ICICI BANK HDFC BANK TATA STEEL

Date Adj Close Adj Close Adj Close

12/31/2016 240.538803 1278.156982 433.05838
1/31/2017 247.15683 1380.924072 451.435333
2/28/2017 247.604462 1433.027954 451.435333
3/31/2017 249.080154 1536.291748 420.151978
4/30/2017 291.964935 1625.399658 472.010223
5/31/2017 285.449219 1641.145142 510.40152
6/30/2017 302.600006 1784.400024 530.368774
7/31/2017 298.049988 1776.449951 607.893982
8/31/2017 276.600006 1805.699951 621.708008
9/30/2017 300.100006 1808.5 670.536011
10/31/2017 307.549988 1853.699951 661.34198
11/30/2017 314 1872.400024 697.783997

Return
Date ICICI BANK HDFC BANK TATA STEEL
12/31/2016
1/31/2017 2.71% 7.73% 4.16%
2/28/2017 0.18% 3.70% 0.00%
3/31/2017 0.59% 6.96% -7.18%
4/30/2017 15.89% 5.64% 11.64%
5/31/2017 -2.26% 0.96% 7.82%
6/30/2017 5.83% 8.37% 3.84%
7/31/2017 -1.52% -0.45% 13.64%
8/31/2017 -7.47% 1.63% 2.25%
9/30/2017 8.15% 0.15% 7.56%
10/31/2017 2.45% 2.47% -1.38%
11/30/2017 2.08% 1.00% 5.36%

Average 2.42% 3.47% 4.34%

Standard Dev 6.08% 3.20% 5.94%
Variance 0.37% 0.10% 0.35%

Excess Return
Date ICICI BANK HDFC BANK TATA STEEL
1/31/2017 0.29% 4.26% -0.18%
2/28/2017 -2.24% 0.23% -4.34%
3/31/2017 -1.83% 3.49% -11.52%
4/30/2017 13.46% 2.17% 7.30%
5/31/2017 -4.68% -2.51% 3.48%
6/30/2017 3.41% 4.90% -0.50%
7/31/2017 -3.94% -3.92% 9.31%
8/31/2017 -9.89% -1.84% -2.09%
9/30/2017 5.73% -3.32% 3.22%
10/31/2017 0.03% -1.00% -5.72%
11/30/2017 -0.35% -2.47% 1.03%

Variance covariance matrix

ICICI BANK HDFC BANK TATA STEEL
ICICI 0.37% 0.07% 0.11%
HDFC 0.07% 0.10% -0.08%
TATA STEEL 0.11% -0.08% 0.35%
 BHEL CIPRA Dr. REDDY HERO MOTHINDUSTAN INFOSYS Weights
BHEL 0.6544 -0.0036 -0.0156 -0.0085 -0.0317 0.0177 0.053104
CIPRA -0.0036 0.0542 0.0227 0.0149 0.0187 0.015 0.165249
Dr. REDDY -0.0156 0.0227 0.0648 0.0309 0.0089 0.0174 0.17725
HERO MOTO -0.0085 0.0149 0.0309 0.0825 0.0171 0.0172 0.080564
HINDUSTAN UNILEVER -0.0317 0.0187 0.0089 0.0171 0.0556 -0.0013 0.341464
INFOSYS 0.0177 0.015 0.0174 0.0172 -0.0013 0.0859 0.18237
1.000001

Return -0.409 0.15 0.351 0.175 0.159 0.2

SD 0.809 0.233 0.255 0.287 0.236 0.293

Mean Return 17.01%

Variance 2.31%
Standard Deviation 0.152021