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SHARP (SINGLE) INDEX MODEL:

Return:

Ri = αi + βi*Rm + ei

Market return is independent variable

Security return is dependent variable

Where,

αi = component of security is return that is independent of the market performance

Rm = rate of return on market index

βi = sensitivity, constant that measure the expected change in Ri, given the change in Rm

ei = error term representing the random or residual return. Unexpected return resulting from influence not identified by the model

Risk:

Where,

σi 2 =

βi 2 σm 2 + σei 2

σi 2 = variance of individual security σm 2 = variance of market index return βi 2 = β co-efficient of individual security σei 2 = variance of residual returns of individual security

Portfolio risk:

Portfolio risk : αρ = βρ = σρ = βρ σm + Portfolio return : Rρ

αρ = βρ = σρ 2 = βρ 2 σm 2 +

Portfolio risk : αρ = βρ = σρ = βρ σm + Portfolio return : Rρ
Portfolio risk : αρ = βρ = σρ = βρ σm + Portfolio return : Rρ

Portfolio return :

Rρ = αρ + βρ Rm

Steps for finding out the stocks to be included in the portfolio which is optimal:

Step 1 : Find out the excess return to β ratio for each stock under consideration

( )
(
)

Step 2 : Rank them from highest to lowest

Step 3 : Proceed to calculate “Ci” for all stock according to the rank using the following formula

Ci =

Portfolio risk : αρ = βρ = σρ = βρ σm + Portfolio return : Rρ

Step 4 : The calculated value of “Ci” start declining after a particular point and that point is taken as the “cut-off point” and the stock ratio is “cut-off

ratio”. The highest value is taken as cut-off point “C * ”.

Step 5 : After determining the securities to be selected, the portfolio manager should find out, how much should be investment in each security? The percentage of fund to be invested in each security can be estimated as follows:

Zi =

* ( Xi =
* (
Xi =
- )
-
)
Step 4 : The calculated value of “Ci” start declining after a particular point and that

BSE 500 Index

   

MONTHLY

   

Date

Close

RETURN

(x-x‾)

(x-x‾)2

10/2/2006

6,552.75

     

11/1/2006

6,044.61

-7.7546068

-7.620927334

58.07853

12/1/2006

5,940.38

-1.7243462

-1.590666643

2.53022

1/3/2007

5,492.03

-7.547497

-7.413817451

54.96469

2/1/2007

5,520.25

0.5138355

0.647515013

0.419276

3/1/2007

4,140.42

-24.995788

-24.86210872

618.1245

4/2/2007

3,523.53

-14.899213

-14.76553361

218.021

5/1/2007

3,232.11

-8.2706831

-8.137003583

66.21083

6/1/2007

3,426.76

6.02238166

6.156061174

37.89709

7/2/2007

3,596.85

4.96358076

5.097260269

25.98206

8/1/2007

3,295.60

-8.375384

-8.241704507

67.92569

9/4/2007

3,570.07

8.32837723

8.46205674

71.6064

10/1/2007

4,897.59

37.1847051

37.31838457

1392.662

11/1/2007

5,631.51

14.9853295

15.11900903

228.5844

12/3/2007

5,525.77

-1.8776492

-1.743969646

3.04143

1/2/2008

5,215.37

-5.6173167

-5.483637172

30.07028

2/1/2008

6,474.97

24.1516901

24.28536961

589.7792

3/3/2008

6,885.03

6.33300232

6.466681825

41.81797

4/1/2008

6,157.27

-10.570179

-10.43649956

108.9205

5/1/2008

7,108.12

15.4427206

15.57640007

242.6242

6/2/2008

7,160.03

0.73029155

0.863971064

0.746446

7/1/2008

8,592.43

20.0055028

20.13918228

405.5867

8/1/2008

7,865.98

-8.454535

-8.32085547

69.23664

9/2/2008

7,785.22

-1.0266998

-0.893020278

0.797485

10/1/2008

6,773.54

-12.99488

-12.86120053

165.4105

11/3/2008

5,950.11

-12.156568

-12.02288855

144.5498

12/1/2008

6,063.20

1.90063713

2.034316641

4.138444

1/2/2009

5,781.37

-4.6482056

-4.514526058

20.38095

2/2/2009

5,646.90

-2.3259193

-2.192239779

4.805915

3/2/2009

5,311.03

-5.9478652

-5.81418569

33.80476

4/1/2009

4,955.39

-6.6962529

-6.562573383

43.06737

5/1/2009

4,938.08

-0.3493166

-0.215637093

0.046499

6/1/2009

5,408.71

9.53062729

9.664306798

93.39883

7/1/2009

5,270.76

-2.5505157

-2.416836232

5.841097

8/3/2009

5,227.73

-0.8163908

-0.682711295

0.466095

9/1/2009

4,957.37

-5.1716519

-5.037972431

25.38117

 

TOTAL

-4.6787828

0.00

4876.919

 

AVERAGE

-0.1336795

   
         
 

N

35

Market Return

 
 

EX2

4876.919

FOR r

 
 

(EX)2

0

YEAR 1

-45.517989

 

NEX2

170692.165

YEAR 2

58.9602233

 

N2

1225

YEAR 3

-26.812715

 

ei2

139.340543

AVERAGE

-4.4568269

   

X

X2

   

1. Berger Paint MONTHLY

   

Date

Close

RETURN

(x-x‾)

(x-x‾) 2

10/3/2006

59.45

     

11/1/2006

54.1

-8.999159

-9.537759437

90.96886

 

12/1/2006

43.5

-19.593346

-20.13194614

 

405.2953

 

1/2/2007

40.5

-6.8965517

-7.435152204

 

55.28149

2/1/2007

42.5

4.9382716

4.399671125

 

19.35711

3/1/2007

36.8

-13.411765

-13.95036519

 

194.6127

4/2/2007

34.9

-5.1630435

-5.701643958

 

32.50874

5/3/2007

33.5

-4.0114613

-4.550061798

 

20.70306

6/4/2007

32.7

-2.3880597

-2.926660181

 

8.56534

7/2/2007

34.4

5.19877676

4.660176278

 

21.71724

8/1/2007

30.5

-11.337209

-11.87580978

 

141.0349

9/3/2007

30.9

1.31147541

0.77287493

 

0.597336

10/1/2007

36.2

17.1521036

16.61350308

 

276.0085

11/1/2007

39.85

10.0828729

9.544272448

 

91.09314

12/3/2007

40

0.37641154

-0.162188937

 

0.026305

1/1/2008

38.4

-4

-4.53860048

 

20.59889

2/1/2008

38

-1.0416667

-1.580267147

 

2.497244

3/3/2008

44.5

17.1052632

16.56666268

 

274.4543

4/1/2008

35.7

-19.775281

-20.31388138

 

412.6538

5/2/2008

41.4

15.9663866

15.42778607

 

238.0166

6/2/2008

42.7

3.14009662

2.601496138

 

6.767782

7/1/2008

64.75

51.6393443

51.10074378

 

2611.286

8/1/2008

47.2

-27.104247

-27.64284758

 

764.127

9/1/2008

48

1.69491525

1.156314774

 

1.337064

10/1/2008

51.6

7.5

6.96139952

 

48.46108

11/3/2008

49.2

-4.6511628

-5.189763271

 

26.93364

12/1/2008

50.1

1.82926829

1.290667813

 

1.665823

1/1/2009

49.05

-2.0958084

-2.634408863

 

6.94011

2/2/2009

44.5

-9.2762487

-9.814849206

 

96.33126

3/2/2009

38

-14.606742

-15.14534205

 

229.3814

4/1/2009

36.5

-3.9473684

-4.485968901

 

20.12392

5/4/2009

40.15

10

9.46139952

 

89.51808

6/1/2009

44.85

11.7061021

11.16750164

 

124.7131

7/1/2009

47.25

5.35117057

4.812570089

 

23.16083

8/3/2009

47.75

1.05820106

0.519600578

 

0.269985

9/1/2009

53.05

11.0994764

10.56087596

 

111.5321

 

TOTAL

18.8510167

0.00

 

6468.54

 

AVEARAGE

0.53860048

   
 

N

35

FOR r

 
 

EX2

6468.54

YEAR 1

 

-48.023549

 

(EX)2

0

YEAR 2

 

0.32596685

 

NEX2

226398.9

YEAR 3

 

0.02810078

 

N2

1225

AVERAGE

 

-15.889827

 

ei2

184.815429

   
 
   

2. Cipla

     
     

MONTHLY

   
 

Date

 

Close

RETURN

 

10/3/2006

 

279.5

     
 

11/1/2006

 

271

 

-3.0411449

 

-3.232770172

10.4508

 

12/1/2006

 

276

 

1.84501845

 

1.65339318

2.733709

 

1/2/2007

 

253.5

 

-8.1521739

 

-8.343799183

69.61898

 

2/1/2007

 

222.05

 

-12.406312

 

-12.59793691

158.708

3/1/2007

242

8.98446296

8.792837689

77.31399

4/2/2007

 

-9.0495868

  • 220.1 -9.241212047

85.4

5/3/2007

 

-12.994094

  • 191.5 -13.18571886

173.8632

6/4/2007

191.95

0.23498695

0.043361675

0.00188

7/2/2007

187.6

-2.2662152

-2.45784043

6.04098

8/1/2007

198.05

5.57036247

5.378737203

28.93081

9/3/2007

176.75

-10.75486

-10.94648515

119.8255

10/1/2007

230.95

30.6647808

30.47315549

928.6132

11/1/2007

240.05

3.94024681

3.748621537

14.05216

12/3/2007

220

-8.3524266

-8.544051848

73.00082

1/1/2008

210

-4.5454545

-4.737079815

22.43993

2/1/2008

212

0.95238095

0.760755682

0.578749

3/3/2008

212.95

0.44811321

0.256487938

0.065786

4/1/2008

219

2.8410425

2.649417228

7.019412

5/2/2008

205.5

-6.1643836

-6.356008832

40.39885

6/2/2008

191

-7.0559611

-7.247586341

52.52751

7/1/2008

211.45

10.7068063

10.51518101

110.569

8/1/2008

183.6

-13.170962

-13.36258767

178.5587

9/1/2008

179

-2.5054466

-2.697071893

7.274197

10/1/2008

183.8

2.68156425

2.489938976

6.199796

11/3/2008

167.25

-9.0043526

-9.195977827

84.56601

12/1/2008

191.05

14.2301943

14.03856905

197.0814

1/1/2009

208.15

8.95053651

8.758911239

76.71853

2/2/2009

217.45

4.46793178

4.27630651

18.2868

3/2/2009

210.95

-2.9891929

-3.180818188

10.1176

4/1/2009

236.8

12.2540886

12.06246338

145.503

5/4/2009

231.95

-2.0481419

-2.239767162

5.016557

6/1/2009

246.3

6.18667816

5.995052893

35.94066

7/1/2009

251.35

2.05034511

1.858719838

3.454839

8/3/2009

254.85

1.3924806

1.200855335

1.442054

9/1/2009

262

2.80557191

2.613946635

6.832717

 

TOTAL

6.70688461

0.00

2759.146

 

AVEARAGE

0.19162527

   
 

N

35

   
 

EX2

2759.146

FOR r

 
 

(EX)2

0

YEAR 1

-36.762075

 

NEX2

96570.11

YEAR 2

-22.494046

 

N2

1225

YEAR 3

42.5462459

 

ei2

78.8327429

AVERAGE

-5.5699585

         
 

3. Atul

     

Ltd

   

MONTHLY

   

Date

Close

RETURN

X

X2

10/3/2006

85.7

     

11/1/2006

74.9

-12.6021

-14.61313558

213.5437

12/1/2006

63.95

-14.619493

-16.63052789

276.5745

1/2/2007

61.6

-3.6747459

-5.685781125

32.32811

2/1/2007

66.55

8.03571429

6.024679056

36.29676

3/1/2007

48

-27.873779

-29.88481434

893.1021

4/2/2007

43

-10.416667

-12.4277019

154.4478

5/3/2007

42.8

-0.4651163

-2.476151509

6.131326

6/4/2007

43.35

1.28504673

-0.725988501

0.527059

7/2/2007

42.95

-0.922722

-2.93375726

8.606932

8/1/2007

37.05

-13.736903

-15.74793861

247.9976

9/3/2007

43

16.0593792

14.04834399

197.356

10/1/2007

54.05

25.6976744

23.68663919

561.0569

11/1/2007

66.75

23.4967623

21.48572703

461.6365

12/3/2007

56.9

-14.756554

-16.76758954

281.1521

1/1/2008

52.8

-7.2056239

-9.216659132

84.94681

2/1/2008

54.9

3.97727273

1.966237497

3.86609

3/3/2008

61.65

12.295082

10.28404674

105.7616

4/1/2008

54.5

-11.597729

-13.60876435

185.1985

5/2/2008

67.5

23.853211

21.84217578

477.0806

6/2/2008

72.75

7.77777778

5.766742548

33.25532

7/1/2008

106.65

46.5979381

44.58690291

1987.992

8/1/2008

97.3

-8.7669948

-10.77803007

116.1659

9/1/2008

91

-6.4748201

-8.485855374

72.00974

10/1/2008

74.95

-17.637363

-19.64839787

386.0595

11/3/2008

74

-1.2675117

-3.278546904

10.74887

12/1/2008

80

8.10810811

6.097072878

37.1743

1/1/2009

88.6

10.75

8.73896477

76.36951

2/2/2009

87.5

-1.241535

-3.252570219

10.57921

3/2/2009

86.1

-1.6

-3.61103523

13.03958

4/1/2009

85.65

-0.5226481

-2.533683314

6.419551

5/4/2009

93

8.58143608

6.570400847

43.17017

6/1/2009

115

23.655914

21.64487875

468.5008

7/1/2009

115.55

0.47826087

-1.53277436

2.349397

8/3/2009

131.85

14.1064474

12.0954122

146.299

9/1/2009

120

-8.9874858

-10.99852101

120.9675

 

TOTAL

70.3862331

0.00

7758.711

 

AVERAGE

2.01103523

   
 

N

35

   
 

EX2

7758.711

FOR r

 
 

(EX)2

0

YEAR 1

-49.824971

 

NEX2

271554.885

YEAR 2

68.3626272

 

N2

1225

YEAR 3

60.1067378

 

ei2

221.677457

AVERAGE

26.2147981

 

4. bank of India

   
   

MONTHLY

   

Date

Close

RETURN

10/2/2006

412.05

     

11/1/2006

337.4

-18.116733

-16.83939339

283.5652

12/1/2006

329.65

-2.2969769

-1.019636862

1.039659

1/1/2007

352.25

6.8557561

8.133096125

66.14725

2/1/2007

337.85

-4.0880057

-2.810665658

7.899841

 

3/1/2007

 

235.15

-30.398106

-29.12076565

848.019

 

4/2/2007

 

219.9

-6.4852222

-5.207882179

27.12204

 

5/1/2007

 

225.25

2.43292406

3.710264076

13.76606

 

6/1/2007

 

249.15

10.6104329

11.88777287

141.3191

 

7/2/2007

 

287.7

15.4726069

16.74994688

280.5607

 

8/1/2007

 

250.35

-12.982273

-11.70493318

137.0055

 

9/3/2007

 

240.7

-3.8546036

-2.577263535

6.642287

 

10/1/2007

 

282.6

17.4075613

18.6849013

349.1255

 

11/1/2007

 

267.35

-5.3963199

-4.118979867

16.966

 

12/3/2007

 

271.5

1.5522723

2.829612322

8.006706

 

1/1/2008

 

216.65

-20.202578

-18.92523825

358.1646

 

2/1/2008

 

295

36.1643203

37.44166035

1401.878

 

3/3/2008

 

342.65

16.1525424

17.42988239

303.8008

 

4/1/2008

 

252.9

-26.192908

-24.9155682

620.7855

 

5/2/2008

 

359.55

42.1708185

43.44815853

1887.742

 

6/2/2008

 

354.85

-1.3071895

-0.029849522

0.000891

 

7/1/2008

 

365.45

2.98717768

4.264517701

18.18611

 

8/1/2008

 

350.7

-4.0361199

-2.758779832

7.610866

 

9/1/2008

 

357.3

1.88195038

3.159290405

9.981116

 

10/1/2008

 

276.9

-22.502099

-21.22475906

450.4904

 

11/3/2008

 

244.6

-11.664861

-10.38752094

107.9006

 

12/1/2008

 

258.55

5.70318888

6.9805289

48.72778

 

1/1/2009

 

232.75

-9.9787275

-8.701387499

75.71414

 

2/2/2009

 

210

-9.7744361

-8.49709607

72.20064

 

3/2/2009

 

191.65

-8.7380952

-7.460755218

55.66287

 

4/1/2009

 

167.8

-12.44456

-11.16722038

124.7068

 

5/4/2009

 

161.8

-3.5756853

-2.29834532

5.282391

 

6/1/2009

 

190.9

17.9851669

19.26250689

371.0442

 

7/1/2009

 

207.9

8.90518596

10.18252598

103.6838

 

8/3/2009

 

200.95

-3.3429533

-2.065613323

4.266758

 

9/1/2009

 

173.6

-13.610351

-12.33301081

152.1032

   

TOTAL

-44.706901

0.00

8367.119

   

AVEARAGE

-1.27734

   
   

N

35

   
   

EX2

8367.119

FOR r

 
   

(EX)2

0

YEAR 1

-41.584759

   

NEX2

292849.165

YEAR 2

26.433121

   

N2

1225

YEAR 3

-37.305887

   

ei2

239.060543

AVERAGE

-17.485842

 
           
   

5. Balaji Tele MONTHLY

   

Date

Close

RETURN

10/2/2006

73.3

     

11/1/2006

61.7

-15.825375

-20.17749777

 

407.1314

12/1/2006

50.85

-17.585089

-21.93721174

 

481.2413

1/1/2007

54.65

7.47295969

3.120837085

 

9.739624

2/1/2007

56.8

3.93412626

-0.417996342

 

0.174721

3/1/2007

44.2

-22.183099

-26.53522119

 

704.118

4/2/2007

29.5

-33.257919

-37.61004115

 

1414.515

5/1/2007

31.6

7.11864407

2.766521468

 

7.653641

6/1/2007

44.7

41.4556962

37.1035736

1376.675

7/2/2007

64.9

45.1901566

40.838034

1667.745

8/1/2007

59.9

-7.7041602

-12.05628285

145.354

9/3/2007

70.1

17.0283806

12.67625803

160.6875

10/1/2007

142.05

102.639087

98.28696442

9660.327

11/1/2007

168.45

18.5850053

14.23288268

202.5749

12/3/2007

171.65

1.89967349

-2.452449106

6.014507

1/1/2008

169.4

-1.3108069

-5.662929474

32.06877

2/1/2008

208

22.7863046

18.434182

339.8191

3/3/2008

177.4

-14.711538

-19.06366106

363.4232

4/1/2008

196.35

10.6820744

6.329951808

40.06829

5/2/2008

211.5

7.7158136

3.363690998

11.31442

6/2/2008

232.9

10.1182033

5.76608071

33.24769

7/1/2008

354.85

52.3615286

48.00940595

2304.903

8/1/2008

345.95

-2.508102

-6.860224615

47.06268

9/1/2008

307.05

-11.244399

-15.59652208

243.2515

10/6/2008

262.45

-14.525322

-18.87744421

356.3579

11/3/2008

263.65

0.45722995

-3.894892651

15.17019

12/1/2008

252.3

-4.3049497

-8.657072344

74.9449

1/5/2009

223.95

-11.236623

-15.58874567

243.009

2/2/2009

219.25

-2.0986827

-6.450805342

41.61289

3/2/2009

165.9

-24.332953

-28.68507585

822.8336

4/1/2009

127

-23.44786

-27.79998276

772.839

5/1/2009

114.05

-10.19685

-14.54897299

211.6726

6/1/2009

119.95

5.17316966

0.821047062

0.674118

7/1/2009

126.85

5.75239683

1.400274232

1.960768

8/3/2009

142.05

11.9826567

7.630534081

58.22505

9/1/2009

137

-3.5550862

-7.907208837

62.52395

 

TOTAL

152.324291

0.00

22320.93

 

AVEARGE

4.3521226

   
 

N

35

   
 

EX2

22320.93

FOR r

 
 

(EX)2

0

YEAR 1

-4.3656207

 

NEX2

781232.55

YEAR 2

116.156283

 

N2

1225

YEAR 3

-47.799581

 

ei2

637.740857

AVERAGE

21.3303605

         
           
 

6. Bhel

     
   

MONTHLY

   

Date

Close

RETURN

10/2/2006

2325.15

     

11/1/2006

2314.7

-0.4494334

-1.79995431

3.239836

12/1/2006

2228.05

-3.7434657

-5.093986616

25.9487

1/1/2007

2204.35

-1.0637104

-2.414231359

5.828513

2/1/2007

2174.9

-1.3359947

-2.686515678

7.217366

3/1/2007

1651.75

-24.053979

-25.40450043

645.3886

4/2/2007

1504.35

-8.9238686

-10.27438956

105.5631

5/1/2007

1396.3

-7.1825041

-8.533025012

72.81252

6/1/2007

1320.45

-5.4322137

-6.782734648

46.00549

7/2/2007

1362.4

3.17694725

1.826426313

3.335833

8/1/2007

1361.3

-0.0807399

-1.431260811

2.048508

9/3/2007

1281.6

-5.8546977

-7.205218655

51.91518

10/1/2007

1586

23.7515605

22.40103961

501.8066

11/1/2007

1706.55

7.60088272

6.250361784

39.06702

12/3/2007

1679.05

-1.6114383

-2.961959222

8.773202

1/1/2008

1380.6

-17.774932

-19.12545319

365.783

2/1/2008

1662.15

20.3933073

19.04278632

362.6277

3/3/2008

1897

14.1292904

12.77876944

163.2969

4/1/2008

2056.55

8.41064839

7.060127452

49.8454

5/2/2008

2282

10.9625343

9.612013401

92.3908

6/2/2008

2064.1

-9.5486415

-10.89916248

118.7917

7/1/2008

2584.25

25.199845

23.84932403

568.7903

8/1/2008

2680.25

3.71481087

2.364289934

5.589867

9/1/2008

2613.35

-2.4960358

-3.846556758

14.796

10/1/2008

2032.75

-22.216695

-23.56721599

555.4137

11/3/2008

1889.15

-7.0643217

-8.414842672

70.80958

12/1/2008

1731.7

-8.3344361

-9.684957062

93.79839

1/1/2009

1538.25

-11.171104

-12.52162448

156.7911

2/2/2009

1398.9

-9.0589956

-10.40951655

108.358

3/2/2009

2487.25

77.8004146

76.44989367

5844.586

4/1/2009

2260.75

-9.1064429

-10.4569638

109.3481

5/4/2009

2176.8

-3.7133695

-5.063890397

25.64299

6/1/2009

2517.25

15.6399302

14.28940923

204.1872

7/1/2009

2298.15

-8.7039428

-10.05446373

101.0922

8/3/2009

2506.8

9.07904184

7.728520898

59.73004

9/1/2009

2414.8

-3.6700176

-5.020538492

25.20581

 

TOTAL

47.2682331

0.00

10615.83

 

AVERAGE

1.35052094

   
 

N

35

   
 

EX2

10615.83

FOR r

 
 

(EX)2

0

YEAR 1

-44.880975

 

NEX2

371554.05

YEAR 2

64.7761665

 

N2

1225

YEAR 3

18.7947362

 

ei2

303.309429

AVERAGE

12.8966424

 

7. Essar

     

Oil

   

MONTHLY

   

Date

Close

RETURN

10/3/2006

158.9

     

11/1/2006

145.2

-8.6217747

-9.965707601

99.31533

12/1/2006

151

3.99449036

2.650557458

7.025455

1/2/2007

152.5

0.99337748

-0.350555417

0.122889

2/1/2007

166.9

9.44262295

8.098690051

65.58878

3/1/2007

144.2

-13.600959

-14.94489156

223.3498

4/2/2007

72.55

-49.687933

-51.03186633

2604.251

5/3/2007

66.55

-8.2701585

-9.614091411

92.43075

6/4/2007

74.1

11.3448535

10.00092059

100.0184

7/2/2007

86.75

17.071525

15.72759207

247.3572

8/1/2007

74.3

-14.351585

-15.69551791

246.3493

9/3/2007

83.6

12.5168237

11.17289079

124.8335

10/1/2007

159.95

91.3277512

89.9838183

8097.088

11/1/2007

209.4

30.9159112

29.57197832

874.5019

12/3/2007

187.65

-10.386819

-11.73075238

137.6106

1/1/2008

176.8

-5.782041

-7.125973934

50.7795

2/1/2008

223.65

26.4988688

25.15493588

632.7708

3/3/2008

277.05

23.8765929

22.53265999

507.7208

4/1/2008

204.05

-26.349034

-27.69296737

766.9004

5/2/2008

258.3

26.5866209

25.24268803

637.1933

6/2/2008

224.65

-13.027487

-14.37142032

206.5377

7/1/2008

325.5

44.8920543

43.54812141

1896.439

8/1/2008

241.95

-25.668203

-27.01213566

729.6555

9/1/2008

56.65

-76.586072

-77.9300044

6073.086

10/1/2008

58.3

2.91262136

1.568688459

2.460783

11/3/2008

52.2

-10.463122

-11.80705468

139.4065

12/1/2008

53

1.53256705

0.18863415

0.035583

1/1/2009

55

3.77358491

2.429652006

5.903209

2/2/2009

55.25

0.45454545

-0.889387445

0.79101

3/2/2009

57.6

4.25339367

2.909460765

8.464962

4/1/2009

51.75

-10.15625

-11.5001829

132.2542

5/4/2009

54.15

4.63768116

3.293748259

10.84878

6/1/2009

61.2

13.0193906

11.67545768

136.3163

7/1/2009

54.55

-10.866013

-12.20994597

149.0828

8/3/2009

48.85

-10.449129

-11.79306214

139.0763

9/1/2009

54.35

11.258956

9.915023088

98.30768

 

TOTAL

47.0376513

0.00

25243.87

 

AVERAGE

1.3439329

   
 

N

35

   
 

EX2

25243.87

FOR r

 
 

(EX)2

0

YEAR 1

-47.388295

 

NEX2

883535.45

YEAR 2

-64.582682

 

N2

1225

YEAR 3

-6.7753002

 

ei2

721.253429

AVERAGE

-39.582092

         
         
 

8. Escorts

     
   

MONTHLY

   

Date

Close

RETURN

10/3/2006

110.45

     

11/1/2006

72.4

-34.449977

-37.44114477

1401.839

12/1/2006

72.95

0.75966851

-2.231498892

4.979587

1/2/2007

57.95

-20.562029

-23.55319619

554.7531

2/1/2007

65.55

13.1147541

10.1235867

102.487

3/1/2007

40.75

-37.833715

-40.82488212

1666.671

4/2/2007

35.3

-13.374233

-16.36540053

267.8263

5/3/2007

33.95

-3.8243626

-6.815530006

46.45145

6/4/2007

36.85

8.54197349

5.55080609

30.81145

7/2/2007

40

8.54816825

5.55700085

30.88026

8/1/2007

32

-20

-22.9911674

528.5938

9/3/2007

35.65

11.40625

8.4150826

70.81362

10/1/2007

60.25

69.0042076

66.01304017

4357.721

11/1/2007

81.3

34.9377593

31.94659194

1020.585

12/3/2007

74.65

-8.1795818

-11.1707492

124.7856

1/1/2008

71.9

-3.683858

-6.675025404

44.55596

2/1/2008

94.9

31.9888734

28.99770604

840.867

3/3/2008

102.95

8.48261328

5.491445877

30.15598

4/1/2008

85.75

-16.707139

-19.69830679

388.0233

5/2/2008

106.35

24.0233236

21.03215622

442.3516

6/2/2008

88.35

-16.925247

-19.91641423

396.6636

7/1/2008

162.25

83.6445954

80.65342796

6504.975

8/1/2008

152.6

-5.9476117

-8.93877911

79.90177

9/1/2008

119.7

-21.559633

-24.55080043

602.7418

10/1/2008

118.5

-1.0025063

-3.993673666

15.94943

11/3/2008

95.2

-19.662447

-22.65361466

513.1863

12/1/2008

104.2

9.45378151

6.462614113

41.76538

1/1/2009

109.55

5.13435701

2.143189606

4.593262

2/2/2009

123.7

12.9164765

9.925309095

98.51176

3/2/2009

131.35

6.1843169

3.193149496

10.1962

4/1/2009

115.5

-12.066997

-15.05816397

226.7483

5/4/2009

125.45

8.61471861

5.623551215

31.62433

6/1/2009

121.45

-3.1885213

-6.179688723

38.18855

7/1/2009

111.4

-8.2750103

-11.26617769

126.9268

8/3/2009