Part I

Calculations

Calculation for common data:

Risk free rate of return (Rf) = Average of T91 days Bill
= 4.93 %
(Note: T91 days Bill returns for all 52 weeks are given in appendix 3)
Market return (Rm) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(2035.650 1819.650) * 100] / 1819.650
= 11.870 %
(Note: Adjusted daily closing price and adjusted returns for market are given in appendix 2)
Daily Market Returns = Rmd
No. of Observation = N
Mean of Daily Market Return (Rm Mean) = Rmd / N
=17.238 / 253
= 0 .068
Annual Market Variance (Mv) = (Rmd Rm Mean)2
= 657.120

Calculation for Stocks:

ACC :
Stock return (R1) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(360.550 261.650) * 100] / 261.650
= 37.799 %
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R1d
No. of Observation = N
Mean of Daily Stock Return (R1 Mean) = R1d / N
= 39.070 / 253
= 0.154
Annual Stock Variance (S1v) = (R1d R1 Mean)2
= 847.085
Beta for the Stock (1) = [N * (Rmd * R1d) - Rmd * R1d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 482.809 17.238 * 39.070] / [253 * 658.295 - (17.238)2]
= .731
Residual Variance (RV1) = S1v Mv * 12
= 846.982 657.120 *(.731)2
= 496.190

 Ambuja Cement.
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(53.40 40.190) * 100] / 40.190
= 32.869%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 35.685 / 253
= .141
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1045.098
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 561.038 17.238 * 35.685] / [253 * 658.295 - (17.238)2]
= 0.850
Residual Variance (RV2) = S2v Mv * 22
= 1044.970 657.120 * .8502
= 570.166

 Asian paints

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(391.950 300.800) * 100] / 300.800
= 30.303%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 28.737 / 253
= 0.114
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 498.156
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 236.485 17.238 * 28.737] / [253 * 658.295 - (17.238)2]
= 0.357
Residual Variance (RV2) = S2v Mv * 22
= 498.095 657.120 * .3572
= 414.402

 Axis Bank
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(237.600 156.950) * 100] / 156.950
= 51.386%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 61.529 / 253
= .243
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2898.513
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 809.810 17.238 * 61.529] / [253 * 658.295 - (17.238)2]
= 1.232
Residual Variance (RV2) = S2v Mv * 22
=2898.59 657.120 * .1.2322
= 1901.068

 BHEL
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(76.640 63.710) * 100] / 63.710
= 20.295%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 33.318/ 253
= .132
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1856.958
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 790.929 17.238 * 33.318] / [253 * 658.295 - (17.238)2]
= 1.20
Residual Variance (RV2) = S2v Mv * 22
=1856.731 657.120 * .1.202
= 910.319

 BPCL
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(176.750 245.530) * 100] / 245.530
= -28.013%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -21.654/ 253
= -0.086
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1742.420
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 539.883 17.238 * (-21.654)] / [253 * 658.295 - (17.238)2]
= 0.824
Residual Variance (RV2) = S2v Mv * 22
=1742.206 657.120 * .8242
= 1296.272

 Bank of Baroda
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(217.750 250.450) * 100] / 250.450
= -13.056%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 8.150/ 253
= 0.032
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 3742.397
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 1200.917 17.238 * 8.150] / [253 * 658.295 - (17.238)2]
= 1.827
Residual Variance (RV2) = S2v Mv * 22
=3741.938 657.120 * 1.8272
= 1549.904

 Bharti Airtel
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(103.700 81.180) * 100] / 81.180
= 27.741%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 38.841/ 253
= 0.154
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2034.307
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 653.973 17.238 * 38.841] / [253 * 658.295 - (17.238)2]
= 0.991
Residual Variance (RV2) = S2v Mv * 22
=2034.058 657.120 * 0.9912
= 1388.552

 CIPLA
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(102.320 93.820) * 100] / 93.820
= 9.060%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 14.840/ 253
= 0.059
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1247.182
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 551.813 17.238 * 14.840] / [253 * 658.295 - (17.238)2]
= 0.838
Residual Variance (RV2) = S2v Mv * 22
=1247.030 657.120 * 0.8382
= 785.401

Dr. Reddys Lab.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(369.580 489.830) * 100] / 489.830
= -24.549%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -22.484/ 253
= -0.089
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1029.234
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 432.264 17.238 * (-22.484)] / [253 * 658.295 - (17.238)2]
= 0.660
Residual Variance (RV2) = S2v Mv * 22
=1029.108 657.120 * 0.6602
= 742.773

 GAIL
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(141.470 146.100) * 100] / 146.100
= -3.169%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 14.481/ 253
= 0.057
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 3029.964
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 1123.608 17.238 * 14.481] / [253 * 658.295 - (17.238)2]
= 1.708
Residual Variance (RV2) = S2v Mv * 22
=3029.593 657.120 * 1.7082
= 1111.947

Grasim inds.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(1214.450 1029.250) * 100] / 1029.250
= 11.188%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 17.917/ 253
= 0.071
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1004.107
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 528.0047 17.238 * 17.917] / [253 * 658.295 - (17.238)2]
= 0.802
Residual Variance (RV2) = S2v Mv * 22
=1003.984 657.120 * 0.8022
= 581.737

HDFC

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(145.800 132.520) * 100] / 132.520
= 10.021%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 19.306/ 253
= 0.076
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1379.580
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 489.008 17.238 * 19.306] / [253 * 658.295 - (17.238)2]
= 0.742
Residual Variance (RV2) = S2v Mv * 22
=1379.411 657.120 * 0.7422
= 1017.506

HCL Technology

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(186.250 126.880) * 100] / 126.880
= 46.792%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 46.616/ 253
= 0.184
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1160.950
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 460.879 17.238 * 46.616] / [253 * 658.295 - (17.238)2]
= 0.697
Residual Variance (RV2) = S2v Mv * 22
=1160.808 657.120 * 0.6972
= 842.045

HDFC Bank

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(108.970 76.870) * 100] / 76.870
= 41.759%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix
1)Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 45.124/ 253
= 0.178
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1772.770
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 740.03 17.238 * 45.124] / [253 * 658.295 - (17.238)2]
= 1.121
Residual Variance (RV2) = S2v Mv * 22
=1772.552 657.120 * 1.1212
= 946.201

Hero Moto Corp.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(548 501.80) * 100] / 501.80
= 9.207%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 17.076/ 253
= 0.067

Annual Stock Variance (S2v) = (R2d R2 Mean)2

= 1195.501
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 502.456 17.238 * 17.076] / [253 * 658.295 - (17.238)2]
= 0.763
Residual Variance (RV2) = S2v Mv * 22
=1195.355 657.120 * .7632
= 812.984

Hindustan Uniliver

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(131.950 154.80) * 100] / 154.80
= -14.761%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -10.704/ 253
= -0.042
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 977.685
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 439.536 17.238 * (-10.704)] / [253 * 658.295 - (17.238)2]
= 0.670
Residual Variance (RV2) = S2v Mv * 22
=977.565 657.120 * .6702
= 682.627

Hindalco Inds.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(110.520 109.530) * 100] / 109.530
= 0.904%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 11.360/ 253
= 0.045
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1072.333
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 470.980 17.238 * 11.360] / [253 * 658.295 - (17.238)2]
= 0.716
Residual Variance (RV2) = S2v Mv * 22
=1072.201 657.120 * .7162
= 735.784

ICICI Bank.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(392.80 300.950) * 100] / 300.950
= 30.520%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 34.349/ 253
= 0.136
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1227.487
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 595.850 17.238 * 34.349] / [253 * 658.295 - (17.238)2]
= 0.903
Residual Variance (RV2) = S2v Mv * 22
=1227.337 657.120 * .9032
= 691.345

Infosys.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(1128.60 638.880) * 100] / 638.880
= 76.653%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 64.999/ 253
= 0.257
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 916.70
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 534.332 17.238 * 64.999] / [253 * 658.295 - (17.238)2]
= .806
Residual Variance (RV2) = S2v Mv * 22
=916.588 657.120 * .8062
= 489.325

ITC.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(44.740 36.100) * 100] / 36.100
= 23.934%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 29.993/ 253
= 0.119
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 964.369
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 459.158 17.238 * 29.993] / [253 * 658.295 - (17.238)2]
= 0.696
Residual Variance (RV2) = S2v Mv * 22
=964.251 657.120 * .6962
= 646.305

Jindal Steel.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(34.720 17.380) * 100] / 17.380
= 99.770%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 81.794/ 253
= 0.323
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1980.488
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 724.994 17.238 * 81.794] / [253 * 658.295 - (17.238)2]
= 1.095
Residual Variance (RV2) = S2v Mv * 22
=1980.246 657.120 * 1.0952
= 1192.713

JP Associate.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(26.260 15.020) * 100] / 15.020
= 74.834%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)

Daily Stock Returns = R2d

No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 67.283/ 202
= 0.333
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2302.860
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [202 * 283.750 17.238 * 67.283] / [202 * 658.295 - (17.238)2]
= 0.423
Residual Variance (RV2) = S2v Mv * 22
=2302.643 657.120 * .4232
= 2184.933

Kotak Mahindra.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(67.890 41.770) * 100] / 41.770
= 62.533%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 60.335/ 253
= 0.238
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1618.561
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 560.8321 17.238 * 60.335] / [253 * 658.295 - (17.238)2]
= .847
Residual Variance (RV2) = S2v Mv * 22
=1618.362 657.120 * .8472
= 1146.760

Larsen & Toubro.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(249.880 146.750) * 100] / 146.750
= 70.276%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -60.799/ 231
= -0.263
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 805.783
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [231 * 210.127 17.238 * -60.79] / [231 * 658.295 - (17.238)2]
= .327
Residual Variance (RV2) = S2v Mv * 22
=805.711 657.120 * .3272
= 735.570

M & M.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(124.230 119.380) * 100] / 119.380
= 4.063%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 12.447/ 253
= .049
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1134.427
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 603.603 17.238 * 12.447] / [253 * 658.295 - (17.238)2]
= 0.917
Residual Variance (RV2) = S2v Mv * 22
=498.095 657.120 * .9172
= 570.166

Maruti Suzuki.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(421.30 517.10) * 100] / 517.10
= -18.526%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -8.426/ 253
= -0.033
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1636.844
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 717.829 17.238 * (-8.426)] / [253 * 658.295 - (17.238)2]
= 1.093
Residual Variance (RV2) = S2v Mv * 22
=1636.643 657.120 * 1.0932
= 851.339

NTPC.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(85.30 75.55) * 100] / 75.55
= 12.905%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 13.356/ 99
= 0.135
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 243.030
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [99 * 111.120 17.238 * 13.356] / [99 * 658.295 - (17.238)2]
= 0.166
Residual Variance (RV2) = S2v Mv * 22
=242.987 657.120 * 0.1662
= 224.876

ONGC.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(147.55 138.810) * 100] / 138.810
= 6.373%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 11.474/ 253
= 0.045
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1235.095
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 700.129 17.238 * 11.474] / [253 * 658.295 - (17.238)2]
= 1.064
Residual Variance (RV2) = S2v Mv * 22
=1234.943 657.120 * 1.0642
= 490.748

Punjab Natl.Bank.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(393.350 333.250) * 100] / 333.250
= 18.035%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 30.389/ 253
= 0.120
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2797.055
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 939.447 17.238 * 30.389] / [253 * 658.295 - (17.238)2]
= 1.426
Residual Variance (RV2) = S2v Mv * 22
=2796.713 657.120 * 1.4262
= 1459.717

Ranbaxy Labs..

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(504.40 494.70) * 100] / 494.70
= 1.961%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 10.548/ 253
= 0.042
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 690.341
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 308.271 17.238 * 10.548] / [253 * 658.295 - (17.238)2]
= 0.468
Residual Variance (RV2) = S2v Mv * 22
=690.257 657.120 * 04682
= 546.330

Reliance Inds.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(221.970 225.960) * 100] / 225.960
= -1.766%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 7.115/ 253
= 0.028
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1101.014
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 697.091 17.238 * 7.115] / [253 * 658.295 - (17.238)2]
= 1.060
Residual Variance (RV2) = S2v Mv * 22
=1100.879 657.120 * 1.0602
= 362.506

Reliance Infra.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(529.90 763.50) * 100] / 763.50
= -30.596%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -25.079/ 253
= 0.099
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2188.325
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 901.056 17.238 * (-25.079)] / [253 * 658.295 - (17.238)2]
= 1.374
Residual Variance (RV2) = S2v Mv * 22
=2188.057 657.120 * 1.3742
= 947.972

SAIL

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(63.250 34.350) * 100] / 34.350
= 84.134%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 83.590/ 253
= 0.330
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 3184.647
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 1114.943 17.238 * 83.590] / [253 * 658.295 - (17.238)2]
= 1.688
Residual Variance (RV2) = S2v Mv * 22
=3184.257 657.120 * 1.6882
= 1312.028

Sesa Goa

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(36.590 12.480) * 100] / 12.480
= 193.189%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 130.343/ 253
= 0.515
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 3683.528
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 750.019 17.238 * 130.343] / [253 * 658.295 - (17.238)2]
= 1.128
Residual Variance (RV2) = S2v Mv * 22
=3683.078 657.120 * 1.1282
= 2847.281

Siemens

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(170.290 100.85) * 100] / 100.85
= 68.855%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 60.845/ 253
= 0.240
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1126.517
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 446.613 17.238 * 60.845] / [253 * 658.295 - (17.238)2]
= 0.673
Residual Variance (RV2) = S2v Mv * 22
=1126.379 657.120 * 0.6732
= 828.483

State Bank of India

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(617.740 583.310) * 100] / 583.310
= 6.903%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 16.288/ 253
= 0.064
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1669.679
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 859.133 17.238 * 16.288] / [253 * 658.295 - (17.238)2]
= 1.306
Residual Variance (RV2) = S2v Mv * 22
=1669.474 657.120 * 1.3062
= 549.264

Sterlite Inds.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(35.680 22.620) * 100] / 22.620
= 57.737%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 51.570/ 212
= 0.243
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1195.168
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [212 * 234.854 17.238 * 51.570] / [212 * 658.295 - (17.238)2]
= 0.351
Residual Variance (RV2) = S2v Mv * 22
=1195.132 657.120 * 0.3512
= 1114.119

Sun Pharma. Inds.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(93.30 67.66) * 100] / 67.66
= 37.895%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 43.180/ 253
= 0.171
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1449.863
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 394.893 17.238 * 43.180] / [253 * 658.295 - (17.238)2]
= 0.596
Residual Variance (RV2) = S2v Mv * 22
=1449.685 657.120 * 0.5962
= 1215.982

Tata Motors

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(80.13 95.82) * 100] / 95.82
= -16.374%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= -9.253/ 253
= -0.037
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1355.768
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 747.364 17.238 * (-9.253)] / [253 * 658.295 - (17.238)2]
= 1.138
Residual Variance (RV2) = S2v Mv * 22
=1355.602 657.120 * 1.1382
= 504.270

 Tata Power Co.

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(35.860 38.390) * 100] / 38.390
= -6.590%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 6.374/ 253
= 0.025
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 2223.724
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 948.077 17.238 * 6.374] / [253 * 658.295 - (17.238)2]
= 1.442
Residual Variance (RV2) = S2v Mv * 22
=2223.452 657.120 * 1.4422
= 857.010

 Tata Steel
Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(354.510 231.51) * 100] / 231.51
= 53.129%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 53.106/ 253
= 0.210
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1610.40
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 816.70 17.238 * 53.106] / [253 * 658.295 - (17.238)2]
= 1.237
Residual Variance (RV2) = S2v Mv * 22
=1610.203 657.120 * 1.2372
= 604.268

TCS

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(358.010 246.99) * 100] / 246.99
= 44.949%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 38.44/ 150
= 0.256
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 255.916
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [150 * 119.263 17.238 * 38.44] / [150 * 658.295 - (17.238)2]
= 0.175
Residual Variance (RV2) = S2v Mv * 22
=255.898 657.120 * 0.1752
= 235.779

WIPRO

Stock return (R2) = [(Current year adjusted closing Previous year adjusted closing) * 100] /
Previous year adjusted closing
= [(201.29 136.87) * 100] / 136.87
= 47.067%
(Note: Adjusted daily closing price and adjusted returns for all stocks are given in appendix 1)
Daily Stock Returns = R2d
No. of Observation = N
Mean of Daily Stock Return (R2 Mean) = R2d / N
= 48.940/ 253
= 0.193
Annual Stock Variance (S2v) = (R2d R2 Mean)2
= 1984.718
Beta for the Stock (2) = [N * (Rmd * R2d) - Rmd * R2d] / [N * (Rmd2) - ( Rmd)2]
= [253 * 863.645 17.238 * 48.940] / [253 * 658.295 - (17.238)2]
= 1.309
Residual Variance (RV2) = S2v Mv * 22
=1984.475 657.120 * 1.3092
= 858.283

Portfolio construction using sharpes method:

(Data used from Appendix 4)
Tenure Ratio (TR) = (Return on stock Rf) / Beta
TR1 = (R1 Rf) / 1 = (37.99 4.93) / .731 = 44.983
TR2 = (R2 Rf) / 2 = (32.869 4.93) / .850 = 32.866
TR3 = (R3 Rf) / 3 = (30.303 4.93) / .356 = 71.091
TR4 = (R4 Rf) / 4 = (51.386 4.93) / 1.23 = 37.711
TR5 = (R5 Rf) / 5 = (20.295 4.93) / 1.20 = 12.80
TR6 = (R6 Rf) / 6 = (-28.033) / 0.823 / = -39.98
TR7 = (R7 Rf) / 7 = (-13.056 4.93) / 1.826 = -9.84
TR8 = (R8 Rf) / 8 = (27.741 4.93) / .991 = 23.01
TR9 = (R1 Rf) / 9 = (9.060 4.93) / .838 = 4.92
TR10 = (R2 Rf) / 10 = (- 24.549 4.93) / .660 = -44.65
TR11 = (R3 Rf) / 11 = (3.169 4.93) / 1.70 = -4.74
TR12 = (R4 Rf) / 12 = (11.188 4.93) / .801 = 7.80
TR13 = (R5 Rf) / 13 = (10.021 4.93) / .742 = 6.859
TR14 = (R6 Rf) / 14 = (46.792 4.93) / .696 = 60.101
TR15 = (R7 Rf) / 15 = (41.759 4.93) / 1.121 = 32.83
TR16 = (R8 Rf) / 16 = (9.207 4.93) / 0.762 = 5.606
TR17 = (R1 Rf) / 17 = (-14.761 4.93) / 0.669 = -29.38
TR18 = (R2 Rf) / 18 = (.904 4.93) / .715 = -5.62
TR19 = (R3 Rf) / 19 = (30.520 4.93) / .903 = 28.33
TR20 = (R4 Rf) / 20 = (76.653 4.93) / 0.5431 = 88.94
TR21 = (R5 Rf) / 21 = (23.934 4.93) / .806 = -74.39
TR23 = (R7 Rf) / 23 = (74.834 4.93) / .695 = 27.31
TR24 = (R8 Rf) / 24 = (62.53 4.93) / 1.094 = 86.62
TR25 = (R1 Rf) / 25 = (70.276 4.93) / .423 = 165.15
TR26 = (R2 Rf) / 26 = (4.063 4.93) / .847 = 67.99
TR27 = (R3 Rf) / 27 = (-18.526 4.93) / .326 = 200
TR28 = (R4 Rf) / 28 = (12.905 4.93) / .917 = -.945
TR29 = (R5 Rf) / 29 = (6.373 4.93) / 1.093 = -21.455
TR30 = (R6 Rf) / 30 = (18.035 4.93) / .166 = 48.03
TR31 = (R7 Rf) / 31 = (1.961 4.93) / 1.06 = 1.35
TR32 = (R8 Rf) / 32 = (-1.766 4.93) / 1.42 = 9.18
TR33 = (R1 Rf) / 33 = (-30.596 4.93) / 0.468 = -6.334
TR34 = (R2 Rf) / 34 = (84.134 4.93) / 1.060 = --6.31
TR35 = (R3 Rf) / 35 = (193.189 4.93) / 1.37 = -25.85
TR36 = (R4 Rf) / 36 = (68.855 4.93) / 1.68 = 46.92

TR37 = (R5 Rf) / 37 = (5.903 4.93) / 1.12 = 166.91

TR38 = (R6 Rf) / 38 = (57.737 4.93) / 0.673 = 94.93
TR39 = (R7 Rf) / 39 = (37.895 4.93) / 1.30 = 0.744
TR40 = (R8 Rf) / 40 = (-16.374 4.93) / .351 = -150.38
TR41 = (R1 Rf) / 41 = (-6.590 4.93) / .596 = 55.26
TR42 = (R2 Rf) / 42 = (53.129 4.93) / 1.138 = -18.71
TR43 = (R3 Rf) / 43 = (44.949 4.93) / 1.44 = -7.98
TR44 = (R4 Rf) / 44 = (47.067 4.93) / 1.23 = 38.95

Based on TR stocks should be arranged as per the higher to lower value.

Further calculation done as
A = (Stock return Rf) * Beta / Residual Variance
Sigma A = Previous Sigma A + A
B = Beta2 / Residual Variance
Sigma B = Previous Sigma B + B
C = (Market Variance * Sigma A) / (1 + (Market Variance*Sigma B))
Required to calculate value of C up to level it will start decreasing. Peak value of C will
considered as C* for further calculation.
For, TCS
A1 = (R1 Rf) * 1 / RV1 = (44.949 4.93) *0.175 /235.779 =0.029701
A1 = A0 + A1 = 0 + 0.029701 = 0.029701
B1 = 12 / RV1 = 0.1752 /235.779 = 0.00012987
B1 = B0 + B1 = 0 + 0.00012987 = 0.00012987
C1 = (MV* A1) / (1 + (MV*B1)) = (657.12*0.029701) / (1+ (657.12*0.00012987)) = 17.9823
For, Larsen & Toubro
A2 = (R2 Rf) * 2/ RV2 = (70.276 4.93) *0.327 / 735.570 = 0.029026
A2 = A1 + A2 = 0.029701 + 0.029026 = 0.058726
B2 = 22 / RV2 =0.3272 / 735.570= 0.00014513
B2 = B1 + B2 = 0.00012987 + 0.00014513 = 0.000275

C2 = (MV* A2) / (1 + (MV*B2)) = = ((657.12*0.058726) / (1 + (657.12*0.000275))

= 32.68408
For, Sesa Goa
A3 = (R3 Rf) * 3 / RV3 = (193.189 4.93) * 1.128 / 2847.281=0.074573
A3 = A2 + A3 =0.058726 +0.074573 = 0.133299
B3 = 32 / RV3 = 1.1282 / 2847.281 = 0.00044676
B3 = B2 + B3 =0.000275 + 0.00044676 = 0.00072176
C3 = (MV* A3) / (1 + (MV*B3)) = ((657.12*0.133299) / (1 + (657.12*0.00072176)))
= 59.41429
For, JP Associates
A4 = (R4 Rf) * 4 / RV4 = (74.834 4.93) *0.423 / 2184.933 = 0.013542
A4 = A3 + A4 = 0.133299 + 0.013542 = 0.146841
B4 = 42 / RV4 =0.4232 / 2184.933 = 0.00072176
B4 = B3 + B4 = 0.00072176 + 0.00072176 = 0.00080375
C4 = (MV* A4) / (1 + (MV*B4)) = ((657.12*0.146841) / (1 + (657.12*0.00080375)))
= 63.14246
For, Sterlite Inds.
A5 = (R5 Rf) * 5 / RV5 = (57.737 4.93) * 0.351 / 1114.119 = 0.016643
A5 = A4 + A5 = 0.00080375 + 0.016643 = 0.163484
B5 = 52 / RV5 =0.3512 / 1114.119 = 0.00011067
B5 = B4 + B5 = 0.00080375 + 0.00011067 = 0.00091442
C5 = (MV* A5) / (1 + (MV*B5)) = ((657.12*0.163484) / (1 + (657.12*0.00091442)))
= 67.10566

For, Siemens
A6 = (R6 Rf) * 6 / RV6 = (68.855 4.93) * 0.673 / 828.483 = 0.051954
A6 = A5 + A6 = 0.163484 + 0.051954 = 0.215438
B6 = 62 / RV6 = 0.6732 / 828.483 = 0.00054725
B6 = B5 + B6 = 0.00091442 + 0.00054725 = 0.00146168
C6 = (MV* A6) / (1 + (MV*B6)) = ((657.12*0.215438) / (1 + (657.12*0.00146168)))
= 72.21061

For, Infosys
A7 = (R7 Rf) * 7 / RV7 = (76.653 4.93) * 0.806 / 489.325 = 0.118198
A7 = A6 + A7 = 0.215438 + 0.118198 = 0.333636
B7 = 72 / RV7 = 0.8062 / 489.325 = 0.00132894
B7 = B6 + B7 = 0.00146168 + 0.00132894 = 0.00279062
C7 = (MV* A7) / (1 + (MV*B7)) = ((657.12*0.333636) / (1 + (657.12*0.00279062)))
= 77.36664

For, Jindal Steel

A8 = (R8 Rf) * 8 / RV8 = (99.770 4.93) * 1.095 / 1192.713 = 0.087055
A8 = A7 + A8 = 0.333636 + 0.087055 = 0.420691
B8 = 82 / RV8 = 1.0952 / 1192.713 = 0.00100494
B8 = B7 + B8 = 0.00279062 + 0.00100494 = 0.00379556
C8 = (MV* A8) / (1 + (MV*B8)) = ((657.12*0.420691) / (1 + (657.12*0.00379556)))
= 79.11675

For, Asian Paints

A9 = (R9 Rf) * 9 / RV9 = (30.303 4.93) * 0.357 / 414.402 = 0.021852
A9 = A8 + A9 = 0.420691 + 0.021852 = 0.442543
B9 = 92 / RV9 = 0.357 2 / 414.402 = 0.00030738
B9 = B8 + B9 = 0.00379556 + 0.00030738 = 0.00410294
C9 = (MV* A9) / (1 + (MV*B9)) = ((657.12*0.442543) / (1 + (657.12*0.00410294)))
= 78.67816

For, Kotak Mah. Bank

A10 = (R10 Rf) * 10 / RV10 = (62.533 4.93) * 0.847 / 1146.760 = 0.042556
A10 = A9 + A10 = 0.442543 + 0.042556 = 0.4851
B10 = 102 / RV10 = 0.847 2 / 1146.760 = 0.00062591
B10 = B9 + B10 = 0.00410294 + 0.00062591 = 0.00472885
C10 = (MV* A10) / (1 + (MV*B10)) = ((657.12*0.4851) / (1 + (657.12*0.00472885)))
= 77.60802

For, HCL Technologies

A11 = (R11 Rf) * 11 / RV11 = (46.792 4.93) * 0.697 / 842.045 = 0.034628
A11 = A10 + A11 = 0.4851 + 0.034628 = 0.519728
B11 = 112 / RV11 = 0.6972 / 842.045 = 0.00057616
B11 = B10 + B11 = 0.00472885 + 0.00057616 = 0.00530501
C11 = (MV* A11) / (1 + (MV*B11)) = ((657.12*0.519728) / (1 + (657.12*0.00530501)))
= 76.13051

For, Sun Pharma.Inds.

A12 = (R12 Rf) * 12 / RV12 = (37.895 4.93) * 0.596 / 1215.928 = 0.016171
A12 = A11 + A12 = 0.519728 + 0.016171 = 0.535899
B12 = 122 / RV12 =0.596 2 / 1215.928 = 0.00029259
B12 = B11 + B12 = 0.00530501 + 0.00029259 = 0.0055976
C12 = (MV* A12) / (1 + (MV*B12)) = ((657.12* 0.535899) / (1 + (657.12*0.0055976)))
= 75.27309

For, NTPC
A13 = (R13 Rf) * 13 / RV13 = (12.905 4.93) * 0.166 / 224.876 = 0.005888
A13 = A12 + A13 = 0.535899 + 0.005888 = 0.541787
B13 = 132 / RV13 = 0.1662 / 224.876 = 0.00012258
B13 = B12 + B13 = 0.0055976 + 0.00012258 = 0.00572017
C13 = (MV* A13) / (1 + (MV*B13)) = ((657.12*0.541787) / (1 + (657.12*0.00572017)))
= 74.8121

For, S A I L
A14 = (R14 Rf) * 14 / RV14 = (84.134 4.93) * 1.688 / 1312.028 = 0.101903
A14 = A13 + A14 = 0.541787 + 0.101903 = 0.64369
B14 = 142 / RV14 = 1.688 2 / 1312.028 = 0.00217182
B14 = B13 + B14 = 0.00572017 + 0.00217182 = 0.007892
C14 = (MV* A14) / (1 + (MV*B14)) = ((657.12*0.64369) / (1 + (657.12*0.007892)))
= 68.37734

For, ACC
A15 = (R15 Rf) * 15 / RV15 = (37.799 4.93) * 0.731 / 496.190 = 0.048402
A15 = A14 + A15 = 0.64369 + 0.048402 = 0.692092
B15 = 152 / RV15 = 0.7312 / 496.190 = 0.001076
B15 = B14 + B15 = 0.007892 + 0.001076 = 0.00896799
C15 = (MV* A15) / (1 + (MV*B15)) = ((657.12*0.692092) / (1 + (657.12*0.00896799)))
= 65.97769

For, Tata Steel

A16 = (R16 Rf) * 16 / RV16 = (53.129 4.93) * 1.237 / 604.268 = 0.098696
A16 = A15 + A16 = 0.692092 + 0.098696 = 0.790788
B16 = 162 / RV16 = 1.2372 / 604.268 = 0.00253366
B16 = B15 + B16 = 0.00896799 + 0.00253366 = 0.01150165
C16 = (MV* A16) / (1 + (MV*B16)) = ((657.12*0.790788) / (1 + (657.12*0.01150165)))
= 60.72035

For, Axis Bank

A17 = (R17 Rf) * 17 / RV17 = (51.386 4.93) * 1.232 / 1901.068 = 0.030103
A17 = A16 + A17 = 0.790788 + 0.030103 = 0.820891
B17 = 172 / RV17 =1.2322 /1901.068 = 0.00079826
B17 = B16 + B17 = 0.01150165 + 0.00079826 = 0.01229991
C17 = (MV* A17) / (1 + (MV*B17)) = ((657.12*0.820891) / (1 + (657.12*0.01229991)))
= 59.39147

For, Ambuja Cem.

A18 = (R18 Rf) * 18 / RV18 = (32.869 4.93) * 0.850 / 570.166 = 0.041655
A18 = A17 + A18 = 0.820891 + 0.041655 = 0.862547
B18 = 182 / RV18 = 0.8502 / 570.166 = 0.00126742
B18 = B17 + B18 = 0.01229991 + 0.00126742 = 0.01356734
C18 = (MV* A18) / (1 + (MV*B18)) = ((657.12*0.862547) / (1 + (657.12*0.01356734)))
= 57.16345

For, HDFC BANK

A19 = (R19 Rf) * 19 / RV19 = (41.759 4.93) * 1.121 / 946.201 = 0.043651
A19 = A18 + A19 = 0.862547 + 0.043651 = 0.906197
B19 = 192 / RV19 = 1.1212 / 946.201 = 0.0013292
B19 = B18 + B19 = 0.01356734 + 0.0013292 = 0.01489654
C19 = (MV* A19) / (1 + (MV*B19)) = ((657.12*0.906197) / (1 + (657.12*0.01489654)))
= 55.19425

For, Wipro
A20 = (R20 Rf) * 20 / RV20 = (47.067 4.93) * 1.309 / 858.283 = 0.064275
A20 = A19 + A20 = 0.906197 + 858.283 = 0.970472
B20 = 202 / RV20 = 1.3092 / 858.283 = 0.00199706
B20 = B19 + B20 = 0.01489654 + 0.00199706 = 0.00199706
C20 = (MV* A20) / (1 + (MV*B20)) = ((657.12*0.970472) / (1 + (657.12*0.00199706)))
= 52.69897

For, CCANK
A21 = (R21 Rf) * 21 / RV21 = (30.520 4.93) * 0.903 / 691.345 = 0.033432
A21 = A20 + A21 = 0.970472 + 0.033432 = 1.003904
B21 = 212 / RV21 = 0.9032 / 691.345 = 0.00117997
B21 = B20 + B21 = 0.00199706 + 0.00117997 = 0.01807356
C21 = (MV* A21) / (1 + (MV*B21)) = ((657.12*1.003904) / (1 + (657.12*0.01807356)))
= 51.23172

For, ITC
A22 = (R22 Rf) * 20 / RV20 = (23.934 4.93) * 0.696 / 646.305 = 0.020454
A22 = A21 + A22 = 1.003904 + 0.020454 = 1.024357
B22 = 222 / RV22 = 0.6962 / 646.305 = 0.00074873
B22 = B21 + B22 = 0.01807356 + 0.00074873 = 0.01882229
C22 = (MV* A22) / (1 + (MV*B22)) = ((657.12*1.024357) / (1 + (657.12*0.01882229)))
=50.35163

For, Bharti Airtel

A23 = (R23 Rf) * 23 / RV23 = (27.741 4.93) * 0.991 / 1388.552 = 0.016283
A23 = A22 + A23 = 1.024357 + 0.016283 = 1.04064
B23 = 232 / RV23 = 0.9912 / 1388.552 = 0.00070753
B23 = B22 + B23 = 0.01882229 + 0.00070753 = 0.01952982
C23 = (MV* A23) / (1 + (MV*B23)) = ((657.12*1.04064) / (1 + (657.12*0.01952982)))
= 49.43282

For, B H E L
A24 = (R24 Rf) * 24 / RV24 = (20.295 4.93) * 1.200 / 910.319 = 0.020257
A24 = A23 + A24 = 1.04064 + 0.020257 = 1.060898
B24 = 242 / RV24 = 1.2002 / 910.319 = 0.00158232
B24 = B23 + B24 = 0.01952982 + 0.00158232 = 0.02111214
C24 = (MV* A24) / (1 + (MV*B24)) = ((657.12*1.060898) / (1 + (657.12*0.02111214)))
= 46.87201

For, Punjab Natl.Bank

A25 = (R25 Rf) * 25 / RV25 = (18.035 4.93) *1.426 / 1459.717 = 0.012806
A25 = A24 + A25 = 1.060898 + 0.012806 = 1.073704
B25 = 252 / RV25 = 1.4262 / 1459.717 = 0.00139402
B25 = B24 + B25 = 0.02111214 + 0.00139402 = 0.02250616
C25 = (MV* A25) / (1 + (MV*B25)) = ((657.12*1.073704) / (1 + (657.12*0.02250616)))
= 44.68563

For, Grasim Inds

A26 = (R26 Rf) * 26 / RV26 = (11.188 4.93) *0.802 / 581.737 = 0.008624
A26 = A25 + A26 = 1.073704 + 0.008624 = 0.00110471
B26 = 262 / RV26 = 0.8022 / 581.737 = 0.00110471
B26 = B25 + B26 = 0.02250616 + 0.00110471 = 0.02361087
C26 = (MV* A26) / (1 + (MV*B26)) = ((657.12*0.00110471) / (1 + (657.12*0.02361087)))
= 43.06459

For, HDFC
A27 = (R27 Rf) * 27 / RV27 = (10.021 4.93) *0.742 / 1017.506 = 0.003713
A27 = A26 + A27 = 0.00110471 + 0.003713 = 1.086041
B27 = 272 / RV27 = 0.7422 / 1017.506 = 0.00054133
B27 = B26 + B27 = 0.02361087 + 0.00054133 = 0.0241522
C27 = (MV* A27) / (1 + (MV*B27)) = ((657.12*1.086041) / (1 + (657.12*0.0241522)))
= 42.30122

For, Hero Motocorp

A28 = (R28 Rf) * 28 / RV28 = (9.207 4.93) * 0.763 / 812.984 = 0.004013
A28 = A27 + A28 = 1.086041 + 0.004013 = 1.090054
B28 = 282 / RV28 = 0.7632 / 812.984 = 0.00071583
B28 = B27 + B28 = 0.0241522 + 0.00071583 = 0.02486803
C28 = (MV* A28) / (1 + (MV*B28)) = ((657.12*1.090054) / (1 + (657.12*0.02486803)))
= 41.30586

For, Cipla
A29 = (R29 Rf) * 29 / RV29 = (9.060 4.93) *0.838 / 785.401 = 0.004408
A29 = A28 + A29 = 1.090054 + 0.004408 = 1.094462
B29 = 292 / RV29 = 0.8382 / 785.401 = 0.00089456
B29 = B28 + B29 = 0.00071583 + 0.00089456 = 0.02576259
C29 = (MV* A29) / (1 + (MV*B29)) = ((657.12*1.094462) / (1 + (657.12*0.02576259)))
= 40.11312

For, O N G C
A30 = (R30 Rf) * 30 / RV30 = (6.373 4.93) * 1.064 / 490.748 = 0.003129
A30 = A29 + A30 = 1.094462+ 0.003129 = 1.097591
B30 = 302 / RV30 = 1.0642 / 490.748 = 0.00230801
B30 = B29 + B30 = 0.02576259 + 0.00230801 = 0.0280706
C30 = (MV* A30) / (1 + (MV*B30)) = ((657.12*1.09759) / (1 + (657.12*0.0280706)))
= 37.09032

For, St Bk of India
A31 = (R31 Rf) * 31 / RV31 = (5.903 4.93) *1.306 / 549.264 = 0.002312
A31 = A30 + A31 = 1.097591+ 0.002312 = 1.099903
B31 = 312 / RV31 = 1.3062 / 549.264 = 0.00310404
B31 = B30 + B31 = 0.0280706 + 0.00310404 = 0.03117464
C31 = (MV* A31) / (1 + (MV*B31)) = ((657.12*1.099903) / (1 + (657.12*0.03117464)))
= 33.63986

For, M & M
A32 = (R32 Rf) * 32 / RV32 = (4.063 4.93) * 0.917 / 570.166 = -0.0014
A32 = A31 + A32 = 1.099903 + -0.0014 = 1.098508
B32 = 322 / RV32 = 0.9172 / 570.166 = 0.00147568
B32 = B31 + B32 = 0.03117464 + 0.00147568 = 0.03265031
C32 = (MV* A32) / (1 + (MV*B32)) = ((657.12*1.098508) / (1 + (657.12*0.03265031)))
= 32.14633

For, GAIL (India)

A33 = (R33 Rf) * 33 / RV33 = (-3.169 4.93) * 1.708 / 1111.947 = -0.01244
A33 = A32 + A33 = 1.098508 + -0.01244 = 1.086064
B33 = 332 / RV33 = 1.7082 / 1111.947 = 0.00262478
B33 = B32 + B33 = 0.03265031 + 0.00262478 = 0.03527509
C33 = (MV* A33) / (1 + (MV*B33)) = ((657.12*1.086064) / (1 + (657.12*0.03527509)))
= 29.51512

For, Hindalco Inds.

A34 = (R34 Rf) * 34 / RV34 = (0.904 4.93) *0.716 / 735.784 = -0.00392
A34 = A33 + A34 = 1.086064+ -0.00392 = 1.082149
B34 = 342 / RV34 = 0.7162 / 735.784 = 0.00069588
B34 = B33 + B34 = 0.03527509 + 0.00069588 = 0.03597097
C34 = (MV* A34) / (1 + (MV*B34)) = ((657.12*1.082149) / (1 + (657.12*0.03597097)))
= 28.86288

For, Reliance Inds.

A35 = (R35 Rf) * 35 / RV35 = (-1.766 4.93) *1.06 / 362.506 = -0.01958
A35 = A34 + A35 = 1.082149 + -0.01958 = 1.062568
B35 = 352 / RV35 = 1.0602 / 362.506 = 0.00310006
B35 = B35 + B35 = 0.03597097 + 0.00310006 = 0.03907103
C35 = (MV* A35) / (1 + (MV*B35)) = ((657.12*1.062568) / (1 + (657.12*0.03907103)))
= 26.17626

For, Ranbaxy Labs.

A36 = (R36 Rf) * 36 / RV36 = (1.961 4.93) *0.468 /546.330 = -0.00254
A36 = A35 + A36 = 1.062568+ -0.00254 = 1.060025
B36 = 362 / RV36 = 0.4682 / 546.330 = 0.00040095
B36 = B36 + B36 = 0.03907103 + 0.00040095 = 0.03947199
C36 = (MV* A36) / (1 + (MV*B36)) = ((657.12*1.060025) / (1 + (657.12*0.03947199)))
= 25.85818

For, Tata Power Co.

A37 = (R37 Rf) * 37 / RV37 = (-6.590 4.93) *1.442 / 857.010 = -0.01939
A37 = A36 + A37 = 1.060025 + -0.01939 = 1.040639
B37 = 372 / RV37 = 1.4422 / 857.010 = 0.00242668
B37 = B36 + B37 = 0.03947199 + 0.00242668 = 0.04189867
C37 = (MV* A37) / (1 + (MV*B37)) = ((657.12*1.040639) / (1 + (657.12*0.04189867)))
= 23.96656

For, Bank of Baroda

A38 = (R38 Rf) * 38 / RV38 = (-13.056 4.93) *1.827 / 1549.504 = -0.0212
A38 = A37 + A38 = 1.040639 +-0.0212 = 1.019435
B38 = 382 / RV38 = 1.827 2 / 1549.504 = 0.00215349
B38 = B38 + B38 = 0.04189867 + 0.00215349 = 0.04405215
C38 = (MV* A38) / (1 + (MV*B38)) = ((657.12*1.019435) / (1 + (657.12*0.04405215)))
= 22.36881

For, Tata Motors

A39 = (R39 Rf) * 39 / RV39 = (4.063 4.93) * 0.917 / 570.166 = -0.0014
A39 = A39 + A32 = 1.099903 + -0.0014 = 1.098508
B39 = 392 / RV39 = 0.9172 / 570.166 = 0.00147568
B39 = B38 + B39 = 0.03117464 + 0.00147568 = 0.03265031
C39 = (MV* A39) / (1 + (MV*B39)) = ((657.12*1.098508) / (1 + (657.12*0.03265031)))
= 32.14633
For, M & M
A32 = (R32 Rf) * 32 / RV32 = (4.063 4.93) * 0.917 / 570.166 = -0.0014
A32 = A31 + A32 = 1.099903 + -0.0014 = 1.098508
B32 = 322 / RV32 = 0.9172 / 570.166 = 0.00147568
B32 = B31 + B32 = 0.03117464 + 0.00147568 = 0.03265031
C32 = (MV* A32) / (1 + (MV*B32)) = ((657.12*1.098508) / (1 + (657.12*0.03265031)))
= 32.14633

As C start decreasing C3 become C* and first three stock will included in the portfolio.
Thus, C* = 79.11675

Calculation for Weight:

Z = (Beta / Residual Variance) * (Treynors Ratio C*)

Z1 = (1 / RV1) * (TR1 C*) = (0.00012987 / 235.779) * (228.700 - 79.11675) = 0.111014
Z2 = (2 / RV2) * (TR2 C*) = (0.00014513 / 735.570) * (200.000 79.11675) = 0.053889
Z3 = (3 / RV3) * (TR3 C*) = (0.00044676/2847.281) * (166.91779.11675) = 0.035377
Z4 = (4 / RV4) * (TR4 C*) = (8.1994E-05 /2184.933) * (165.15479.11675) = 0.017246
Z5 = (5 / RV5) * (TR5 C*) = (0.00011067 /1114.119) * (150.38679.11675) = 0.023674
Z6 = (6 / RV6) * (TR6 C*) = (0.00054725 /828.483) * (94.93679.11675) = 0.016356
Z7 = (7 / RV7) * (TR7 C*) = (0.00132894 /489.325) * (88.94279.11675) = 0.03389
Z8 = (8 / RV8) * (TR8 C*) = (0.00100494 /1192.713) * (86.62779.11675) = 0.018954
Z = Z1 + Z2 + Z3+ Z4 + Z5 + Z6 +Z7 + Z8
= 0.111014 + 0.053889 + 0.035377 + 0.017246 + 0.023674 + 0.016356 + 0.03389 +
0.018954
Z = 0.3104

Weight of Stock (W) = Z / Z * 100 %

W1 = Z1 / Z * 100 % = 0.111014 /0.3104 * 100 =35.76492%
W2 = Z2 / Z * 100 % = 0.053889 /0.3104 * 100 = 17.3613%
W3 = Z3 / Z * 100 % = 0.035377 /0.3104* 100 =11.39723%
W4 = Z4 / Z * 100 % = 0.017246 / 0.3104* 100 = 5.555909%
W5 = Z5 / Z * 100 % = 0.023674 /0.3104 * 100 = 7.626789%

W6 = Z6 / Z * 100 % = 0.016356 / 0.3104* 100 =5.269278 %

W7 = Z7 / Z * 100 % = 0.03389 /0.3104 * 100 = 10.91821%
W8 = Z8 / Z * 100 % = 0.018954/0.3104 * 100 =6.106364%

Constructed portfolio shown in Appendix 5.

Graphical presentation of portfolio:

PORTFOLIO
TCS
LASREN AND TURBO
SESA GOA
JP Associates
Sterlite Inds.
Siemens
Infosys
Jindal Steel