1. ► 5 Stocks Selected
Infosys
MRPL
Tata Steel
Tata Motors
Karnataka Bank
► Total Data collected from NSE web site for the peroid 1st April 1998 to 31st March 2008
► Since the data for MRPL was dicontinued for the finnacial year 2000-2001, the total data used is for 60 months after June 2001 f
► Nifty Index has been used to calculate market return
► Monthly Averages has been used to calculate return for one period.
► Model one is Harry Markowitz model and the calculation is done using Matrix.
► Equal weights have been assigned for calculation.
► Model 2 is market model.
2. Market Model
Portfolio Return
Xi ri Xi * ri
Stock Weights Security Return Contribution
Infosys 20% -0.06% -0.01%
MRPL 20% 4.24% 0.85%
Tata Steel 20% 2.99% 0.60%
Tata Motors 20% 3.24% 0.65%
Karnataka Bank 20% 2.91% 0.58%
Total 100% 2.66%
Portfolio Risk
Xi β ri δ²i δ²I
Stock Weights Beta Expected Return Variance of Stock Variance of Market
Infosys 20% 0.653 -0.06% 0.01 0.00351
MRPL 20% 1.439 4.24% 0.03 0.00351
Tata Steel 20% 1.232 2.99% 0.01 0.00351
Tata Motors 20% 1.018 3.24% 0.01 0.00351
Karnataka Bank 20% 0.945 2.91% 0.03 0.00351
Systhematic Risk 1.12
Unique Risk 0.26%
Portfoilo Risk 0.65%
12. Harry Markowitz Model
δ Xi Ki
Stock Average Return S.D Weight Expected Return
A INFOSYS -0.06% 0.12 20% -0.0001
B MRPL 4.24% 0.16 20% 0.0085
C TATA STEEL 2.99% 0.10 20% 0.0060
D TELCO 3.24% 0.09 20% 0.0065
E KARNATAKA BANK 2.91% 0.16 20% 0.0058
Portfolio Return 100% 0.0266
Coorelation A
A B C D E B
INFOSYS MRPL TATA STEEL TELCO KTK BANK C
A INFOSYS D
B MRPL -0.04 E
C TATA STEEL 0.12 0.42
D TELCO 0.26 0.34 0.67
E KTK BANK 0 0.32 0.2 0.31
NIFTY 0.32 0.52 0.72 0.67 0.35 A
B
C
Portfolio Risk √∑(Xi * δ²) 8% D
E
13. Matrix of CoVar
AA AB AC AD AE
BA BB BC BD BE
CA CB CC CD CE
DA DB DC DD DE
EA EB EC ED EE
Covariance
A B C D E
0.0147 -0.0007 0.0015 0.0028 0.0001
-0.0007 0.0264 0.0070 0.0050 0.0082
0.0015 0.0070 0.0103 0.0061 0.0032
0.0028 0.0050 0.0061 0.0081 0.0045
0.0001 0.0082 0.0032 0.0045 0.0254
Weights * CoVar
A B C D E
0.0006 0.0000 0.0001 0.0001 0.0000
0.0000 0.0011 0.0003 0.0002 0.0003
0.0001 0.0003 0.0004 0.0002 0.0001
0.0001 0.0002 0.0002 0.0003 0.0002
0.0000 0.0003 0.0001 0.0002 0.0010
14. Total Months 60 60 60
Monthly R.O.R Monthly R.O.R Monthly R.O.R Monthly
Months Avg. Price INFOSYS Avg. Price MRPL Avg. Price TATA STEEL Avg. Price
Apr-98 Average 2103.59 20.85 157.94 #DIV/0! 290.36
May-98 Average 2358.74 12.13% 18.63 -10.63% 151.57 -4% 270.03
Jun-98 Average 2188.08 -7.24% 16.66 -10.56% 135.71 -10% 193.26
Jul-98 Average 2479.12 13.30% 15.67 -5.95% 119.20 -12% 152.01
Aug-98 Average 2612.99 5.40% 15.51 -1.02% 95.71 -20% 135.43
Sep-98 Average 2420.03 -7.38% 15.08 -2.81% 93.29 -3% 142.53
Oct-98 Average 2348.44 -2.96% 13.44 -10.88% 80.07 -14% 114.95
Nov-98 Average 2391.63 1.84% 13.28 -1.15% 89.24 11% 130.54
Dec-98 Average 2681.51 12.12% 12.53 -5.67% 102.86 15% 144.28
Jan-99 Average 3862.23 44.03% 13.16 5.01% 120.06 17% 205.36
Feb-99 Average 3282.30 -15.02% 11.96 -9.13% 119.95 0% 195.18
Mar-99 Average 3043.26 -7.28% 10.99 -8.12% 110.28 -8% 177.70
Apr-99 Average 2713.76 -10.83% 9.93 -9.64% 88.68 -20% 144.60
May-99 Average 3137.42 15.61% 10.99 10.71% 109.62 24% 171.95
Jun-99 Average 3298.75 5.14% 17.84 62.33% 130.13 19% 197.57
Jul-99 Average 4411.92 33.75% 19.33 8.33% 151.95 17% 254.58
Aug-99 Average 5379.59 21.93% 20.49 6.03% 146.07 -4% 277.39
Sep-99 Average 6511.82 21.05% 21.19 3.41% 147.62 1% 288.37
Oct-99 Average 7603.49 16.76% 20.52 -3.16% 152.28 3% 273.17
Nov-99 Average 8311.93 9.32% 17.25 -15.94% 142.45 -6% 228.37
Dec-99 Average 10806.95 30.02% 16.61 -3.74% 143.18 1% 215.72
Jan-00 Average 12610.77 16.69% 16.57 -0.21% 160.14 12% 223.75
Feb-00 Average 9102.71 -27.82% 14.05 -15.25% 135.28 -16% 172.80
Mar-00 Average 10576.68 16.19% 12.48 -11.17% 104.10 -23% 136.68
Apr-00 Average 8363.08 -20.93% #N/A #N/A 115.48 11% 131.20
May-00 Average 6942.35 -16.99% #N/A #N/A 109.13 -6% 131.10
Jun-00 Average 8087.56 16.50% #N/A #N/A 126.66 16% 128.47
Jul-00 Average 7705.30 -4.73% #N/A #N/A 129.79 2% 120.23
Aug-00 Average 7507.65 -2.57% #N/A #N/A 110.48 -15% 94.33
Sep-00 Average 8041.27 7.11% #N/A #N/A 103.49 -6% 92.03
Oct-00 Average 7033.41 -12.53% #N/A #N/A 94.77 -8% 75.72
Nov-00 Average 7556.18 7.43% #N/A #N/A 109.47 16% 82.93
Dec-00 Average 6793.84 -10.09% #N/A #N/A 125.72 15% 92.05
Jan-01 Average 6253.20 -7.96% #N/A #N/A 130.71 4% 94.79
Feb-01 Average 6289.84 0.59% #N/A #N/A 154.34 18% 101.56
Mar-01 Average 4647.09 -26.12% #N/A #N/A 135.85 -12% 77.33
Apr-01 Average 3650.08 -21.45% #N/A #N/A 128.39 -5% 67.03
May-01 Average 3968.70 8.73% #N/A #N/A 138.39 8% 78.54
Jun-01 Average 3633.05 -8.46% #N/A #N/A 126.60 -9% 69.45
Jul-01 Average 3641.02 0.22% 6.45 #N/A 99.15 -22% 69.40
Aug-01 Average 3738.14 2.67% 6.05 -6.21% 89.01 -10% 75.23
Sep-01 Average 2889.69 -22.70% 6.09 0.66% 76.55 -14% 71.18
Oct-01 Average 2765.19 -4.31% 6.53 7.33% 75.17 -2% 75.53
Nov-01 Average 3273.17 18.37% 7.33 12.16% 85.18 13% 93.81
Dec-01 Average 4155.01 26.94% 7.46 1.89% 90.43 6% 102.19
Jan-02 Average 4060.91 -2.26% 6.76 -9.47% 99.93 11% 114.01
Feb-02 Average 3746.02 -7.75% 7.73 14.37% 105.08 5% 138.08
Mar-02 Average 3920.82 4.67% 8.65 11.90% 101.58 -3% 129.75
Apr-02 Average 3762.50 -4.04% 7.73 -10.67% 105.11 3% 129.27
May-02 Average 3713.22 -1.31% 7.62 -1.35% 113.96 8% 132.18
Jun-02 Average 3306.30 -10.96% 10.00 31.19% 129.09 13% 146.27
Jul-02 Average 3219.53 -2.62% 9.88 -1.15% 136.20 6% 149.82
Aug-02 Average 3274.70 1.71% 8.03 -18.76% 120.63 -11% 132.43
Sep-02 Average 3537.41 8.02% 7.50 -6.65% 119.55 -1% 135.45
Oct-02 Average 3694.82 4.45% 7.13 -4.83% 119.44 0% 136.48
Nov-02 Average 4244.14 14.87% 7.16 0.38% 129.77 9% 154.53
Dec-02 Average 4623.14 8.93% 7.45 4.08% 141.42 9% 161.70
Jan-03 Average 4529.47 -2.03% 7.35 -1.43% 152.15 8% 159.97
Feb-03 Average 4270.19 -5.72% 8.14 10.88% 153.19 1% 161.14
Mar-03 Average 4194.22 -1.78% 8.42 3.35% 138.77 -9% 156.26
Apr-03 Average 3359.46 -19.90% 9.17 8.91% 134.67 -3% 157.65
May-03 Average 2825.65 -15.89% 14.49 58.06% 140.06 4% 162.04
Jun-03 Average 3010.80 6.55% 22.13 52.73% 156.70 12% 186.47
Jul-03 Average 3388.18 12.53% 22.07 -0.29% 188.12 20% 215.84
15. Aug-03 Average 3628.07 7.08% 32.74 48.36% 238.99 27% 254.15
Sep-03 Average 4263.58 17.52% 37.27 13.83% 258.51 8% 284.67
Oct-03 Average 4577.78 7.37% 36.42 -2.28% 328.09 27% 363.03
Nov-03 Average 4809.26 5.06% 43.96 20.70% 359.16 9% 383.02
Dec-03 Average 5195.58 8.03% 48.96 11.37% 389.31 8% 424.51
Jan-04 Average 5568.13 7.17% 58.40 19.28% 437.26 12% 479.46
Feb-04 Average 5275.43 -5.26% 55.64 -4.73% 427.80 -2% 534.30
Mar-04 Average 5088.15 -3.55% 54.05 -2.86% 402.12 -6% 481.98
Apr-04 Average 5263.80 3.45% 57.93 7.19% 394.44 -2% 499.45
May-04 Average 5116.47 -2.80% 50.16 -13.41% 321.69 -18% 431.75
Jun-04 Average 5291.50 3.42% 40.10 -20.07% 292.80 -9% 390.29
Jul-04 Average 1442.44 -72.74% 41.85 4.36% 338.03 15% 403.92
Aug-04 Average 1534.63 6.39% 43.11 3.03% 301.58 -11% 402.82
Sep-04 Average 1645.75 7.24% 44.48 3.16% 271.67 -10% 398.42
Oct-04 Average 1771.07 7.61% 45.61 2.55% 291.15 7% 414.86
Nov-04 Average 2026.05 14.40% 45.12 -1.08% 306.76 5% 438.89
Dec-04 Average 2069.15 2.13% 50.65 12.25% 343.42 12% 496.68
Jan-05 Average 1996.60 -3.51% 50.96 0.62% 361.77 5% 485.34
Feb-05 Average 2124.50 6.41% 51.75 1.55% 403.53 12% 489.14
Mar-05 Average 2209.31 3.99% 49.43 -4.48% 425.35 5% 451.03
Apr-05 Average 2043.23 -7.52% 47.17 -4.58% 370.56 -13% 424.73
May-05 Average 2085.70 2.08% 46.92 -0.52% 356.45 -4% 433.89
Jun-05 Average 2283.67 9.49% 47.71 1.68% 346.92 -3% 428.35
Jul-05 Average 2265.70 -0.79% 46.97 -1.57% 362.88 5% 458.55
Aug-05 Average 2296.68 1.37% 51.88 10.47% 390.20 8% 486.57
Sep-05 Average 2442.17 6.33% 54.53 5.11% 412.50 6% 515.40
Oct-05 Average 2559.80 4.82% 50.66 -7.11% 354.93 -14% 524.38
Nov-05 Average 2678.40 4.63% 47.77 -5.69% 355.42 0% 531.64
Dec-05 Average 2918.00 8.95% 47.88 0.22% 366.30 3% 609.89
Jan-06 Average 2890.02 -0.96% 48.14 0.53% 373.15 2% 653.35
Feb-06 Average 2825.15 -2.24% 43.63 -9.37% 402.33 8% 767.22
Mar-06 Average 2909.87 3.00% 43.19 -0.99% 477.01 19% 903.56
Apr-06 Average 3183.60 9.41% 47.16 9.19% 600.70 26% 942.18
May-06 Average 3079.95 -3.26% 49.76 5.51% 584.43 -3% 890.01
Jun-06 Average 2846.48 -7.58% 36.02 -27.61% 474.96 -19% 748.22
Jul-06 Average 2224.83 -21.84% 34.09 -5.35% 508.18 7% 738.49
Aug-06 Average 1740.15 -21.79% 38.47 12.84% 514.41 1% 812.45
Sep-06 Average 1819.76 4.58% 42.90 11.51% 508.45 -1% 862.59
Oct-06 Average 2006.49 10.26% 42.92 0.05% 513.67 1% 885.60
Nov-06 Average 2170.25 8.16% 40.79 -4.97% 485.18 -6% 818.29
Dec-06 Average 2205.02 1.60% 40.37 -1.03% 468.86 -3% 868.33
Jan-07 Average 2233.20 1.28% 43.27 7.17% 474.65 1% 933.55
Feb-07 Average 2291.93 2.63% 40.52 -6.35% 454.31 -4% 868.56
Mar-07 Average 2075.80 -9.43% 34.48 -14.89% 434.28 -4% 756.07
Apr-07 Average 2032.64 -2.08% 36.14 4.81% 511.73 18% 721.69
May-07 Average 1978.85 -2.65% 42.57 17.79% 598.54 17% 728.58
Jun-07 Average 1956.61 -1.12% 40.14 -5.72% 606.60 1% 674.06
Jul-07 Average 1965.21 0.44% 42.66 6.28% 664.05 9% 730.28
Aug-07 Average 1878.40 -4.42% 41.58 -2.53% 617.72 -7% 660.70
Sep-07 Average 1845.03 -1.78% 53.44 28.53% 724.70 17% 715.27
Oct-07 Average 1923.08 4.23% 64.36 20.43% 875.63 21% 792.95
Nov-07 Average 1664.55 -13.44% 105.35 63.68% 845.42 -3% 712.75
Dec-07 Average 1696.61 1.93% 134.93 28.08% 862.11 2% 742.51
Jan-08 Average 1547.34 -8.80% 113.56 -15.84% 808.42 -6% 733.25
Feb-08 Average 1575.36 1.81% 85.47 -24.74% 789.69 -2% 721.37
Mar-08 Average 1416.56 -10.08% 75.15 -12.08% 712.33 -10% 657.29
AVERAGE MEAN -0.06% 4.24% 2.99%
Std. Deviation 0.12 0.16 0.10
Coeff. Of Var -197.11 3.83 3.39
Skewness -2.81 1.52 0.21
Corelation
20. Symbol Series Date Prev Close Open Price High Price Low Price Last Price Close Price
Apr-98 Average 2103.59
May-98 Average 2358.74
Jun-98 Average 2188.08
Jul-98 Average 2479.12
Aug-98 Average 2612.99
Sep-98 Average 2420.03
Oct-98 Average 2348.44
Nov-98 Average 2391.63
Dec-98 Average 2681.51
Jan-99 Average 3862.23
Feb-99 Average 3282.3
Mar-99 Average 3043.26
Apr-99 Average 2713.76
May-99 Average 3137.42
Jun-99 Average 3298.75
Jul-99 Average 4411.92
Aug-99 Average 5379.59
Sep-99 Average 6511.82
Oct-99 Average 7603.49
Nov-99 Average 8311.93
Dec-99 Average 10806.95
Jan-00 Average 12610.77
Feb-00 Average 9102.71
Mar-00 Average 10576.68
Apr-00 Average 8363.08
May-00 Average 6942.35
Jun-00 Average 8087.56
Jul-00 Average 7705.3
Aug-00 Average 7507.65
Sep-00 Average 8041.27
Oct-00 Average 7033.41
Nov-00 Average 7556.18
Dec-00 Average 6793.84
Jan-01 Average 6253.2
Feb-01 Average 6289.84
Mar-01 Average 4647.09
Apr-01 Average 3650.08
May-01 Average 3968.7
Jun-01 Average 3633.05
Jul-01 Average 3641.02
Aug-01 Average 3738.14
Sep-01 Average 2889.69
Oct-01 Average 2765.19
Nov-01 Average 3273.17
Dec-01 Average 4155.01
Jan-02 Average 4060.91
Feb-02 Average 3746.02
Mar-02 Average 3920.82
Apr-02 Average 3762.5
May-02 Average 3713.22
Jun-02 Average 3306.3
Jul-02 Average 3219.53
21. Aug-02 Average 3274.7
Sep-02 Average 3537.41
Oct-02 Average 3694.82
Nov-02 Average 4244.14
Dec-02 Average 4623.14
Jan-03 Average 4529.47
Feb-03 Average 4270.19
Mar-03 Average 4194.22
Apr-03 Average 3359.46
May-03 Average 2825.65
Jun-03 Average 3010.8
Jul-03 Average 3388.18
Aug-03 Average 3628.07
Sep-03 Average 4263.58
Oct-03 Average 4577.78
Nov-03 Average 4809.26
Dec-03 Average 5195.58
Jan-04 Average 5568.13
Feb-04 Average 5275.43
Mar-04 Average 5088.15
Apr-04 Average 5263.8
May-04 Average 5116.47
Jun-04 Average 5291.5
Jul-04 Average 1442.44
Aug-04 Average 1534.63
Sep-04 Average 1645.75
Oct-04 Average 1771.07
Nov-04 Average 2026.05
Dec-04 Average 2069.15
Jan-05 Average 1996.6
Feb-05 Average 2124.5
Mar-05 Average 2209.31
Apr-05 Average 2043.23
May-05 Average 2085.7
Jun-05 Average 2283.67
Jul-05 Average 2265.7
Aug-05 Average 2296.68
Sep-05 Average 2442.17
Oct-05 Average 2559.8
Nov-05 Average 2678.4
Dec-05 Average 2918
Jan-06 Average 2890.02
Feb-06 Average 2825.15
Mar-06 Average 2909.87
Apr-06 Average 3183.6
May-06 Average 3079.95
Jun-06 Average 2846.48
Jul-06 Average 2224.83
Aug-06 Average 1740.15
Sep-06 Average 1819.76
Oct-06 Average 2006.49
Nov-06 Average 2170.25
Dec-06 Average 2205.02
22. Jan-07 Average 2233.2
Feb-07 Average 2291.93
Mar-07 Average 2075.8
Apr-07 Average 2032.64
May-07 Average 1978.85
Jun-07 Average 1956.61
Jul-07 Average 1965.21
Aug-07 Average 1878.4
Sep-07 Average 1845.03
Oct-07 Average 1923.08
Nov-07 Average 1664.55
Dec-07 Average 1696.61
Jan-08 Average 1547.34
Feb-08 Average 1575.36
Mar-08 Average 1416.56
Grand Average 3785.52