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to netA PROJECT REPORT

ON
EQUITIES AND PORTFOLIO MANAGEMENT

Submitted in the partial fulfillment for the award of the degree of


MASTER OF BUSINESS ADMINISTRATION

BY
A.INDU
ROLL NO: 0640-60-121

Under the guidance of


Mr.Mahender

BHAVAN’S VIVEKANANDA COLLEGE


Sainikpuri, Secunderabad
(AFFILAITED TO OSMANIA UNIVERSITY)
2006-2008

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DECLARATION

I hereby declare that this Project Report titled EQUITIES AND

PORTFOLIO MANAGEMENT submitted by me to the Department of Business

Management, O.U., Hyderabad, is a bonafide work undertaken by me and it

is not submitted to any other University or Institution for the award of any

degree diploma / certificate or published any time before.

Name of the Student Signature of the Student

INDU

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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.

I convey my sincere thanks to Prof.ANAND REDDY BAVANS VIVEKANANDA

College, SAINIKPURI and all those who directly or indirectly contributed their

assistance in finishing out this project.

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I INTRODUCTION
1
NEED & SCOPE 2
OBJECTIVES 2
METHODOLGY 3
LIMITATIONS 4
SOURCE 4
TOOLS AND TECHNIQUES 4

LITERATURE REVIEW
II 6
INTRODUCTION TO INVESTMENT 7
EQUITY SHARES 9
PORTFOLIO 10
RISK 11
PHASES OF PORTFOLIO MANAGEMENT 12

III COMPANY PROFILE


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IV ANALYSIS AND INFERENCE


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MODELS 19
BETA 22
ICICI BANK 25
ANALYSIS FROM 2003-2007 27-31
CALCULATION OF BETA 34
SBI BANK 35
ANALYSIS FROM 2003-2007 36-40
CALCULATION OF BETA 43
BETA COMPARISION 44

V CONCLUSIONS & SUGGESTIONS


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BIBLIOGRAPHY
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NEED FOR THE STUDY:
• 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.
• To analyse the risk and return on securities.
• To test portfolio strategies before taking decisions.

OBJECTIVES OF THE STUDY


The objectives of Equities and investment /portfolio management can be categorised as
follows:
• To observe the rate of fluctuations of selected companies.
• The amount of risk involved in the securities of the sample companies.
• To make comparative study of risk and return of the sample companies.

SCOPE OF THE STUDY


The study covers all the information related to the Equity fund and the Portfolio
management it also covers the investor risk in the investment in various securities.
• Identification of the investor’s objectives, constraints and preferences.
• Strategies are to be developed and implemented in tune with investment policy
formulated.
• To reduce the future risk in advance.
• To earn maximum profit in the securities.
• Review and monitoring of the performance of the portfolio.
• Finally the evaluation of the portfolio.

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METHODOLOGY OF THE STUDY
Primary Data:
The data provided by the firm was been analyzes by using Markowitz model
determines an efficient asset of portfolio return i.e.,
1. Return
2. Standard deviation
3. Coefficient of correlation
Secondary Data:

The data that is used in this project is of secondary nature. The data is to
be collected from secondary sources such as various websites, journals, newspapers,
books, etc., the analysis used in this project has been done using selective technical tools.
In Equity market, risk is analyzed and trading decisions are taken on basis of technical
analysis.It is collecting share prices of selected companies for a period of five years.

PERIOD OF THE STUDY:


The study of Equity value and portfolio management for a period of five years
(2003-2007).

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LIMITATIONS:
• The companies are selected on the basis of the performance
• 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.
TOOLS & TECHNIQUES:

The following statistical techniques were used for measuring the performance of the

company’s funds.

1. Rate of Return (ROR)


N2-N1
ROR =
N1
Where, N1 is Close period at period1

N2 is Close period at period

2. Standard Deviation (SD)


Σ [R-AVG(R)]
SD =
N
Where, R is rate of return

N is total number of months

3. Beta
n Σxy – Σx * Σy
Beta =
n Σx2 – (Σx)2

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4. Alpha

Alpha = Avg (y) – (beta*Avg (x))

5. Coefficient of Correlation

n Σxy – Σx * Σy
Coefficient of Correlation =
[(n Σy2 – (Σy) 2) (n Σx2 – (Σx) 2)] ½
6. Coefficient of Correlation

Coefficient of determination = (Coefficient of Correlation) 2

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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.

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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 Preference Bonds Warrants Derivatives


Shares shares

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Equity shares

By investing in shares, investors basically buy the ownership right to


the company. When the company makes profits, shareholders receive their
share of the profits in the form of dividends. In addition, when company
performs well and the future expectation from the company is very high, the
price of the company’s shares goes up in the market. This allows
shareholders to sell shares at a profit, leading to capital gains.
Investors can invest in shares either through primary market offerings
or in the secondary market.
The primary market has shown abnormal returns to investors who
subscribed for the public issue and were allotted 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.

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The transaction cycle for purchasing and selling shares online is
depicted below:

Transa
ction Cycle

Member/ Member/
Broking Broking
firm. Stock Exchange firm.

Client (BSE / NSE) 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.
• Portfolio expected return is a weighted average of the expected return of
individual securities but portfolio variance, in short contrast, can be something
less than a weighted average of security variances.

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• As a result an investor can sometimes reduce portfolio risk by adding security
with greater individual risk than any other security in the portfolio. This is
because risk depends greatly on the co-variance among return of individual
securities.
• Since portfolios expected return is a weighted average of the expected return of its
securities, the contribution of each security to the portfolio’s expected returns
depends on its expected returns and its proportionate share of the initial
portfolio’s 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) Unsystematic risk (company risk)


Examples: Examples:

• Interest rate risk • Labor troubles


• Market risk • Liquidity problems
• Inflation risk • Raw materials risks
• Demand • Financial risks
• Government policy • Management problems

• International factors

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PHASES OF PORTFOLIO MANAGEMENT

Five phases can be identified in this process:

Security analysis
Portfolio analysis
Portfolio selection
Portfolio revision
Portfolio evaluation

SECURITY ANALYSIS

An examination and evaluation of the various factors affecting the value of a


security. Security Analysis stands for the proposition that a well-disciplined
investor can determine a rough value for a company from all of its financial
statements, make purchases when the market inevitably under-prices
some of them, earn a satisfactory return, and never be in real danger of
permanent loss.

PORTFOLIO ANALYSIS

Analysis phase of portfolio management consists of identifying the range of


possible portfolios that can be constituted from a given set of securities
and calculating their return and risk for further analysis.

PORTFOLIO SELECTION

The proper goal of portfolio construction is to generate a portfolio that provides


the highest returns at a given level of risk. A portfolio having this
characteristic is known as an efficient portfolio. The inputs from portfolio

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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.

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ICICI Securities Limited

ICICI Securities Ltd is a premier Indian Investment Bank, with a dominant position in its
core segments of its operations - Corporate Finance including Equity Capital Markets
Advisory Services, Institutional Equities, Retail and Financial Product Distribution.
ICICI Securities Limited assists global institutional investors to make the right decisions
through insightful research coverage and a client focused Sales and Dealing team.

ICICI Securities has the largest reach to the retail segment through its two pioneering bra
Winning is a habit that is assiduously cultivated at ICICI Securities Limited (I-Sec). Be it
deals, mandates or awards, we manage them all in our quite and efficient way.

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

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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.

With a full-service portfolio, a roster of blue-chip clients and performance second to


none, we have a formidable reputation within the industry. Today ICICI Securities is
among the leading Financial Institutions both on the institutional as well as retail side.

The Corporate Finance team regularly ranks highest among the leading capital markets
league tables and recently topped the Prime Database League tables for funds mobilized
through equity instruments in the first half of CY 07.

Headquartered in Mumbai, I-Sec operates out of several locations in India.

ICICI Securities Inc., the step-down wholly owned US subsidiary of the company is a
member of the National Association of Securities Dealers, Inc. (NASD). As a result of
this membership, ICICI Securities Inc. can engage in permitted activities in the U.S.
securities markets. These activities include Dealing in Securities and Corporate Advisory
Services in the United States and providing research and investment advice to US
investors.

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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.

ICICI Securities – India’s Leading Investment Bank

A subsidiary of ICICI Bank - the largest and most recognized private bank in India –
ICICI Securities Ltd is premier Indian Investment Bank, with a dominant position in its
core segments of its operations - Corporate Finance including Equity Capital Markets
Advisory Services, Institutional Equities, Retail and Financial Product Distribution With
a full-service portfolio, a roster of blue-chip clients and performance second to none, we
have a formidable reputation within the industry. I

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I

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MODELS

Some of the financial models used in the process of Valuation, stock selection, and
management of portfolios include:

• Maximizing return, given an acceptable level of risk.


• Modern portfolio theory—a model proposed by Harry Markowitz among others.
• The single-index model of portfolio variance.
• Capital asset pricing model.
• Arbitrage pricing theory.
• The Jensen Index.
• The Treynor Index.
• The Sharpe Diagonal (or Index) model.
• Value at risk model.

MARKOWITZ: PORTFOLIO SELECTION MODEL

The basic portfolio model, developed by Harry Markowitz, derived the expected rate of
return for a portfolio of assets and an expected risk measure. Markowitz showed that the
variance of the rate of return was meaning full measure of risk under a reasonable set of
assumptions and derives the formulas for computing the variance of the portfolio. This
portfolio variance formulation indicated the importance of diversification for reducing
risk, and showed how to properly diversify.

PARAMETERS OF MARKOWITZ: THE MEAN VARIANCE CRITERION

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.

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3. Covariance or variance of one asset return to other asset returns.

ASSUMPTIONS OF MARKOWWITZ MODEL:

1. Investors consider each investment alternative as being represented by a


probability distribution of expected returns over some holding period.
2. Investors maximize one period expected utility and possess utility curves that
demonstrate diminishing marginal utility of wealth.
3. Individuals estimate risk on the basis of the variability of expected returns.
4. Investors base decisions solely on expected return and risk; i.e, their utility curves
are a function of expected return and variance (or standard deviation) of returns
only.
5. For a given risk level, investors prefer higher returns to lower returns. Similarly,
for a given level of expected return, investors prefer less risk to more risk.

EXPECTED RISK CALCULATION:

PORTFOLIORISK = SQRT [((XX2*SDX2)+(XY2*SDY2)+(2*XX*XY*(rXY*SDX2*SDY2)))]

WHERE

Xx, Xy = proportion of total portfolio invested in security X& Y respectively

sdx, sdy = standard deviation of stock X & stock Y respectively

rxy = correlation coefficient of x & y

EXPECTED RETURN OF A PORTFOLIO CALCULATION:

PORTFOLIO RETURN =[(XX*RX)+(XY*RY)]

WHERE

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XX = proportion of total portfolio invested in security X

XY = proportion of total portfolio invested in security Y

RX = expected return to security X

RY = expected return to security Y

FORMULAS USED IN MARKOWITZ MODEL

Arithmetic return

Where

• Vi is the initial investment value and


• Vf is the final investment value

This return has the following characteristics:

• ROIArith = + 1.00 = + 100% when the final value is twice the initial value
• ROIArith > 0 when the investment is profitable
• ROIArith < 0 when the investment is at a loss
• ROIArith = − 1.00 = − 100% when investment can no longer be recovered

STANDARD DEVIATION

σ = Square root ((∑mean return -expected return)^2/N)

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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

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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:

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IMPLICATIONS FOR INVESTORS FROM THE MEASUREMENT OF PORTFOLIO
RISK

If the investor conservative and interested in low variability of portfolio returns from the
expected return (actual realizable return not from expected), he should:

1. Invest his funds in securities with low standard deviations, and


2. Ensure that the securities chosen for his portfolio have relatively low coefficients
of correlation with one another.

Theoretically, if it is possible, he should include some securities with negative


coefficients of correlation with other securities in the portfolio.

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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, Investitsionno-
Kreditny 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.

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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 short-
term 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.

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2004
Open High Low Last Close Total Traded Turnover in
Series Date Price Price Price Price Price Quantity Lacs
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

ICICI-2004
400
350 302.75 339.75
281.7 314.8 289.3
SHARE VALUE

300 275.9
295.3 300.95 236.75 296.3
250 270.9
200 247.8
Close Price
150
100
50
0
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MONTHS

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2005
Prev Open High Low Last Close Total Traded Turnover in
Series Date Close Price Price Price Price Price Quantity 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
593.4
600 538.4 540.55
SHARE PRICE

500 498.65
371.35372.25 360.35421.25 483.85
400
300 406.05 399.4 Series1
361.8
200
100
0
Nov
Jul
May
Jan

Jun
Mar

Dec
Oct
Sep
Apr
Feb

Aug

M ONTHS

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2006

Turnover
Prev Open High Low Last Close Total Traded in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ Jan 585.05 587.7 609.9 587.7 593.95 597 10240898 61395.27
EQ Feb 609.25 619.9 619.9 588.6 592 590.2 871478 5208.205
EQ Mar 615.25 600 620 560 614.4 616.55 1160638 7115.239
EQ Apr 589.05 599 611.95 592 603.9 604 809778 4889.214
EQ May 591.75 600.1 625.85 600.1 618.7 621.95 1621966 9981.174
EQ Jun 537.5 542 551 531.15 532 534.3 791136 4277.888
EQ Jul 487.9 499 518.35 485 488.45 489.1 490577 2401.659
EQ Aug 553.85 554 554 541.9 550 549.65 636281 3488.624
EQ Sep 597.45 594.9 611.9 588.5 609.5 609.6 1711581 10398.98
EQ Oct 699.6 700 708 691.5 692.1 697.75 760505 5330.941
EQ Nov 777.15 784.9 784.9 771.15 777.25 778.15 936459 7276.903
EQ Dec 872.45 883 884.5 865.65 876 878.15 1236189 10872.02

ICICI-2006
1000 878.15
800 778.15
SHARE VALUE

609.6
590.2 604 621.95 697.75
600 549.65
597 616.55 534.3489.1 Ser
400
es1
200

0
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MONTHS

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2007
Prev Open High Low Last Close Total Traded Turnover in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ Jan 891.5 892 906.5 888 895.25 897.45 345636 3109.8611
EQ Feb 941.1 951 957 942.35 952.9 952.55 811547 7710.4247
EQ Mar 829.5 840 858.5 824 857 855.35 1081867 9106.0205
EQ Apr 853.35 820.6 829.7 800.05 805.3 803.95 1829939 14810.493
EQ 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

ICICI-2007
1400 1298.3
1200 1057.8
1000
952.55 930.45 950.2 1162
Share Price

855.35
800 897.45 869.9 891 907.9
803.95
600 Ser
400
200
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Months

34
2008

Prev Open High Low Last Close Total Traded Turnover in


Series Date Close Price Price Price Price Price Quantity Lacs
EQ Jan 1187.40 1190 1131 1147 1147 1169.06 5525805 64600.06
EQ Feb 1105.85 1100 1045.45 1077.65 1088.50 1079.42 3665904 39570.53
EQ Mar 835.50 848.85 765 769 769.40 785.02 5048217 39629.35
EQ Apr 902.50 918 872 881 879.60 886.81 4446390 39431.01
EQ May 796.25 795.25 778.2 786.55 788.6 787.09 6852195 53932.8
EQ Jun 652.15 664.8 611.35 635 630.2 626.79 6725234 42153.09
EQ Jul 636.1 638 621.15 633 637.3 632.02 5333027 33705.611
EQ Aug 632.55 644.5 642.65 670.65 671.9 671.55 8633379 57977.632
EQ Sep 493.3 485.9 460.05 540 535.55 517.95 21452818 111113.883
EQ Oct 345.35 370.55 363 399.5 398.75 384.89 14134982 54403.601
EQ Nov 350.85 340 316.35 354 351.65 348.13 12329653 42923.30
EQ Dec 458.6 472.8 444 447.6 448.1 452.42 7794740 35264.774

35
S&P R= T=
Prev CNX ROR ROR X- Y-
Years Month Close NIFTY (X) (Y) X*X Y*Y X*Y Avg(X) Avg(Y) R^2 T^2
2003 Jan 140.5 1154.67 0.0208 0.0255 0.0004 0.00000 0.00053 0.0448 0.00000 0.00201
- - -
Feb 149.9 1178.72 0.0798 0.0627 0.0064 0.0039 0.00501 0.0970 0.0821 0.00940 0.00673
- - -
Mar 149.3 1084.64 0.0430 0.0040 0.0018 0.0000 0.00017 0.0602 0.0153 0.00362 2.4E-04
- - -
Apr 133.75 1038 0.0812 0.1163 0.0066 0.0135 0.00944 0.0641 0.0969 0.00410 0.00939
- - -
May 121.15 1122.32 0.1336 0.1040 0.0178 0.0108 0.01389 0.1164 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 0.1643 0.1721 0.0270 0.0296 0.02827 0.1471 0.1914 0.02164 0.03664
- - -
Dec 250.1 2139.93 0.0362 0.0124 0.0013 0.0002 0.00045 0.0534 0.0317 0.00285 0.00101
- - -
2004 Jan 295.45 2062.42 0.0049 0.1535 2.4E-05 0.0236 0.00075 0.0220 0.1728 0.00048 0.02987
- - -
Feb 295.05 2052.4 0.0157 0.0014 0.0002 0.0000 0.00002 0.0328 0.0180 0.00108 0.00032
- - - -
Mar 270.95 2020.25 0.0138 0.0889 0.0002 0.0079 0.00123 0.0033 0.0696 0.00001 0.00484
- - -
Apr 296.3 2048.22 0.1709 0.0856 0.0292 0.0073 0.01462 0.1881 0.1049 0.03537 0.01100
May 315 1698.16 0.0175 0.0594 0.0003 0.0035 0.00104 0.0004 0.0787 0.00000 6.2E-03
- - -
Jun 230.4 1727.93 0.0872 0.3672 0.0076 0.1348 0.03202 0.0700 0.3478 0.00491 0.12099
-
July 244.5 1878.62 0.0018 0.0577 3.4E-06 0.0033 0.00011 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 0.0661 0.0428 0.0044 0.0018 0.00283 0.0489 0.0622 0.00239 0.00386
- - -
Dec 339.75 2418.88 0.0104 0.1198 0.00011 0.0144 0.00124 0.0275 0.1391 0.00076 0.01936

36
2005 Jan 371.35 2393.76 0.0226 0.0851 0.0005 0.0072 0.00193 0.0055 0.1044 0.00003 0.01091
- -
Feb 360.9 2447.94 0.0320 0.0290 0.0010 0.0008 0.00093 -0.0491 -0.0096 0.00241 0.00009
- -
Mar 380.9 2369.69 0.0653 0.0525 0.0043 0.0028 0.00343 -0.0825 0.0719 0.00680 0.00516
Apr 392.8 2214.96 0.0988 0.0303 0.0098 0.0009 0.00299 0.0816 0.0496 0.00666 0.00246
- -
May 359.95 2433.73 0.0683 0.0913 0.0047 0.0083 0.00623 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 0.0943 0.2034 0.0089 0.0414 0.01917 0.0771 0.2227 0.00595 0.04961
- -
Sep 481.8 3066.15 0.0881 0.1093 0.0078 0.0119 0.00963 -0.1053 -0.0899 0.01109 0.00809
Oct 601.7 2795.89 0.1187 0.1993 0.0141 0.0397 0.02366 0.1016 0.2186 0.01031 0.04779
- -
Nov 498.6 3127.8 0.0721 0.2068 0.0052 0.0428 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
2006 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 0.0459 0.0098 0.0021 0.0001 0.00045 0.0288 0.0291 0.00083 0.00085
- -
Apr 589.05 4213.88 0.1356 0.0445 0.0184 0.0020 0.00603 -0.1528 -0.0251 0.02335 0.00063
May 591.75 3642.31 0.0218 0.0046 0.00048 0.0000 0.00010 0.0046 0.0239 0.00002 0.00057
- -
Jun 537.5 3721.71 0.0064 0.1009 4.1E-05 0.0102 0.00064 -0.0108 -0.0816 0.00012 0.00666
- -
July 487.9 3745.46 0.0876 0.1017 0.0077 0.0103 0.00891 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 0.00012 0.01419
1.55E-
Dec 872.45 4758.45 0.0296 0.1092 0.0009 0.0119 0.00324 0.0125 0.1286 04 1.7E-02
- -
2007 Jan 891.5 4899.39 0.0806 0.0214 0.0065 0.0005 0.00172 -0.0977 0.0407 0.00955 0.00166
Feb 941.1 4504.73 0.0225 0.0527 0.0005 0.0028 0.00118 0.0053 0.0721 0.00003 0.00519
- -
Mar 829.5 4605.89 0.0713 0.1345 0.0051 0.0181 0.00960 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 0.0497 0.0580 0.0025 0.0034 0.00288 0.0325 0.0773 0.00106 6.0E-03
- -
July 955.45 5483.25 0.0131 0.0380 0.0002 0.0014 0.00050 -0.0303 0.0573 0.00092 0.00329
- -
Aug 927.45 5411.29 0.1262 0.0302 0.0159 0.0009 0.00381 0.1090 -0.0108 0.01189 0.00012
- -
Sep 888.4 6094.11 0.1754 0.0440 0.0308 0.0019 0.00771 0.1583 -0.0246 0.02505 0.00061
- -
Oct 1062.4 7163.3 0.0231 0.1638 0.0005 0.0268 0.00379 -0.0403 0.1831 0.00162 0.03354
Nov 1254.05 6997.6 0.0663 0.1528 0.0044 0.0234 0.01013 0.0491 0.1722 0.00241 0.02964
- -
Dec 1178.4 7461.48 1.0000 0.0642 1.0000 0.0041 0.06420 -1.0172 -0.0448 1.03462 0.00201
29854.3 1.0298 1.8159 1.3385 3.2975 1.0126384 1.835249 1.32080 3.36814
SUM 29854.3 1.0298 1.0298 1.259 1.3385 3.29750 0.82536 1.0126 1.7856 1.32080 3.18849
- -
AVERAGE 0.0172 0.4896 0.0193

37
1. Beta

Σxy 0.825
Σx 1.03
Σy 1.216
Σx2 1.339
n 60
Σy2 3.298

β 0.6085

2 Alpha

Avg(X) -0.4896
-
Avg(Y) 0.02026
β 0.906

α 0.2776

3 Coef.Correlation

0.045

Coef of
4 Determination

0.002053

38
Standard
5 Devition 6 Variance

SDx 0.1483 Vx 0.02199


SDy 0.2305 Vy 0.05313

39
STATE BANK OF INDIA
The Bank is actively involved since 1973 in non-profit activity called Community

Services Banking. All our branches and administrative offices throughout the country

sponsor and participate in large number of welfare activities and social causes. Our

business is more than banking because we touch the lives of people anywhere in many

ways.

There commitment to nation-building is complete & comprehensive.

40
2004

Prev Open High Low Last Close Total Traded Turnover in


Series Date Close Price Price Price Price Price Quantity Lacs
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
619.05
600 600.25
541
564.65 567.3
500 469.3 478.85
450.7
468.65
442.9 442.3
400

300

200

100

0
41
2005

Prev Open High Low Last Close Total Traded


Series Date Close Price Price Price Price Price Quantity Turnover in Lacs

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
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
1113.8
983.35 1033.35
1000 904.9
931.25
881.2 961.7 818.75
800 811.75
869.25
742.6
600

400

200

0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC

43
Turnover
Prev Open High Low Last Close Total Traded in
Series Date Close Price Price Price Price Price Quantity Lacs
JAN 1245.6 1250 1260 1243 1253 1253.55 408144
EQ 5112.3453
FEB 1140.45 1158 1230 1135.7 1203.1 1203 2491197
EQ 29698.604
MAR 1041.85 1042 1061 1016 1051 1055.65 1108823
EQ 11522.978
APR 994.45 979.4 979.4 922.35 937 930.5 1133049
EQ 10583.44
MAY 1353.65 1364 1385 1356 1380 1378.9 1908666
EQ 26147.129
JUN 1525.8 1530 1551 1523.35 1528 1530.75 1746382
EQ 26860.939
JUL 1623.85 1610 1610 1540.2 1550.2 1548.05 2715856
EQ 42709.452
AUG 1600.35 1619 1623 1602.35 1606.1 1606.65 901942
EQ 14539.915
SEP 1945.85 1952 1965 1882.6 1905 1894.6 1919363
EQ 36639.177
OCT 2068.2 2167 2167 2052.5 2073.9 2075.35 2143188
EQ 45181.497
NOV 2302.4 2330 2345.9 2307.9 2324 2324.75 955082
EQ 22217.635
DEC 2302.4 2330 2345.9 2307.9 2324 2324.75 955082
EQ 22217.64

SBI2007

2500 2324.75
2324.75
2075.35
1894.6
2000
1606.65
1530.75
1500
1253.55 1378.9 1548.05
1203
1055.65
1000
930.5

500

0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC

44
Turnover
Prev Open High Low Last Close Total Traded in
Series Date Close Price Price Price Price Price Quantity Lacs
2,155.0 2,247.7 2,136.0 2,165.0 2,167.3
EQ JAN 2,223.95 0 0 0 0 5 1159043 25,347.44
2,010.0 2,135.0 1,945.0 2,088.8 2,111.6
EQ FEB 2,039.10 0 0 0 0 5 2401205 48,660.48
1,674.0 1,695.0 1,590.0 1,608.0 1,600.2
EQ MAR 1,677.80 0 0 0 0 5 1036121 16,712.89
1,799.0 1,821.0 1,730.0 1,781.0 1,774.6
EQ APR 1,795.55 0 0 0 0 5 839999 14,987.18
1461.15 1465.05 1489 1435.35 1445 1445 867328 12613.70
EQ MAY
1161.2 1194.95 1194.95 1101 1107 1111.6 787863 8940.20
EQ JUN
1387.95 1390 1430.9 1343 1406 1417.25 1885052 26136.91
EQ JUL
1309.35 1336 1409.8 1336 1404.55 1403.85 2661636 36957.08
EQ AUG
1405.45 1385 1485 1355 1472 1463.35 2229762 32255.34
EQ SEP
1099.55 1149.95 1177 1065.5 1114 1109.7 4293292 48015.33
EQ OCT
1105 1065 1109.9 1055 1085.05 1088.55 4321864 46965.76
EQ NOV
1291.7 1308 1308 1270 1290 1288.8 2704078 34799.18
EQ DEC

45
S&P
CNX ROR R=X- T=Y-
years Month NIFTY (X) PRICE ROR(Y) X*X Y*Y X*Y Avg(X) Avg(Y) R^2 T^2
2003 Jan 1154.67 0.0208 284.55 0.0197 0.00043 0.00039 0.00041 0.0037 -0.0052 0.00001 0.00003
- -
Feb 1178.72 0.0798 290.15 0.0014 0.00637 0.00000 0.00011 -0.0970 -0.0235 0.00940 0.00055
-
Mar 1084.64 0.0430 290.55 -0.0587 0.00185 0.00344 0.00252 -0.0602 -0.0835 0.00362 0.00698
Apr 1038 0.0812 273.5 0.0294 0.00660 0.00087 0.00239 0.0641 0.0046 0.00410 0.00002
May 1122.32 0.1336 281.55 0.2270 0.01784 0.05151 0.03031 0.1164 0.2021 0.01355 0.04085
Jun 1272.21 0.0516 345.45 0.1073 0.00266 0.01150 0.00553 0.0344 0.0824 0.00119 0.00679
July 1337.86 0.1497 382.5 0.0941 0.02240 0.00886 0.01409 0.1325 0.0693 0.01755 0.00480
Aug 1538.08 0.0469 418.5 0.0468 0.00220 0.00219 0.00220 0.0297 0.0220 0.00088 0.00048
Sep 1610.21 0.0993 438.1 0.0180 0.00986 0.00033 0.00179 0.0821 -0.0068 0.00674 0.00005
Oct 1770.08 0.0384 446 0.0670 0.00147 0.00449 0.00257 0.0212 0.0422 0.00045 0.00178
-
Nov 1837.98 0.1643 475.9 -0.0116 0.02699 0.00013 0.00190 0.1471 -0.0364 0.02164 0.00133
- -
Dec 2139.93 0.0362 470.4 0.2004 0.00131 0.04014 0.00726 -0.0534 0.1755 0.00285 0.03080
-
2004 Jan 2062.42 0.0049 564.65 0.0047 2.4E-05 2.2E-05 -2.3E-05 -0.0220 -0.0202 4.8E-04 4.1E-04
- -
Feb 2052.4 0.0157 567.3 0.0581 0.00025 0.00337 0.00091 -0.0328 0.0332 0.00108 0.00110
Mar 2020.25 0.0138 600.25 0.0301 0.00019 0.00090 0.00042 -0.0033 0.0052 0.00001 0.00003
- -
Apr 2048.22 0.1709 618.3 0.0012 0.02921 0.00000 0.00021 -0.1881 -0.0236 0.03537 0.00056
-
May 1698.16 0.0175 619.05 -0.2419 0.00031 0.05852 0.00424 0.0004 -0.2668 0.00000 0.07116
-
Jun 1727.93 0.0872 469.3 -0.0563 0.00761 0.00316 0.00491 0.0700 -0.0811 0.00491 0.00658
July 1878.62 0.0018 442.9 -0.0014 3.4E-06 0.00000 -2.5E-06 -0.0153 -0.0262 2.3E-04 0.00069
Aug 1882.09 0.0736 442.3 0.0190 0.00542 0.00036 0.00140 0.0564 -0.0059 0.00319 0.00003

46
Sep 2020.62 0.0241 450.7 0.0625 0.00058 0.00390 0.00151 0.0070 0.0376 0.00005 0.00141
-
Oct 2069.39 0.0965 478.85 -0.0213 0.00930 0.00045 0.00205 0.0793 -0.0462 0.00629 0.00213
Nov 2268.99 0.0661 468.65 0.1544 0.00436 0.02383 0.01020 0.0489 0.1295 0.00239 0.01678
- -
Dec 2418.88 0.0104 541 0.2121 0.00011 0.04499 0.00220 -0.0275 0.1873 0.00076 0.03506

47
200 -
5 Jan 2393.76 0.0226 655.75 0.0331 0.00051 0.00110 -0.00075 0.0055 -0.0579 0.00003 0.00336
Feb 2447.94 -0.0320 634.05 0.0971 0.00102 0.00942 -0.00310 -0.0491 0.0722 0.00241 0.00522
-
Mar 2369.69 -0.0653 695.6 0.0367 0.00426 0.00134 0.00239 -0.0825 -0.0615 0.00680 0.00378
-
Apr 2214.96 0.0988 670.1 0.1205 0.00976 0.01452 -0.01190 0.0816 -0.1454 0.00666 0.02113
May 2433.73 0.0683 589.35 0.1202 0.00466 0.01445 0.00821 0.0511 0.0954 0.00261 0.00909
Jun 2599.93 0.0428 660.2 0.0698 0.00183 0.00487 0.00299 0.0256 0.0449 0.00066 0.00202
July 2711.24 0.0335 706.25 0.1185 0.00112 0.01405 0.00397 0.0163 0.0937 0.00027 0.00877
Aug 2801.99 0.0943 789.95 0.0122 0.00889 0.00015 0.00115 0.0771 -0.0126 0.00595 0.00016
Sep 3066.15 -0.0881 799.6 0.1823 0.00777 0.03323 -0.01607 -0.1053 0.1574 0.01109 0.02478
945.35 - 0.01409 0.01269 -0.01337 0.1016
Oct 2795.89 0.1187 0.1127 -0.1375 0.01031 0.01891
Nov 3127.8 0.0721 838.85 0.0888 0.00520 0.00789 0.00640 0.0550 0.0640 0.00302 0.00409
-
Dec 3353.37 0.0586 913.35 0.0093 0.00344 0.00009 -0.00054 0.0414 -0.0341 0.00172 0.00116
200 -
6 Jan 3549.92 0.0252 904.9 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 0.1159 0.00211 0.01344 0.00532 0.0288 0.0911 0.00083 0.00829
-
Apr 4213.88 -0.1356 983.35 0.0220 0.01840 0.00048 0.00299 -0.1528 -0.0469 0.02335 0.00220
-
May 3642.31 0.0218 961.7 0.1486 0.00048 0.02209 -0.00324 0.0046 -0.1735 0.00002 0.03010
-
Jun 3721.71 0.0064 818.75 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 0.2234 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 0.0801 0.00088 0.00641 -0.00237 0.0125 -0.1049 0.00016 0.01101
200 -
7 Jan 4899.39 -0.0806 1253.55 0.0403 0.00649 0.00163 0.00325 -0.0977 -0.0652 0.00955 0.00425
-
Feb 4504.73 0.0225 1203 0.1225 0.00050 0.01500 -0.00275 0.0053 -0.1473 0.00003 0.02171
-
Mar 4605.89 0.0713 1055.65 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 0.0000 0.00439 0.00000 0.00000 0.0491 -0.0249 0.00241 0.00062
-
Dec 7461.48 -1.0000 2324.75 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
SUM 1.0298 1.4911 1.3385 2.2235 1.1140 0.0000 1.4422 0.30697 2.08004
AVERAGE 0.0172 0.0249 1.32082 1.82353

48
1 Beta
Σxy 1.114
Σx 1.0298
Σy 1.4911
Σx2 1.3385
n 60
Σy2 2.2235

β 0.824

2 Alpha
Avg(X) 0.0172
Avg(Y) 0.0249
β 0.824

α 0.0107272

3 Coef.Correlation

0.64047

Coef of
4 Determination

0.4102

49
Standard
5 Devition

SDx 0.07152
SDy 0.18619

6 Variance

Vx 0.005115
Vy 0.03466

50
BETA VALUES

BETA VALUE

0.9
0.8
0.7
0.6
0.5
0.4 0.824

0.3 0.6085
0.2
0.1
0
ICICI BANK SBI BANK

51
CONCLUSION AND SUGGESTIONS

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

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