Professional Documents
Culture Documents
SUNTV
AUROBHINDO PHARMA
ULTRATECH CEMENT
SYNDICATE BANK
TITAN INDUSTRIES
YES BANK
SHRIRAM FINANCE
ANDHRABANK
CNX MIDCAP
Average return=
O.P=Opening price C.P=Closing prices. Dividends& Stock Splits are adjusted to closing prices.
((p1-p0)/p0)*100
21.42
2.11
19.13
9.44
13.02
3.85
2.08
14.16
11.13
7.81
23.22
-12.40
19.02
10.44
10.07
-2.93
5.26
24.57
8.70
8.90
29.12
18.82
38.98
9.91
24.21
-4.39
10.30
23.88
-3.95
6.46
12.69
8.05
33.86
0.77
13.84
5.29
19.82
23.19
-6.92
10.34
3.28
4.91
13.19
-3.83
to closing prices.
4.39
COMPANY
Ri
BETA
ALPHA
Titan Industries
Shriram Finance
Sun TV
AndhraBank
Ultra Tech Cement
Syndicate Bank
Aurobindo Pharma
Yes Bank
Market(Midcap)
24.21
13.84
13.02
10.34
10.07
8.9
7.81
6.46
10.91 118.95
12.31 151.6
7.74
59.9
12.02 144.6
13.77 189.5
9.98 99.69
5 24.96
11.66 136.07
22.41
11.74
12.45
8.41
9.59
7.76
7.59
4.62
0.41
0.48
0.13
0.44
0.11
0.26
0.05
0.42
Syst.
Risk
24.55
33.65
2.47
28.27
1.77
9.87
0.37
25.76
Unsyst.R
isk
94.4
117.95
57.43
116.33
187.73
89.82
24.59
110.31
DISCLOSURE:1.ABOVE ALL DATA ARE CALCULATEDON THE BASIS ON PRICES OF SECURITIES OF YEA
2010.
Cov.to
mkt
60.8
71.5
19
64.67
16.39
38.34
8.52
62.5
Corr.to
mkt
0.92
0.96
0.4
0.88
0.19
0.63
0.28
0.88
Ri
COMPANY
Titan Industries
Shriram Finance
Sun TV
AndhraBank
Ultra Tech Cement
Syndicate Bank
Aurobindo Pharma
Yes Bank
Unsyst.Risk
24.21
13.84
13.02
10.34
10.07
8.9
7.81
6.46
18.21
7.84
7.02
4.34
4.07
2.9
1.81
0.46
0.41
0.48
0.13
0.44
0.11
0.26
0.05
0.42
/BETA
94.40
117.95
57.43
116.33
187.73
89.82
24.59
110.31
44.41
16.33
54.00
9.86
37.00
11.15
36.20
1.10
COMPANY
Sun TV
Titan Industries
Ultra Tech Cement
Aurobindo Pharma
Shriram Finance
Syndicate Bank
AndhraBank
Yes Bank
Unsyst.Risk
13.02
24.21
10.07
7.81
13.84
8.9
10.34
6.46
7.02
18.21
4.07
1.81
7.84
2.9
4.34
0.46
0.13
0.41
0.11
0.05
0.48
0.26
0.44
0.42
57.43
94.40
187.73
24.59
117.95
89.82
116.33
110.31
/BETA
54.00
44.41
37.00
36.20
16.33
11.15
9.86
1.10
selecting the optimal portfolio involves the comparison of excess to return ratio
with C*. Here we have to find out cutoff rate, which helps in selecting
securities in our optimum portfolio. And securities whose excess return to beta
ratio is lower than the cutoff rate, should be excluded from our portfolio.
RANK
2
5
1
7
3
6
4
8
S RETURN TO BETA
RANK
eturn ratio
selecting
turn to beta
rtfolio.
1
2
3
4
5
6
7
8
COMPANY
Sun TV
Titan Industries
Ultra Tech Cement
Aurobindo Pharma
Shriram Finance
Syndicate Bank
AndhraBank
Yes Bank
/BETA
54.00
44.41
37.00
36.20
16.33
11.15
9.86
1.10
Unsyst.Risk
57.4321
94.4022
187.7330
24.5949
117.9545
89.8183
116.3284
110.3101
0.9402
0.4705
0.1971
1.4718
0.1385
0.1242
0.0848
0.0099
0.13
0.41
0.11
0.05
0.48
0.26
0.44
0.42
0.32
0.24
0.16
0.28
0.22
0.15
0.32
0.26
6.88
7.93
10.34
13.56
14.12
13.98
12.67
11.45
Excess to return
ratio
COMPANY
Sun TV
Titan Industries
Ultra Tech Cement
Aurobindo Pharma
Shriram Finance
0.32
0.24
0.16
0.28
0.22
54.00
44.41
37.00
36.20
16.33
Zi
12.76
7.27
3.66
6.18
0.49
30.36
0.42
0.24
0.12
0.20
0.02
1.00
Particulars
7.74
10.91
13.77
4.99
12.31
Covariance
COVAR(1,2)
COVAR(1,3)
COVAR(1,4)
COVAR(1,5)
COVAR(2,3)
COVAR(2,4)
COVAR(2,5)
COVAR(3,4)
COVAR(3,5)
COVAR(4,5)
60.38
102.24
14.03
55.64
78.17
14.42
127.06
33.65
72.33
30.35
PARTICULARS
Portfolio Return
Portfolio Variance
Portfolio Risk
14.31%
56.12
7.49
IZ RISK RETURN
13
24.2
10.1
7.81
13.8
Particulars
CORREL(1,2)
CORREL(1,3)
CORREL(1,4)
CORREL(1,5)
CORREL(2,3)
CORREL(2,4)
CORREL(2,5)
CORREL(3,4)
CORREL(3,5)
CORREL(4,5)
0.42
0.24
0.12
0.20
0.02
Correlation
0.71
0.96
0.36
0.58
0.52
0.26
0.95
0.49
0.43
0.49
Unsys.rsk
12.45
22.41
9.58
7.59
11.73
0.13
0.41
0.11
0.05
0.48
57.43
94.41
187.73
24.59
117.9
0.42
0.24
0.12
0.20
0.02
0.05
0.1
0.01
0.01
0.01
0.18
0.03
PARTICULARS
Portfolio Return
Portfolio Variance
Portfolio Risk
14.29%
24.17
4.91
MODEL
0.18
0.06
0.01
0.04
0
10.15
5.41
2.73
1.02
0.05
19.36