Individual Asset

Date UBDL UBL OGDC SHEL RUBDL RUBL ROGDC RSHEL

1-Jan-18 430.68 190.06 162.2 312.99
2-Jan-18 452.21 195.49 165.82 310.3 0.049991 0.02857 0.022318 -0.00859
3-Jan-18 463 196.08 168.23 307.88 0.023861 0.003018 0.014534 -0.0078
4-Jan-18 471.17 204.48 170.16 304.74 0.017646 0.04284 0.011472 -0.0102
5-Jan-18 484 210.42 170.05 305.37 0.02723 0.029049 -0.00065 0.002067
8-Jan-18 499.86 215.01 171.7 307.46 0.032769 0.021814 0.009703 0.006844
9-Jan-18 524.85 210.38 169.92 322.83 0.049994 -0.02153 -0.01037 0.04999
10-Jan-18 551.09 215.16 171.27 322.73 0.049995 0.022721 0.007945 -0.00031
11-Jan-18 578.64 213.91 169.67 316.16 0.049992 -0.00581 -0.00934 -0.02036
12-Jan-18 600.58 211.48 167.27 310.85 0.037916 -0.01136 -0.01415 -0.0168
15-Jan-18 570.56 206.56 167.9 304.08 -0.04999 -0.02326 0.003766 -0.02178
16-Jan-18 569.8 208.42 171.62 308.03 -0.00133 0.009005 0.022156 0.01299
17-Jan-18 555 209.83 171.81 307.87 -0.02597 0.006765 0.001107 -0.00052
18-Jan-18 572.25 209.97 171.83 312.01 0.031081 0.000667 0.000116 0.013447
19-Jan-18 563 213.89 169.14 312.29 -0.01616 0.018669 -0.01566 0.000897
22-Jan-18 535 213.8 171.59 327.9 -0.04973 -0.00042 0.014485 0.049986
23-Jan-18 525 212.18 173.84 344.29 -0.01869 -0.00758 0.013113 0.049985
24-Jan-18 498.75 213.14 171.55 361.5 -0.05 0.004524 -0.01317 0.049987
25-Jan-18 473.82 210.62 169.47 344.12 -0.04998 -0.01182 -0.01212 -0.04808
26-Jan-18 450.13 203.17 170.84 349.05 -0.05 -0.03537 0.008084 0.014326
29-Jan-18 457 208.75 168.13 345.81 0.015262 0.027465 -0.01586 -0.00928
30-Jan-18 459.44 201.95 167.31 339.86 0.005339 -0.03257 -0.00488 -0.01721
31-Jan-18 482.41 193.63 164.59 345.75 0.049996 -0.0412 -0.01626 0.017331
1-Feb-18 506.53 190.82 165.52 352.99 0.049999 -0.01451 0.00565 0.02094
2-Feb-18 531.85 190.17 167.46 353.71 0.049987 -0.00341 0.011721 0.00204
6-Feb-18 552.76 189.51 166.06 348.14 0.039316 -0.00347 -0.00836 -0.01575
7-Feb-18 580.39 194.24 168.87 362.74 0.049986 0.024959 0.016922 0.041937
8-Feb-18 608.11 192.22 166.51 355.38 0.047761 -0.0104 -0.01398 -0.02029
9-Feb-18 629 196.34 166.26 352.91 0.034352 0.021434 -0.0015 -0.00695
12-Feb-18 601.39 189.59 165.81 348.87 -0.0439 -0.03438 -0.00271 -0.01145
13-Feb-18 571.33 193.45 165.88 350.69 -0.04998 0.02036 0.000422 0.005217
14-Feb-18 542.77 196.97 165.08 344.64 -0.04999 0.018196 -0.00482 -0.01725
15-Feb-18 536.43 197.2 165.51 333.75 -0.01168 0.001168 0.002605 -0.0316
16-Feb-18 560.98 203.55 167.55 338.21 0.045766 0.032201 0.012326 0.013363
19-Feb-18 570 202.34 167.22 344.74 0.016079 -0.00594 -0.00197 0.019308
20-Feb-18 567.79 200.72 166.9 339.12 -0.00388 -0.00801 -0.00191 -0.0163
21-Feb-18 560.98 192.73 163.75 334.78 -0.01199 -0.03981 -0.01887 -0.0128
22-Feb-18 542.77 198.07 165.39 340 -0.03246 0.027707 0.010015 0.015592
23-Feb-18 561.6 196.91 164.34 333.66 0.034692 -0.00586 -0.00635 -0.01865
26-Feb-18 564.84 194.39 161.92 322.93 0.005769 -0.0128 -0.01473 -0.03216
27-Feb-18 550 190.71 162.31 314.2 -0.02627 -0.01893 0.002409 -0.02703
28-Feb-18 558 188.66 163.22 320.07 0.014545 -0.01075 0.005607 0.018682
1-Mar-18 550 188.81 163.24 329.62 -0.01434 0.000795 0.000123 0.029837
2-Mar-18 534.5 189.37 164.97 327.27 -0.02818 0.002966 0.010598 -0.00713
5-Mar-18 507.78 188.17 165.14 327.14 -0.04999 -0.00634 0.00103 -0.0004
6-Mar-18 482.63 188.47 165.08 325.66 -0.04953 0.001594 -0.00036 -0.00452
7-Mar-18 506.76 190.22 165.06 321.94 0.049997 0.009285 -0.00012 -0.01142
8-Mar-18 71.84 189.62 162.51 325.43 -0.85824 -0.00315 -0.01545 0.010841
9-Mar-18 75.37 189.06 164.09 321.36 0.049137 -0.00295 0.009722 -0.01251
12-Mar-18 79.13 192.35 164.45 325.07 0.049887 0.017402 0.002194 0.011545
13-Mar-18 83.08 193.44 164.87 328.16 0.049918 0.005667 0.002554 0.009506
14-Mar-18 87.08 193.15 163.42 339.13 0.048146 -0.0015 -0.00879 0.033429
15-Mar-18 91.43 190.77 164.42 352.3 0.049954 -0.01232 0.006119 0.038835
16-Mar-18 96 188.93 165.59 351.69 0.049984 -0.00965 0.007116 -0.00173
19-Mar-18 100.8 188.86 169.41 354.24 0.05 -0.00037 0.023069 0.007251
20-Mar-18 101.41 197.79 170.89 362.04 0.006052 0.047284 0.008736 0.022019
21-Mar-18 96.34 196.82 171.99 358.08 -0.05 -0.0049 0.006437 -0.01094
22-Mar-18 97.07 198.24 172.28 359.38 0.007577 0.007215 0.001686 0.00363
26-Mar-18 92.22 201.87 173.14 359.5 -0.04996 0.018311 0.004992 0.000334
27-Mar-18 88.5 202.62 171.98 364.7 -0.04034 0.003715 -0.0067 0.014465
28-Mar-18 92.89 201.78 171.87 363.02 0.049605 -0.00415 -0.00064 -0.00461
29-Mar-18 97.53 205.82 174.25 361.86 0.049952 0.020022 0.013848 -0.0032
30-Mar-18 95.11 208.89 174.08 364.24 -0.02481 0.014916 -0.00098 0.006577
Total -0.36787 0.105778 0.074009 0.165602

NO.of days 62

E®UBDL -0.00593

E®UBL 0.001706

E®OGDC 0.001194

E®SHEL 0.002671
Urooj Fatima (2016-ag-3712)
RUBDL-E®UBDL RUBL-E®UBL ROGDC-E®OGDC RSHEL-E®SHEL (RUBDL-E®UBDL)² (RUBL-E®UBL)²

0.0559241156 0.02686383 0.0211244351 -0.0112655248 0.0031275067 0.0007216655

0.0297939989 0.00131196 0.0133401412 -0.0104699053 0.0008876824 1.721251E-06
0.0235791915 0.04113356 0.0102786984 -0.0128697798 0.0005559783 0.0016919701
0.03316349 0.0273432 -0.001840141 -0.0006036649 0.0010998171 0.0007476508
0.0387019982 0.02010742 0.0085093379 0.0041731552 0.0014978447 0.0004043085
0.0559274015 -0.02324 -0.0115606097 0.0473192416 0.0031278742 0.0005400964
0.0559286399 0.0210147 0.0067512246 -0.0029807616 0.0031280128 0.0004416175
0.0559252376 -0.0075157 -0.0105356653 -0.0230285755 0.0031276322 5.6486087E-05
0.043849897 -0.013066 -0.0153387958 -0.0194662946 0.0019228135 0.0001707206
-0.0440516113 -0.0249707 0.0025726751 -0.0244499941 0.0019405445 0.0006235361
0.0046013785 0.00729855 0.0209623546 0.0103190016 2.11726842737E-05 5.3268904E-05
-0.0200406228 0.00505909 -8.65935476E-05 -0.003190431 0.0004016266 2.5594422E-05
0.0370144843 -0.0010389 -0.001077283 0.0107762332 0.001370072 1.0792838E-06
-0.0102308607 0.01696324 -0.0168486985 -0.0017735939 0.0001046705 0.0002877515
-0.043800167 -0.0021269 0.0132913514 0.0473145893 0.0019184546 4.5235746E-06
-0.0127581856 -0.0092833 0.0119189616 0.0473137504 0.0001627713 8.6179057E-05
-0.0440665968 0.00281837 -0.0143667233 0.0473159286 0.001941865 7.9431966E-06
-0.0440515592 -0.0135293 -0.0133184356 -0.0507484561 0.0019405399 0.0001830422
-0.0440644863 -0.0370779 0.006890336 0.0116553967 0.001941679 0.0013747671
0.0211956608 0.02575859 -0.0170564862 -0.0119533388 0.000449256 0.0006635051
0.0112725717 -0.0342809 -0.006070869 -0.0198769812 0.0001270709 0.001175183
0.0559290501 -0.0429044 -0.0174509376 0.0146596645 0.0031280586 0.0018407883
0.0559323667 -0.0162183 0.0044567134 0.0182689845 0.0031284296 0.0002630335
0.0559205708 -0.0051124 0.0105269474 -0.0006312832 0.0031271102 2.6137085E-05
0.0452489997 -0.0051767 -0.009553896 -0.0184183647 0.002047472 2.6797929E-05
0.0559189304 0.02325301 0.015727904 0.0392661507 0.0031269268 0.0005407026
0.0536943915 -0.0121056 -0.0151689379 -0.0229610159 0.0028830877 0.0001465455
0.0402857408 0.01972768 -0.0026951019 -0.0096213078 0.0016229409 0.0003891814
-0.0379616683 -0.0360852 -0.0039002947 -0.0141186789 0.0014410883 0.0013021439
-0.0440508001 0.01865363 -0.0007715207 0.0025458419 0.001940473 0.0003479579
-0.0440552198 0.01648982 -0.0060164541 -0.0199227048 0.0019408624 0.0002719143
-0.0057474193 -0.0005384 0.0014111071 -0.0342691905 3.30328280521E-05 2.8987685E-07
0.0516989271 0.03049472 0.0111318486 0.0106922948 0.0026727791 0.0009299279
0.0220124078 -0.0076506 -0.0031632519 0.0166365298 0.0004845461 5.8531344E-05
0.0020562102 -0.0097124 -0.0031073373 -0.0189731418 0.000004228 9.4331076E-05
-0.0060604678 -0.0415128 -0.0200672676 -0.0154688307 3.67292696769E-05 0.0017233116
-0.0265276471 0.02600106 0.0088215766 0.0129213283 0.0007037161 0.0006760552
0.0406258143 -0.0075626 -0.0075423211 -0.0213180599 0.0016504568 0.000057193
0.011702634 -0.0145038 -0.0159192596 -0.0348294857 0.0001369516 0.0002103607
-0.0203395237 -0.0206371 0.0012149062 -0.0297047235 0.0004136962 0.0004258902
 0.0204788577 -0.0124554 0.0044128647 0.0160113669 0.0004193836 0.0001551369
-0.0084035144 -0.000911 -0.0010711566 0.0271662221 7.06190537058E-05 8.2994203E-07
-0.022248415 0.00125985 0.0094042021 -0.0098004228 0.000494992 1.587227E-06
-0.0440572423 -0.0080429 -0.0001632002 -0.0030682266 0.0019410406 6.4688138E-05
-0.0435959205 -0.0001118 -0.0015570187 -0.007195058 0.0019006043 1.2496918E-08
0.0559302952 0.0075792 -0.001314844 -0.0140939575 0.0031281979 5.7444345E-05
-0.8523032374 -0.0048603 -0.0166426183 0.0081695283 0.7264208085 2.3622857E-05
0.0550703742 -0.0046594 0.008528788 -0.0151775309 0.0030327461 2.1709707E-05
0.0558206262 0.01569579 0.0010002273 0.0088736841 0.0031159423 0.0002463578
0.0558512599 0.00396066 0.0013602771 0.0068346439 0.0031193632 1.5686833E-05
0.0540797681 -0.0032053 -0.0099884987 0.0307578142 0.0029246213 1.0273727E-05
0.0558874684 -0.0140281 0.0049255114 0.0361636641 0.0031234091 0.0001967882
0.0559169972 -0.0113512 0.005922232 -0.0044024799 0.0031267106 0.0001288501
0.0559334032 -0.0020766 0.0218753353 0.0045797027 0.0031285456 4.3122685E-06
0.0119849905 0.04557761 0.0075425115 0.0193479692 0.00014364 0.0020773185
-0.0440616663 -0.0066103 0.0052431986 -0.0136090189 0.0019414304 4.3695854E-05
0.0135107335 0.00550862 0.0004924539 0.0009594726 0.0001825399 3.0344909E-05
-0.0440305403 0.01660505 0.0037981831 -0.0023370926 0.0019386885 0.0002757275
-0.0344049182 0.00200917 -0.0078934711 0.011793533 0.0011836984 4.0367627E-06
0.055537923 -0.0058518 -0.0018332999 -0.0072775269 0.0030844609 3.4243377E-05
0.0558849588 0.01831571 0.0126539849 -0.0058664173 0.0031231286 0.0003354654
-0.0188794749 0.01320985 -0.0021693004 0.0039061282 0.0003564346 0.0001745002
Total 0.8292184757 0.0224963368

σ²UBDL 0.0133744915

σ²UBL 0.0003628441

σ²OGDC 0.0001060336

σ²SHEL 0.0004481473
(ROGDC-E®OGDC)² (RSHEL-E®SHEL)²

0.0004462418 0.000126912
0.0001779594 0.0001096189
0.0001056516 0.0001656312
3.38611898143E-06 3.644113682E-07
7.24088314707E-05 1.74152246E-05
0.0001336477 0.0022391106
0.000045579 8.884939667E-06
0.0001110002 0.0005303153
0.0002352787 0.0003789366
6.61865734216E-06 0.0005978022
0.0004394203 0.0001064818
7.49844248619E-09 1.017884973E-05
1.16053858218E-06 0.0001161272
0.0002838786 3.14563533E-06
0.00017666 0.0022386704
0.0001420616 0.002238591
0.0002064027 0.0022387971
0.0001773807 0.0025754058
4.74767308661E-05 0.0001358483
0.0002909237 0.0001428823
3.68554503716E-05 0.0003950944
0.0003045352 0.0002149058
1.98622944343E-05 0.0003337558
0.0001108166 3.985184757E-07
9.12769296334E-05 0.0003392362
0.000247367 0.0015418306
0.0002300967 0.0005272083
7.26357451648E-06 9.256956283E-05
1.52122990321E-05 0.0001993371
5.95244142653E-07 6.481311048E-06
3.61977195281E-05 0.0003969142
1.99122311029E-06 0.0011743774
0.0001239181 0.0001143252
1.00061628834E-05 0.0002767741
9.65554519238E-06 0.0003599801
0.0004026952 0.0002392847
7.78202128811E-05 0.0001669607
5.68866080618E-05 0.0004544597
0.0002534228 0.0012130931
0.000001476 0.0008823706
 1.9473375165E-05 0.0002563639
1.14737650317E-06 0.0007380036
0.000088439 9.604828696E-05
2.66343151836E-08 0.000009414
2.42430725642E-06 5.176885984E-05
1.72881475147E-06 0.0001986396
0.0002769767 6.67411919E-05
7.27402246494E-05 0.0002303574
1.00045475031E-06 7.874226865E-05
1.85035392162E-06 4.671235726E-05
9.97701053431E-05 0.0009460431
2.42606628817E-05 0.0013078106
3.50728320349E-05 1.938182918E-05
0.0004785303 2.097367689E-05
5.68894795871E-05 0.0003743439
2.74911316057E-05 0.0001852054
2.42510864065E-07 9.20587671E-07
1.44261946443E-05 0.000005462
6.2306886748E-05 0.0001390874
0.000003361 5.296239849E-05
0.0001601233 3.441485155E-05
4.70586413273E-06 1.525783783E-05
0.006574083 0.0277851322

σ UBDL 0.1156481368 C.VUBDL -19.491

σ UBL 0.0190484682 C.VUBL 11.16497

σ OGDC 0.0102972616 C.VOGDC 8.626407

σ SHEL 0.0211694897 C.VSHEL 7.925676

 Two Asset Portfolio
Date UBDL UBL OGDC SHEL RUBDL RUBL ROGDC RSHEL
1-Jan-18 430.68 190.06 162.2 312.99
2-Jan-18 452.21 195.49 165.82 310.3 0.049991 0.02857 0.022318 -0.0085945238
3-Jan-18 463 196.08 168.23 307.88 0.023861 0.003018 0.014534 -0.0077989043
4-Jan-18 471.17 204.48 170.16 304.74 0.017646 0.04284 0.011472 -0.0101987787
5-Jan-18 484 210.42 170.05 305.37 0.02723 0.029049 -0.00065 0.0020673361
8-Jan-18 499.86 215.01 171.7 307.46 0.032769 0.021814 0.009703 0.0068441563
9-Jan-18 524.85 210.38 169.92 322.83 0.049994 -0.02153 -0.01037 0.0499902426
10-Jan-18 551.09 215.16 171.27 322.73 0.049995 0.022721 0.007945 -0.0003097606
11-Jan-18 578.64 213.91 169.67 316.16 0.049992 -0.00581 -0.00934 -0.0203575744
12-Jan-18 600.58 211.48 167.27 310.85 0.037916 -0.01136 -0.01415 -0.0167952935
15-Jan-18 570.56 206.56 167.9 304.08 -0.04999 -0.02326 0.003766 -0.0217789931
16-Jan-18 569.8 208.42 171.62 308.03 -0.00133 0.009005 0.022156 0.0129900026
17-Jan-18 555 209.83 171.81 307.87 -0.02597 0.006765 0.001107 -0.0005194299
18-Jan-18 572.25 209.97 171.83 312.01 0.031081 0.000667 0.000116 0.0134472342
19-Jan-18 563 213.89 169.14 312.29 -0.01616 0.018669 -0.01566 0.0008974071
22-Jan-18 535 213.8 171.59 327.9 -0.04973 -0.00042 0.014485 0.0499855903
23-Jan-18 525 212.18 173.84 344.29 -0.01869 -0.00758 0.013113 0.0499847514
24-Jan-18 498.75 213.14 171.55 361.5 -0.05 0.004524 -0.01317 0.0499869296
25-Jan-18 473.82 210.62 169.47 344.12 -0.04998 -0.01182 -0.01212 -0.048077455
26-Jan-18 450.13 203.17 170.84 349.05 -0.05 -0.03537 0.008084 0.0143263978
29-Jan-18 457 208.75 168.13 345.81 0.015262 0.027465 -0.01586 -0.0092823378
30-Jan-18 459.44 201.95 167.31 339.86 0.005339 -0.03257 -0.00488 -0.0172059802
31-Jan-18 482.41 193.63 164.59 345.75 0.049996 -0.0412 -0.01626 0.0173306656
1-Feb-18 506.53 190.82 165.52 352.99 0.049999 -0.01451 0.00565 0.0209399855
2-Feb-18 531.85 190.17 167.46 353.71 0.049987 -0.00341 0.011721 0.0020397178
6-Feb-18 552.76 189.51 166.06 348.14 0.039316 -0.00347 -0.00836 -0.0157473637
7-Feb-18 580.39 194.24 168.87 362.74 0.049986 0.024959 0.016922 0.0419371517
8-Feb-18 608.11 192.22 166.51 355.38 0.047761 -0.0104 -0.01398 -0.0202900149
9-Feb-18 629 196.34 166.26 352.91 0.034352 0.021434 -0.0015 -0.0069503067
12-Feb-18 601.39 189.59 165.81 348.87 -0.0439 -0.03438 -0.00271 -0.0114476779
13-Feb-18 571.33 193.45 165.88 350.69 -0.04998 0.02036 0.000422 0.005216843
14-Feb-18 542.77 196.97 165.08 344.64 -0.04999 0.018196 -0.00482 -0.0172517038
15-Feb-18 536.43 197.2 165.51 333.75 -0.01168 0.001168 0.002605 -0.0315981894
16-Feb-18 560.98 203.55 167.55 338.21 0.045766 0.032201 0.012326 0.0133632959
19-Feb-18 570 202.34 167.22 344.74 0.016079 -0.00594 -0.00197 0.0193075308
20-Feb-18 567.79 200.72 166.9 339.12 -0.00388 -0.00801 -0.00191 -0.0163021407
21-Feb-18 560.98 192.73 163.75 334.78 -0.01199 -0.03981 -0.01887 -0.0127978297
22-Feb-18 542.77 198.07 165.39 340 -0.03246 0.027707 0.010015 0.0155923293
23-Feb-18 561.6 196.91 164.34 333.66 0.034692 -0.00586 -0.00635 -0.0186470588
26-Feb-18 564.84 194.39 161.92 322.93 0.005769 -0.0128 -0.01473 -0.0321584847
27-Feb-18 550 190.71 162.31 314.2 -0.02627 -0.01893 0.002409 -0.0270337225
28-Feb-18 558 188.66 163.22 320.07 0.014545 -0.01075 0.005607 0.0186823679
1-Mar-18 550 188.81 163.24 329.62 -0.01434 0.000795 0.000123 0.0298372231
2-Mar-18 534.5 189.37 164.97 327.27 -0.02818 0.002966 0.010598 -0.0071294218
5-Mar-18 507.78 188.17 165.14 327.14 -0.04999 -0.00634 0.00103 -0.0003972255
6-Mar-18 482.63 188.47 165.08 325.66 -0.04953 0.001594 -0.00036 -0.004524057
7-Mar-18 506.76 190.22 165.06 321.94 0.049997 0.009285 -0.00012 -0.0114229565
8-Mar-18 71.84 189.62 162.51 325.43 -0.85824 -0.00315 -0.01545 0.0108405293
9-Mar-18 75.37 189.06 164.09 321.36 0.049137 -0.00295 0.009722 -0.0125065298
12-Mar-18 79.13 192.35 164.45 325.07 0.049887 0.017402 0.002194 0.0115446851
13-Mar-18 83.08 193.44 164.87 328.16 0.049918 0.005667 0.002554 0.0095056449
14-Mar-18 87.08 193.15 163.42 339.13 0.048146 -0.0015 -0.00879 0.0334288152
15-Mar-18 91.43 190.77 164.42 352.3 0.049954 -0.01232 0.006119 0.0388346652
16-Mar-18 96 188.93 165.59 351.69 0.049984 -0.00965 0.007116 -0.0017314789
19-Mar-18 100.8 188.86 169.41 354.24 0.05 -0.00037 0.023069 0.0072507037
20-Mar-18 101.41 197.79 170.89 362.04 0.006052 0.047284 0.008736 0.0220189702
21-Mar-18 96.34 196.82 171.99 358.08 -0.05 -0.0049 0.006437 -0.0109380179
22-Mar-18 97.07 198.24 172.28 359.38 0.007577 0.007215 0.001686 0.0036304736
26-Mar-18 92.22 201.87 173.14 359.5 -0.04996 0.018311 0.004992 0.0003339084
27-Mar-18 88.5 202.62 171.98 364.7 -0.04034 0.003715 -0.0067 0.0144645341
28-Mar-18 92.89 201.78 171.87 363.02 0.049605 -0.00415 -0.00064 -0.0046065259
29-Mar-18 97.53 205.82 174.25 361.86 0.049952 0.020022 0.013848 -0.0031954162
30-Mar-18 95.11 208.89 174.08 364.24 -0.02481 0.014916 -0.00098 0.0065771293
Mean -0.36787 0.105778 0.074009 0.1656020643

NO.of days 62 Weights E®UBDL,UBL

E®UBDL -0.00593 w1 0.6 E®UBL,OGDC

E®UBL 0.001706 w2 0.5 E®UBL,SHEL

E®OGDC 0.001194 W²1 0.36 E®OGDC,SHEL

E®SHEL 0.002671 W²2 0.25

RUBDL-E®UBDL RUBL-E®UBL ROGDC-E®OGDC RSHEL-E®SHEL (RUBDL-E®UBDL)*(RUBL-E®UBL)

0.0559241156 0.0268638326 0.0211244351 -0.0112655248 0.0015023361

0.0297939989 0.0013119645 0.0133401412 -0.0104699053 3.90886703933247E-05
0.0235791915 0.0411335646 0.0102786984 -0.0128697798 0.0009698962
0.03316349 0.0273432031 -0.001840141 -0.0006036649 0.000906796
0.0387019982 0.0201074232 0.0085093379 0.0041731552 0.0007781975
0.0559274015 -0.023239975 -0.0115606097 0.0473192416 -0.0012997514
0.0559286399 0.0210146983 0.0067512246 -0.0029807616 0.0011753235
0.0559252376 -0.007515723 -0.0105356653 -0.0230285755 -0.0004203186
0.043849897 -0.01306601 -0.0153387958 -0.0194662946 -0.0005729432
-0.0440516113 -0.024970704 0.0025726751 -0.0244499941 0.0010999997
0.0046013785 0.0072985549 0.0209623546 0.0103190016 3.35834138270142E-05
-0.0200406228 0.005059093 -8.65935476E-05 -0.003190431 -0.0001013874
0.0370144843 -0.001038886 -0.001077283 0.0107762332 -3.84538240973521E-05
-0.0102308607 0.0169632411 -0.0168486985 -0.0017735939 -0.0001735486
-0.043800167 -0.00212687 0.0132913514 0.0473145893 9.31572468771403E-05
-0.0127581856 -0.009283268 0.0119189616 0.0473137504 0.0001184377
-0.0440665968 0.0028183677 -0.0143667233 0.0473159286 -0.0001241959
-0.0440515592 -0.013529307 -0.0133184356 -0.0507484561 0.0005959871
-0.0440644863 -0.037077852 0.006890336 0.0116553967 0.0016338165
0.0211956608 0.0257585921 -0.0170564862 -0.0119533388 0.0005459704
0.0112725717 -0.034280943 -0.006070869 -0.0198769812 -0.0003864344
0.0559290501 -0.042904409 -0.0174509376 0.0146596645 -0.0023996028
0.0559323667 -0.016218307 0.0044567134 0.0182689845 -0.0009071283
0.0559205708 -0.005112444 0.0105269474 -0.0006312832 -0.0002858908
0.0452489997 -0.005176672 -0.009553896 -0.0184183647 -0.0002342392
0.0559189304 0.0232530124 0.015727904 0.0392661507 0.0013002836
0.0536943915 -0.012105598 -0.0151689379 -0.0229610159 -0.0006500027
0.0402857408 0.0197276812 -0.0026951019 -0.0096213078 0.0007947442
-0.0379616683 -0.036085231 -0.0039002947 -0.0141186789 0.0013698556
-0.0440508001 0.018653631 -0.0007715207 0.0025458419 -0.0008217074
-0.0440552198 0.0164898236 -0.0060164541 -0.0199227048 -0.0007264628
-0.0057474193 -0.000538402 0.0014111071 -0.0342691905 3.09442276059824E-06
0.0516989271 0.0304947187 0.0111318486 0.0106922948 0.0015765442
0.0220124078 -0.007650578 -0.0031632519 0.0166365298 -0.0001684076
0.0020562102 -0.009712419 -0.0031073373 -0.0189731418 -1.99707743806229E-05
-0.0060604678 -0.041512789 -0.0200672676 -0.0154688307 0.0002515869
-0.0265276471 0.0260010624 0.0088215766 0.0129213283 -0.000689747
0.0406258143 -0.007562608 -0.0075423211 -0.0213180599 -0.0003072371
0.011702634 -0.014503817 -0.0159192596 -0.0348294857 -0.0001697329
-0.0203395237 -0.020637108 0.0012149062 -0.0297047235 0.0004197489
0.0204788577 -0.012455398 0.0044128647 0.0160113669 -0.0002550723
-0.0084035144 -0.000911012 -0.0010711566 0.0271662221 7.65569857996053E-06
-0.022248415 0.001259852 0.0094042021 -0.0098004228 -2.80297092320868E-05
-0.0440572423 -0.008042894 -0.0001632002 -0.0030682266 0.0003543477
-0.0435959205 -0.00011179 -0.0015570187 -0.007195058 4.87357122667563E-06
0.0559302952 0.0075792048 -0.001314844 -0.0140939575 0.0004239072
-0.8523032374 -0.004860335 -0.0166426183 0.0081695283 0.0041424793
0.0550703742 -0.004659368 0.008528788 -0.0151775309 -0.0002565931
0.0558206262 0.0156957904 0.0010002273 0.0088736841 0.0008761488
0.0558512599 0.0039606607 0.0013602771 0.0068346439 0.0002212079
0.0540797681 -0.003205266 -0.0099884987 0.0307578142 -0.00017334
0.0558874684 -0.014028122 0.0049255114 0.0361636641 -0.0007839962
0.0559169972 -0.011351215 0.005922232 -0.0044024799 -0.0006347259
0.0559334032 -0.0020766 0.0218753353 0.0045797027 -0.0001161513
0.0119849905 0.0455776096 0.0075425115 0.0193479692 0.0005462472
-0.0440616663 -0.006610284 0.0052431986 -0.0136090189 0.0002912601
0.0135107335 0.0055086213 0.0004924539 0.0009594726 7.44255144117104E-05
-0.0440305403 0.0166050454 0.0037981831 -0.0023370926 -0.0007311291
-0.0344049182 0.0020091697 -0.0078934711 0.011793533 -6.91253177302973E-05
0.055537923 -0.005851784 -0.0018332999 -0.0072775269 -0.0003249959
0.0558849588 0.0183157133 0.0126539849 -0.0058664173 0.0010235729
-0.0188794749 0.0132098533 -0.0021693004 0.0039061282 -0.0002493951
SUM 0.0090548572

-0.0027069956
COVUBDL,UBL
0.0016205009
COVUBL,OGDC
0.0023591561
COVUBL,SHEL
0.0020517149
COVOGDC,SHEL

σ²port(UBDL,UBL)

σ²port(UBL,OGDC)
σ²port(UBL,SHEL)

σ²port(OGDC,SHEL)
(RUBL-E®UBL)*(ROGDC-E®OGDC) (RUBL-E®UBL)*(RSHEL-E®SHEL) (ROGDC-E®OGDC)*(RSHEL-E®SHEL)

0.0005674833 -0.0003026352 -0.0002379778

1.75017923964948E-05 -1.37361446201952E-05 -0.00013967
0.0004227995 -0.0005293799 -0.0001322846
-5.03153497650233E-05 -1.65061332695608E-05 1.11082863251629E-06
0.0001711009 8.39113982823942E-05 3.55107879780184E-05
0.0002686683 -0.001099698 -0.0005470393
0.0001418749 -6.26398055848576E-05 -2.01237910799253E-05
7.91831385425049E-05 0.0001730764 0.0002426214
0.0002004169 0.0002543468 0.0002985895
-6.42415091186871E-05 0.0006105336 -6.29018918855492E-05
0.0001529949 7.53137998534737E-05 0.0002163106
-4.3808481420609E-07 -1.61406870847706E-05 2.76270735410154E-07
1.11917403058568E-06 -1.11952762124585E-05 -1.16090524150962E-05
-0.0002858085 -3.0085900933166E-05 2.98827488849917E-05
-0.000028269 -0.000100632 0.0006288748
-0.0001106469 -0.0004392262 0.0005639308
-4.04907092336247E-05 0.0001333537 -0.0006797749
0.0001801892 0.0006865915 0.00067589
-0.0002554789 -0.0004321571 8.03096002626812E-05
-0.0004393511 -0.0003079012 0.000203882
0.0002081151 0.0006814017 0.0001206705
0.0007487222 -0.0006289642 -0.0002558249
-7.22803447918679E-05 -0.000296292 8.14196282486013E-05
-5.38184307525343E-05 3.22740010722433E-06 -6.64548499571532E-06
4.94573822839955E-05 9.53458253641089E-05 0.0001759671
0.0003657211 0.0009130563 0.0006175742
0.0001836291 0.0002779568 0.0003482942
-5.31681119490853E-05 -0.0001898061 2.59304052725006E-05
0.000140743 0.0005094758 0.000055067
-1.4391661847823E-05 4.74891955700511E-05 -1.96416965610096E-06
-9.92102663497045E-05 -0.0003285219 0.000119864
-7.59743040519825E-07 1.84506050944998E-05 -4.83574962895426E-05
0.0003394626 0.0003260585 0.000119025
2.42007058357814E-05 -0.0001272791 -5.26255352495686E-05
3.01797608207622E-05 0.0001842751 0.000058956
0.0008330482 0.0006421543 0.0003104172
0.0002293704 0.0003359683 0.0001139865
5.7039618234953E-05 0.0001612201 0.0001607877
0.00023089 0.0005051605 0.0005544596
-2.50721503035299E-05 0.0006130196
-0.000054964 -0.0001994279
9.75836043367426E-07 -2.47487418551878E-05
1.18479023884068E-05 -1.2347081869792E-05
1.31260209005725E-06 2.46774198726072E-05
1.74058523872443E-07 8.04332774594039E-07
-9.96547191702706E-06 -0.000106821
8.08887017448404E-05 -3.97066448947703E-05
-3.97387585421947E-05 7.07176957004339E-05
1.56993587870852E-05 0.0001392795
5.38759620927854E-06 2.70697053215536E-05
3.20157902322109E-05 -0.000098587
-6.90956760449215E-05 -0.0005073083
-6.72245291077523E-05 4.99734959352868E-05
-4.54263264049653E-05 -9.51021172222811E-06
0.0003437696 0.0008818342
-0.000034659 8.99594794998028E-05
2.71274216289074E-06 5.28537121481845E-06
0.000063069 -3.88075293136348E-05
-1.58593227199264E-05 2.36952087340713E-05
1.07280750523924E-05 4.25865163549473E-05
0.0002317668 -0.0001074476
-2.86561398349422E-05 5.15993811438671E-05
0.0044849293 0.0026613606
-3.60884532257668E-05
0.000070656
-2.90992785937367E-05
-9.21651561488406E-05
5.00735282828619E-07
1.1202839933637E-05
1.85313554859926E-05
-0.0001359623
-0.0001294459
8.87570147759464E-06
0.000009297
-0.0003072244
0.0001781245
-2.60725073481282E-05
0.0001001825
0.0001459323
-7.13547890895696E-05
4.72496043945477E-07
-8.8767056976081E-06
-9.30919127592023E-05
1.33418892770784E-05
-7.42335557878277E-05
-8.47356546955491E-06
0.0031878383

0.0001460461 σ²UBDL 0.0133744915

7.23375693469736E-05 σ²UBL 0.0003628441

4.29251712728612E-05 σ²OGDC 0.0001060336

5.14167470078944E-05 σ²SHEL 0.0004481473

0.0049931556

0.0002005348
0.0002684158

0.000181059
(RUBDL-E®UBDL)² (RUBL-E®UBL)² (ROGDC-E®OGDC)² (RSHEL-E®SHEL)²

0.0031275067 0.0007216655 0.0004462418 0.000126912

0.0008876824 1.721251E-06 0.0001779594 0.0001096189
0.0005559783 0.0016919701 0.0001056516 0.0001656312
0.0010998171 0.0007476508 3.3861189814E-06 3.6441136817E-07
0.0014978447 0.0004043085 7.2408831471E-05 1.7415224596E-05
0.0031278742 0.0005400964 0.0001336477 0.0022391106
0.0031280128 0.0004416175 0.000045579 8.8849396673E-06
0.0031276322 5.6486087E-05 0.0001110002 0.0005303153
0.0019228135 0.0001707206 0.0002352787 0.0003789366
0.0019405445 0.0006235361 6.6186573422E-06 0.0005978022
2.1172684274E-05 5.3268904E-05 0.0004394203 0.0001064818
0.0004016266 2.5594422E-05 7.4984424862E-09 1.0178849726E-05
0.001370072 1.0792838E-06 1.1605385822E-06 0.0001161272
0.0001046705 0.0002877515 0.0002838786 3.1456353304E-06
0.0019184546 4.5235746E-06 0.00017666 0.0022386704
0.0001627713 8.6179057E-05 0.0001420616 0.002238591
0.001941865 7.9431966E-06 0.0002064027 0.0022387971
0.0019405399 0.0001830422 0.0001773807 0.0025754058
0.001941679 0.0013747671 4.7476730866E-05 0.0001358483
0.000449256 0.0006635051 0.0002909237 0.0001428823
0.0001270709 0.001175183 3.6855450372E-05 0.0003950944
0.0031280586 0.0018407883 0.0003045352 0.0002149058
0.0031284296 0.0002630335 1.9862294434E-05 0.0003337558
0.0031271102 2.6137085E-05 0.0001108166 3.9851847569E-07
0.002047472 2.6797929E-05 9.1276929633E-05 0.0003392362
0.0031269268 0.0005407026 0.000247367 0.0015418306
0.0028830877 0.0001465455 0.0002300967 0.0005272083
0.0016229409 0.0003891814 7.2635745165E-06 9.2569562833E-05
0.0014410883 0.0013021439 1.5212299032E-05 0.0001993371
0.001940473 0.0003479579 5.9524414265E-07 6.4813110479E-06
0.0019408624 0.0002719143 3.6197719528E-05 0.0003969142
3.3032828052E-05 2.8987685E-07 1.9912231103E-06 0.0011743774
0.0026727791 0.0009299279 0.0001239181 0.0001143252
0.0004845461 5.8531344E-05 1.0006162883E-05 0.0002767741
0.000004228 9.4331076E-05 9.6555451924E-06 0.0003599801
3.6729269677E-05 0.0017233116 0.0004026952 0.0002392847
0.0007037161 0.0006760552 7.7820212881E-05 0.0001669607
0.0016504568 0.000057193 5.6886608062E-05 0.0004544597
0.0001369516 0.0002103607 0.0002534228 0.0012130931
 0.0004136962 0.0004258902 0.000001476 0.0008823706
0.0004193836 0.0001551369 1.9473375165E-05 0.0002563639
7.0619053706E-05 8.2994203E-07 1.1473765032E-06 0.0007380036
0.000494992 1.587227E-06 0.000088439 9.6048286963E-05
0.0019410406 6.4688138E-05 2.6634315184E-08 0.000009414
0.0019006043 1.2496918E-08 2.4243072564E-06 5.1768859845E-05
0.0031281979 5.7444345E-05 1.7288147515E-06 0.0001986396
0.7264208085 2.3622857E-05 0.0002769767 6.67411919E-05
0.0030327461 2.1709707E-05 7.2740224649E-05 0.0002303574
0.0031159423 0.0002463578 1.0004547503E-06 7.8742268648E-05
0.0031193632 1.5686833E-05 1.8503539216E-06 4.6712357257E-05
0.0029246213 1.0273727E-05 9.9770105343E-05 0.0009460431
0.0031234091 0.0001967882 2.4260662882E-05 0.0013078106
0.0031267106 0.0001288501 3.5072832035E-05 1.9381829182E-05
0.0031285456 4.3122685E-06 0.0004785303 2.0973676894E-05
0.00014364 0.0020773185 5.6889479587E-05 0.0003743439
0.0019414304 4.3695854E-05 2.7491131606E-05 0.0001852054
0.0001825399 3.0344909E-05 2.4251086407E-07 9.2058767101E-07
0.0019386885 0.0002757275 1.4426194644E-05 0.000005462
0.0011836984 4.0367627E-06 6.2306886748E-05 0.0001390874
0.0030844609 3.4243377E-05 0.000003361 5.2962398485E-05
0.0031231286 0.0003354654 0.0001601233 3.4414851553E-05
0.0003564346 0.0001745002 4.7058641327E-06 1.5257837826E-05
0.8292184757 0.0224963368 0.006574083 0.0277851322

σ UBDL 0.1156481368 RUBDL,UBL 0.0662965939

σ UBL 0.0190484682 RUBL,OGDC 0.3687925222

σ OGDC 0.0102972616 RUBL,SHEL 0.1064490009

σ SHEL 0.0211694897 ROGDC,SHEL 0.2358698658

Date RUBDL RUBL UBDL UBL RP
1-Jan-18 0.00% 100.00% 0.17%
2-Jan-18 5.00% 2.86% 10.0% 90.0% 0.09%
3-Jan-18 2.39% 0.30% 20.0% 80.0% 0.02%
4-Jan-18 1.76% 4.28% 30.0% 70.0% -0.06%
5-Jan-18 2.72% 2.90% 40.0% 60.0% -0.13%
8-Jan-18 3.28% 2.18% 50.0% 50.0% -0.21%
9-Jan-18 5.00% -2.15% 60.0% 40.0% -0.29%
10-Jan-18 5.00% 2.27% 70.0% 30.0% -0.36%
11-Jan-18 5.00% -0.58% 80.0% 20.0% -0.44%
12-Jan-18 3.79% -1.14% 90.0% 10.0% -0.52%
15-Jan-18 -5.00% -2.33% 100.0% 0.0% -0.59%
16-Jan-18 -0.13% 0.90%
17-Jan-18 -2.60% 0.68%
18-Jan-18 3.11% 0.07%
19-Jan-18 -1.62% 1.87%
22-Jan-18 -4.97% -0.04%
23-Jan-18 -1.87% -0.76%
24-Jan-18 -5.00% 0.45%
25-Jan-18 -5.00% -1.18%
26-Jan-18 -5.00% -3.54%
29-Jan-18 1.53% 2.75%
30-Jan-18 0.53% -3.26%
31-Jan-18 5.00% -4.12%
1-Feb-18 5.00% -1.45%
2-Feb-18 5.00% -0.34%
6-Feb-18 3.93% -0.35%
7-Feb-18 5.00% 2.50%
8-Feb-18 4.78% -1.04%
9-Feb-18 3.44% 2.14%
12-Feb-18 -4.39% -3.44%
13-Feb-18 -5.00% 2.04%
14-Feb-18 -5.00% 1.82%
15-Feb-18 -1.17% 0.12%
16-Feb-18 4.58% 3.22%
19-Feb-18 1.61% -0.59%
20-Feb-18 -0.39% -0.80%
21-Feb-18 -1.20% -3.98%
22-Feb-18 -3.25% 2.77%
23-Feb-18 3.47% -0.59%
26-Feb-18 0.58% -1.28%
27-Feb-18 -2.63% -1.89%
28-Feb-18 1.45% -1.07%
1-Mar-18 -1.43% 0.08%
 2-Mar-18 -2.82% 0.30%
5-Mar-18 -5.00% -0.63%
6-Mar-18 -4.95% 0.16%
7-Mar-18 5.00% 0.93%
8-Mar-18 -85.82% -0.32%
9-Mar-18 4.91% -0.30%
12-Mar-18 4.99% 1.74%
13-Mar-18 4.99% 0.57%
14-Mar-18 4.81% -0.15%
15-Mar-18 5.00% -1.23%
16-Mar-18 5.00% -0.96%
19-Mar-18 5.00% -0.04%
20-Mar-18 0.61% 4.73%
21-Mar-18 -5.00% -0.49%
22-Mar-18 0.76% 0.72%
26-Mar-18 -5.00% 1.83%
27-Mar-18 -4.03% 0.37%
28-Mar-18 4.96% -0.41%
29-Mar-18 5.00% 2.00%
30-Mar-18 -2.48% 1.49%

w1 0.6

w2 0.5

E®UBDL -0.00593

E®UBL 0.001706

σ UBDL 0.115648

σ UBL 0.019048

E®UBDL,UBL -0.00271

S.D. port UBDL,UBL 0.070662

RUBDL,UBL 0.066297
S.D port
0.86% Minimum Variance
0.99%
1.40%
1.97% Portfolio Plot
2.64%
8.00%
3.37%
4.13% 7.00%
4.94% 6.00%
5.77% 5.00%
Portfolio Plot
6.63%
4.00%
7.51%
3.00%
2.00%
1.00%
0.00%
-0.70%-0.60%-0.50%-0.40%-0.30%-0.20%-0.10% 0.00% 0.10% 0.20% 0.30%
ortfolio Plot