sbi-X hdfcbank-Y HDFC BK HDFC BK SBI SBI

1-Oct-18 274.1 0 2039.9 0 0 0 0 0

3-Oct-18 271.5 -0.94856 2031 -0.4363 -0.00437 1.91188E-05 -0.00953 9.08E-05
4-Oct-18 269.4 -0.77348 1945 -4.23437 -0.04327 0.0018719732 -0.00776 6.03E-05
5-Oct-18 258.3 -4.12027 1950 0.257069 0.002567 6.59152E-06 -0.04208 0.00177
8-Oct-18 266 2.98103 1940 -0.51282 -0.00514 0.000026434 0.029375 0.000863
9-Oct-18 262.75 -1.2218 1945.95 0.306701 0.003062 9.377783E-06 -0.01229 0.000151
10-Oct-18 277.3 5.537583 1968.4 1.153678 0.011471 0.0001315779 0.053897 0.002905
11-Oct-18 261.7 -5.62568 1941 -1.39199 -0.01402 0.0001964966 -0.0579 0.003353
12-Oct-18 263.7 0.764234 1977 1.854714 0.018377 0.000337723 0.007613 5.8E-05
15-Oct-18 263.15 -0.20857 2009.7 1.654021 0.016405 0.0002691212 -0.00209 4.36E-06
16-Oct-18 270.35 2.736082 1989.6 -1.00015 -0.01005 0.0001010396 0.026993 0.000729
17-Oct-18 261 -3.45848 1974.65 -0.75141 -0.00754 5.688849E-05 -0.0352 0.001239
19-Oct-18 261.15 0.057471 1970 -0.23548 -0.00236 5.558394E-06 0.000575 3.3E-07
22-Oct-18 260 -0.44036 1998.3 1.436548 0.014263 0.0002034411 -0.00441 1.95E-05
23-Oct-18 255.9 -1.57692 1985 -0.66557 -0.00668 4.459441E-05 -0.01589 0.000253
24-Oct-18 255 -0.3517 1992 0.352645 0.00352 1.239213E-05 -0.00352 1.24E-05
25-Oct-18 250.65 -1.70588 1972 -1.00402 -0.01009 0.0001018263 -0.01721 0.000296
26-Oct-18 247.9 -1.09715 1961.2 -0.54767 -0.00549 0.000030159 -0.01103 0.000122
29-Oct-18 267.5 7.906414 1929.9 -1.59596 -0.01609 0.0002588348 0.076094 0.00579
30-Oct-18 273.9 2.392523 1912 -0.92751 -0.00932 8.683208E-05 0.023644 0.000559
31-Oct-18 280.75 2.500913 1906 -0.31381 -0.00314 9.878508E-06 0.024702 0.00061

average 0.1594 -0.31437 -0.00339 0.0001889929 0.001199 0.000944

volatility 0.013322 0.0307051053
yearly 0.254512 0.5866202128
beta 0.020596 25.45116 58.662021276
Y STOCK alpha -0.31765
sbi hdfcbank COSTLY CHEAPER
jalpha 0.10711 -0.37641 sbi hdfcbank
sharp ratio 0.169445 -1.47092 sbi hdfcbank
trenor ratio 4.826273 -18.1769 sbi hdfcbank
CO-RRELATION 0.048337
 NOV END
HDFC 2120 0.112277 11.2277
SBI 284 0.011576 1.157614
ICICI 355 0.004527 0.452745
 ICICI-X hdfcbank-Y HDFC BK HDFC BK ICICI ICICI
1-Oct-18 314.2 0 2039.9 0 0 0 0 0
3-Oct-18 304.5 -3.08721 2031 -0.4363 -0.00437 1.91E-05 -0.03136 0.000983
4-Oct-18 316 3.776683 1945 -4.23437 -0.04327 0.001872 0.037071 0.001374
5-Oct-18 304.5 -3.63924 1950 0.257069 0.002567 6.59E-06 -0.03707 0.001374
8-Oct-18 311.55 2.315271 1940 -0.51282 -0.00514 2.64E-05 0.022889 0.000524
9-Oct-18 304.95 -2.11844 1945.95 0.306701 0.003062 9.38E-06 -0.02141 0.000458
10-Oct-18 319 4.607313 1968.4 1.153678 0.011471 0.000132 0.045043 0.002029
11-Oct-18 312 -2.19436 1941 -1.39199 -0.01402 0.000196 -0.02219 0.000492
12-Oct-18 318.5 2.083333 1977 1.854714 0.018377 0.000338 0.020619 0.000425
15-Oct-18 312.95 -1.74254 2009.7 1.654021 0.016405 0.000269 -0.01758 0.000309
16-Oct-18 320.25 2.332641 1989.6 -1.00015 -0.01005 0.000101 0.023059 0.000532
17-Oct-18 316 -1.32709 1974.65 -0.75141 -0.00754 5.69E-05 -0.01336 0.000178
19-Oct-18 315.95 -0.01582 1970 -0.23548 -0.00236 5.56E-06 -0.00016 2.5E-08
22-Oct-18 328.2 3.877196 1998.3 1.436548 0.014263 0.000203 0.038039 0.001447
23-Oct-18 324.9 -1.00548 1985 -0.66557 -0.00668 4.46E-05 -0.01011 0.000102
24-Oct-18 321.95 -0.90797 1992 0.352645 0.00352 1.24E-05 -0.00912 8.32E-05
25-Oct-18 319.45 -0.77652 1972 -1.00402 -0.01009 0.000102 -0.0078 6.08E-05
26-Oct-18 314.3 -1.61215 1961.2 -0.54767 -0.00549 3.02E-05 -0.01625 0.000264
29-Oct-18 351.45 11.81992 1929.9 -1.59596 -0.01609 0.000259 0.11172 0.012481
30-Oct-18 346 -1.55072 1912 -0.92751 -0.00932 8.68E-05 -0.01563 0.000244
31-Oct-18 353.4 2.138728 1906 -0.31381 -0.00314 9.88E-06 0.021162 0.000448

average 0.648677 -0.33008 -0.00339 0.000189 0.005879 0.001191

volatility 0.013322 0.033999
yearly 0.254512 0.649559
beta -0.06358 25.45116 64.95587
Y STOCK alpha -0.28884
ICICI hdfcbank COSTLY CHEAPER
jalpha 0.563876 -0.35266 ICICI hdfcbank
sharp ratio 0.906273 -1.53267 ICICI hdfcbank
trenor rati -9.2589 6.135354 HDFC hdfcbank
CO-RRELATION -0.16881
 ICICI-X SBI-Y SBI SBI ICICI ICICI
1-Oct-18 314.2 0 274.1 0 0 0 0 0
3-Oct-18 304.5 -3.08721 271.5 -0.94856 -0.00953 9.08E-05 -0.03136 0.000983
4-Oct-18 316 3.776683 269.4 -0.77348 -0.00776 6.03E-05 0.037071 0.001374
5-Oct-18 304.5 -3.63924 258.3 -4.12027 -0.04208 0.00177 -0.03707 0.001374
8-Oct-18 311.55 2.315271 266 2.98103 0.029375 0.000863 0.022889 0.000524
9-Oct-18 304.95 -2.11844 262.75 -1.2218 -0.01229 0.000151 -0.02141 0.000458
10-Oct-18 319 4.607313 277.3 5.537583 0.053897 0.002905 0.045043 0.002029
11-Oct-18 312 -2.19436 261.7 -5.62568 -0.0579 0.003353 -0.02219 0.000492
12-Oct-18 318.5 2.083333 263.7 0.764234 0.007613 5.8E-05 0.020619 0.000425
15-Oct-18 312.95 -1.74254 263.15 -0.20857 -0.00209 4.36E-06 -0.01758 0.000309
16-Oct-18 320.25 2.332641 270.35 2.736082 0.026993 0.000729 0.023059 0.000532
17-Oct-18 316 -1.32709 261 -3.45848 -0.0352 0.001239 -0.01336 0.000178
19-Oct-18 315.95 -0.01582 261.15 0.057471 0.000575 3.3E-07 -0.00016 2.5E-08
22-Oct-18 328.2 3.877196 260 -0.44036 -0.00441 1.95E-05 0.038039 0.001447
23-Oct-18 324.9 -1.00548 255.9 -1.57692 -0.01589 0.000253 -0.01011 0.000102
24-Oct-18 321.95 -0.90797 255 -0.3517 -0.00352 1.24E-05 -0.00912 8.32E-05
25-Oct-18 319.45 -0.77652 250.65 -1.70588 -0.01721 0.000296 -0.0078 6.08E-05
26-Oct-18 314.3 -1.61215 247.9 -1.09715 -0.01103 0.000122 -0.01625 0.000264
29-Oct-18 351.45 11.81992 267.5 7.906414 0.076094 0.00579 0.11172 0.012481
30-Oct-18 346 -1.55072 273.9 2.392523 0.023644 0.000559 -0.01563 0.000244
31-Oct-18 353.4 2.138728 280.75 2.500913 0.024702 0.00061 0.021162 0.000448

average 0.617788 0.1594 0.001199 0.000944 0.005879 0.001191

volatility 0.030705 0.033999
yearly 0.58662 0.649559
beta 0.696811 58.66202 64.95587
Y STOCK alpha -0.27108
ICICI SBI COSTLY CHEAPER
jalpha 0.488525 -0.28927 ICICI SBI
sharp ratio 0.858718 0.169445 ICICI SBI
trenor rati 0.800487 0.14265 ICICI SBI
CO-RRELATION 0.789117
-280.75
-100 -100
-27.1081
 sbi-X hdfcbank-Y HDFC BK HDFC BK SBI SBI
1-Nov-18 285.65 0 1911.7 0 0 0 0 0
2-Nov-18 285.55 -0.03501 1950 2.0034524245 0.019836 0.000393 -0.00035 1.23E-07
5-Nov-18 296.1 3.694624 1959.6 0.4923076923 0.004911 2.41E-05 0.03628 0.001316
6-Nov-18 285.25 -3.6643 1948.3 -0.576648296 -0.00578 3.34E-05 -0.03733 0.001394
7-Nov-18 287 0.613497 1960 0.6005235333 0.005987 3.58E-05 0.006116 3.74E-05
9-Nov-18 283.1 -1.35889 1943.3 -0.852040816 -0.00856 7.32E-05 -0.01368 0.000187
12-Nov-18 277.2 -2.08407 1920.85 -1.155251377 -0.01162 0.000135 -0.02106 0.000444
13-Nov-18 279.4 0.793651 1929.55 0.4529244866 0.004519 2.04E-05 0.007905 6.25E-05
14-Nov-18 283.05 1.306371 1959.9 1.5729055998 0.015607 0.000244 0.012979 0.000168
15-Nov-18 285 0.688924 1973.1 0.6735037502 0.006712 4.51E-05 0.006866 4.71E-05
16-Nov-18 291.55 2.298246 2002.8 1.5052455527 0.01494 0.000223 0.022722 0.000516
19-Nov-18 288.05 -1.20048 2016.1 0.6640703016 0.006619 4.38E-05 -0.01208 0.000146
20-Nov-18 282.6 -1.89203 2012.75 -0.166162393 -0.00166 2.77E-06 -0.0191 0.000365
21-Nov-18 286.5 1.380042 2019.45 0.3328779034 0.003323 1.1E-05 0.013706 0.000188
22-Nov-18 282.65 -1.3438 2006.25 -0.653643319 -0.00656 4.3E-05 -0.01353 0.000183
26-Nov-18 286.5 1.362109 2050 2.1806853583 0.021572 0.000465 0.013529 0.000183
27-Nov-18 289 0.8726 2064 0.6829268293 0.006806 4.63E-05 0.008688 7.55E-05
28-Nov-18 284 -1.7301 2091 1.3081395349 0.012997 0.000169 -0.01745 0.000305
29-Nov-18 288 1.408451 2132.25 1.9727403156 0.019535 0.000382 0.013986 0.000196
30-Nov-18 284.05 -1.37153 2120.45 -0.553406026 -0.00555 3.08E-05 -0.01381 0.000191

average -0.01308 0.5242575528 0.005454 0.000127 -0.0003 0.000316

volatility 0.009883 0.017773
yearly 0.188813 0.33956
beta 0.333096 18.88129 33.95599
Y STOCK alpha 0.528616
sbi hdfcbank CHEAPER COSTLY
jalpha -0.22773 0.488602 sbi hdfcbank
sharp ratio -0.21523 2.458824 sbi hdfcbank
trenor rati -0.21941 1.393763 sbi hdfcbank
CO-RRELATION 0.595626
 ICICI-X hdfcbank-Y HDFC BK HDFC BK ICICI ICICI
1-Nov-18 353.85 0 1911.7 0 0 0 0 0
2-Nov-18 354.6 0.211954 1950 2.0034524245 0.019836 0.000393 0.002117 4.48E-06
5-Nov-18 349 -1.57924 1959.6 0.4923076923 0.004911 2.41E-05 -0.01592 0.000253
6-Nov-18 353.1 1.174785 1948.3 -0.576648296 -0.00578 3.34E-05 0.011679 0.000136
7-Nov-18 355.9 0.792976 1960 0.6005235333 0.005987 3.58E-05 0.007898 6.24E-05
9-Nov-18 357.1 0.337173 1943.3 -0.852040816 -0.00856 7.32E-05 0.003366 1.13E-05
12-Nov-18 352.75 -1.21815 1920.85 -1.155251377 -0.01162 0.000135 -0.01226 0.00015
13-Nov-18 361.4 2.452162 1929.55 0.4529244866 0.004519 2.04E-05 0.024226 0.000587
14-Nov-18 366.3 1.355838 1959.9 1.5729055998 0.015607 0.000244 0.013467 0.000181
15-Nov-18 369.75 0.941851 1973.1 0.6735037502 0.006712 4.51E-05 0.009374 8.79E-05
16-Nov-18 366.95 -0.75727 2002.8 1.5052455527 0.01494 0.000223 -0.0076 5.78E-05
19-Nov-18 363.5 -0.94018 2016.1 0.6640703016 0.006619 4.38E-05 -0.00945 8.92E-05
20-Nov-18 357.15 -1.74691 2012.75 -0.166162393 -0.00166 2.77E-06 -0.01762 0.000311
21-Nov-18 356.8 -0.098 2019.45 0.3328779034 0.003323 1.1E-05 -0.00098 9.61E-07
22-Nov-18 351.9 -1.37332 2006.25 -0.653643319 -0.00656 4.3E-05 -0.01383 0.000191
26-Nov-18 356 1.165104 2050 2.1806853583 0.021572 0.000465 0.011584 0.000134
27-Nov-18 353.35 -0.74438 2064 0.6829268293 0.006806 4.63E-05 -0.00747 5.58E-05
28-Nov-18 357.55 1.188623 2091 1.3081395349 0.012997 0.000169 0.011816 0.00014
29-Nov-18 362.2 1.300517 2132.25 1.9727403156 0.019535 0.000382 0.012921 0.000167
30-Nov-18 355.25 -1.91883 2120.45 -0.553406026 -0.00555 3.08E-05 -0.01937 0.000375

average 0.027236 0.5242575528 0.005454 0.000127 0.000208 0.000158

volatility 0.009883 0.012556
yearly 0.188813 0.239877
beta 0.359134 18.88129 23.98774
Y STOCK alpha 0.514476
ICICI HDFC BANK CHEAPER COSTLY
jalpha -0.1995 0.476024388 ICICI hdfcbank
sharp ratio -0.13659 2.458823545 ICICI hdfcbank
trenor rati -0.09123 1.292715014 ICICI hdfcbank
CO-RRELATION 0.453308421
 sbi-X ICICI-Y ICICI BK ICICI BK SBI SBI
1-Nov-18 285.65 0 353.85 0 0 0 0 0
2-Nov-18 285.55 -0.03501 354.6 0.211954 0.002117 4.48E-06 -0.00035 1.23E-07
5-Nov-18 296.1 3.694624 349 -1.57924 -0.01592 0.000253 0.03628 0.001316
6-Nov-18 285.25 -3.6643 353.1 1.174785 0.011679 0.000136 -0.03733 0.001394
7-Nov-18 287 0.613497 355.9 0.792976 0.007898 6.24E-05 0.006116 3.74E-05
9-Nov-18 283.1 -1.35889 357.1 0.337173 0.003366 1.13E-05 -0.01368 0.000187
12-Nov-18 277.2 -2.08407 352.75 -1.21815 -0.01226 0.00015 -0.02106 0.000444
13-Nov-18 279.4 0.793651 361.4 2.452162 0.024226 0.000587 0.007905 6.25E-05
14-Nov-18 283.05 1.306371 366.3 1.355838 0.013467 0.000181 0.012979 0.000168
15-Nov-18 285 0.688924 369.75 0.941851 0.009374 8.79E-05 0.006866 4.71E-05
16-Nov-18 291.55 2.298246 366.95 -0.75727 -0.0076 5.78E-05 0.022722 0.000516
19-Nov-18 288.05 -1.20048 363.5 -0.94018 -0.00945 8.92E-05 -0.01208 0.000146
20-Nov-18 282.6 -1.89203 357.15 -1.74691 -0.01762 0.000311 -0.0191 0.000365
21-Nov-18 286.5 1.380042 356.8 -0.098 -0.00098 9.61E-07 0.013706 0.000188
22-Nov-18 282.65 -1.3438 351.9 -1.37332 -0.01383 0.000191 -0.01353 0.000183
26-Nov-18 286.5 1.362109 356 1.165104 0.011584 0.000134 0.013529 0.000183
27-Nov-18 289 0.8726 353.35 -0.74438 -0.00747 5.58E-05 0.008688 7.55E-05
28-Nov-18 284 -1.7301 357.55 1.188623 0.011816 0.00014 -0.01745 0.000305
29-Nov-18 288 1.408451 362.2 1.300517 0.012921 0.000167 0.013986 0.000196
30-Nov-18 284.05 -1.37153 355.25 -1.91883 -0.01937 0.000375 -0.01381 0.000191

average -0.01308 0.027236 0.000208 0.000158 -0.0003 0.000316

volatility 0.012556 0.017773
yearly 0.239877 0.33956
beta 0.075769 23.98774 33.95599
Y STOCK alpha 0.028227
sbi hdfcbank CHEAPERCOSTLY
jalpha -0.0706 -0.02723 sbi ICICI
sharp ratio -0.21523 -0.13659 sbi ICICI
trenor rati -0.96457 -0.43243 sbi ICICI
CO-RRELATION 0.107162
 Dec-07
SBI 276 -0.02834 -2.83401
ICICI 351.3 0.011119 1.111893
HDFC 2115 0.002358 0.235849