion of Part A Covariance Calcu
% Return Log Return % Return Log Return % Return Log Return
Suzlon Suzlon Natco Pharma Natco Pharma NIFTY NIFTY Covariance
-7.06 -3.18 7.27 3.05 0.82 0.36
0.14 0.06 8.06 3.37 6.64 2.79 suz-Nat
-4.10 -1.82 27.10 10.42 0.55 0.24 suz-Nif
-18.35 -8.80 0.04 0.02 -3.63 -1.61
2.84 1.22 18.38 7.33 4.45 1.89
-2.42 -1.06 -2.66 -1.17 1.04 0.45
-18.05 -8.65 28.65 10.94 0.65 0.28
12.96 5.29 15.90 6.41 11.62 4.77 Nat-Nif
6.02 2.54 -7.35 -3.31 -0.20 -0.09
-14.16 -6.63 17.32 6.94 -2.58 -1.13
14.81 6.00 -2.01 -0.88 4.64 1.97
-9.70 -4.43 -9.87 -4.51 -10.25 -4.70
-5.47 -2.44 -13.25 -6.17 -3.14 -1.38
-4.29 -1.90 18.15 7.24 9.38 3.90
19.04 7.57 0.00 0.00 -1.44 -0.63
1.41 0.61 1.63 0.70 -4.81 -2.14
-11.04 -5.08 -5.04 -2.24 3.18 1.36
9.28 3.85 5.44 2.30 -2.93 -1.29
-29.39 -15.11 -7.55 -3.41 -8.77 -3.99
-1.22 -0.53 -10.30 -4.72 -1.15 -0.50
5.61 2.37 1.58 0.68 7.76 3.24
-39.90 -22.11 -8.88 -4.04 -9.28 -4.23
-22.41 -11.02 8.02 3.35 -4.30 -1.91
55.56 19.19 20.36 8.05 12.43 5.09
-5.00 -2.23 6.00 2.53 3.58 1.53
-4.89 -2.18 26.26 10.13 -1.66 -0.73
-9.88 -4.52 20.97 8.27 -0.90 -0.39
-20.83 -10.15 -8.93 -4.06 -6.17 -2.77
2.77 1.19 -13.48 -6.29 7.20 3.02
-0.54 -0.23 3.01 1.29 -0.95 -0.41
-18.97 -9.14 1.19 0.51 0.56 0.24
18.80 7.48 4.31 1.83 8.46 3.53
-11.60 -5.35 2.39 1.03 -1.47 -0.64
24.52 9.52 17.52 7.01 4.63 1.97
-5.12 -2.28 4.14 1.76 0.43 0.19
32.08 12.08 0.53 0.23 2.20 0.94
-34.49 -18.37 -5.89 -2.64 -5.66 -2.53
-14.95 -7.03 3.43 1.47 -0.18 -0.08
6.74 2.83 3.16 1.35 4.36 1.85
-19.35 -9.34 -0.15 -0.07 0.94 0.41
-22.47 -11.05 0.71 0.31 -2.40 -1.06
-23.60 -11.69 36.42 13.49 -1.72 -0.75
-14.66 -6.88 -3.90 -1.73 -4.71 -2.09
9.26 3.85 5.12 2.17 4.82 2.04
49.46 17.45 9.97 4.13 9.83 4.07
1.75 0.75 15.27 6.17 -1.95 -0.86
4.56 1.94 4.02 1.71 2.07 0.89
4.17 1.77 -8.11 -3.67 -3.40 -1.50
-6.33 -2.84 17.08 6.85 3.08 1.32
10.23 4.23 -5.26 -2.35 6.81 2.86
18.02 7.19 0.43 0.19 -0.12 -0.05
67.63 22.44 -5.80 -2.59 7.97 3.33
29.10 11.09 32.99 12.38 5.28 2.23
-22.93 -11.31 7.40 3.10 1.44 0.62
-1.60 -0.70 11.59 4.76 3.02 1.29
-39.77 -22.02 20.72 8.18 0.13 0.06
3.86 1.65 -0.82 -0.36 4.49 1.91
4.61 1.96 -5.46 -2.44 3.20 1.37
4.48 1.90 12.26 5.02 -3.56 -1.57
10.27 4.25 -9.75 -4.45 6.35 2.67
71.81 23.50 -0.12 -0.05 0.41 0.18
-1.62 -0.71 55.70 19.23 -4.00 -1.77
-12.77 -5.94 1.38 0.59 -3.65 -1.61
5.44 2.30 3.52 1.50 3.08 1.32
-11.90 -5.50 3.17 1.36 -0.77 -0.34
-1.35 -0.59 1.29 0.56 1.96 0.84
0.68 0.30 -2.67 -1.17 -6.58 -2.96
-5.44 -2.43 9.78 4.05 -0.28 -0.12
17.99 7.18 3.60 1.54 1.47 0.63
-11.99 -5.55 3.27 1.40 -1.62 -0.71
-3.70 -1.64 9.54 3.96 0.14 0.06
4.80 2.03 -0.50 -0.22 -4.82 -2.14
Covariance Calculation Correlation Calculation
%Ret LOGRet Correlation %Ret LOGRet

2.625734 1.00943987 suz-Nat 0.01016448 0.02429166

56.02195 10.21061834 suz-Nif 0.56526385 0.57967747

9.863477 1.927338862 Nat-Nif 0.16652673 0.19403598

Minimum Variance Portfolio

Suzlon(Wa) VARiance 438.32953 74.72866
Standard Dev 20.936321 8.644574
Natco Pharma(Wb) VARiance 156.55931 23.76334
Standard Dev 12.512366 4.874766

Min var port Wa 0.2610348 0.23578

wb 0.7389652 0.76422

Difference between % Return and Log Return

Data % Return LOG Return
10.00 100 30.1029995663981
20.00 50 17.6091259055681
30.00 33.33333333 12.49387366083
40.00 -25 -12.49387366083
30.00 -33.3333333 -17.6091259055681
20.00 -50 -30.1029995663981
10.00
 SUZLON (Beta Calculation Using Regression Analysis)
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.57967747
R Square 0.33602597
Adjusted R Square 0.32654063
Standard Error 7.0941326
Observations 72

ANOVA
df SS MS F Significance F
Regression 1 1782.86 1783 35.426 1E-07
Residual 70 3522.87 50.327
Total 71 5305.73

Coefficients
Standard Error
t Stat P-valueLower 95%
Upper 95%
Lower 95.0%
Upper 95.0%
Intercept -1.402111 0.84295 -1.663 0.1007 -3.0833 0.2791 -3.0833 0.27909188
X Variable 1 2.42512351 0.40745 5.952 1E-07 1.6125 3.2378 1.61249 3.23775623
per 95.0%
 NATCO PHARMA (Beta Calculation Using Regression Analysis)
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.194036
R Square 0.03765
Adjusted R 0.023902
Standard E 4.816155
Observatio 72

ANOVA
df SS MS F Significance F
Regression 1 63.52292 63.52292 2.738606 0.102427
Residual 70 1623.675 23.19535
Total 71 1687.197

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0%
Intercept 1.938368 0.57227 3.387157 0.001162 0.797012 3.079725 0.797012 3.07972495
X Variable 0.457762 0.276615 1.654873 0.102427 -0.093928 1.009453 -0.093928 1.00945263
 DATA FOR PART B
Suzlon NIFTY Natco Pharma NIFTY
LOG Return LOG Return LOG Return LOG Return
-3.18 0.36 3.05 0.36 Beta Calculation Using Slope
0.06 2.79 3.37 2.79
-1.82 0.24 10.42 0.24 Suzlon 2.42512351219985
-8.80 -1.61 0.02 -1.61
1.22 1.89 7.33 1.89
-1.06 0.45 -1.17 0.45 Natco 0.457762168142985
-8.65 0.28 10.94 0.28
5.29 4.77 6.41 4.77
2.54 -0.09 -3.31 -0.09
-6.63 -1.13 6.94 -1.13
6.00 1.97 -0.88 1.97
-4.43 -4.70 -4.51 -4.70 Chart T
-2.44 -1.38 -6.17 -1.38 30.00
-1.90 3.90 7.24 3.90
7.57 -0.63 0.00 -0.63 20.00
0.61 -2.14 0.70 -2.14
10.00
-5.08 1.36 -2.24 1.36 f(x) = 2.425123512
3.85 -1.29 2.30 -1.29
0.00
-15.11 -3.99 -3.41 -3.99 -30.00 -20.00 -10.00 0.00 10.0
-0.53 -0.50 -4.72 -0.50 -10.00
2.37 3.24 0.68 3.24
-22.11 -4.23 -4.04 -4.23 -20.00
-11.02 -1.91 3.35 -1.91
19.19 5.09 8.05 5.09 -30.00
-2.23 1.53 2.53 1.53
-2.18 -0.73 10.13 -0.73
-4.52 -0.39 8.27 -0.39
-10.15 -2.77 -4.06 -2.77
1.19 3.02 -6.29 3.02
-0.23 -0.41 1.29 -0.41 25.00 Chart
-9.14 0.24 0.51 0.24
7.48 3.53 1.83 3.53 20.00
-5.35 -0.64 1.03 -0.64
15.00
9.52 1.97 7.01 1.97
-2.28 0.19 1.76 0.19 10.00
12.08 0.94 0.23 0.94
-18.37 -2.53 -2.64 -2.53 5.00
f(x) = 0.4577621681
-7.03 -0.08 1.47 -0.08
0.00
2.83 1.85 1.35 1.85 -25.00 -15.00 -5.00 5.00 15
-9.34 0.41 -0.07 0.41 -5.00

-10.00
 5.00
f(x) = 0.4577621681
0.00
-25.00 -15.00 -5.00 5.00 15
-5.00
-11.05 -1.06 0.31 -1.06
-10.00
-11.69 -0.75 13.49 -0.75
-6.88 -2.09 -1.73 -2.09
3.85 2.04 2.17 2.04
17.45 4.07 4.13 4.07
0.75 -0.86 6.17 -0.86
1.94 0.89 1.71 0.89
1.77 -1.50 -3.67 -1.50
-2.84 1.32 6.85 1.32
4.23 2.86 -2.35 2.86
7.19 -0.05 0.19 -0.05
22.44 3.33 -2.59 3.33
11.09 2.23 12.38 2.23
-11.31 0.62 3.10 0.62
-0.70 1.29 4.76 1.29
-22.02 0.06 8.18 0.06
1.65 1.91 -0.36 1.91
1.96 1.37 -2.44 1.37
1.90 -1.57 5.02 -1.57
4.25 2.67 -4.45 2.67
23.50 0.18 -0.05 0.18
-0.71 -1.77 19.23 -1.77
-5.94 -1.61 0.59 -1.61
2.30 1.32 1.50 1.32
-5.50 -0.34 1.36 -0.34
-0.59 0.84 0.56 0.84
0.30 -2.96 -1.17 -2.96
-2.43 -0.12 4.05 -0.12
7.18 0.63 1.54 0.63
-5.55 -0.71 1.40 -0.71
-1.64 0.06 3.96 0.06
2.03 -2.14 -0.22 -2.14
 Understanding Valuation of Investments by SML
Return on Market (Rm) 0.264060369 Risk Free Rate = 0.06 (Assumption) 0.06
Expected Return by CAPM Realized Return RR-ER

Suzlon 0.55487159877 -0.7617271991381 -1.316599

Natco Pharma 0.153411116945 2.0592868369282 1.905876

Chart Title
30.00

20.00

10.00
f(x) = 2.42512351219985 x − 1.40211101795225
Suzlon
0.00 Linear (Suzlon)
-10.00 0.00 10.00 20.00 30.00
-10.00

-20.00

-30.00

25.00 Chart Title

20.00

15.00

10.00
Natco Pharma
5.00 Linear (Natco Pharma)
f(x) = 0.457762168142984 x + 1.9383684882251
0.00
-5.00 5.00 15.00 25.00
-5.00

-10.00
 5.00 Linear (Natco Pharma)
f(x) = 0.457762168142984 x + 1.9383684882251
0.00
-5.00 5.00 15.00 25.00
-5.00

-10.00
nts by SML
Valuation Position on SML

Overvalued Below SML

Undervalued Above SML