Professional Documents
Culture Documents
ON
EQUITIES AND PORTFOLIO MANAGEMENT
DECLARATION
INDU
ACKNOWLEDGMENT
It plunge me in exhilaration in taking privilege in expressing our heart felt
gratitude to all those who helped, encouraged and foreseeing successful completion of
my project. Ecstasy to work under gregarious guidance of Mr. M.S.MAHENDRA, to
whom extremely in debited for her valuable and timely suggestions.
INTRODUCTION
1
NEED & SCOPE
OBJECTIVES
METHODOLGY
LIMITATIONS
SOURCE
LITERATURE REVIEW
II
6
INTRODUCTION TO INVESTMENT
EQUITY SHARES
PORTFOLIO
10
RISK
11
12
III
COMPANY PROFILE
14
IV
19
BETA
22
ICICI BANK
25
34
SBI BANK
35
27-31
36-40
CALCULATION OF BETA
43
BETA COMPARISION
44
The purpose of the study is to know the fluctuations in the share price of
sample companies.
The purpose of the study is to help the unknown investors for investing in
securities.
To update the portfolio reviewed and adjusted from time to time in tune with
market condition.
LIMITATIONS:
Expand or contract the size of the portfolio reflect the changes in investor risk
disposition.
SOURCE :
NCE, The standards set by NSE in terms of market practices and technologies have
become industry benchmarks and are being emulated by other market participants. NSE
is more than a mere market facilitator. It's that force which is guiding the industry
towards new horizons and greater opportunities.
=
N1
Where, N1 is Close period at period1
N2 is Close period at period
=
N
Where, R is rate of return
N is total number of months
3. Beta
n xy x * y
Beta
=
n x2 (x)2
4. Alpha
Alpha
5. Coefficient of Correlation
n xy x * y
Coefficient of Correlation
=
[(n y2 (y) 2) (n x2 (x) 2)]
6. Coefficient of Correlation
Coefficient of determination =
(Coefficient of Correlation) 2
10
INTRODUCTION TO INVESTMENT
Investment may be defined as an activity that commits funds in any financial
form in the present with an expectation of receiving additional return in the
future. The expectations bring with it a probability that the quantum of
return may vary from a minimum to a maximum. This possibility of
variation in the actual return is known as investment risk. Thus every
investment involves a return and risk.
Investment is an activity that is undertaken by those who have
savings. Savings can be defined as the excess of income over expenditure.
An investor earns/expects to earn additional monetary value from the mode
of investment that could be in the form of financial assets.
The three important characteristics of any financial asset are:
Return-the potential return possible from an asset.
Risk-the variability in returns of the asset form the chances of its
value going down/up.
Liquidity-the ease with which an asset can be converted into cash.
Investors tend to look at these three characteristics while deciding on
their individual preference pattern of investments. Each financial asset will
have a certain level of each of these characteristics.
11
Investment avenues
There are a large number of investment avenues for savers in India.
Some of them are marketable and liquid, while others are non-marketable.
Some of them are highly risky while some others are almost risk less.
Investment avenues can be broadly categorized under the following heads:
Corporate securities
Equity shares.
Preference shares.
Debentures/Bonds.
Derivatives.
Others.
Corporate Securities
Joint stock companies in the private sector issue corporate securities. These
include equity shares, preference shares, and debentures. Equity shares have
variable dividend and hence belong to the high risk-high return category;
preference shares and debentures have fixed returns with lower risk.
The classification of corporate securities that can be chosen as investment
avenues can be depicted as shown below:
Equity
Shares
Preference
shares
Bonds
Warrants
12
Derivatives
Equity shares
Stock Exchange:
In a stock exchange a person who wishes to sell his security is called a
seller, and a person who is willing to buy the particular stock is called as the
buyer. The rate of stock depends on the simple law of demand and supply. If
the demand of shares of company x is greater than its supply then its price of
its security increases.
In Online Exchange the trading is done on a computer network. The
sellers and buyers log on to the network and propose their bids. The system
is designed in such ways that at any given instance, the buyers/sellers are
bidding at the best prices.
13
Member/
Broking
firm.
Stock Exchange
Member/
Broking
firm.
(BSE / NSE)
Client
Client
PORTFOLIO
A portfolio is an appropriate mix of or collection of investments held by an institution or
a private individual. It is a collection of securities, since it is rarely desirable to invest the
entire funds of an individual or an institution in a single security.
Portfolio analysis considers the determination of future risk and return in holding
various blends of individual securities.
14
Since portfolios expected return is a weighted average of the expected return of its
securities, the contribution of each security to the portfolios expected returns
depends on its expected returns and its proportionate share of the initial
portfolios market value.
RISK
Risk is a concept that denotes a potential negative impact to an asset or some
characteristic of value that may arise from some present process or future event. In
everyday usage, risk is often used synonymously with the probability of a known loss.
Risk is uncertainty of the income / capital appreciation or loss of the both.
The total risk of an individual security comprises two components, the market related risk
called systematic risk also known as undiversifiable risk and the unique risk of that
particular security called unsystematic risk or diversifiable risk.
Types of risk
Systematic risk (market)
Examples:
Labor troubles
Market risk
Liquidity problems
Inflation risk
Demand
Financial risks
Government policy
Management problems
International factors
15
16
analysis can be used to identify the set of efficient portfolios. From this set
of efficient portfolios, the optimal portfolio has to be selected for
investment. Harry Markowitz portfolio theory provides both the conceptual
framework and analytical tools for determining the optimal portfolio in a
disciplined and objective way.
PORTFOLIO REVISION
Having constructed the optimal portfolio, the investor has to constantly monitor
the portfolio to ensure that it continues to be optimal. Portfolio revision is
as important as portfolio analysis and selection.
PORTFOLIO EVALUATION
It is the process, which is concerned with assessing the performance of the
portfolio over a selected period of time in terms of returns and risk. This
involves quantitative measurement of actual return realized and the risk
born by the portfolio over the period of investment. It provides a feedback
mechanism for improving the entire portfolio management process.
17
18
For us winning awards is a matter of pride and honour. Each new award is a
manifestation of our hard work and commitment to our clients
19
Since inception, I-Sec's expertise has been time and again widely recognized by both
domestic and international agencies.
I-Sec PD has been recognized as the Best Domestic Bond House in India by Asiamoney
for 2002, 2003, 2004, 2005 and 2007. I-Sec PD has been awarded the prestigious Best
Bond House by Financeasia.com for the years - 2001, nds ICICIdirect.com and
ICICIdirect2004, 2005, 2006 and 2007. These awards are a strong testimony of our
capabilities and continuing dominant position in the market. The equities team was
adjudged the Best Indian Brokerage House-2003 by Asiamoney. The Corporate Finance
group also was awarded a runner-up Best Merchant Banker by Outlook Money in 2007.
ICICI Securities (I-Sec) topped the Prime Database League Tables 2007 for money raised
through IPOs/FPOs.
20
ICICI Securities Inc. is also registered with the Financial Services Authority, UK (FSA)
and the Monetary Authority of Singapore (MAS) to carry out Corporate Advisory
Services and Dealing in Securities.
21
22
MODELS
Some of the financial models used in the process of Valuation, stock selection, and
management of portfolios include:
Based on his research, for building up the efficient set of portfolio, as laid down by
Markowitz, we need to look into these important parameters.
1. Expected return
2. Variability of returns as measured by standard deviation from the mean.
23
WHERE
Xx, Xy = proportion of total portfolio invested in security X& Y respectively
sdx, sdy = standard deviation of stock X & stock Y respectively
WHERE
24
XX =
XY = proportion
RX = expected
return to security X
RY = expected
return to security Y
Where
ROIArith = + 1.00 = + 100% when the final value is twice the initial value
STANDARD DEVIATION
= Square root ((mean return -expected return)^2/N)
25
COVARIANCE
COV (X, Y)=1/N[(RX-RX)(RY-RY)
BETA:
The Beta coefficient, in terms of finance and investing, is a measure of a stock (or
portfolio)s volatility in relation to the rest of the market. Beta is calculated for individual
companies using regression analysis.
The beta coefficient is a key parameter in the capital asset pricing model (CAPM). It
measures the part of the asset's statistical variance that cannot be mitigated by the
diversification provided by the portfolio of many risky assets, because it is correlated
with the return of the other assets that are in the portfolio.
For example, if every stock in the New York Stock Exchange was uncorrelated with
every other stock, then every stock would have a Beta of zero, and it would be possible to
create a portfolio that was nearly risk free, simply by diversifying it sufficiently so that
the variations in the individual stocks' prices averaged out. In reality, investments tend to
be correlated, more so within an industry, or when considering a single asset class (such
as equities). This correlated risk, measured by Beta, is what actually creates almost all of
the risk in a diversified portfolio.
The formula for the Beta of an asset within a portfolio is
Where
ra measures the rate of return of the asset,
rp measures the rate of return of the portfolio of which the asset is a part
26
And Cov (ra, rp) is the covariance between the rates of return.
In the CAPM formulation, the portfolio is the market portfolio that contains all risky
assets, and so the rp terms in the formula are replaced by rm, the rate of return of the
market.
The beta movement should be distinguished from the actual returns of the stocks. For
example, a sector may be performing well and may have good prospects, but the fact that
its movement does not correlate well with the broader market index may decrease its
beta. Beta is a measure of risk and not to be confused with the attractiveness of the
investment.
THE SECURITY MARKET LINE
The Security Market Line (SML) is the graphical representation of the Capital Asset
Pricing Model. It displays the expected rate of return for an overall market as a function
of systematic (non-diversifiable) risk (beta).
The x-axis represents the risk (beta), and the y-axis represents the expected return. The
market risk premium is determined from the slope of the SML.
The securities market line can be regarded as representing a single-factor model of the
asset price, where Beta is exposure to changes in value of the Market. The equation of the
SML is thus:
27
28
ICICI BANK
Business Profile
ICICI Bank was promoted in 1994 by ICICI Ltd., an Indian
development financial instituition. The two entities subsequently merged to
become the largest comercial bank in the private sector.
A new generation bank, ICICI Bank started with all the latest
technologies to hit the Indian banking industry in the second half of the
ninties. All its branches are fully computerised with the state-of-the-art
technology and systems, networked through VSAT technology. The bank is
connected to the SWIFT International network.
In 2005, it expanded its network to 562 branches and 1,910 ATMs. It
continued to expand its electronic channels, namely internet banking, mobile
banking, call centres and ATMs, and migrate customer transaction volumes
to these channels. Over 70% of customer induced transactions take place
through these electronic channels.
It has acquired a small Russian banking entity, InvestitsionnoKreditny Bank (IKB), which will help boost its corporate business and
deposit franchise overseas. The bank has also built several strategic alliances
with banks like Wells Fargo in USA, Lloyds TSB in UK and DBS in
Singapore.
ICICI has entered into strategic alliance with Prudential plc. of UK for
its mutual find buisness. The duo have been fairly aggressive through their
companies, Prudential ICICI Asset Management Company Limited and
Prudential ICICI Trust Limited.
29
The bank is also keen to offer its services to the Indian agricultural
sector. Over 2,000 Internet kiosks and 70 agri-desks have been established in
locations with large agricultural markets.
Recent Developments
ICICI Bank launched `Mutual Fund Sweep Account` - an automatic
sweeping facility which allows current account holders to park their shortterm surpluses into liquid mutual funds and earn higher returns. Initially,
ICICI Bank current account customers will have the facility to invest their
account surpluses in the liquid fund schemes of Prudential ICICI Asset
Management Company and GIC Mutual Fund.
The bank is in the process of the reverse merger of ICICI with ICICI
Bank. The merger of two wholly-owned subsidiaries of ICICI, ICICI
Personal Financial Services Limited and ICICI Capital Services Limited,
with ICICI Bank is also underway.
ICRA has assigned an A1+ rating, indicating highest safety in the
short-term, to the Rs 500 crore certificates of deposit (CD) programme of
ICICI Bank Ltd (IBL). The rating agency said in its report that the rating
takes into consideration IBL`s strategic importance to its parent ICICI, IBL`s
comfortable profitability and capital adequacy, good control on asset quality.
30
2004
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Total Traded
Quantity
Turnover in
Lacs
Series
Date
EQ
Jan
297.9
305.5
297
301.8
302.75
1475607
4463.332617
EQ
Feb
295
303
280
297
295.3
2199927
6450.500538
EQ
Mar
273.7
283.05
271.1
281.35
281.7
1446826
4009.055571
EQ
Apr
298.7
302.95
296.5
301.55
300.95
1287142
3854.740634
EQ
May
314.5
319.3
310.5
315
314.8
2427306
7634.389072
EQ
Jun
229
239.5
229
238.8
236.75
645001
1525.128864
EQ
Jul
245.6
248.8
242.1
247.95
247.8
1708651
4209.053305
EQ
Aug
267
277
267
275.65
275.9
1158676
3166.630872
EQ
Sep
273
273
268.1
270.5
270.9
382950
1037.416655
EQ
Oct
289
294
287.5
290.1
289.3
770631
2236.878429
EQ
Nov
299.1
300.8
295.6
296.25
296.3
336132
998.595491
EQ
Dec
340.1
342.8
334
339
339.75
836789
2840.424768
400
339.75
350 302.75
314.8
289.3
281.7
300
275.9
296.3
295.3 300.95 236.75
250
270.9
247.8
200
Close Price
MONTHS
31
O
ct
N
ov
M
ar
Ap
r
M
ay
Ju
n
Ju
l
Au
g
Se
p
at
e
Ja
n
Fe
b
150
100
50
0
D
SHARE VALUE
ICICI-2004
2005
Series
Date
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Total Traded
Quantity
Turnover in
Lacs
EQ
Jan
371.35
375
375
370.15
373.5
371.35
412258
1537.493731
EQ
Feb
360.9
363
368
358.15
360.5
361.8
504522
1826.499843
EQ
Mar
380.9
381.5
382
369.05
373.9
372.25
388748
1452.231185
EQ
Apr
392.8
393
407.45
393
407
406.05
922987
3705.56233
EQ
May
359.95
368
373.95
357.55
360.45
360.35
716359
2597.986122
EQ
Jun
392.05
393.95
401
393
401
399.4
278070
1105.869992
EQ
Jul
425.75
427
429.25
419.2
419.55
421.25
431571
1832.331435
EQ
Aug
534.45
532.5
549.9
525
535.8
538.4
1459516
7794.022609
EQ
Sep
481.8
482.25
495.25
481.2
484
483.85
521027
2542.511994
EQ
Oct
601.7
604.4
614
587.65
589
593.4
566954
3421.112911
EQ
Nov
498.6
501
510
493.7
496
498.65
122530
614.5857475
EQ
Dec
538.05
540
544.8
537
539
540.55
799196
4318.477188
ICICI-2005
700
500
400
300
538.4
371.35372.25 360.35421.25
406.05 399.4
361.8
593.4
483.85
540.55
498.65
Series1
200
100
M ONTHS
32
Dec
Nov
Oct
Sep
Aug
Jul
Jun
May
Apr
Mar
Feb
0
Jan
SHARE PRICE
600
2006
Series Date
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
EQ
Jan
585.05
587.7
609.9
587.7 593.95
EQ
Feb
609.25
619.9
619.9
588.6
EQ
Mar
615.25
600
620
EQ
Apr
589.05
EQ
May
591.75
EQ
Jun
537.5
542
EQ
Jul
487.9
499 518.35
EQ
Aug
553.85
554
554
541.9
EQ
Sep
597.45
594.9
611.9
588.5
609.5
EQ
Oct
699.6
700
708
691.5
EQ
Nov
777.15
784.9
EQ
Dec
872.45
883
Close
Price
Total Traded
Quantity
Turnover
in
Lacs
597
10240898
61395.27
590.2
871478
5208.205
560
614.4 616.55
1160638
7115.239
599 611.95
592
603.9
604
809778
4889.214
600.1 625.85
600.1
618.7 621.95
1621966
9981.174
592
551 531.15
532
534.3
791136
4277.888
485 488.45
489.1
490577
2401.659
550 549.65
636281
3488.624
609.6
1711581
10398.98
692.1 697.75
760505
5330.941
936459
7276.903
1236189
10872.02
884.5 865.65
876 878.15
ICICI-2006
878.15
778.15
800
609.6
590.2 604 621.95
697.75
600
549.65
597 616.55
534.3489.1
400
200
MONTHS
33
Oc
t
No
v
De
c
Ju
l
Au
g
Se
p
0
Ja
n
Fe
b
M
ar
Ap
r
M
ay
Ju
n
SHARE VALUE
1000
Ser
es1
2007
Prev
Close
Open
Price
High
Price
Last
Price
Close
Price
888
895.25
897.45
345636
3109.8611
957
942.35
952.9
952.55
811547
7710.4247
840
858.5
824
857
855.35
1081867
9106.0205
853.35
820.6
829.7
800.05
805.3
803.95
1829939
14810.493
May
865.85
898
898
864.65
866
869.9
2223603
19376.367
EQ
Jun
919.15
925
938.8
922.1
927.15
930.45
1233813
11489.425
EQ
Jul
955.45
981.5
981.5
945
952
950.2
644010
6119.6264
EQ
Aug
927.45
920
920
885.1
890
891
4669774
41808.275
EQ
Sep
888.4
890.1
911
890.1
910
907.9
2929146
26456.396
EQ
Oct
1062.4
1068
1068
1035
1058
1057.8
3191887
33560.268
EQ
Nov
1254.05
1270
1318
1240
1298
1298.3
5076881
65449.378
EQ
Dec
1178.4
1180
1188
1156.25
1163
1162
3538453
41222.945
Series
Date
EQ
Jan
891.5
892
906.5
EQ
Feb
941.1
951
EQ
Mar
829.5
EQ
Apr
EQ
Low
Price
Total Traded
Quantity
Turnover in
Lacs
ICICI-2007
1298.3
1400
Share Price
1200
1000
930.45 950.2
952.55
800 897.45
600
855.35
803.95
869.9
891
1057.8
1162
907.9
Ser
400
200
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Months
34
2008
Series
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
Date
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Prev
Close
1187.40
1105.85
835.50
902.50
796.25
652.15
636.1
632.55
493.3
345.35
350.85
458.6
Open
Price
1190
1100
848.85
918
795.25
664.8
638
644.5
485.9
370.55
340
472.8
High
Price
1131
1045.45
765
872
778.2
611.35
621.15
642.65
460.05
363
316.35
444
Low
Price
1147
1077.65
769
881
786.55
635
633
670.65
540
399.5
354
447.6
35
Last
Price
1147
1088.50
769.40
879.60
788.6
630.2
637.3
671.9
535.55
398.75
351.65
448.1
Close
Price
1169.06
1079.42
785.02
886.81
787.09
626.79
632.02
671.55
517.95
384.89
348.13
452.42
Total Traded
Quantity
5525805
3665904
5048217
4446390
6852195
6725234
5333027
8633379
21452818
14134982
12329653
7794740
Turnover in
Lacs
64600.06
39570.53
39629.35
39431.01
53932.8
42153.09
33705.611
57977.632
111113.883
54403.601
42923.30
35264.774
S&P
CNX
NIFTY
ROR
(Y)
X*X
Y*Y
X*Y
0.0255
0.0004
0.00000
0.0064
0.0039
0.00053
0.00501
0.0018
0.0000
0.0066
0.0135
T=
YAvg(Y)
R^2
T^2
0.0448
0.00000
0.00201
0.0821
0.00940
0.00673
0.00362
2.4E-04
0.00410
0.00939
Years
Month
2003
Jan
140.5
1154.67
Feb
149.9
1178.72
Mar
149.3
1084.64
0.0208
0.0798
0.0430
Apr
133.75
1038
0.0812
May
121.15
1122.32
0.1336
0.0627
0.0040
0.1163
0.1040
0.0178
0.0108
0.00017
0.00944
0.01389
0.1164
0.0153
0.0969
0.0847
0.01355
0.00717
Jun
137.95
1272.21
0.0516
0.1218
0.0027
0.0148
0.00628
0.0344
0.1411
0.00119
0.01992
July
150.15
1337.86
0.1497
0.0813
0.0224
0.0066
0.01216
0.1325
0.1006
0.01755
0.01012
Aug
159.15
1538.08
0.0469
0.0566
0.0022
0.0032
0.00265
0.0297
0.0759
0.00088
0.00576
Sep
179.7
1610.21
0.0993
0.1144
0.0099
0.0131
0.01135
0.0821
0.1337
0.00674
0.01788
Oct
204.5
1770.08
0.0384
0.1213
0.0015
0.0147
0.00465
0.0212
0.1406
4.5E-04
2.0E-02
Nov
247
1837.98
0.1721
0.0270
0.0296
0.03664
2139.93
0.0124
0.0013
0.0002
0.0317
0.00285
0.00101
Jan
295.45
2062.42
2.4E-05
0.0236
0.1728
0.00048
0.02987
Feb
295.05
2052.4
0.0002
0.0000
0.00032
270.95
2020.25
0.0002
0.0079
0.0180
0.0696
0.00108
Mar
0.1535
0.0014
0.0889
0.00001
0.00484
0.0856
0.0292
0.0073
0.1471
0.0534
0.0220
0.0328
0.0033
0.1881
0.02164
250.1
0.02827
0.00045
0.00075
0.1914
Dec
0.1643
0.0362
0.0049
0.0157
0.1049
0.03537
0.01100
0.0003
0.0035
0.0004
6.2E-03
0.1348
0.0787
0.3478
0.00000
0.0076
0.00104
0.03202
0.00491
0.12099
2004
ROR
(X)
R=
XAvg(X)
Prev
Close
0.00002
0.00123
0.01462
0.0970
0.0602
0.0641
Apr
296.3
2048.22
0.0138
0.1709
May
315
1698.16
0.0175
Jun
230.4
1727.93
0.0872
0.0594
0.3672
July
244.5
1878.62
0.0018
0.0577
3.4E-06
0.0033
0.00011
0.0700
0.0153
0.0770
0.00023
5.9E-03
Aug
267.5
1882.09
0.0736
0.0860
0.0054
0.0074
0.00633
0.0564
0.1053
0.00319
0.01109
Sep
269.8
2020.62
0.0241
0.0085
0.00058
0.0001
0.00021
0.0070
0.0279
4.9E-05
7.8E-04
Oct
286.25
2069.39
0.0965
0.0575
0.0093
0.0033
0.00554
0.0793
0.0768
0.00629
0.00590
Nov
299.05
2268.99
0.0428
0.0044
0.0018
0.00386
2418.88
0.1198
0.00011
0.0144
0.0489
0.0275
0.00239
339.75
0.00283
0.00124
0.0622
Dec
0.0661
0.0104
0.1391
0.00076
0.01936
36
2005
2006
2007
Jan
371.35
2393.76
0.0851
0.0290
0.0005
0.0072
0.00193
0.0055
0.1044
0.00003
0.01091
0.0010
0.0008
-0.0096
0.00241
0.00009
0.0525
0.0043
0.0028
0.00093
0.00343
-0.0491
2369.69
0.0226
0.0320
0.0653
Feb
360.9
2447.94
Mar
380.9
Apr
392.8
-0.0825
0.0719
0.00680
0.00516
2214.96
0.0988
0.0098
0.0009
0.0496
0.00666
0.00246
2433.73
0.0683
0.0047
0.0083
0.00299
0.00623
0.0816
359.95
0.0303
0.0913
May
0.0511
-0.0719
0.00261
0.00517
Jun
392.05
2599.93
0.0428
0.0819
0.0018
0.0067
0.00351
0.0256
0.1012
0.00066
0.01025
July
425.75
2711.24
0.0335
0.0792
0.0011
0.0063
0.00265
0.0163
0.0985
2.7E-04
0.00970
Aug
534.45
2801.99
0.0414
0.01917
0.0771
0.2227
0.00595
0.04961
481.8
3066.15
0.2034
0.1093
0.0089
Sep
0.0943
0.0881
0.0078
0.0119
0.00963
-0.1053
-0.0899
0.01109
0.00809
Oct
601.7
2795.89
0.1187
0.0141
0.0397
0.1016
0.2186
0.01031
0.04779
Nov
498.6
3127.8
0.0721
0.1993
0.2068
0.0052
0.0428
0.02366
0.01491
0.0550
-0.1874
0.00302
0.03513
Dec
538.05
3353.37
0.0586
0.0733
0.0034
0.0054
0.00430
0.0414
0.0927
0.00172
0.00859
Jan
585.05
3549.92
0.0252
0.0803
0.0006
0.0065
0.00203
0.0081
0.0997
0.00006
0.00994
Feb
609.25
3639.43
0.1070
0.0397
0.0114
0.0016
0.00425
0.0898
0.0591
0.00807
0.00349
Mar
615.25
4028.82
0.0001
0.00045
0.0288
0.0291
0.00083
0.00085
589.05
4213.88
0.0098
0.0445
0.0021
Apr
0.0459
0.1356
0.0184
0.0020
0.00603
-0.1528
-0.0251
0.02335
0.00063
May
591.75
3642.31
0.0218
0.00048
0.0000
0.0239
0.00002
0.00057
537.5
3721.71
0.0064
4.1E-05
0.0102
-0.0108
-0.0816
0.00012
0.00666
July
487.9
3745.46
0.0876
0.0077
0.0103
0.00010
0.00064
0.00891
0.0046
Jun
0.0046
0.1009
0.1017
0.0704
-0.0823
0.00496
0.00678
Aug
553.85
4073.55
0.0529
0.1191
0.0028
0.0142
0.00630
0.0357
0.1384
0.00128
0.01916
Sep
597.45
4288.97
0.0437
0.0730
0.0019
0.0053
0.00319
0.0266
0.0923
0.00071
0.00852
Oct
699.6
4476.5
0.0564
0.1460
0.0032
0.0213
0.00824
0.0393
0.1654
0.00154
0.02734
Nov
777.15
4729.13
0.0062
0.0998
3.8E-05
0.0100
0.00062
-0.0110
0.1191
0.01419
Dec
872.45
4758.45
0.1092
0.0009
0.0119
0.1286
891.5
4899.39
0.0214
0.0065
0.0005
0.00324
0.00172
0.0125
Jan
0.0296
0.0806
0.00012
1.55E04
-0.0977
0.0407
0.00955
0.00166
Feb
941.1
4504.73
0.0225
0.0005
0.0028
0.0721
0.00003
0.00519
829.5
4605.89
0.0713
0.0051
0.0181
0.00118
0.00960
0.0053
Mar
0.0527
0.1345
0.0542
-0.1152
0.00293
0.01327
Apr
853.35
4934.46
0.0510
0.0279
0.0026
0.0008
0.00142
0.0338
0.0473
0.00114
0.00224
May
865.85
5185.95
0.0073
0.0144
0.0001
0.0002
0.00011
-0.0099
0.0338
0.00010
0.00114
Jun
919.15
5223.82
0.0580
0.0025
0.0034
0.0325
0.0773
0.00106
6.0E-03
July
955.45
5483.25
0.0497
0.0131
0.0002
0.0014
-0.0303
0.0573
0.00092
0.00329
Aug
927.45
5411.29
0.1262
0.0159
0.0009
0.1090
-0.0108
0.01189
0.00012
Sep
888.4
6094.11
0.0308
0.0019
0.1583
-0.0246
0.02505
0.00061
Oct
1062.4
7163.3
0.1754
0.0231
0.0380
0.0302
0.0440
-0.0403
0.1831
0.00162
0.03354
Nov
1254.05
6997.6
0.0491
0.1722
0.00241
0.02964
1178.4
7461.48
Dec
29854.3
SUM
AVERAGE
29854.3
1.0298
0.0172
0.1638
0.0005
0.0268
0.00288
0.00050
0.00381
0.00771
0.00379
0.0663
1.0000
0.1528
0.0642
0.0044
0.0234
0.01013
1.0000
0.0041
0.06420
1.0298
1.8159
1.3385
3.2975
1.0298
0.4896
1.259
0.0193
1.3385
3.29750
37
0.82536
1.7E-02
-1.0172
-0.0448
1.03462
0.00201
1.0126384
1.835249
1.32080
3.36814
1.0126
1.7856
1.32080
3.18849
1.
Beta
xy
x
y
x2
n
y2
0.6085
Alpha
Avg(X)
-0.4896
0.02026
Avg(Y)
0.906
0.2776
0.825
1.03
1.216
1.339
60
3.298
Coef.Correlation
0.045
Coef of
Determination
0.002053
38
Standard
Devition
SDx
SDy
6
0.1483
0.2305
Variance
Vx
Vy
39
0.02199
0.05313
40
2004
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Total Traded
Quantity
Turnover in
Lacs
Series
Date
EQ
JAN
537.55
540.5
568.45
540.1
566.95
564.65
5941630
33075.88938
EQ
FEB
598.05
599.9
599.9
557.2
571
567.3
7381059
42362.68498
EQ
MAR
584.5
586.55
602.5
581.1
602
600.25
4005601
23676.23811
EQ
APR
605.85
607.5
621.35
606
616.7
618.3
4242657
26081.50684
EQ
MAY
642.25
635
635.8
605.45
618.5
619.05
4828665
29851.8291
EQ
JUN
465.15
470
482
466.55
468.4
469.3
5008010
23811.40687
EQ
JUL
430.6
434.8
444.35
434
441.9
442.9
6282161
27600.74098
EQ
AUG
442.1
443.1
444.9
436.4
443.1
442.3
2647037
11658.11253
EQ
SEP
442.85
447.5
452
443.15
450.9
450.7
3613238
16209.39575
EQ
OCT
468.1
467.5
481.2
462.7
478
478.85
1911963
9026.838506
EQ
NOV
447.4
448.5
471.5
447.55
471.5
468.65
3287171
15152.45108
EQ
DEC
529.7
530.2
544
520.95
544
541
4569314
24421.57067
SBI 2004
700
618.3
600.25
600
500
564.65
567.3
619.05
541
469.3
450.7
442.9
400
300
200
100
0
41
442.3
478.85
468.65
2005
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Total Traded
Quantity
Series
Date
EQ
JAN
652
654.5
662.9
650.1
657
655.75
2131452
13998.50891
EQ
FEB
643
640
646
631.2
634
634.05
2467277
15694.57473
EQ
MAR
714.65
711
716.9
692.65
695.5
695.6
5128658
36067.6012
EQ
APR
654.8
655
672.8
652.65
671.8
670.1
2785374
18473.09788
EQ
MAY
584.85
588
592.8
576.05
585.6
589.35
2738218
15989.79179
EQ
JUN
670.45
669.5
674.9
658.1
660.1
660.2
2072014
13802.17176
EQ
JUL
681.9
682
708.9
662.15
705
706.25
4867582
34202.39639
EQ
AUG
800.25
799
804.95
785.1
789.55
789.95
1980985
15663.99636
EQ
SEP
796.3
801
805.5
795.25
799
799.6
1168582
9357.570853
EQ
OCT
938.2
938
953
938
944
945.35
1607862
15210.2526
EQ
NOV
839.1
869.75
869.75
832.1
834.7
838.85
523113
4403.574651
EQ
DEC
896.65
903
915.4
891.25
913.5
913.35
2420620
21869.33291
42
Turnover in Lacs
EQ
AUG
810.25
802
819
794.4
818
811.75
1982509
15930.42
EQ
SEP
931.25
932
935.7
925.1
931.4
931.25
887349
8266.71
EQ
OCT
1028.65
1029
1037.8
1023.1
1030.1
1033.35
874932
9024.2621
EQ
NOV
1095.65
1256.3
1256.3
1089
1119
1113.8
1035588
11462.727
EQ
DEC
1317.05
1315
1370
1313.15
1366
1362.65
1612467
21785.692
SBI-2006
1600
1362.65
1400
1200
1000
904.9
881.2
800
1113.8
1033.35
983.35
961.7
931.25
818.75
811.75
869.25
742.6
600
400
200
0
JAN
FEB
MAR
APR
MAY
43
JUN
JUL
AUG
SEP
OCT
NOV
DEC
Series
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
Date
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Turnover
in
Lacs
Total Traded
Quantity
JAN
1245.6
1250
1260
1243
1253
1253.55
408144
FEB
1140.45
1158
1230
1135.7
1203.1
1203
2491197
MAR
1041.85
1042
1061
1016
1051
1055.65
1108823
APR
994.45
979.4
979.4
922.35
937
930.5
1133049
MAY
1353.65
1364
1385
1356
1380
1378.9
1908666
JUN
1525.8
1530
1551
1523.35
1528
1530.75
1746382
JUL
1623.85
1610
1610
1540.2
1550.2
1548.05
2715856
AUG
1600.35
1619
1623
1602.35
1606.1
1606.65
901942
SEP
1945.85
1952
1965
1882.6
1905
1894.6
1919363
OCT
2068.2
2167
2167
2052.5
2073.9
2075.35
2143188
NOV
2302.4
2330
2345.9
2307.9
2324
2324.75
955082
DEC
2302.4
2330
2345.9
2307.9
2324
2324.75
955082
5112.3453
29698.604
11522.978
10583.44
26147.129
26860.939
42709.452
14539.915
36639.177
45181.497
22217.635
22217.64
SBI2007
2324.75
2500
2000
1606.65
1530.75
1500
2324.75
2075.35
1894.6
1253.55
1203
1000
1378.9
1548.05
1055.65
930.5
500
0
JAN
FEB
44
JUN
JUL
AUG
SEP
OCT
NOV
DEC
Series
Date
EQ
JAN
EQ
FEB
EQ
MAR
EQ
APR
EQ
MAY
EQ
EQ
EQ
EQ
EQ
EQ
EQ
Prev
Close
Open
Price
High
Price
Low
Price
Last
Price
Close
Price
Total Traded
Quantity
Turnover
in
Lacs
1159043 25,347.44
2401205 48,660.48
1036121 16,712.89
839999 14,987.18
867328 12613.70
1161.2
1194.95
1194.95
1101
1107
1111.6
787863
8940.20
1387.95
1390
1430.9
1343
1406
1417.25
1885052
26136.91
1309.35
1336
1409.8
1336
1404.55
1403.85
2661636
36957.08
1405.45
1385
1485
1355
1472
1463.35
2229762
32255.34
1099.55
1149.95
1177
1065.5
1114
1109.7
4293292
48015.33
1105
1065
1109.9
1055
1085.05
1088.55
4321864
46965.76
1291.7
1308
1308
1270
1290
1288.8
2704078
34799.18
JUN
JUL
AUG
SEP
OCT
NOV
DEC
45
years
2003
2004
Month
Jan
S&P
CNX
NIFTY
1154.67
Feb
1178.72
Mar
Apr
May
Jun
July
Aug
Sep
Oct
1084.64
1038
1122.32
1272.21
1337.86
1538.08
1610.21
1770.08
Nov
1837.98
Dec
2139.93
Jan
2062.42
Feb
Mar
2052.4
2020.25
Apr
2048.22
0.1643
0.0362
0.0049
0.0157
0.0138
0.1709
May
1698.16
Jun
July
Aug
1727.93
1878.62
1882.09
ROR
(X)
0.0208
0.0798
0.0430
0.0812
0.1336
0.0516
0.1497
0.0469
0.0993
0.0384
PRICE
284.55
ROR(Y)
0.0197
X*X
0.00043
Y*Y
0.00039
290.15
0.0014
0.00637
0.00000
290.55
273.5
281.55
345.45
382.5
418.5
438.1
446
-0.0587
0.0294
0.2270
0.1073
0.0941
0.0468
0.0180
0.0670
0.00185
0.00660
0.01784
0.00266
0.02240
0.00220
0.00986
0.00147
0.00344
0.00087
0.05151
0.01150
0.00886
0.00219
0.00033
0.00449
475.9
-0.0116
0.02699
0.00013
470.4
0.2004
0.00131
0.04014
564.65
0.0047
2.4E-05
2.2E-05
567.3
600.25
0.0581
0.0301
0.00025
0.00019
0.00337
0.00090
618.3
0.0012
0.02921
0.00000
0.0175
619.05
-0.2419
0.00031
0.05852
0.0872
0.0018
0.0736
469.3
442.9
442.3
-0.0563
-0.0014
0.0190
0.00761
3.4E-06
0.00542
0.00316
0.00000
0.00036
46
R=XAvg(X)
0.0037
T=YAvg(Y)
-0.0052
R^2
0.00001
T^2
0.00003
-0.0970
-0.0235
0.00940
0.00055
0.00252
0.00239
0.03031
0.00553
0.01409
0.00220
0.00179
0.00257
0.00190
0.00726
-0.0602
0.0641
0.1164
0.0344
0.1325
0.0297
0.0821
0.0212
-0.0835
0.0046
0.2021
0.0824
0.0693
0.0220
-0.0068
0.0422
0.00362
0.00410
0.01355
0.00119
0.01755
0.00088
0.00674
0.00045
0.00698
0.00002
0.04085
0.00679
0.00480
0.00048
0.00005
0.00178
0.1471
-0.0364
0.02164
0.00133
-0.0534
0.1755
0.00285
0.03080
-2.3E-05
0.00091
0.00042
0.00021
0.00424
0.00491
-2.5E-06
0.00140
-0.0220
-0.0202
4.8E-04
4.1E-04
-0.0328
-0.0033
0.0332
0.0052
0.00108
0.00001
0.00110
0.00003
-0.1881
-0.0236
0.03537
0.00056
0.0004
-0.2668
0.00000
0.07116
0.0700
-0.0153
0.0564
-0.0811
-0.0262
-0.0059
0.00491
2.3E-04
0.00319
0.00658
0.00069
0.00003
X*Y
0.00041
0.00011
Sep
2020.62
0.0241
450.7
0.0625
0.00058
0.00390
Oct
Nov
2069.39
2268.99
478.85
468.65
-0.0213
0.1544
0.00930
0.00436
0.00045
0.02383
Dec
2418.88
0.0965
0.0661
0.0104
541
0.2121
0.00011
0.04499
47
0.00151
0.00205
0.01020
0.00220
0.0070
0.0376
0.00005
0.00141
0.0793
0.0489
-0.0462
0.1295
0.00629
0.00239
0.00213
0.01678
-0.0275
0.1873
0.00076
0.03506
200
5
Jan
2393.76
0.0226
655.75
Feb
2447.94
-0.0320
634.05
Mar
2369.69
-0.0653
695.6
Apr
2214.96
0.0988
May
2433.73
Jun
2599.93
July
2711.24
Aug
2801.99
Sep
200
6
200
7
3066.15
0.0331
0.00051
0.00110
-0.00075
0.0055
-0.0579
0.00003
0.00336
0.00102
0.00942
-0.00310
-0.0491
0.0722
0.00241
0.00522
0.00426
0.00134
0.00239
-0.0825
-0.0615
0.00680
0.00378
670.1
0.0971
0.0367
0.1205
0.00976
0.01452
-0.01190
0.0816
-0.1454
0.00666
0.02113
0.0683
589.35
0.1202
0.00466
0.01445
0.00821
0.0511
0.0954
0.00261
0.00909
0.0428
0.0698
0.1185
0.00183
0.00112
0.00487
0.01405
0.00299
0.00397
0.0256
0.0163
0.0449
0.00066
0.00202
0.0335
660.2
706.25
0.0937
0.00027
0.00877
0.0943
789.95
0.0122
0.00889
0.00015
0.00115
0.0771
-0.0126
0.00595
0.00016
-0.0881
799.6
0.1823
0.00777
0.03323
-0.01607
-0.1053
0.1574
0.01109
0.02478
945.35
0.1127
0.0888
0.01409
0.01269
-0.01337
0.1016
-0.1375
0.01031
0.01891
0.00520
0.00789
0.00640
0.0550
0.0640
0.00302
0.00409
0.00344
0.00009
-0.00054
0.0414
-0.0341
0.00172
0.00116
Oct
2795.89
0.1187
Nov
3127.8
0.0721
838.85
Jan
3549.92
0.0252
904.9
0.0093
0.0394
0.00064
0.00155
-0.00099
0.0081
-0.0642
0.00006
0.00413
Feb
3639.43
0.1070
869.25
0.0137
0.01145
0.00019
0.00147
0.0898
-0.0111
0.00807
0.00012
Mar
4028.82
0.0459
881.2
0.00211
0.01344
0.00532
0.0288
0.0911
0.00083
0.00829
Apr
4213.88
-0.1356
983.35
0.01840
0.00048
0.00299
-0.1528
-0.0469
0.02335
0.00220
May
3642.31
0.0218
961.7
0.00048
0.02209
-0.00324
0.0046
-0.1735
0.00002
0.03010
Dec
3353.37
0.0586
913.35
Jun
3721.71
0.0064
818.75
0.1159
0.0220
0.1486
0.0930
4.1E-05
0.00865
-5.9E-04
-0.0108
-0.1179
1.2E-04
0.01389
July
3745.46
0.0876
742.6
0.0931
0.00767
0.00867
0.00816
0.0704
0.0683
0.00496
0.00466
Aug
4073.55
0.0529
811.75
0.1472
0.00280
0.02167
0.00778
0.0357
0.1224
0.00128
0.01497
Sep
4288.97
0.0437
931.25
0.1096
0.00191
0.01202
0.00479
0.0266
0.0848
0.00071
0.00719
Oct
4476.5
0.0564
1033.35
0.0779
0.00318
0.00606
0.00439
0.0393
0.0530
0.00154
0.00281
Nov
4729.13
0.0062
1113.8
3.8E-05
5.0E-02
1.4E-03
-0.0110
0.1986
1.2E-04
3.9E-02
Dec
4758.45
0.0296
1362.65
0.00088
0.00641
-0.00237
0.0125
-0.1049
0.00016
0.01101
Jan
4899.39
-0.0806
1253.55
0.00649
0.00163
0.00325
-0.0977
-0.0652
0.00955
0.00425
Feb
4504.73
0.0225
1203
0.00050
0.01500
-0.00275
0.0053
-0.1473
0.00003
0.02171
Mar
4605.89
0.0713
1055.65
0.2234
0.0801
0.0403
0.1225
0.1186
0.00509
0.01405
-0.00846
0.0542
-0.1434
0.00293
0.02056
Apr
4934.46
0.0510
930.5
0.4819
0.00260
0.23222
0.02456
0.0338
0.4570
0.00114
0.20888
May
5185.95
0.0073
1378.9
0.1101
5.3E-05
1.2E-02
8.0E-04
-0.0099
0.0853
9.7E-05
7.3E-03
Jun
5223.82
0.0497
1530.75
0.0113
0.00247
0.00013
0.00056
0.0325
-0.0136
0.00106
0.00018
July
5483.25
-0.0131
1548.05
0.0379
0.00017
0.00143
-0.00050
-0.0303
0.0130
0.00092
0.00017
Aug
5411.29
0.1262
1606.65
0.1792
0.01592
0.03212
0.02262
0.1090
0.1544
0.01189
0.02383
Sep
6094.11
0.1754
1894.6
0.0954
0.03078
0.00910
0.01674
0.1583
0.0706
0.02505
0.00498
Oct
7163.3
-0.0231
2075.35
0.1202
0.00054
0.01444
-0.00278
-0.0403
0.0953
0.00162
0.00909
Nov
6997.6
0.0663
2324.75
0.00439
0.00000
0.00000
0.0491
-0.0249
0.00241
0.00062
Dec
7461.48
-1.0000
2324.75
0.0000
1.0000
1.00000
1.00000
1.00000
-1.0172
-1.0249
1.03462
1.05032
1.4911
1.33849
2.223455
1.11404
0.0000
1.466273324
0.00000
2.14996
1.3385
2.2235
1.1140
0.0000
1.4422
0.30697
2.08004
1.32082
1.82353
SUM
1.0298
1.4911
AVERAGE
0.0172
0.0249
48
Beta
xy
x
1.114
1.0298
y
x2
n
y2
1.4911
1.3385
60
2.2235
0.824
Alpha
Avg(X)
Avg(Y)
0.0172
0.0249
0.824
0.0107272
Coef.Correlation
0.64047
Coef of
Determination
0.4102
49
Standard
Devition
SDx
SDy
0.07152
0.18619
Variance
Vx
Vy
0.005115
0.03466
50
BETA VALUES
BETA VALUE
0.9
0.8
0.7
0.6
0.5
0.824
0.4
0.3
0.6085
0.2
0.1
0
ICICI BANK
SBI BANK
51
52
Conclusions
Average rate of return of the 2 different companies are lesser than that of its
market returns. So, the returns are better than the market returns.
Since standard deviation of SBI equity and ICICI equity is less than its market,
the risk is likely less compared to that of market.
Lower the beta and higher the funds performance is the better equity for
investment. One might expect the best performance by funds with low
diversification because they apparently are attempting to beat the market by
being unique in their selection or timing.
Since Beta (0.6085) of ICICI Bank is less than that of markets beta , the fund
reacts less than the market reaction. Also beta indicates that the funds returns
would increase or decease by 0.6% for every 1 % increase or decrease in the
market returns. This also means that the mutual fund fluctuates 4% less than the
market index.
Considering only the rate of return, all the equities outperformed the market.
53
BIBLIOGRAPHY
54
WWW.NSEINDIA.COM
www.google.co.in
Security Analysis And Protfolio Management
---Donald D.Fischer
---Ronald J.Jordan
55
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