Date BSE-30 Rb Rb - Rb^ (Rb - Rb^)2 (Rb - Rb^)2/(26-1)

4/30/1996 3376.64
6/28/1996 3731.96 10.522886656558 10.291762688558 105.920379237595 4.23681516950379
9/30/1996 3519.42 -5.69513070879645 -5.92625467679645 35.1204944942518 1.40481977977007
12/24/1996 2883.88 -18.0580891169568 -18.2892130849568 334.495315266954 13.3798126106782
3/31/1997 3360.89 16.5405634076314 16.3094394396314 265.997814835003 10.6399125934001
6/30/1997 4256.09 26.635801826302 26.404677858302 697.207012800702 27.8882805120281
9/30/1997 3902.03 -8.31890303071598 -8.55002699871598 73.1029616787722 2.92411846715089
12/31/1997 3658.98 -6.22880910705454 -6.45993307505454 41.7307353341836 1.66922941336734
3/31/1997 3892.75 6.38893899392727 6.15781502592727 37.9186858935356 1.51674743574143
6/30/1998 3250.69 -16.4937383597714 -16.7248623277714 279.721019882906 11.1888407953162
9/30/1998 2812.49 -13.4802149697449 -13.7113389377449 188.000815465719 7.52003261862877
12/31/1998 3055.41 8.63718626555117 8.40606229755117 70.6618833503113 2.82647533401245
3/31/1999 3739.96 22.4045218154029 22.1733978474029 491.659572099209 19.6663828839684
6/30/1999 4140.73 10.7158900095188 10.4847660415188 109.930318945386 4.39721275781544
9/30/1999 4764.92 15.0743950945848 14.8432711265848 220.322697737306 8.81290790949222
12/30/1999 5005.82 5.05569873156317 4.82457476356317 23.2765216492106 0.931060865968423
3/31/2000 5001.28 -0.090694431681522 -0.321818399681522 0.103567082373576 0.004142683294943
6/30/2000 4748.77 -5.04890747968519 -5.28003144768519 27.8787320885445 1.11514928354178
9/29/2000 4090.38 -13.8644322635125 -14.0955562315125 198.68470547573 7.94738821902918
12/29/2000 3972.12 -2.89117392516099 -3.12229789316099 9.74874413363757 0.389949765345503
3/30/2001 3604.39 -9.25777670362426 -9.48890067162426 90.0392359559514 3.60156943823805
6/29/2001 3456.79 -4.09500636723551 -4.32613033523551 18.7154036774449 0.748616147097795
9/28/2001 2811.66 -18.6626899522389 -18.8938139202389 356.976204452614 14.2790481781046
12/31/2001 3263.33 16.0641756115604 15.8330516435604 250.685524347652 10.0274209739061
3/28/2002 3469.35 6.31318315953336 6.08205919153336 36.9914440093154 1.47965776037262
6/28/2002 3244.7 -6.47527634859556 -6.70640031659556 44.9758052064331 1.79903220825732
9/30/2002 2930.51 -9.6831756402749 -9.9142996082749 98.2933367226398 3.93173346890559

Average Return Err:522

Variance 164.326357272935
Standard Deviation 12.8189842527766
 Date RPL RR (RR - RR^) (RR - RR^)2 (RR - RR^)2/(26-1)
4/30/1996 14.75
6/28/1996 12.9 -12.5423728813559 -16.6004620623559 275.575340683719 11.0230136273487
9/30/1996 10.25 -20.5426356589147 -24.6007248399147 605.195662649198 24.2078265059679
12/24/1996 10.4 1.46341463414634 -2.59467454685366 6.73233600409022 0.269293440163609
3/31/1997 12.7 22.1153846153846 18.0572954343846 326.065918404647 13.0426367361859
6/30/1997 17.4 37.007874015748 32.949784834748 1085.68832065619 43.4275328262476
9/30/1997 19 9.19540229885059 5.13731311785059 26.3919860708397 1.05567944283359
12/31/1997 23.55 23.9473684210526 19.8892792400526 395.583428688789 15.8233371475516
3/31/1997 20.5 -12.9511677282378 -17.0092569092378 289.314820604454 11.5725928241781
6/30/1998 20 -2.4390243902439 -6.4971135712439 42.2124847576417 1.68849939030567
9/30/1998 17.6 -12 -16.058089181 257.862228144949 10.314489125798
12/31/1998 18.8 6.81818181818181 2.76009263718181 7.61811136582526 0.30472445463301
3/31/1999 18.7 -0.53191489361703 -4.59000407461703 21.0681374050009 0.842725496200037
6/30/1999 27.05 44.6524064171123 40.5943172361123 1647.89859186613 65.915943674645
9/30/1999 46.9 73.3826247689464 69.3245355879464 4805.89123448445 192.235649379378
12/30/1999 65.7 40.0852878464819 36.0271986654819 1297.9590436821 51.918361747284
3/31/2000 60.04 -8.61491628614917 -12.6730054671492 160.605067570393 6.42420270281571
6/30/2000 53.95 -10.143237841439 -14.201327022439 201.677689198257 8.06710756793029
9/29/2000 56.75 5.1899907321594 1.1319015511594 1.28120112151706 0.051248044860682
12/29/2000 56.6 -0.26431718061674 -4.32240636161674 18.6831967549448 0.747327870197794
3/30/2001 48.55 -14.2226148409894 -18.2807040219894 334.18413953958 13.3673655815832
6/29/2001 47 -3.19258496395468 -7.25067414495468 52.5722755563143 2.10289102225257
9/28/2001 29.75 -36.7021276595745 -40.7602168405745 1661.39527689065 66.455811075626
12/31/2001 29.3 -1.5126050420168 -5.5706942230168 31.0326341263528 1.24130536505411
3/28/2002 25.85 -11.7747440273038 -15.8328332083038 250.678607401966 10.0271442960786
6/28/2002 24.05 -6.96324951644101 -11.021338697441 121.469906683711 4.85879626734843
9/30/2002 23.1 -3.95010395010395 -8.00819313110395 64.1311572250604 2.56524628900242

Average Return Err:522

Variance 559.55075190147
Standard Deviation 23.6548251293784
 DATE MRPL RM RM - RM^ (RM - RM^)2 ((RM - RM^2)/(26-1)
4/30/1996 32.5
6/28/1996 28.25 -13.0769230769231 -9.93774845992308 98.7588444527035 3.95035377810814
9/30/1996 19.35 -31.5044247787611 -28.3652501617611 804.587416739286 32.1834966695714
12/24/1996 20.6 6.45994832041344 9.59912293741344 92.1431611675768 3.68572644670307
3/31/1997 17.65 -14.3203883495146 -11.1812137325146 125.019540532173 5.0007816212869
6/30/1997 18.1 2.54957507082155 5.68874968782155 32.3618730106897 1.29447492042759
9/30/1997 21.6 19.3370165745856 22.4761911915856 505.179170480712 20.2071668192285
12/31/1997 19.85 -8.10185185185185 -4.96267723485185 24.6281653373168 0.985126613492673
3/31/1997 19.25 -3.02267002518892 0.116504591811077 0.013573319913066 0.000542932796523
6/30/1998 16.15 -16.1038961038961 -12.9647214868961 168.084003232786 6.72336012931143
9/30/1998 13.9 -13.9318885448916 -10.7927139278916 116.482673929306 4.65930695717224
12/31/1998 12.9 -7.19424460431655 -4.05506998731655 16.4435926020354 0.657743704081417
3/31/1999 10.3 -20.1550387596899 -17.0158641426899 289.539632522481 11.5815853008992
6/30/1999 19 84.4660194174757 87.6051940344757 7674.67002181814 306.986800872725
9/30/1999 21 10.5263157894737 13.6654904064737 186.745628049424 7.46982512197697
12/30/1999 16.7 -20.4761904761905 -17.3370158591905 300.572118901822 12.0228847560729
3/31/2000 12.35 -26.0479041916168 -22.9087295746168 524.809890722921 20.9923956289168
6/30/2000 9.9 -19.8380566801619 -16.6988820631619 278.852662159391 11.1541064863757
9/29/2000 8.8 -11.1111111111111 -7.97193649411111 63.5517714661405 2.54207085864562
12/29/2000 8.8 0 3.139174617 9.8544172760171 0.394176691040684
3/30/2001 7.7 -12.5 -9.36082538300001 87.6250518510172 3.50500207404069
6/29/2001 6.85 -11.038961038961 -7.89978642196104 62.4066255126001 2.496265020504
9/28/2001 6.3 -8.02919708029197 -4.89002246329197 23.9123196915 0.956492787660002
12/31/2001 6.8 7.93650793650794 11.0756825535079 122.67074402608 4.9068297610432
3/28/2002 6.8 0 3.139174617 9.8544172760171 0.394176691040684
6/28/2002 10 47.0588235294118 50.1979981464118 2519.83901790716 100.793560716286
9/30/2002 7.65 -23.5 -20.360825383 414.563210277017 16.5825284110807

Average Return(RM^) -3.13917461671836

Variance 582.126781770489
Standard Deviation 24.1273036572778
 Co-Variance of Co-Variance of Co-Variance of
Date Rb - Rb^ RM - RM^ (RR - RR^) BSE and MRPL BSE and RPL MRPL and RPL
6/28/1996 10.2917 -9.9377 -16.6004 -4.0910330836 -6.8338534672 6.5987918032
9/30/1996 -5.9262 -28.3652 -24.6007 6.7239139296 5.8315467336 27.9121510256
12/24/1996 -18.2892 9.5991 -2.5946 -7.0223943888 1.8981263328 -0.9962329944
3/31/1997 16.3094 -11.1812 18.0572 -7.2943465312 11.7800839072 -8.0760465856
6/30/1997 26.4046 5.6887 32.9497 6.0083139208 34.8009459448 7.4976383356
9/30/1997 -8.55 22.4761 5.1373 -7.6868262 -1.7569566 4.6186587412
12/31/1997 -6.4599 -4.9626 19.8892 1.2823159896 -5.1392897232 -3.9480857568
3/31/1997 6.1781 0.1165 -17.0092 0.028789946 -4.2033815408 -0.079262872
6/30/1998 -16.7248 -12.9647 -6.4971 8.6732805824 4.3465079232 3.3693180948
9/30/1998 -13.7113 -10.7927 -16.058 5.9192779004 8.807042216 6.932367064
12/31/1998 8.406 -4.055 2.76 -1.3634532 0.9280224 -0.447672
3/31/1999 22.1733 -17.0158 -4.59 -15.0918575256 -4.07101788 3.12410088
6/30/1999 10.4847 87.6051 40.5943 36.7405276788 17.0247622884 142.2507084372
9/30/1999 14.8432 13.6654 69.3245 8.1135306112 41.159896736 37.893880892
12/30/1999 4.8245 -17.337 36.0271 -3.34569426 6.952509758 -24.984073308
3/31/2000 -0.3218 -22.9087 -12.673 0.2948807864 0.163126856 11.612878204
6/30/2000 -5.28 -16.6988 -14.2013 3.52678656 2.99931456 9.4857867376
9/29/2000 -14.0955 -7.9719 1.1319 4.494716658 -0.638187858 -0.3609357444
12/29/2000 -3.1222 3.1391 -4.3224 -0.3920359208 0.5398158912 -0.5427378336
3/30/2001 -9.4889 -9.3608 -18.2807 3.5529478048 6.9385493692 6.8448790624
6/29/2001 -4.3261 -7.8997 -7.2506 1.3669956868 1.2546728264 2.2911025928
9/28/2001 -18.8938 -4.89 -40.7602 3.69562728 30.8046026704 7.97269512
12/31/2001 15.833 11.0756 -5.5706 7.014398992 -3.527972392 -2.4679094944
3/28/2002 6.082 3.1391 -15.8328 0.763680248 -3.851803584 -1.9880296992
6/28/2002 -6.7064 50.1979 -11.0213 -13.4658878624 2.9565298528 -22.1298446108
9/30/2002 -9.9142 -20.3608 -8.0081 8.0744417344 3.1757562008 6.5220528992

CO-VARIANCE = 44.731632054615 146.480143668639 210.4867105677

Required rate of Return of MRPL=risk free rate+(market return- risk free return)* Beta of MRPL
6.89565534

Required rate of Return of RPL=risk free rate+(market return- risk free return)* Beta of RPL
5.597739045

BSE MRPL RPL

Standard Deviation 12.8189 24.1273 23.6548

CORRELATION COEFFICIENT MRPL, Market =

(Covariance of Bse and MRPL)/Standard Deviaton Of market *Standard Deviaton Of
MRPL 0.15040933516876

CORRELATION COEFFICIENT RPL, Market =

(Covariance of Bse and RPL)/Standard Deviaton Of market *Standard Deviaton Of RPL 0.50237465643932

CORRELATION COEFFICIENT RPL, MRPL =

(Covariance of MRPL and RPL)/Standard Deviaton Of MRPL *Standard Deviaton Of RPL 0.38355791882573

Beta Of MRPL= Covariance of MRPL and Market/ Variance of Market

= 0.272212156282

Beta Of RPL= Covariance of RPL and Market/ Variance of Makket

0.891397740907
 CALCULATION OF PORTFOLIO

RISK OF PORTFOLIO = (WMRPL2*SD OF MRPL2) + (WRPL2* SD OF RPL2) + (2(WMRPL *WRPL) * COV OF MRPL & RPL)

% INVESTMENT IN RPL (WRPL) % INVESTMENT IN MRPL ( WMRPL) RISK OF PORTFOLIO

1 100 0 582.12660529
2 90 10 516.5211572353
3 80 20 464.9929855872
4 70 30 427.5420903457
5 60 40 404.1684715108
6 50 50 394.8721290825
7 40 60 399.6530630608
8 30 70 418.5112734457
9 20 80 451.4467602372
10 10 90 498.4595234353
11 0 100 559.54956304

Sytematic Risk of MRPL= (Beta of MRPL)2 * (SD of market)2 Sytematic Risk of RPL= (Beta of RPL)2 * (SD of market)2
1.13585150967712 11.25362

Unsystematic Risk of MRPL= (SD of MRPL)2 - systematic risk of MRPL Unsystematic Risk of RPL= (SD of RPL)2 - systematic risk of RPL
580.990753780323 548.2959