Name of Security

Sr.No
2
1 I T C Ltd.
2 Tata Motors Ltd.
3 Tata Consultancy Services Ltd.
4 Sun Pharmaceutical Industries Ltd.
5 State Bank of India
6 Reliance Industries Ltd.
7 Oil & Natural Gas Corporation Ltd.
8 Mahindra & Mahindra Ltd.
9 Larsen & Toubro Ltd.
10 Kotak Mahindra Bank Ltd.
11 Infosys Ltd.
12 ICICI Bank Ltd.
13 Housing Development Finance Corporat
14 Hindustan Unilever Ltd.
15 HDFC Bank Ltd.
16 HCL Technologies Ltd.
17 Dr. Reddy's Laboratories Ltd.
18 Bharti Airtel Ltd.
19 Axis Bank Ltd.
20 Wipro Ltd.
21 Maruti Suzuki India Ltd.
22 Tech Mahindra Ltd.
23 Tata Steel Ltd.
24 Sesa Sterlite Ltd.
25 Hero MotoCorp Ltd.
26 Lupin Ltd.
27 Bajaj Auto Ltd.
28 NTPC Ltd.
29 Power Grid Corporation of India Ltd.
30 Asian Paints Ltd.
31 Cipla Ltd.
32 UltraTech Cement Ltd.
33 IndusInd Bank Ltd.
34 Coal India Ltd.
35 Hindalco Industries Ltd.
36 Bharat Heavy Electricals Ltd.
37 Grasim Industries Ltd.
38 GAIL (India) Ltd.
39 Cairn India Ltd.
40 IDFC Ltd.
41 Bharat Petroleum Corporation Ltd.
42 Bank of Baroda
43 Ambuja Cements Ltd.
44 Tata Power Co. Ltd.
45 Punjab National Bank
46 ACC Ltd.
47 NMDC Ltd.
48 United Spirits Ltd.
49 Jindal Steel & Power Ltd.
50 DLF Ltd.
 Free Float Market
Issued Capital (` Weightage

Bet
Capitalisation (` R2

a
crore) (Percent)
crore)
3 4 5 6 7
796 197,067 7.35 ### ###
547 66,342 6.72 ### ###
196 51,187 6.48 ### ###
207 37,414 6.28 ### ###
747 43,788 6.13 ### ###
3,234 157,491 5.88 ### ###
4,278 52,596 4.81 ### ###
308 168,369 4.65 ### ###
186 180,029 3.52 ### ###
385 173,724 2.91 ### ###
287 44,320 2.84 ### ###
1,156 124,554 2.48 ### ###
313 64,784 2.42 ### ###
216 78,048 2.40 ### ###
482 164,379 1.96 ### ###
140 76,064 1.91 ### ###
85 64,385 1.65 ### ###
1,999 128,969 1.63 ### ###
472 94,360 1.40 ### ###
493 37,038 1.38 ### ###
151 36,837 1.37 ### ###
235 35,435 1.32 ### ###
971 34,212 1.28 ### ###
296 32,530 1.21 ### ###
40 31,251 1.17 ### ###
90 30,714 1.15 ### -
289 30,312 1.13 ### ###
8,245 28,371 1.06 ### ###
5,232 28,460 1.06 ### ###
96 28,265 1.05 ### ###
161 26,092 0.97 ### ###
274 26,096 0.97 ### ###
527 25,182 0.94 ### ###
6,316 23,277 0.87 ### ###
206 21,880 0.82 ### ###
490 21,781 0.81 ### ###
92 21,608 0.81 ### ###
1,268 20,612 0.77 ### ###
1,874 18,510 0.69 ### ###
1,517 18,110 0.68 ### ###
723 17,943 0.67 ### ###
429 16,371 0.61 ### ###
310 15,832 0.59 ### ###
270 15,683 0.59 ### ###
362 14,118 0.53 ### ###
188 13,961 0.52 ### ###
396 13,441 0.50 ### ###
131 12,130 0.45 ### ###
91 8,439 0.31 ### ###
356 7,922 0.30 ### ###
2,680,280 100.0

0
50
 Return
Daily Volatility Monthly Return Impact Cost 2016 2017 2018
(Percent) (Percent) (Percent)
8 9 10 11 12 13
1.28 -0.05 0.05 56 35 77
1.36 0.23 0.05 45 75 45
1.32 0.33 0.05 34 54 65
1.97 -0.04 0.07 45 56 32
0.89 -0.03 0.04 23 0 34
1.15 0.03 0.06 32 96 54
1.09 -0.14 0.04 32 43 54
1.51 0.02 0.05 23 53 7
2.15 0.78 0.05 35 54 87
2.06 0.45 0.06 56 44 77
1.34 -0.01 0.04 65 56 64
1.69 -0.04 0.06 43 46 65
1.99 0.73 0.07 76 65 86
1.63 0.41 0.06 76 65 54
1.04 0.34 0.05 34 34 43
1.27 -0.04 0.05 77 55 32
1.40 0.33 0.05 54 65 35
1.69 0.12 0.05 76 45 76
1.17 0.22 0.05 88 44 76
0.97 0.13 0.05 54 87 64
1.12 0.44 0.05 65 67 76
1.19 0.45 0.05 54 45 54
1.78 -0.29 0.05 46 64 41
2.28 -0.23 0.06 76 87 65
0.90 0.01 0.05 54 53 22
0.98 0.46 0.07 45 65 24
1.28 0.42 0.06 64 56 44
1.44 -0.42 0.05 65 56 45
1.17 -0.20 0.06 98 46 43
1.03 -0.15 0.06 64 42 22
1.69 0.70 0.05 65 34 43
1.98 0.18 0.06 67 65 53
1.36 0.20 0.07 86 86 26
1.38 -0.15 0.05 54 45 22
2.93 -0.57 0.07 56 76 65
2.61 0.25 0.07 54 78 56
1.45 0.21 0.07 65 54 43
2.15 0.14 0.05 43 34 41
1.10 0.11 0.05 35 54 54
1.88 -0.38 0.06 45 35 34
2.28 0.99 0.06 64 66 64
2.03 -0.07 0.06 64 54 34
1.72 -0.05 0.06 64 54 53
1.88 -0.68 0.07 64 34 22
1.77 -0.14 0.06 65 35 54
1.72 0.30 0.06 54 64 65
1.09 -0.07 0.06 78 24 42
1.36 0.08 0.05 45 33 22
4.07 -0.79 0.07 45 56 86
2.12 -0.58 0.07 34 45 31
0.05
Return

2019
average return
14
65 58.25 4.8541666667
56 55.25
56 52.25
46 44.75
42 24.75
34 54
65 48.5
86 42.25
45 55.25
76 63.25
78 65.75
54 52
34 65.25
54 62.25
35 36.5
66 57.5
54 52
54
34
35
64
64
87
53
65
56
56
65
57
5
57
87
75
54
56
0
96
43
53
54
44
56
46
65
65
34
55
65
45
44
87
Month Month
ly Issued ly
Retur Capita Retur
n l (` n
(Perce crore) (Perce
nt) nt)
9 3 9
-0.05 796 -0.05
0.23 1,156 0.23
0.33 287 0.33
-0.04 313 -0.04
-0.03 3,234 -0.03
0.03 482 0.03
-0.14 196 -0.14
0.02 186 0.02
0.78 547 0.78
0.45 4,278 0.45
-0.01 747 -0.01
-0.04 472 -0.04
0.73 308 0.73
0.41 0.41
0.34 0.34
-0.04 -0.04
0.33 0.33
0.12
 Component Stocks : CNX Nifty Index during August
Free Float
Issued Market
Weightage
S.No. Name of Security Capital Capitalisat Beta
(Percent)
(` crore) ion (`
crore)
1 2 3 4 5 6
1 I T C Ltd. 796 197,067 7.35 0.71
2 ICICI Bank Ltd. 1,156 180,029 6.72 1.82
3 Infosys Ltd. 287 173,724 6.48 0.40
4 Housing Development Finance Co 313 168,369 6.28 1.20
5 Reliance Industries Ltd. 3,234 164,379 6.13 1.15
6 HDFC Bank Ltd. 482 157,491 5.88 1.23
7 Tata Consultancy Services Ltd. 196 128,969 4.81 0.40
8 Larsen & Toubro Ltd. 186 124,554 4.65 1.56
9 Tata Motors Ltd. 547 94,360 3.52 1.19
10 Oil & Natural Gas Corporation L 4,278 78,048 2.91 1.41
11 State Bank of India 747 76,064 2.84 1.44
12 Axis Bank Ltd. 472 66,342 2.48 1.81
13 Mahindra & Mahindra Ltd. 308 64,784 2.42 0.71
14 Sun Pharmaceutical Industries L 207 64,385 2.40 0.39
15 Hindustan Unilever Ltd. 216 52,596 1.96 0.53
16 Bharti Airtel Ltd. 1,999 51,187 1.91 1.00
17 Kotak Mahindra Bank Ltd. 385 44,320 1.65 1.25
18 HCL Technologies Ltd. 140 43,788 1.63 0.36
19 Dr. Reddy's Laboratories Ltd. 85 37,414 1.40 0.20
20 Wipro Ltd. 493 37,038 1.38 0.27
21 Maruti Suzuki India Ltd. 151 36,837 1.37 1.03
22 Tech Mahindra Ltd. 235 35,435 1.32 0.15
23 Tata Steel Ltd. 971 34,212 1.28 1.28
24 Sesa Sterlite Ltd. 296 32,530 1.21 1.05
25 Hero MotoCorp Ltd. 40 31,251 1.17 0.88
26 Lupin Ltd. 90 30,714 1.15 0.09
27 Bajaj Auto Ltd. 289 30,312 1.13 0.68
28 NTPC Ltd. 8,245 28,371 1.06 0.78
29 Power Grid Corporation of India 5,232 28,460 1.06 0.75
30 Asian Paints Ltd. 96 28,265 1.05 0.87
31 Cipla Ltd. 161 26,092 0.97 0.40
32 UltraTech Cement Ltd. 274 26,096 0.97 1.09
33 IndusInd Bank Ltd. 527 25,182 0.94 1.69
34 Coal India Ltd. 6,316 23,277 0.87 0.95
35 Hindalco Industries Ltd. 206 21,880 0.82 1.21
36 Bharat Heavy Electricals Ltd. 490 21,781 0.81 1.56
37 Grasim Industries Ltd. 92 21,608 0.81 1.06
38 GAIL (India) Ltd. 1,268 20,612 0.77 0.74
39 Cairn India Ltd. 1,874 18,510 0.69 0.42
40 IDFC Ltd. 1,517 18,110 0.68 1.71
41 Bharat Petroleum Corporation L 723 17,943 0.67 1.32
42 Bank of Baroda 429 16,371 0.61 1.71
43 Ambuja Cements Ltd. 310 15,832 0.59 1.28
44 Tata Power Co. Ltd. 270 15,683 0.59 1.14
45 Punjab National Bank 362 14,118 0.53 1.82
46 ACC Ltd. 188 13,961 0.52 1.07
47 NMDC Ltd. 396 13,441 0.50 0.80
48 United Spirits Ltd. 131 12,130 0.45 0.41
49 Jindal Steel & Power Ltd. 91 8,439 0.31 1.10
50 DLF Ltd. 356 7,922 0.30 2.00
Total 2,680,280 100.0
Notes: 1. Beta & R2 are calculated for the period Sep'13 to Aug'14. Beta measures the degree to wh
2. The coefficient of determination (R2) measures the strength of relationship between two variable
3. Volatility is the standard deviation of the daily returns for the period Sep'13 to Aug'14.
4. Impact cost is calculated as the difference between actual buy price and ideal buy price, divided b
5. The above is calculated for a month for the portfolio size of `5 lakh. It is calculated for the curre
Source: NSE.
ex during August Return
Impact
Daily Monthly
Cost 2016 2017 2018 2019
R2 Volatility Return
(Percen
(Percent) (Percent)
t)
7 8 9 10 11 12 13 14
0.22 1.28 -0.05 0.05 56 35 77 65
0.64 1.36 0.23 0.05 45 75 45 56
0.06 1.32 0.33 0.05 34 54 65 56
0.47 1.97 -0.04 0.07 45 56 32 46
0.52 0.89 -0.03 0.04 23 0 34 42
0.54 1.15 0.03 0.06 32 96 54 34
0.06 1.09 -0.14 0.04 32 43 54 65
0.52 1.51 0.02 0.05 23 53 7 86
0.33 2.15 0.78 0.05 35 54 87 45
0.39 2.06 0.45 0.06 56 44 77 76
0.45 1.34 -0.01 0.04 65 56 64 78
0.53 1.69 -0.04 0.06 43 46 65 54
0.16 1.99 0.73 0.07 76 65 86 34
0.05 1.63 0.41 0.06 76 65 54 54
0.13 1.04 0.34 0.05 34 34 43 35
0.28 1.27 -0.04 0.05 77 55 32 66
0.42 1.40 0.33 0.05 54 65 35 54
0.04 1.69 0.12 0.05 76 45 76 54
0.02 1.17 0.22 0.05 88 44 76 34
0.03 0.97 0.13 0.05 54 87 64 35
0.28 1.12 0.44 0.05 65 67 76 64
0.01 1.19 0.45 0.05 54 45 54 64
0.29 1.78 -0.29 0.05 46 64 41 87
0.19 2.28 -0.23 0.06 76 87 65 53
0.26 0.90 0.01 0.05 54 53 22 65
- 0.98 0.46 0.07 45 65 24 56
0.22 1.28 0.42 0.06 64 56 44 56
0.14 1.44 -0.42 0.05 65 56 45 65
0.23 1.17 -0.20 0.06 98 46 43 57
0.26 1.03 -0.15 0.06 64 42 22 5
0.08 1.69 0.70 0.05 65 34 43 57
0.33 1.98 0.18 0.06 67 65 53 87
0.51 1.36 0.20 0.07 86 86 26 75
0.17 1.38 -0.15 0.05 54 45 22 54
0.21 2.93 -0.57 0.07 56 76 65 56
0.28 2.61 0.25 0.07 54 78 56 0
0.33 1.45 0.21 0.07 65 54 43 96
0.16 2.15 0.14 0.05 43 34 41 43
0.08 1.10 0.11 0.05 35 54 54 53
 0.42 1.88 -0.38 0.06 45 35 34 54
0.29 2.28 0.99 0.06 64 66 64 44
0.38 2.03 -0.07 0.06 64 54 34 56
0.39 1.72 -0.05 0.06 64 54 53 46
0.24 1.88 -0.68 0.07 64 34 22 65
0.45 1.77 -0.14 0.06 65 35 54 65
0.35 1.72 0.30 0.06 54 64 65 34
0.17 1.09 -0.07 0.06 78 24 42 55
0.04 1.36 0.08 0.05 45 33 22 65
0.18 4.07 -0.79 0.07 45 56 86 45
0.37 2.12 -0.58 0.07 34 45 31 44
0.05 87
es the degree to which any portfolio of stocks is affected a
etween two variables the return on a security versus that o
o Aug'14.
buy price, divided by ideal buy price, multiplied by 100. Hen
ulated for the current month.