RAW DATA SHARE PRICES

Date
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09

BARCLAYS
582.0
565.0
541.0
537.0
521.5
555.5
557.0
553.0
573.0
560.0
590.5
611.0
601.0
668.5
673.5
685.0
618.0
614.5
628.0
657.5
674.0
707.5
680.5
730.0
740.0
740.0
721.0
727.5
722.0
696.0
699.0
613.5
595.5
604.0
563.0
504.0
470.0
477.3
453.0
456.5
375.0
291.5
338.0
353.0
326.5
178.9
169.4
153.4
106.1
93.4
148.0
281.5
297.5
288.0

HSBC
878.5
868.0
837.0
835.5
868.0
890.0
923.0
893.0
917.0
888.5
926.0
933.0
934.0
974.0
965.0
947.5
929.5
951.5
971.0
953.0
974.5
994.0
938.0
931.0
925.0
891.0
889.5
928.0
934.0
915.0
914.0
897.0
904.5
951.0
830.0
842.0
751.5
766.0
830.0
879.5
852.5
775.8
839.0
865.5
901.0
762.0
715.0
662.0
543.3
491.3
395.0
480.5
556.5
502.5

GSK
1175.0
1243.0
1213.0
1312.0
1360.0
1351.0
1341.0
1339.0
1442.0
1469.0
1429.0
1469.0
1438.0
1446.0
1505.0
1556.0
1480.0
1511.0
1481.0
1488.0
1422.0
1400.0
1351.0
1344.0
1365.0
1430.0
1397.0
1449.0
1310.0
1305.0
1255.0
1295.0
1297.0
1238.0
1288.0
1279.0
1182.0
1102.0
1066.0
1121.0
1113.5
1113.0
1176.0
1296.5
1211.0
1197.0
1120.0
1284.5
1219.5
1069.0
1087.5
1049.0
1042.0
1068.5

TESCO
308.3
305.3
316.5
308.0
313.0
318.8
325.5
326.3
309.5
300.8
303.0
331.5
318.0
338.0
330.0
319.5
320.5
334.0
359.5
377.3
360.0
393.5
391.3
404.5
418.0
432.0
444.3
462.5
458.8
418.5
407.8
425.0
439.3
488.0
479.0
477.3
417.0
400.5
379.0
429.0
414.1
369.3
360.4
381.5
387.6
339.4
295.3
360.0
358.2
333.2
333.4
337.2
364.9
353.6

Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11

302.2
377.7
370.0
322.0
292.4
276.0
267.4
313.0
358.7
338.7
305.1
270.6
336.9
300.0
309.5
274.6
256.2
261.7
293.8
318.7
286.8
282.3
279.6
256.5
224.7
170.8
161.4
195.3
180.3
176.1

605.8
672.1
716.0
680.7
707.0
708.8
677.3
719.6
668.0
668.0
627.8
615.2
646.0
643.7
645.0
649.1
648.3
651.1
680.6
677.0
641.0
655.4
635.3
618.4
594.5
536.6
496.9
555.5
494.5
491.1

1149.0
1203.0
1236.6
1250.0
1257.0
1319.5
1216.5
1214.0
1265.5
1211.0
1157.0
1143.0
1111.0
1221.0
1254.5
1221.0
1212.0
1240.0
1128.5
1181.0
1198.0
1305.5
1320.0
1334.0
1364.0
1310.5
1333.0
1400.0
1403.5
1471.5

367.4
375.9
399.6
408.5
423.0
428.0
424.6
419.7
435.5
435.2
411.6
380.1
390.7
405.6
424.0
426.9
414.3
425.0
402.8
404.2
381.0
403.6
419.1
402.0
383.5
378.6
378.0
401.8
405.2
403.5

RAW DATA SHARE PRICES

Date
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09

BARCLAYS
582.0
565.0
541.0
537.0
521.5
555.5
557.0
553.0
573.0
560.0
590.5
611.0
601.0
668.5
673.5
685.0
618.0
614.5
628.0
657.5
674.0
707.5
680.5
730.0
740.0
740.0
721.0
727.5
722.0
696.0
699.0
613.5
595.5
604.0
563.0
504.0
470.0
477.3
453.0
456.5
375.0
291.5
338.0
353.0
326.5
178.9
169.4
153.4
106.1
93.4
148.0
281.5
297.5
288.0

HSBC
878.5
868.0
837.0
835.5
868.0
890.0
923.0
893.0
917.0
888.5
926.0
933.0
934.0
974.0
965.0
947.5
929.5
951.5
971.0
953.0
974.5
994.0
938.0
931.0
925.0
891.0
889.5
928.0
934.0
915.0
914.0
897.0
904.5
951.0
830.0
842.0
751.5
766.0
830.0
879.5
852.5
775.8
839.0
865.5
901.0
762.0
715.0
662.0
543.3
491.3
395.0
480.5
556.5
502.5

GSK
1175.0
1243.0
1213.0
1312.0
1360.0
1351.0
1341.0
1339.0
1442.0
1469.0
1429.0
1469.0
1438.0
1446.0
1505.0
1556.0
1480.0
1511.0
1481.0
1488.0
1422.0
1400.0
1351.0
1344.0
1365.0
1430.0
1397.0
1449.0
1310.0
1305.0
1255.0
1295.0
1297.0
1238.0
1288.0
1279.0
1182.0
1102.0
1066.0
1121.0
1113.5
1113.0
1176.0
1296.5
1211.0
1197.0
1120.0
1284.5
1219.5
1069.0
1087.5
1049.0
1042.0
1068.5

TESCO
308.3
305.3
316.5
308.0
313.0
318.8
325.5
326.3
309.5
300.8
303.0
331.5
318.0
338.0
330.0
319.5
320.5
334.0
359.5
377.3
360.0
393.5
391.3
404.5
418.0
432.0
444.3
462.5
458.8
418.5
407.8
425.0
439.3
488.0
479.0
477.3
417.0
400.5
379.0
429.0
414.1
369.3
360.4
381.5
387.6
339.4
295.3
360.0
358.2
333.2
333.4
337.2
364.9
353.6

BP
523.0
562.0
548.5
534.0
551.0
581.0
629.5
632.0
673.5
624.0
634.0
619.0
679.5
630.0
661.0
676.5
625.0
630.5
645.0
597.0
582.0
583.0
574.0
567.5
534.5
522.0
552.0
565.5
564.5
603.0
577.5
557.5
567.5
625.0
590.0
615.0
532.0
546.0
512.0
611.0
608.0
583.3
521.5
528.8
464.0
507.3
526.8
526.0
494.5
448.3
471.5
482.5
511.0
475.1

Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11

302.2
377.7
370.0
322.0
292.4
276.0
267.4
313.0
358.7
338.7
305.1
270.6
336.9
300.0
309.5
274.6
256.2
261.7
293.8
318.7
286.8
282.3
279.6
256.5
224.7
170.8
161.4
195.3
180.3
176.1

605.8
672.1
716.0
680.7
707.0
708.8
677.3
719.6
668.0
668.0
627.8
615.2
646.0
643.7
645.0
649.1
648.3
651.1
680.6
677.0
641.0
655.4
635.3
618.4
594.5
536.6
496.9
555.5
494.5
491.1

1149.0
1203.0
1236.6
1250.0
1257.0
1319.5
1216.5
1214.0
1265.5
1211.0
1157.0
1143.0
1111.0
1221.0
1254.5
1221.0
1212.0
1240.0
1128.5
1181.0
1198.0
1305.5
1320.0
1334.0
1364.0
1310.5
1333.0
1400.0
1403.5
1471.5

367.4
375.9
399.6
408.5
423.0
428.0
424.6
419.7
435.5
435.2
411.6
380.1
390.7
405.6
424.0
426.9
414.3
425.0
402.8
404.2
381.0
403.6
419.1
402.0
383.5
378.6
378.0
401.8
405.2
403.5

Answers to Question 1

Answers to Question 2
Answers to Question 3 Using Solver

497.2
532.0
554.4
572.3
574.6
600.0
586.9
578.7
623.4
575.5
494.8
319.4
406.0
380.6
435.1
425.8
426.0
465.6
484.9
494.7
454.0
462.6
468.4
458.7
461.0
402.5
384.9
461.0
460.8
460.5

Average Monthly Return

Risk
Equal Weightage
Monthly Return as per equal w
Return of the portfolio
Risk of the portfolio with equa
Scenario 1 - Fund Allocation
Scenario 2 - Fund Allocation

Objective - Minimize the portfolio risk

Constraint 1 - portfolio monthly retur
Constraint 2 - Sum of allocations mus
Other Constraints - Allocation values
Constraint 1
Constraint 2
Minimization

Objective - Minimize the portfolio risk

Constraint 1 - Portfolio monthly retur
Constraint 2 - Sum of allocations mus

Other Constraints - Allocation values

Constraint 1
Constraint 2
Minimization

Returns
BARCLAYS
Return
-2.92%
-4.25%
-0.74%
-2.89%
6.52%
0.27%
-0.72%
3.62%
-2.27%
5.45%
3.47%
-1.64%
11.23%
0.75%
1.71%
-9.78%
-0.57%
2.20%
4.70%
2.51%
4.97%
-3.82%
7.27%
1.37%
0.00%
-2.57%
0.90%
-0.76%
-3.60%
0.43%
-12.23%
-2.93%
1.43%
-6.79%
-10.48%
-6.75%
1.54%
-5.08%
0.77%
-17.85%
-22.27%
15.95%
4.44%
-7.51%
-45.21%
-5.31%
-9.45%
-30.83%
-11.97%
58.46%
90.20%
5.68%
-3.19%

HSBC
Return
-1.20%
-3.57%
-0.18%
3.89%
2.53%
3.71%
-3.25%
2.69%
-3.11%
4.22%
0.76%
0.11%
4.28%
-0.92%
-1.81%
-1.90%
2.37%
2.05%
-1.85%
2.26%
2.00%
-5.63%
-0.75%
-0.64%
-3.68%
-0.17%
4.33%
0.65%
-2.03%
-0.11%
-1.86%
0.84%
5.14%
-12.72%
1.45%
-10.75%
1.93%
8.36%
5.96%
-3.07%
-9.00%
8.15%
3.16%
4.10%
-15.43%
-6.17%
-7.41%
-17.94%
-9.57%
-19.59%
21.65%
15.82%
-9.70%

GSK
Return
5.79%
-2.41%
8.16%
3.66%
-0.66%
-0.74%
-0.15%
7.69%
1.87%
-2.72%
2.80%
-2.11%
0.56%
4.08%
3.39%
-4.88%
2.09%
-1.99%
0.47%
-4.44%
-1.55%
-3.50%
-0.52%
1.56%
4.76%
-2.31%
3.72%
-9.59%
-0.38%
-3.83%
3.19%
0.15%
-4.55%
4.04%
-0.70%
-7.58%
-6.77%
-3.27%
5.16%
-0.67%
-0.04%
5.66%
10.25%
-6.59%
-1.16%
-6.43%
14.69%
-5.06%
-12.34%
1.73%
-3.54%
-0.67%
2.54%

TESCO
Return
-0.97%
3.69%
-2.69%
1.62%
1.84%
2.12%
0.23%
-5.13%
-2.83%
0.75%
9.41%
-4.07%
6.29%
-2.37%
-3.18%
0.31%
4.21%
7.63%
4.94%
-4.57%
9.31%
-0.57%
3.39%
3.34%
3.35%
2.84%
4.11%
-0.81%
-8.77%
-2.57%
4.23%
3.35%
11.10%
-1.84%
-0.37%
-12.62%
-3.96%
-5.37%
13.19%
-3.47%
-10.82%
-2.41%
5.85%
1.60%
-12.44%
-12.99%
21.91%
-0.50%
-6.98%
0.06%
1.14%
8.21%
-3.10%

BP
Return
7.46%
-2.40%
-2.64%
3.18%
5.44%
8.35%
0.40%
6.57%
-7.35%
1.60%
-2.37%
9.77%
-7.28%
4.92%
2.34%
-7.61%
0.88%
2.30%
-7.44%
-2.51%
0.17%
-1.54%
-1.13%
-5.81%
-2.34%
5.75%
2.45%
-0.18%
6.82%
-4.23%
-3.46%
1.79%
10.13%
-5.60%
4.24%
-13.50%
2.63%
-6.23%
19.34%
-0.49%
-4.07%
-10.59%
1.39%
-12.25%
9.32%
3.84%
-0.14%
-5.99%
-9.35%
5.19%
2.33%
5.91%
-7.02%

4.92%
24.98%
-2.03%
-12.97%
-9.21%
-5.59%
-3.11%
17.04%
14.58%
-5.57%
-9.91%
-11.32%
24.52%
-10.95%
3.17%
-11.28%
-6.72%
2.15%
12.27%
8.48%
-10.01%
-1.55%
-0.97%
-8.26%
-12.40%
-23.99%
-5.51%
21.04%
-7.71%
-2.33%

erage Monthly Return

ual Weightage
onthly Return as per equal w
eturn of the portfolio
sk of the portfolio with equa
enario 1 - Fund Allocation
enario 2 - Fund Allocation

20.55%
10.95%
6.53%
-4.94%
3.87%
0.25%
-4.44%
6.25%
-7.17%
0.00%
-6.02%
-2.01%
5.01%
-0.36%
0.20%
0.64%
-0.12%
0.43%
4.53%
-0.52%
-5.32%
2.25%
-3.07%
-2.66%
-3.86%
-9.74%
-7.40%
11.80%
-10.99%
-0.70%

-0.32%
2.55%
0.20
-0.06%
0.057%
0.320%
0.00
0.00

7.53%
4.70%
2.80%
1.08%
0.56%
4.97%
-7.81%
-0.21%
4.24%
-4.31%
-4.46%
-1.21%
-2.80%
9.90%
2.74%
-2.67%
-0.74%
2.31%
-8.99%
4.65%
1.44%
8.97%
1.11%
1.06%
2.25%
-3.92%
1.72%
5.03%
0.25%
4.85%

3.89%
2.33%
6.30%
2.22%
3.55%
1.18%
-0.81%
-1.14%
3.75%
-0.07%
-5.41%
-7.67%
2.79%
3.83%
4.53%
0.67%
-2.94%
2.58%
-5.22%
0.35%
-5.74%
5.92%
3.84%
-4.07%
-4.61%
-1.26%
-0.16%
6.28%
0.86%
-0.43%

4.65%
7.00%
4.21%
3.23%
0.40%
4.42%
-2.18%
-1.40%
7.72%
-7.68%
-14.02%
-35.46%
27.11%
-6.24%
14.31%
-2.13%
0.04%
9.30%
4.15%
2.03%
-8.23%
1.88%
1.25%
-2.07%
0.51%
-12.70%
-4.36%
19.77%
-0.05%
-0.05%

-0.45%
0.49%
0.20
-0.09%

0.38%
0.23%
0.20
0.08%

0.48%
0.32%
0.20
0.10%

0.20%
0.67%
0.20
0.04%

0.00
0.00

0.37
0.34

0.37
0.36

0.00
0.30

Scenario 1

bjective - Minimize the portfolio risk

onstraint 1 - portfolio monthly return is >= portfolio monthly return with equal weights for all shares
onstraint 2 - Sum of allocations must be equal to 1 (100%)
her Constraints - Allocation values should be >=0
0.320%
0.74
0.105%

Scenario 2
bjective - Minimize the portfolio risk
onstraint 1 - Portfolio monthly return is > 0.40%
onstraint 2 - Sum of allocations must be equal to 1 (100%)

her Constraints - Allocation values should be >=0

0.360%
1.00
0.205%

Excess Returns
BARCLAYS
ExRet
-0.026
-0.039
-0.004
-0.026
0.068
0.006
-0.004
0.039
-0.019
0.058
0.038
-0.013
0.116
0.011
0.020
-0.095
-0.002
0.025
0.050
0.028
0.053
-0.035
0.076
0.017
0.003
-0.022
0.012
-0.004
-0.033
0.008
-0.119
-0.026
0.017
-0.065
-0.102
-0.064
0.019
-0.048
0.011
-0.175
-0.219
0.163
0.048
-0.072
-0.449
-0.050
-0.091
-0.305
-0.116
0.588
0.905
0.060
-0.029

HSBC
ExRet
-0.007
-0.031
0.003
0.043
0.030
0.042
-0.028
0.031
-0.027
0.047
0.012
0.006
0.047
-0.005
-0.014
-0.014
0.028
0.025
-0.014
0.027
0.025
-0.052
-0.003
-0.002
-0.032
0.003
0.048
0.011
-0.016
0.003
-0.014
0.013
0.056
-0.123
0.019
-0.103
0.024
0.088
0.064
-0.026
-0.085
0.086
0.036
0.046
-0.150
-0.057
-0.070
-0.175
-0.091
-0.191
0.221
0.163
-0.092

GSK
ExRet
0.054
-0.028
0.078
0.033
-0.010
-0.011
-0.005
0.073
0.015
-0.031
0.024
-0.025
0.002
0.037
0.030
-0.053
0.017
-0.024
0.001
-0.048
-0.019
-0.039
-0.009
0.012
0.044
-0.027
0.033
-0.100
-0.008
-0.042
0.028
-0.002
-0.049
0.037
-0.011
-0.080
-0.072
-0.037
0.048
-0.011
-0.004
0.053
0.099
-0.070
-0.015
-0.068
0.143
-0.054
-0.127
0.013
-0.039
-0.011
0.022

TESCO
ExRet
-0.015
0.032
-0.032
0.011
0.014
0.016
-0.003
-0.056
-0.033
0.003
0.089
-0.046
0.058
-0.028
-0.037
-0.002
0.037
0.072
0.045
-0.051
0.088
-0.011
0.029
0.029
0.029
0.024
0.036
-0.013
-0.093
-0.031
0.037
0.029
0.106
-0.023
-0.008
-0.131
-0.044
-0.058
0.127
-0.040
-0.113
-0.029
0.054
0.011
-0.129
-0.135
0.214
-0.010
-0.075
-0.004
0.007
0.077
-0.036

BP
ExRet
0.073
-0.026
-0.028
0.030
0.052
0.082
0.002
0.064
-0.075
0.014
-0.026
0.096
-0.075
0.047
0.021
-0.078
0.007
0.021
-0.076
-0.027
0.000
-0.017
-0.013
-0.060
-0.025
0.055
0.022
-0.004
0.066
-0.044
-0.037
0.016
0.099
-0.058
0.040
-0.137
0.024
-0.064
0.191
-0.007
-0.043
-0.108
0.012
-0.124
0.091
0.036
-0.003
-0.062
-0.096
0.050
0.021
0.057
-0.072

BARCLAYS
HSBC
GSK
TESCO
BP

BARCLAYS
2.11707157
0.44489776
0.04663559
0.17497945
0.31279519

BARCLAYS
HSBC
GSK
TESCO
BP

BARCLAYS
0.02551
0.00536
0.00056
0.00211
0.00377

Covariance

0.052
0.253
-0.017
-0.127
-0.089
-0.053
-0.028
0.174
0.149
-0.052
-0.096
-0.110
0.248
-0.106
0.035
-0.110
-0.064
0.025
0.126
0.088
-0.097
-0.012
-0.007
-0.079
-0.121
-0.237
-0.052
0.214
-0.074
-0.020

0.210
0.114
0.070
-0.045
0.043
0.007
-0.040
0.067
-0.067
0.005
-0.056
-0.016
0.055
0.001
0.007
0.011
0.003
0.009
0.050
-0.001
-0.049
0.027
-0.026
-0.022
-0.034
-0.093
-0.069
0.123
-0.105
-0.002

0.071
0.043
0.024
0.007
0.002
0.046
-0.082
-0.006
0.039
-0.047
-0.048
-0.016
-0.032
0.095
0.024
-0.031
-0.011
0.019
-0.094
0.043
0.011
0.086
0.007
0.007
0.019
-0.043
0.013
0.046
-0.001
0.045

0.034
0.018
0.058
0.017
0.031
0.007
-0.013
-0.016
0.033
-0.006
-0.059
-0.081
0.023
0.033
0.041
0.002
-0.034
0.021
-0.057
-0.001
-0.062
0.054
0.034
-0.046
-0.051
-0.017
-0.006
0.058
0.004
-0.009

0.045
0.068
0.040
0.030
0.002
0.042
-0.024
-0.016
0.075
-0.079
-0.142
-0.357
0.269
-0.064
0.141
-0.023
-0.002
0.091
0.039
0.018
-0.084
0.017
0.011
-0.023
0.003
-0.129
-0.046
0.196
-0.003
-0.003

HSBC
0.44489776
0.40363908
0.03584532
0.11267659
0.14017252

GSK
0.04663559
0.03584532
0.18828473
0.09587202
0.06772169

TESCO
0.17497945
0.11267659
0.09587202
0.26280777
0.11968949

BP
0.31279519
0.14017252
0.06772169
0.11968949
0.55587603

Covariance Matrix
HSBC
GSK
0.00536
0.00056
0.00486
0.00043
0.00043
0.00227
0.00136
0.00116
0.00169
0.00082

TESCO
0.00211
0.00136
0.00116
0.00317
0.00144

BP
0.00377
0.00169
0.00082
0.00144
0.00670