ICICI BANK BLUE STAR

Weight (X) X RETURNS Weight (Y) Y RETURNS

1999 0.50 21.00 0.50 162.60
2000 0.50 158.00 652.38 0.50 175.00 7.63
2001 0.50 147.50 -6.65 0.50 37.05 -78.83
2002 0.50 90.00 -38.98 0.50 47.15 27.26
2003 0.50 141.70 57.44 0.50 73.00 54.83
2004 0.50 299.70 111.50 0.50 169.70 132.47
2005 0.50 374.85 25.08 0.50 267.00 57.34
2006 0.50 586.25 56.40 0.50 505.00 89.14
2007 0.50 889.00 51.64 0.50 186.00 -63.17
2008 0.50 1235.00 38.92 0.50 495.00 166.13
2009 0.50 1189.00 -3.72 0.50 159.00 166.13

Arithmetic mean 94.40 55.89

geometric mean 73.76 61.81
standard deviation 200.50 86.12
coefficient of variation 212.39 154.09

Covariance -2135.63
Corelaation -0.14

the coefficient of variation of security y is less than security x.

therefore security y is preferable
 X Y
Return 3.72 166.13
Std. Dev. 200.5 86.12
MEAN VARIANCE FRONTIER

Portfolio W(x) W(y) E(rp) Std. Dev. (p)

1 1 0 3.72 200.50
2 0.95 0.05 11.84 190.52
3 0.9 0.1 19.96 180.66
4 0.85 0.15 28.08 170.91
5 0.8 0.2 36.20 161.32
6 0.75 0.25 44.32 151.91
7 0.7 0.3 52.44 142.71
8 0.65 0.35 60.56 133.77
9 0.6 0.4 68.68 125.13
10 0.55 0.45 76.80 116.89
11 0.5 0.5 84.93 109.11
12 0.45 0.55 93.05 101.90
13 0.4 0.6 101.17 95.40
14 0.35 0.65 109.29 89.77
15 0.3 0.7 117.41 85.16
16 0.25 0.75 125.53 81.76
17 0.2 0.8 133.65 79.72
18 0.15 0.85 141.77 79.14
19 0.1 0.9 149.89 80.06
20 0.05 0.95 158.01 82.43
21 0 1 166.13 86.12
 Date NSE Index Market Return T-Bill Rate (Risk free rate) Return on Sec. X
1999 3455.00
2000 3678.00 6.45 8.00 652.38
2001 3998.00 8.70 8.00 -6.65
2002 4123.00 3.13 8.00 -38.98
2003 4354.00 5.60 8.00 57.44
2004 4675.00 7.37 8.00 111.5
2005 4776.00 2.16 8.00 25.08
2006 4897.00 2.53 8.00 56.4
2007 5123.00 4.62 8.00 51.64
2008 5432.00 6.03 8.00 38.92
2009 5780.00 6.41 8.00 -3.72

Average Index 5.30

Beta (Stock x) 19.58
Beta (Stock y) -2.53
Average Stock x 94.40
Average Stock y 55.89
Alpha X -9.41
Alpha Y 69.29

Requried Rate of Return of a Security as per CAPM Model

Security X -44.87
Security Y 14.83

beta of the sec. X is greater than 1, it is said to aggressive

beta of the sec. Y is less than 1, it is said to be defensive
Return on Sec. Y

7.63
-78.83
27.26
54.83
132.47
57.34
89.14
-63.17
166.13
166.13
FORMUALE
1 returns=((c4-c3)/)*100
2 A.M=AVERAGE(D4:D13)
3 G.M=GEOMEAN(D4:D13)
4 Std. Dev.=STDEV(D4:D13)
5 Coff. Variance=(C18/C16)*100
6 covariance=covar(d4:d13,g4:g13)
7 correlation=correl(d4:d13,g4:g13)
8 average index=average(c3:c14)
9 beta(stock x)=slope(e4:e13,c4:c13)
10 beta(stock y)=slope(f4:f13,c4:c13)
11 average stock x=average(e4;e13)
12 average stock y=average(f4:f13)
13 alpha x=b18-b16*b15
14 alpha y=b19-b17*b15
15 rate of return as per capm model
16 secx=8+(b18+(b15-8)*b16
17 secy=8+(b18+(b15-8)*b17