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COMPANY

SUNTV
AUROBHINDO PHARMA

ULTRATECH CEMENT

SYNDICATE BANK

TITAN INDUSTRIES

YES BANK
SHRIRAM FINANCE

ANDHRABANK

CNX MIDCAP

PERIOD p0(O.P) p1(C.P) p1-p0


(p1-p0)/p0
Q1
340.15
413
72.85
0.21
Q2
427
436
9
0.02
Q3
436.5
520
83.5
0.19
Q4
481.8
527.3
45.5
0.09
Average return=
Q1
915
950.2
35.2
0.04
Q2
960
980
20
0.02
Q3
911
1040
129
0.14
Q4
1053.95 1171.3
117.35
0.11
Average return=
Q1
914.2 1126.5
212.3
0.23
Q2
1141.5
1000
-141.5
-0.12
Q3
878
1045
167
0.19
Q4
1046.7
1156
109.3
0.10
Average return=
Q1
95.7
92.9
-2.80
-0.03
Q2
85.5
90
4.50
0.05
Q3
92
114.6
22.60
0.25
Q4
115
125
10.00
0.09
Average return=
Q1
1425
1840
415.00
0.29
Q2
1860
2210
350.00
0.19
Q3
2360
3280
920.00
0.39
Q4
3291
3617
326.00
0.10
Average return=
Q1
268.8
257
-11.80
-0.04
Q2
257.8 284.35
26.55
0.10
Q3
285.35
353.5
68.15
0.24
Q4
354
340
-14.00
-0.04
Average return=
Q1
465
524
59.00
0.13
Q2
522
564
42.00
0.08
Q3
573
767
194.00
0.34
Q4
777
783
6.00
0.01
Average return=
Q1
104
109.5
5.50
0.05
Q2
108.5
130
21.50
0.20
Q3
131.5
162
30.50
0.23
Q4
161.15
150
-11.15
-0.07
Average return=
Q1
7460.3 7704.9
244.6
0.03
Q2
7750.45 8130.85
380.4
0.05
Q3
8096.1 9164.25
1068.15
0.13
Q4
9209.9 8857.2
-352.7
-0.04

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

4.38 12.08 146.03

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

CES OF SECURITIES OF YEAR

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

CONSOLIDATED RANKING OF SECURITIES BASED ON EXCESS RETURN TO BETA


RATIO
Ri

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

MARKOTWIZ RISK RETURN


COMPANY
Sun TV
Titan Industries
Ultra Tech Cement
Aurobindo Pharma
Shriram Finance

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

SHARPE SINGLE INDEX MODEL


COMPANY
Sun TV
Titan Industries
Ultra Tech Cement
Aurobindo Pharma
Shriram Finance

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

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