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Portfolio July 2005

Portfolio July 2005

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Published by: api-3716002 on Oct 14, 2008
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03/18/2014

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Name
Beta Values (\u03b2)
Index variance
A.C.C.
0.17
1.41
1.9881
0.62
0.8792
BAJAJ AUTO
0.22
1.52
2.3104
0.74
0.9282
BHARTI TELEVENTURES
0.22
2.26
5.1076
1.11
0.9120
BHEL
0.17
1.63
2.6569
0.72
0.8713
CIPLA LTD.
0.24
1.79
3.2041
0.93
0.8891
DR.REDDY'S
0.2
1.53
2.3409
0.71
0.9287
GRASIM IND.
0.26
1.35
1.8225
0.74
0.8653
GUJARAT AMBUJA CEMENT
0.24
1.66
2.7556
0.86
0.8942
HDFC
0.12
1.8
3.2400
0.66
0.8926
HDFC BANK
0.23
1.71
2.9241
0.86
0.9093
HERO HONDA
0.17
1.95
3.8025
0.85
0.8947
HINDALCO
0.26
1.64
2.6896
0.88
0.9030
HINDUSTAN LEVER
0.14
1.78
3.1684
0.7
0.9053
ICICI BANK
0.36
1.9
3.6100
1.2
0.9025
INFOSYS TECHNOLOGIES
0.45
1.63
2.6569
1.16
0.8885
ITC LTD.
0.13
1.55
2.4025
0.58
0.9284
LARSEN & TOUBRO
0.18
1.9
3.6100
0.84
0.9209
MARUTI UDYOG
0.32
1.95
3.8025
1.17
0.8889
NATIONAL THERMAL POWER
0.34
1.48
2.1904
0.95
0.8252
ONGC
0.38
1.44
2.0736
0.93
0.9111
RANBAXY LAB.
0.17
1.65
2.7225
0.72
0.8928
RELIANCE
0.46
1.59
2.5281
1.14
0.8948
RELIANCE ENERGY
0.24
1.81
3.2761
0.94
0.8898
SATYAM COMPUTER
0.47
1.96
3.8416
1.42
0.8954
STATE BANK OF INDIA
0.42
1.85
3.4225
1.27
0.8912
TATA CONSULTANCY
0.23
1.68
2.8224
0.85
0.8985
TATA MOTORS
0.44
1.81
3.2761
1.27
0.8937
TATA POWER
0.34
1.95
3.8025
1.21
0.8830
TATA STEEL
0.4
1.76
3.0976
1.18
0.8899
WIPRO LTD.
0.49
1.79
3.2041
1.33
0.8876
0.8952
Co-efficient of
determination
(R2)

Daily
Volatility
(%) OR
Satandard
deviation

Stock
variance
(\u03c32
i)
Average Index
Variance \u03c3I2
Name
A.C.C.
0.62
79.36
0.17
1.41
1.9881
1.6501
117.5161
27.3757
BAJAJ AUTO
0.74
75.55
0.22
1.52
2.3104
1.8021
93.3108
28.3540
BHARTI TELEVENTURES
1.11
86.25
0.22
2.26
5.1076
3.9839
71.8468
22.2199
BHEL
0.72
84.82
0.17
1.63
2.6569
2.2052
108.7778
25.5712
CIPLA LTD.
0.93
35.06
0.24
1.79
3.2041
2.4351
30.7097
10.9074
DR.REDDY'S
0.71
9.97
0.2
1.53
2.3409
1.8727
4.8873
1.3156
GRASIM IND.
0.74
21.12
0.26
1.35
1.8225
1.3487
19.7568
8.0219
GUJARAT AMBUJA CEMENT
0.86
74.05
0.24
1.66
2.7556
2.0943
78.5465
27.7392
HDFC
0.66
60.98
0.12
1.8
3.2400
2.8512
82.5455
12.6111
HDFC BANK
0.86
82.9
0.23
1.71
2.9241
2.2516
88.8372
29.1816
HERO HONDA
0.85
43.12
0.17
1.95
3.8025
3.1561
43.0824
9.8626
HINDALCO
0.88
15.37
0.26
1.64
2.6896
1.9903
10.0795
3.9218
HINDUSTAN LEVER
0.7
43.67
0.14
1.78
3.1684
2.7248
53.1000
9.5489
ICICI BANK
1.2
100.9
0.36
1.9
3.6100
2.3104
78.6667
49.0305
INFOSYS TECHNOLOGIES
1.16
46.05
0.45
1.63
2.6569
1.4613
34.0948
31.3954
ITC LTD.
0.58
62.46
0.13
1.55
2.4025
2.0902
96.4828
15.5283
LARSEN & TOUBRO
0.84
64.54
0.18
1.9
3.6100
2.9602
69.0952
16.4697
MARUTI UDYOG
1.17
13.54
0.32
1.95
3.8025
2.5857
6.0171
3.1855
NATIONAL THERMAL POWER
0.95
24.22
0.34
1.48
2.1904
1.4457
18.6526
11.6445
ONGC
0.93
31.01
0.38
1.44
2.0736
1.2856
26.3548
17.7300
RANBAXY LAB.
0.72
0
0.17
1.65
2.7225
2.2597
-9.0278
-2.0711
RELIANCE
1.14
43.77
0.46
1.59
2.5281
1.3652
32.6930
31.1226
RELIANCE ENERGY
0.94
4.17
0.24
1.81
3.2761
2.4898
-2.4787
-0.8797
SATYAM COMPUTER
1.42
53.86
0.47
1.96
3.8416
2.0360
33.3521
33.0303
STATE BANK OF INDIA
1.27
81.2
0.42
1.85
3.4225
1.9851
58.8189
47.7917
TATA CONSULTANCY
0.85
28.52
0.23
1.68
2.8224
2.1732
25.9059
8.6125
TATA MOTORS
1.27
13.65
0.44
1.81
3.2761
1.8346
5.6299
4.9495
TATA POWER
1.21
48.51
0.34
1.95
3.8025
2.5097
34.7190
20.2547
TATA STEEL
1.18
40.87
0.4
1.76
3.0976
1.8586
29.1271
21.8215
WIPRO LTD.
1.33
34.54
0.49
1.79
3.2041
1.6341
21.0827
22.8220
6.5
0.8952
13
Beta Values (\u03b2i) Returns Ri

Co-efficient of
determination
(R2)

Daily
Volatility
(%) OR
Satandard
deviation

Stock variance
(\u03c32
i)
Unsystematic
Risk (\u03c32
e) = (1 -
R2)*\u03c32
i
Beta ratio = (Ri -
Rf)/\u03b2i
((Ri - Rf)*\u03b2i)/\u03c32
e
Rf
Average Index Variance \u03c3I2
Rm
0.2330
27.3757
0.2330
20.2779
0.3039
55.7296
0.5368
33.6961
0.3093
77.9495
0.8461
39.7063
0.2351
103.5208
1.0812
47.0927
0.3552
114.4282
1.4363
44.8139
0.2692
115.7437
1.7055
41.0062
0.4060
123.7657
2.1116
38.3338
0.3532
151.5049
2.4647
42.2987
0.1528
164.1160
2.6175
43.9452
0.3285
193.2976
2.9460
47.5746
0.2289
203.1602
3.1749
47.3350
0.3891
207.0820
3.5640
44.2383
0.1798
216.6308
3.7438
44.5662
0.6233
265.6613
4.3671
48.4416
0.9208
297.0568
5.2879
46.3790
0.1609
312.5850
5.4489
47.6072
0.2384
329.0547
5.6872
48.3599
0.5294
332.2402
6.2166
45.3032
0.6243
343.8847
6.8409
43.2126
0.6727
361.6148
7.5137
41.8986
0.2294
359.5437
7.7431
40.5799
0.9520
390.6663
8.6950
39.8147
0.3549
389.7866
9.0499
38.3385
0.9903
422.8169
10.0403
37.8959
0.8125
470.6086
10.8528
39.3161
0.3325
479.2211
11.1852
38.9538
0.8791
484.1706
12.0644
36.7312
0.5834
504.4253
12.6478
36.6459
0.7492
526.2468
13.3970
36.2578
1.0825
549.0688
14.4795
35.2046
\u03b22
i/\u03c32
e i=1
i\u2211((Ri - Rf)*\u03b2i)/\u03c32
e i=1
i\u2211(\u03b22
i/\u03c32
e)
Ci=(\u03c32
I* i=1
i\u2211((Ri -
Rf) * \u03b2i)/\u03c32
e)/(1 +
\u03c32
I(i=1
i\u2211(\u03b22
i/\u03c32
e))

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