A STUDY ON COMPARATIVE ANALYSIS OF HDFC BANK AND ICICI BANK

ON THE BASIS OF CAPITAL MARKET PERFORMANCE

MR. SUJOY KUMAR DHAR

Faculty Member
IBS Business School, Kolkata
sujay@ibsindia.org, 9831581363(M)

Track ID: II (FINANCE)

(d) RISK MANAGEMENT

Sujoy Kumar Dhar is the Faculty Member and Examination Coordinator of IBS Business School,

Kolkata. He is M.Sc in Economics with specialization in Econometrics & Statistics and his

optional field is Operation Research form Calcutta University. He has done his MBA from

IISWBM, Calcutta University with Finance specialization. He is a SEBI Certified Financial

Resource Person and his core area of expertise is Finance, Economics and Control. He has more

than 50 research publications in different national and international journals.

1
1. INTRODUCTION

Capital market is a mechanism through which funds can be borrowed and lent for long period of

time and stock price is determined though free interaction of market forces such as demand and

supply. Since share price is market determined, often it does not reflect the true intrinsic value.

There are different conceptual frameworks, tools and techniques to analyze the performance of

capital market instruments which includes Markowitz model, Sharpe Single Index Model,

Capital Asset Pricing Model, Technical analysis, Fundamental analysis, Efficient Market

Hypothesis and different valuation approaches. All the models are based on some critical

assumptions as well as on strong analytical foundations. It has been experienced that often these

established empirical models are unable to forecast the movement of stock prices. Almost in all

the cases, models are formed on the basis of simplistic assumption that investors are rational in

nature where in reality; market is driven by emotion, sentiment, greed and fear of the investors.

Thus the assumption of rationality of investors does not hold in real life. Hence company’s

capital market performance should be used as an integral part to analyze the perception of

investors about the company instead of using the same to judge the fundamental strength of the

company.

Banking sector is chosen as it is highly regulated sector in India. Reserve Bank of India is the

banking regulatory apex body in India. All the banking players are required to conform to the

rules and regulations of RBI which includes CRR, SLR, Repo rate, Reverse Repo rate, Base rate,

Marginal standing facility, Bank rate and fixed deposit rate. All listed public sector undertaking

banks as well as Private Banks have to conform to listing criteria as per the SEBI clause 49.

Apart from that, banks have to conform to the rules and regulations of Basel Committee on

Banking Supervision in order to achieve international benchmark in banking. Hence, ability to

2
measure, monitor, manage and mitigate the risk becomes critical success factor for any banking

player. Apart from that, structure of banking sector in India is unique by nature. Banks can be

broadly categorized into two groups – scheduled banks and nonscheduled banks. Scheduled

banks are of two types- Scheduled Commercial banks and Scheduled Cooperative Banks.

Scheduled commercial banks are classified into four major heads- the Public Sector Undertaking

banks, the Private sector banks, the foreign banks and the Regional Rural Banks. The PSU banks

are mainly divided into two groups such as SBI and its Associates and other PSU banks. The

private sector banks are classified into old generation private sector banks and new generation

private sector banks. Scheduled Cooperative Banks are mainly categorized into Scheduled Urban

Cooperative Banks and Scheduled State Cooperative Banks.

HDFC bank1 has largest market capitalization among the banking players which is immediately

followed by State bank of India2 (SBI) and ICICI bank3. Since SBI is largest PSU bank in India,

ICICI bank and HDFC banks are considered for comparative analysis in order to create a level

playing field.

2. SURVEY OF EXISTING LITERATURE

‘India becomes an interesting case study because since the early 1990s, some very fundamental

changes have taken place at the Indian capital market. These include the birth of the Securities

and Exchange Board of India (SEBI) as a regulator of the Indian capital market, the birth of the

National Stock Exchange (NSE) as a competitor of the Bombay Stock Exchange (BSE),

introductions of computerized screen based trading at both the exchanges and dematerialization of

shares. These changes have led to substantial improvement in market capitalization, liquidity and

1
As on 6th February, 2015, HDFC bank has market capitalization of Rs 255556.32 crores.
2
As on 6th February, 2015, SBI has market capitalization of Rs 216767.50 crores.
3
As on 6th February, 2015, ICICI bank has market capitalization of Rs 191139.39 crores.

3
efficiency of the Indian capital market, especially during the second half of the 1990s’

(Bhattacharya K. S., 2003:554).

Majority of the models, tools and techniques of valuation are based on the assumption that the

capital market is perfect. But emerging markets are not characterized by a well developed

information disbursement mechanism. Hence, any news, after its release, may reach different

groups of investors at different points in time. This lead–lag relationship between the news and

its reception may temporarily make some investors better informed than others, creating

possibilities for one group of investors to make above normal profit (Mishra and Mishra,

2011:467).

‘Volatility is fundamental in the trade-off between risk and expected return. A rise in volatility

can have a potentially destabilizing effect especially if financial markets are thin; this is very

often the case in developing countries’ (Lakshmi, 2012 :58).

Several intellectual outputs are available on performance of Indian capital market (Bhattacharya,

2002 ; Kadapakkam, 2003; Dhankar, 2005; Bhaduri, 2008 ).

Within the broad ambit of the financial sector, the banking sector constitutes a crucial component

of any economy. It acts as the most important intermediary for channeling resources from

ultimate lenders to final borrowers. The banking industry has its distinct characteristics in

comparison with other industries (Ghosh, 2005:89).

3. OBJECTIVE OF THE STUDY

a) To identify the different methods which are used to judge the capital market performance of a
stock.

b) To examine the Economy –Industry – Company (EIC) analysis for ICICI bank and HDFC
bank.

c) To make a comparative study on the share performance analysis of ICICI bank and HDFC
bank.

4
4. RESEARCH METHODOLOGY

The proposed research work will be explanatory and empirical research. It incorporates different

dimensions such as sources of data and data analysis.

4.1 DATA SOURCES

The proposed dissertation is expected to take into consideration the secondary data available in

several research articles prevalent in the different reputed national and international journals

downloaded from EBSCO host and Emerald. It also incorporates the necessary information

inputs from the statutory and non statutory disclosure provided by the banks in the public domain

in the form of their quarterly, half early and annual reports. Apart from that, data base from

official website of Bombay Stock Exchange (BSE) is used.

4.2 Time Horizon

The time frame for the proposed study will be considered from 1st January 2014 to 31st October,

2014. The general election took place in India during the month of April and May 2014 to

constitute the sixteenth Lok Sabha. Thus the ten months time frame is considered to even out the

pre election and post election extreme values.

4.3 DATA ANALYSIS

Data analysis will proceed by using relevant statistical and financial techniques as well as

models. Statistical techniques incorporate mean, variance, coefficient of variation, correlation

coefficient and regression coefficient. Daily return, daily risk and risk per unit of return are

computed for Sensex, Bank Index and ICICI bank as well as HDFC bank. Financial technique

includes alpha value, beta value, total return, total risk, systematic risk, unsystematic risk of both

5
the banks. Portfolio return, portfolio risk, Sharpe ratio, Treynor ratio, Jensen alpha are

calculated to analyze the performance of portfolio. Apart from that characteristic line for both

banking stocks as well as Security Market Line are derived. Data analysis is done through excel

sheet (Annexure – I, Annexure -II and Annexure -III).

5. KEY FINDINGS

Fundamental analysis or EIC analysis or top down approach is used to compute the intrinsic

value of a stock.

5.1 Economic Analysis

At first different macro economic variables such as GDP growth rate, volume of saving and

investment, inflation rate, interest rate, budget, balance of payment, monsoon, infrastructure and

index of industrial production are analyzed. Performance of the particular company is judged on

the basis of financial ratios, SWOT analysis and different valuation techniques which are

composed of discounted cash flow method and relative valuation method. GDP Growth rate for

the financial year 2012-13 and 2013-14 were 4.5% and 4.9% respectively. The growth rates

were far below with respect to double-digit growth rate of 9.3% in 2010-11 and 8.6% in 2009-

10. GDP growth rate for the first and second quarter of the financial year 2014-15 were 5.7%

and 5.3% respectively. Hence average GDP growth rate for the first half of the financial year

2014-15 was 5.5%.According to Planning Commission of India, saving to GDP ratio for the

financial year 2013-14 was 30.5% which was 1.3% less with respect to the previous financial

year. According to Planning Commission of India, the Investment to GDP ratio for the financial

year 2013-14 was 31.4% 2013 which was 3.3% less with respect to the previous financial year.

The growth rate of Index of Industrial Production for the financial year 2013-14 was 0.1%. The

6
IIP has been revised since the financial year 2005-06 on base (2004- 05=100). The average

(Wholesale Price Index) WPI inflation for the financial year 2013-14 was 6%.The average

(Consumer Price Index) CPI inflation for the financial year 2013-14 was 9.7%. WPI inflation

rate for the month of October 2014 was 1.7%. CPI Inflation rate for the month of November

2014 was 4.38%. When Developed nations like USA and Japan are offering rate of interest

which is abysmally low almost close to zero percent , RBI as on date is offering 8-9.05%

interest rate on term deposit. Fiscal deficit for the year 2013-14 was 4.5% of India’s GDP. The

average annual exchange rate between dollar and rupee for the financial year 2013-14 was 60.5.

The Sensex reached 21000 points for the first time in January, 2008. After that Sensex

experienced a steep fall due to subprime crisis. The Sensitivity Index climbed to 21000 points

for the second time in 2010 Diwali. After that Sensex had undergone through a volatile phase

due to the adverse impact of Euro zone crisis. Sensex again reached the 21000 points in

October, 2013. After the general election of 2014, market has followed strong bullish trend.

Sensex crossed 26000 points before the honourable Finance minister Mr. Arun Jaitley placed

the Union Budget on 10th July, 2014. The Sensitivity Index of Mumbai Stock Exchange has

crossed 28000 points in November 2014 which was its lifetime high.

5.2 Industry Analysis

Michael Porter’s five forces analysis can be done to judge the strength of banking sector. The

entry barrier is high in banking sector as any player cannot participate in banking business

unless and until the same is receiving banking license from Reserve Bank of India. The mode of

operation of RBI was bit conservative as it did not allow any non banking player to participate

in banking business and any banking player was prohibited to enter into any non banking

7
business. The scenario changed when both the houses of the Parliament in India passed the

much awaited banking amendment bill on December, 2012. According to this bill, nonbanking

business players are also entitled to apply for the banking license from the RBI. It also

recommended for raising the cap on voting rights in public sector banks from 1% to 10%. It has

restricted foreign shareholding in any form to 49%. Private Banks in India can have up to 74%

foreign shareholding. It enabled the nationalized banks to raise capital by issuing of preference

shares or rights issue. It would also enable them to increase or decrease the authorized capital

with approval from the Government and RBI without being limited by the ceiling of a

maximum of Rs. 3000 crores. The bill allowed any person to acquire 5% or more shares or

voting rights in a banking company subject to RBI’s approval. For private banks, the cap on

voting right has been increased to 26%. This Bill has strengthened the regulatory powers of

Reserve Bank of India (RBI). The bill empowered RBI to supersede the board of directors of a

banking company for a period of six months if its modus operandi is detrimental to the interest

of the depositors. The apex body of the money market of India has received several applications

from different Government as well as private business houses which includes the L&T Finance,

the Tata Group, Reliance Capital, Aditya Birla Nuvo, Bajaj Finserv, Videocon, IDFC, Muthoot

Finance, India Bulls, Bandhan, Bangalore based Janalakshmi Microfinance, Noida based little

known Smart Global Ventures, Gurgaon based advisory services firm INMACS Management,

UAE Exchange of India: a remittance and foreign exchange service firm, India Infoline, LIC

Housing Finance, Religare, Edelweiss, Magma Finance, SREI Infrastructure Finance

Corporation, IFCI, The Department of Post (Government of India), Tourism Finance

Corporation of India, Suryamani Financing(part of Kolkata based Pawan Kumar Ruia Group),

JM Financial, Shriram Finance. The new banking bill, 2012 can be viewed as a masterstroke by

8
the Central Government to eradicate the curse of the financial exclusion. Ultimately IDFC and

Bandhan got in principle approval of banking from RBI. Hence threats from new entrants have

increased due to the banking bill 2012.

Rivalry among the exiting firms is quite high. As all the banks irrespective of their nature( PSU

banks, Old generation private banks, new generation private banks, foreign banks) are offering

almost same core and para- banking products to their customers , one bank can enjoy higher

market share only at the cost of other.

Threat from substitute has also become high for Indian banking sector when RBI kicked off the

differentiated banking license regime to set up banks that will carry the Government’s financial

inclusion agenda. RBI has proposed for two types of banks such as small and payment banks.

The two types of banks will have uniform capital requirement of Rs100 crore but will differ in

their activities. A payment bank will be able to take deposits but could not lend. It has to invest

all funds in Government securities. Small bank is allowed to lend but with the restriction on the

areas in which they could operate and the banking services should be offered mainly to the

farmers and small entrepreneurs. These banks will have to mandatorily have half their loans

with ticket size less than Rs 25 lakh. The primary objective of setting up a payment bank is to

promote further financial inclusion by providing small saving account, payment, remittance

services to migrant labour workforce, low income household and small business.

Bargaining power of buyers (mainly borrowers) is significantly high when corporate giant with

sound brand equity are willing to borrow huge amount of fund. Often loan syndication is

formed to meet the demand of corporate borrowers. Since several banks are willing to get the

profile of lead banker, bidding takes place among the investment bankers and letter of mandate

9
is offered to highest bidder. In few cases allegation has been raised against PSU banks that they

had offered loan to some corporate players at a huge discount to the market rate.

Bargaining power of supplier is also high in the sector where mainly the corporate and

household depositors are taken into considerations as supplier of fund. Depositors will deposit

their money in a particular bank provided they can generate a good amount of return which is

covering at least their opportunity cost.

5.3 Capital Market Performance Analysis of ICICI bank and HDFC bank

The focus of the study is capital market performance analysis of ICICI bank and HDFC bank.

Hence indicators of Economy –Industry-Company analysis of a bank are performance of market

index, banking index and the particular banking stock price. Sensex generated average daily

return of 0.139 % over a period of ten months from 1st January, 2014 to 31st October, 2014.

Banking index generated average daily return of 0.209 % during that time period. In order to get

actual status, average daily standard deviation of Sensex as well as Banking Index should be

taken into account. Average daily standard deviation of Sensex was 0.811% and average daily

standard deviation of banking sector was 1.362% during that time period. The coefficient of

variation of Sensex and banking index during that time was 5.82 and 6.52 respectively. Hence it

can be concluded that banking sector under performed with respect to Sensex during that period.

The average daily return of HDFC bank and ICICI bank were 0.164% and 0.208% respectively.

Simultaneously the average daily standard deviation of HDFC bank and ICICI bank were

1.278% and 1.7272% respectively.

The coefficient of variation of HDFC bank and ICICI bank were 7.80 and 8.29 respectively. On

the basis of above-mentioned information input, it can be said that Sensex has outperformed with

10
respect to banking index and both HDFC bank and ICICI bank have underperformed with

respect to banking index. If interbank comparison is to be done, HDFC bank clearly

outperformed ICICI bank on the basis of coefficient of variation.

The risk of stock is measured by standard deviation or root mean square deviation. The formula

of standard deviation is

бX = {E[X-E(X)]2}1/2 = E(X2)- E(X)2

бX = Risk of security X

E(X)2 = X 2 j Pj

E(X) = X j Pj

XJ = the jth investment outcome

M = the number of possible investment outcomes

PJ = the likelihood that the jth outcome will occur

The total risk of stock can be decomposed into two broad categories which are known as

systematic and unsystematic risk. Systemic risk is the risk which is beyond the control of any

particular company or industry. Unsystematic risk is the sector specific or company specific risk.

The unsystematic risk can be reduced by pursuing a balanced (within as well between the

sectors) diversification strategy and systemic risk can be reduced by hedging. Stock with higher

unsystematic risk should be avoided as it implies the company or the sector is facing some

problem. Total risk is measured by the variance of the stock. The systematic risk is nothing but

11
the product of market variance and square of the beta value of the stock. Beta value shows the

stock’s responsiveness to the market index. The beta value of stock can be defined as covariance

between the stock return and market rate of return divided by market variance.

Total risk of HDFC bank and ICICI bank were 0.016% and 0.030% respectively which were

nothing but daily variances of the respective stocks. Beta value of HDFC bank and ICICI bank

were 1.033457 and 1.571059. The decomposition of systemic and unsystematic risk of HDFC

bank were 0.007% and 0.009% where for ICICI bank the same were 0.016% and 0.014%

respectively. Therefore ICICI bank stock is riskier than HDFC bank stock in terms of total risk,

market risk, unsystematic risk as well beta value. Alpha value implies risk free rate of return

generated by a risky asset. If alpha value of stock is positive, the stock is considered to

underpriced and vice versa. The alpha value of HDFC bank was + 0.000198 but the same was

negative for ICICI bank (0 .000106). Hence HDFC bank is considered under priced and ICICI

bank is supposed to be over priced on the basis of alpha value.

5.4 Derivation of Characteristic line for ICICI bank and HDFC bank

Characteristic line, the diagrammatic representation of Sharpe Single Index model shows the

relationship between the stock return and the market rate of return. According to Sharpe Single

Index model, return from a stock is dependent on a particular index which is known as market

index. The equation of Sharpe Single Index model is Rit     i Rmt   it

Rit =the return on an individual stock during time period t

Rmt= the return on the market in the same time period

12
eit = an “error term” representing the difference between an individual data point and the

regression line

α = the Y-intercept of the regression line or the risk free rate of return from a risky asset

βi = the volatility of an individual stock’s returns with respect to the market

The assumptions of Sharpe Single Index model are as follows-

i) The error term has an expected value of zero and a finite variance.

ii) The error term is not related with return of market portfolio.

iii) The error term of ith security and jth security are not related with each other.

Characteristic line of HDFC bank is

Return of HDFC bank = 0.0002+ (1.0334* Return of Market)

Characteristic line of ICICI bank is

Return of ICICI bank = -0.000106 + (1.571* Return of Market)

5.5 Derivation of SML

Security Market Line, the diagrammatic representation of CAPM Model shows the relationship

between the beta values and expected returns of the stocks. Characteristic line can be derived for

each stock provided the market rate of return is given. Security Market Line can be deduced

provided at least there are two stocks.

Capital Asset Pricing Model is based on the several assumptions.

i) The capital market is perfect. There are no taxes; there are no transaction costs;

securities are completely divisible; the market is competitive. Information is freely

available.

13
 ii) Individuals are rational in nature. They are risk averse.

iii) Individuals seek to maximize the expected utility of their portfolio over a single

period of time horizon.

iv) Individuals have homogenous expectations- they have identical subjective estimates

of the means, variances and co variances among returns.

v) The quantity of risky securities in the market is given.

vi) Any amount of fund can be borrowed or lent at risk free rate of return

The equation of CAPM model is

RJ= Rf + βJ( Rm - Rf)

RJ = The return on Jth security

Rf= The risk free rate of return or return earned from Government securities (In Indian context,

return from 182 days treasury bill is considered as risk free rate of return)

βJ= Beta value of the Jth security which shows sensitivity of the Jth stock with respect to market

index

Rm = Market rate of return

( Rm - Rf)= risk premium or additional return due to taking additional risk.

If the assumption of no tax is relaxed, International CAPM model is becomes more authentic.

Then the equation of International CAPM becomes

RR(Ri)= Rf (1-T)+ β {E(RM ) - Rf (1-T)-TDM } + TDi

14
T= (Td - Tg )/ (1- Tg )

RR(Ri) =Required rate of return of the i th stock DM = Dividend Yield of the market index

Di = Dividend Yield of the ith stock T = Tax factor Td = Tax on dividend

Tg = Tax on Capital Gain

In Western Economy, investors who are in the high income tax bracket, they usually invest in

high capital gain stock. On the other hand, individuals who are in the lower income tax bracket,

they usually invest in high dividend yielding stocks. In India, dividend in the hand of the

individual is tax free. Long term capital gain from share is tax free. So the term T is equal to

zero. Hence the equation reduces to

E(Ri)= Rf + β {E(RM ) - Rf }

CAPM model is used to compute required rate of return earned by an asset. The Security Market

Line is used to determine whether an asset is overpriced or underpriced. If expected rate of

return from an asset is greater than the required rate of return, asset is considered to be

underpriced. Investor is advised to take long position on the asset. On the contrary, if expected

rate of return from an asset is less than the required rate of return, asset is considered to be over

priced. Investors cannot predict security returns with certainty. They can list the potential

outcomes and have a sense for the likelihood that each of these outcomes will occur.

Probabilities represent the relative likelihood each outcome will occur. The probabilities for the

full range of outcomes must sum to one. Individual probabilities cannot be negative. Expected

return is the return that an investor expects to earn on an asset, given its price, growth potential,

etc. The required rate of return is the return that investor requires on an asset given it’s and

15
market interest rates. Ex post data where analysis is mainly done on the basis of historical data,

return is calculated with the help of simple arithmetic mean. Ex ante data where speculation is

done on future return, the equation of expected return is

E(X) = X j Pj

E(X) = Expected Return of the security X

XJ = the jth investment outcome

M = the number of possible investment outcomes

PJ = the likelihood that the jth outcome will occur

The Security Market Line derived on the basis of ICICI bank and HDFC bank stock is

Return -0.0008*beta=0.00077

6. PRINCIPAL CONCLUSION

Two portfolios are constructed by taking two different combinations of ICICI bank’s and HDFC

bank’s stocks. Portfolio 1 contains 75% of HDFC bank and 25% of ICICI bank. Portfolio 2

contains 25% of HDFC bank and 75% of ICICI bank. Portfolio 1 is offering 0.175% return and

portfolio 2 is offering 0.197% return. Beta value of the portfolio 1 and portfolio 2 are 1.168 and

1.437 respectively. In order to judge the performance of the portfolio, different measures are

used such as Sharpe ratio4 , Treynor ratio5 and Jensen alpha6 . All these follow the principle

‘More is good’. Higher the Sharpe ratio, Treynor ratio and Jensen alpha, portfolio is considered

4
Sharpe ratio measures risk premium earned by a portfolio per unit of total risk.
5
Treynor ratio measures risk premium earned by a portfolio per unit of market risk.
6
Jensen Alpha measures excess of expected return generated by a portfolio over and above its
CAPM return
16
to be the good performer and vice versa. Sharpe ratio for portfolio 1 and portfolio 2 are 0.101805

and 0.100088 respectively. Treynor ratio for portfolio 1 and portfolio 2 are 0.001097 and

0.001047 respectively. Jensen alpha for portfolio 1 and portfolio 2 are 0.000200 and 0.000174

respectively. Portfolio 1 is outperforming with respect to portfolio 2 on the basis of total risk,

beta value, Sharpe ratio, Treynor ratio and Jensen alpha. The simple logic is portfolio I is heavily

skewed toward HDFC bank’s share where portfolio II is heavily skewed toward ICICI bank’s

share.

17
7. REFERENCES

[1] Bhaduri, N. Saumitra. (2008). ‘Investment and Capital Market Imperfections: Some Evidence
from a Developing Economy, India’. Review of Pacific Basin Financial Markets and Policies , 11
(3), 411–428.

[2]Bhattacharya, Kaushik, Nityananda Sarkar and Debabrata Mukhopadhyay (2003). 'Stability

of the Day of the Week Effect in Volatility at the Indian Capital Market : a GARCH Approach
with Proper Mean Specification'. Applied Financial Economics , 553–563.

[3] Bhattacharya, Kaushik and Samarjit Das. (2002). ‘Price Discovery at the Beginning of a
Trading Day: an Error Correction Model for the Indian Capital Market’. Applied Economics
Letters , 529-535.

[4] Dhankar, Raj. S. (2005). ‘Arbitrage Pricing Theory and the Capital Asset Pricing Model
Evidence Erom The Indian Stock Market’. Journal of Financial Management and Analysis , 14-
27.

[5] Ghosh, Saurabh. (2005). ‘The Post-offering Performance of IPOs in the Indian Banking
Industry’. Applied Economics Letters , 89–94.

[6] Kadapakkam, Palani.-Rajan, Lalatendu Mishra and Yiuman TSE. (2003). ‘International
Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs’. Review of
Quantitative Finance and Accounting , 179–199.

[7] Lakshmi, P. (2012). ‘FII Trading Volume and Symmetric Volatility:Analysis from Indian Spot
Market’. Vilakshan, XIMB Journal of Management , 57-72.

[8] Mishra, Ankia and Vinod Mishra (2011). ‘Is the Indian Stock Market Efficient?Evidence
from a TAR Model with an Autoregressive Unit Root’. Applied Economics Letters , 18, 467–472.

18
ANNEXURE-I

Daily return of Sensex, Banking Index, HDFC bank and ICICI bank from 1 st Janaury,
2014 to 31st October, 2014

Market HDFC bank HDFC ICICI ICICI

Date Sensex return Bankex Bankex Ret price return bank Return
1-Jan-14 21140.48 13010.39 665.05 1097.4
2-Jan-14 20888.33 -1.193% 12774.11 -1.816% 656.85 -1.233% 1075.1 -2.032%
3-Jan-14 20851.33 -0.177% 12775.1 0.008% 663.35 0.990% 1067 -0.753%
6-Jan-14 20787.3 -0.307% 12631.37 -1.125% 662 -0.204% 1040.7 -2.465%
7-Jan-14 20693.24 -0.452% 12608.32 -0.182% 664.75 0.415% 1049.95 0.889%
8-Jan-14 20729.38 0.175% 12625.87 0.139% 664.65 -0.015% 1054.05 0.390%
9-Jan-14 20713.37 -0.077% 12532.13 -0.742% 663.05 -0.241% 1051.5 -0.242%
10-Jan-14 20758.49 0.218% 12338.8 -1.543% 662.15 -0.136% 1024.55 -2.563%
13-Jan-14 21134.21 1.810% 12590.05 2.036% 672.75 1.601% 1056.2 3.089%
14-Jan-14 21032.88 -0.479% 12507.27 -0.658% 672.15 -0.089% 1037.55 -1.766%
15-Jan-14 21289.49 1.220% 12706.61 1.594% 680.35 1.220% 1058.35 2.005%
16-Jan-14 21265.18 -0.114% 12680.52 -0.205% 673.95 -0.941% 1060.85 0.236%
17-Jan-14 21063.62 -0.948% 12481.08 -1.573% 668.3 -0.838% 1035 -2.437%
20-Jan-14 21205.05 0.671% 12574.74 0.750% 669.85 0.232% 1044.1 0.879%
21-Jan-14 21251.12 0.217% 12769.51 1.549% 676.75 1.030% 1078.8 3.323%
22-Jan-14 21337.67 0.407% 12801.43 0.250% 677.7 0.140% 1087.05 0.765%
23-Jan-14 21373.66 0.169% 12796.86 -0.036% 679.4 0.251% 1079.1 -0.731%
24-Jan-14 21133.56 -1.123% 12556.16 -1.881% 673.95 -0.802% 1057.95 -1.960%
27-Jan-14 20707.45 -2.016% 12057.06 -3.975% 649.7 -3.598% 1010.05 -4.528%
28-Jan-14 20683.51 -0.116% 12020.48 -0.303% 645.25 -0.685% 1019.15 0.901%
29-Jan-14 20647.3 -0.175% 11937.04 -0.694% 645.6 0.054% 1001.95 -1.688%
30-Jan-14 20498.25 -0.722% 11618.68 -2.667% 632.4 -2.045% 974.75 -2.715%
31-Jan-14 20513.85 0.076% 11712.31 0.806% 628.9 -0.553% 988.5 1.411%
3-Feb-14 20209.26 -1.485% 11554.48 -1.348% 626.35 -0.405% 963.7 -2.509%
4-Feb-14 20211.93 0.013% 11659.04 0.905% 630.55 0.671% 970.1 0.664%
5-Feb-14 20261.03 0.243% 11695.03 0.309% 637.2 1.055% 966.15 -0.407%
6-Feb-14 20310.74 0.245% 11668.4 -0.228% 647.35 1.593% 957.6 -0.885%
7-Feb-14 20376.56 0.324% 11743.38 0.643% 647.9 0.085% 961.75 0.433%
10-Feb-14 20334.27 -0.208% 11680.84 -0.533% 643.75 -0.641% 959.55 -0.229%
11-Feb-14 20363.37 0.143% 11720.08 0.336% 645.1 0.210% 969.1 0.995%
12-Feb-14 20448.49 0.418% 11831.51 0.951% 645.65 0.085% 999.25 3.111%
13-Feb-14 20193.35 -1.248% 11582.4 -2.105% 633.25 -1.921% 981.2 -1.806%
14-Feb-14 20366.82 0.859% 11657.78 0.651% 641.75 1.342% 988.4 0.734%
17-Feb-14 20464.06 0.477% 11798.37 1.206% 650.55 1.371% 1009.45 2.130%
18-Feb-14 20634.21 0.831% 12074.22 2.338% 660.55 1.537% 1037.75 2.804%

19
19-Feb-14 20722.97 0.430% 12109.39 0.291% 669.35 1.332% 1030.65 -0.684%
20-Feb-14 20536.64 -0.899% 11911.62 -1.633% 662.75 -0.986% 1008.45 -2.154%
21-Feb-14 20700.75 0.799% 12049.4 1.157% 664.8 0.309% 1024.75 1.616%
24-Feb-14 20811.44 0.535% 12192.66 1.189% 670.2 0.812% 1036.2 1.117%
25-Feb-14 20852.47 0.197% 12182.38 -0.084% 670.8 0.090% 1030.7 -0.531%
26-Feb-14 20986.99 0.645% 12250.53 0.559% 676.4 0.835% 1036.4 0.553%
28-Feb-14 21120.12 0.634% 12284.27 0.275% 667.5 -1.316% 1043.7 0.704%
3-Mar-14 20946.65 -0.821% 12180.67 -0.843% 666.15 -0.202% 1029.65 -1.346%
4-Mar-14 21209.73 1.256% 12481.85 2.473% 670.45 0.646% 1068.3 3.754%
5-Mar-14 21276.86 0.317% 12664.94 1.467% 669.1 -0.201% 1097.15 2.701%
6-Mar-14 21513.87 1.114% 12878.13 1.683% 675.5 0.957% 1133.65 3.327%
7-Mar-14 21919.79 1.887% 13567.23 5.351% 711.35 5.307% 1201.3 5.967%
10-Mar-14 21934.83 0.069% 13826.73 1.913% 734.35 3.233% 1193.8 -0.624%
11-Mar-14 21826.42 -0.494% 13755.65 -0.514% 725.35 -1.226% 1198.45 0.390%
12-Mar-14 21856.22 0.137% 13723.53 -0.234% 725.55 0.028% 1210.75 1.026%
13-Mar-14 21774.61 -0.373% 13849.85 0.920% 742.25 2.302% 1218.25 0.619%
14-Mar-14 21809.8 0.162% 13756.15 -0.677% 731.7 -1.421% 1213.75 -0.369%
18-Mar-14 21832.61 0.105% 13830.81 0.543% 733.75 0.280% 1204.8 -0.737%
19-Mar-14 21832.86 0.001% 13914.61 0.606% 737.8 0.552% 1210.25 0.452%
20-Mar-14 21740.09 -0.425% 13725.87 -1.356% 730.8 -0.949% 1200.9 -0.773%
21-Mar-14 21753.75 0.063% 13810.25 0.615% 733.85 0.417% 1199 -0.158%
22-Mar-14 21755.32 0.007% 13803.04 -0.052% 731.95 -0.259% 1197.95 -0.088%
24-Mar-14 22055.48 1.380% 14179.83 2.730% 750.45 2.527% 1242.4 3.711%
25-Mar-14 22055.21 -0.001% 14220.05 0.284% 749.6 -0.113% 1252.55 0.817%
26-Mar-14 22095.3 0.182% 14308 0.618% 746 -0.480% 1256.9 0.347%
27-Mar-14 22214.37 0.539% 14414.15 0.742% 746.95 0.127% 1259.5 0.207%
28-Mar-14 22339.97 0.565% 14585.16 1.186% 744.95 -0.268% 1258.75 -0.060%
31-Mar-14 22386.27 0.207% 14572.46 -0.087% 748.85 0.524% 1245.45 -1.057%
1-Apr-14 22446.44 0.269% 14400.7 -1.179% 738.1 -1.436% 1223.8 -1.738%
2-Apr-14 22551.49 0.468% 14534.86 0.932% 730.55 -1.023% 1242.55 1.532%
3-Apr-14 22509.07 -0.188% 14375.92 -1.094% 728.4 -0.294% 1235.2 -0.592%
4-Apr-14 22359.5 -0.664% 14362.26 -0.095% 725.8 -0.357% 1230.35 -0.393%
7-Apr-14 22343.45 -0.072% 14305.35 -0.396% 725.35 -0.062% 1209.05 -1.731%
9-Apr-14 22702.34 1.606% 14798.8 3.449% 742.1 2.309% 1259.55 4.177%
10-Apr-14 22715.33 0.057% 14805.97 0.048% 738.85 -0.438% 1246.15 -1.064%
11-Apr-14 22628.96 -0.380% 14689.89 -0.784% 737.85 -0.135% 1235.5 -0.855%
15-Apr-14 22484.93 -0.636% 14386.45 -2.066% 723.4 -1.958% 1218.05 -1.412%
16-Apr-14 22277.23 -0.924% 14370.22 -0.113% 725.25 0.256% 1222.3 0.349%
17-Apr-14 22628.84 1.578% 14625.65 1.777% 718.55 -0.924% 1262 3.248%
21-Apr-14 22764.83 0.601% 14822.16 1.344% 716.6 -0.271% 1281.55 1.549%
22-Apr-14 22758.37 -0.028% 14846.18 0.162% 726.35 1.361% 1287.9 0.495%

20
23-Apr-14 22876.54 0.519% 15012.05 1.117% 734.25 1.088% 1299.05 0.866%
25-Apr-14 22688.07 -0.824% 14910.3 -0.678% 726.25 -1.090% 1269.3 -2.290%
28-Apr-14 22631.61 -0.249% 14964.24 0.362% 725.3 -0.131% 1273.85 0.358%
29-Apr-14 22466.19 -0.731% 14773.76 -1.273% 715.9 -1.296% 1262.05 -0.926%
30-Apr-14 22417.8 -0.215% 14706.66 -0.454% 718.25 0.328% 1244.8 -1.367%
2-May-14 22403.89 -0.062% 14690.5 -0.110% 716.85 -0.195% 1251.8 0.562%
5-May-14 22445.12 0.184% 14749.12 0.399% 716.9 0.007% 1254.15 0.188%
6-May-14 22508.42 0.282% 14829.5 0.545% 719.7 0.391% 1274.55 1.627%
7-May-14 22323.9 -0.820% 14814.71 -0.100% 716.05 -0.507% 1272.5 -0.161%
8-May-14 22344.04 0.090% 14924.81 0.743% 719.05 0.419% 1289.4 1.328%
9-May-14 22994.23 2.910% 15721.36 5.337% 757.2 5.306% 1374.85 6.627%
12-May-14 23551 2.421% 16113.65 2.495% 791.95 4.589% 1399.25 1.775%
13-May-14 23871.23 1.360% 16206.48 0.576% 787.2 -0.600% 1402.65 0.243%
14-May-14 23815.12 -0.235% 16256.42 0.308% 775.25 -1.518% 1409.65 0.499%
15-May-14 23905.6 0.380% 16279.74 0.143% 788.1 1.658% 1393.1 -1.174%
16-May-14 24121.74 0.904% 16994.36 4.390% 804.7 2.106% 1464.8 5.147%
19-May-14 24363.05 1.000% 17438.08 2.611% 811.8 0.882% 1471.1 0.430%
20-May-14 24376.88 0.057% 17304.26 -0.767% 815.65 0.474% 1449.4 -1.475%
21-May-14 24298.02 -0.324% 17119.75 -1.066% 809.85 -0.711% 1439.35 -0.693%
22-May-14 24374.4 0.314% 17239.64 0.700% 802.6 -0.895% 1451.35 0.834%
23-May-14 24693.35 1.309% 17523.13 1.644% 789.5 -1.632% 1460.75 0.648%
26-May-14 24716.88 0.095% 17393.11 -0.742% 798.3 1.115% 1452.55 -0.561%
27-May-14 24549.51 -0.677% 17286.15 -0.615% 804.85 0.820% 1447.5 -0.348%
28-May-14 24556.09 0.027% 17383.42 0.563% 823.4 2.305% 1456.15 0.598%
29-May-14 24234.15 -1.311% 17227.63 -0.896% 810.55 -1.561% 1437.85 -1.257%
30-May-14 24217.34 -0.069% 16953.86 -1.589% 794.1 -2.029% 1418.4 -1.353%
2-Jun-14 24684.85 1.930% 17510.44 3.283% 819.95 3.255% 1462.4 3.102%
3-Jun-14 24858.59 0.704% 17478.99 -0.180% 824.55 0.561% 1458.25 -0.284%
4-Jun-14 24805.83 -0.212% 17569.68 0.519% 816.55 -0.970% 1469.2 0.751%
5-Jun-14 25019.51 0.861% 17500.64 -0.393% 804.9 -1.427% 1460.95 -0.562%
6-Jun-14 25396.46 1.507% 17788.59 1.645% 814.95 1.249% 1481.75 1.424%
9-Jun-14 25580.21 0.724% 17817.36 0.162% 820.05 0.626% 1486.6 0.327%
10-Jun-14 25583.69 0.014% 17681.67 -0.762% 817.45 -0.317% 1481.25 -0.360%
11-Jun-14 25473.89 -0.429% 17692.35 0.060% 820.45 0.367% 1468.2 -0.881%
12-Jun-14 25576.21 0.402% 17718.78 0.149% 839.9 2.371% 1459.9 -0.565%
13-Jun-14 25228.17 -1.361% 17309.87 -2.308% 835.55 -0.518% 1429.55 -2.079%
16-Jun-14 25190.48 -0.149% 17220.59 -0.516% 839.1 0.425% 1415.65 -0.972%
17-Jun-14 25521.19 1.313% 17612.82 2.278% 846.45 0.876% 1449.1 2.363%
18-Jun-14 25246.25 -1.077% 17424.01 -1.072% 834 -1.471% 1420.4 -1.981%
19-Jun-14 25201.8 -0.176% 17264.97 -0.913% 825.65 -1.001% 1411.5 -0.627%
20-Jun-14 25105.51 -0.382% 17196.78 -0.395% 823.5 -0.260% 1398.8 -0.900%

21
23-Jun-14 25031.32 -0.296% 17273.05 0.444% 821.4 -0.255% 1413.25 1.033%
24-Jun-14 25368.9 1.349% 17534.65 1.514% 828.8 0.901% 1438.6 1.794%
25-Jun-14 25313.74 -0.217% 17459.71 -0.427% 824.05 -0.573% 1419.85 -1.303%
26-Jun-14 25062.67 -0.992% 17261.72 -1.134% 812.65 -1.383% 1403.3 -1.166%
27-Jun-14 25099.92 0.149% 17181.74 -0.463% 815.4 0.338% 1384.8 -1.318%
30-Jun-14 25413.78 1.250% 17475.08 1.707% 821.35 0.730% 1418.45 2.430%
1-Jul-14 25516.35 0.404% 17558.71 0.479% 823.1 0.213% 1437.7 1.357%
2-Jul-14 25841.21 1.273% 17744.63 1.059% 839.3 1.968% 1452.25 1.012%
3-Jul-14 25823.75 -0.068% 17695.24 -0.278% 837.2 -0.250% 1451.7 -0.038%
4-Jul-14 25962.06 0.536% 17824.53 0.731% 856.35 2.287% 1462.45 0.741%
7-Jul-14 26100.08 0.532% 17608.8 -1.210% 840.05 -1.903% 1450.95 -0.786%
8-Jul-14 25582.11 -1.985% 17195.13 -2.349% 830.15 -1.179% 1412.5 -2.650%
9-Jul-14 25444.81 -0.537% 17108.97 -0.501% 830.35 0.024% 1403.2 -0.658%
10-Jul-14 25372.75 -0.283% 17001.76 -0.627% 824.95 -0.650% 1390.85 -0.880%
11-Jul-14 25024.35 -1.373% 16546.21 -2.679% 812.15 -1.552% 1355.6 -2.534%
14-Jul-14 25006.98 -0.069% 16595.64 0.299% 816.45 0.529% 1344.3 -0.834%
15-Jul-14 25228.65 0.886% 17053.82 2.761% 826.75 1.262% 1393.55 3.664%
16-Jul-14 25549.72 1.273% 17479.92 2.499% 835.6 1.070% 1459.05 4.700%
17-Jul-14 25561.16 0.045% 17477.5 -0.014% 831.35 -0.509% 1448.7 -0.709%
18-Jul-14 25641.56 0.315% 17611.71 0.768% 832.45 0.132% 1477.2 1.967%
21-Jul-14 25715.17 0.287% 17617.29 0.032% 828.05 -0.529% 1482.6 0.366%
22-Jul-14 26025.8 1.208% 17663.47 0.262% 839.9 1.431% 1483.2 0.040%
23-Jul-14 26147.33 0.467% 17705.07 0.236% 835.9 -0.476% 1505.8 1.524%
24-Jul-14 26271.85 0.476% 17782.36 0.437% 842.2 0.754% 1505.25 -0.037%
25-Jul-14 26126.75 -0.552% 17542.99 -1.346% 835.5 -0.796% 1475.9 -1.950%
28-Jul-14 25991.23 -0.519% 17421.39 -0.693% 829.75 -0.688% 1451.5 -1.653%
30-Jul-14 26087.42 0.370% 17694.51 1.568% 838.75 1.085% 1489.55 2.621%
31-Jul-14 25894.97 -0.738% 17485.61 -1.181% 833.65 -0.608% 1473 -1.111%
1-Aug-14 25480.84 -1.599% 17328.98 -0.896% 815.25 -2.207% 1476.4 0.231%
4-Aug-14 25723.16 0.951% 17449.97 0.698% 813.15 -0.258% 1491.35 1.013%
5-Aug-14 25908.01 0.719% 17498.49 0.278% 819.95 0.836% 1485.5 -0.392%
6-Aug-14 25665.27 -0.937% 17179.85 -1.821% 809.55 -1.268% 1446.85 -2.602%
7-Aug-14 25589.01 -0.297% 17162.42 -0.101% 811.8 0.278% 1445.2 -0.114%
8-Aug-14 25329.14 -1.016% 16903.81 -1.507% 796.3 -1.909% 1437.35 -0.543%
11-Aug-14 25519.24 0.751% 16997.2 0.552% 793.6 -0.339% 1440 0.184%
12-Aug-14 25880.77 1.417% 17237.63 1.415% 807.15 1.707% 1463.8 1.653%
13-Aug-14 25918.95 0.148% 17066.96 -0.990% 812.35 0.644% 1452 -0.806%
14-Aug-14 26103.23 0.711% 17251.19 1.079% 825.75 1.650% 1477.6 1.763%
18-Aug-14 26390.96 1.102% 17657.9 2.358% 832.25 0.787% 1529.85 3.536%
19-Aug-14 26420.67 0.113% 17759.36 0.575% 824.1 -0.979% 1543.05 0.863%
20-Aug-14 26314.29 -0.403% 17707.42 -0.292% 820.55 -0.431% 1542.5 -0.036%

22
21-Aug-14 26360.11 0.174% 17915.5 1.175% 831.65 1.353% 1544.3 0.117%
22-Aug-14 26419.55 0.225% 18100.19 1.031% 846.6 1.798% 1537.7 -0.427%
25-Aug-14 26437.02 0.066% 17938.39 -0.894% 843.4 -0.378% 1514.35 -1.519%
26-Aug-14 26442.81 0.022% 17895.77 -0.238% 842.5 -0.107% 1510.05 -0.284%
27-Aug-14 26560.15 0.444% 17990.04 0.527% 836.6 -0.700% 1540.95 2.046%
28-Aug-14 26638.11 0.294% 18003.68 0.076% 842.95 0.759% 1556.55 1.012%
1-Sep-14 26867.55 0.861% 18326.48 1.793% 841.55 -0.166% 1598.85 2.718%
2-Sep-14 27019.39 0.565% 18453.3 0.692% 858.5 2.014% 1590.9 -0.497%
3-Sep-14 27139.94 0.446% 18430.37 -0.124% 856.65 -0.215% 1579.25 -0.732%
4-Sep-14 27085.93 -0.199% 18353.75 -0.416% 851.9 -0.554% 1571.25 -0.507%
5-Sep-14 27026.7 -0.219% 18298 -0.304% 848.75 -0.370% 1548.35 -1.457%
8-Sep-14 27319.85 1.085% 18550.29 1.379% 864 1.797% 1568.2 1.282%
9-Sep-14 27265.32 -0.200% 18511.09 -0.211% 865.4 0.162% 1547.7 -1.307%
10-Sep-14 27057.41 -0.763% 18499.69 -0.062% 857.05 -0.965% 1571.4 1.531%
11-Sep-14 26995.87 -0.227% 18552.57 0.286% 854.9 -0.251% 1565.9 -0.350%
12-Sep-14 27061.04 0.241% 18607.01 0.293% 855.35 0.053% 1564.95 -0.061%
15-Sep-14 26816.56 -0.903% 18507.77 -0.533% 859.75 0.514% 1551.9 -0.834%
16-Sep-14 26492.51 -1.208% 18138.3 -1.996% 850.15 -1.117% 1526.3 -1.650%
17-Sep-14 26631.29 0.524% 18130.57 -0.043% 846.4 -0.441% 1529.1 0.183%
18-Sep-14 27112.21 1.806% 18488.77 1.976% 856.85 1.235% 1565.35 2.371%
19-Sep-14 27090.42 -0.080% 18479.21 -0.052% 859.95 0.362% 1570.45 0.326%
22-Sep-14 27206.74 0.429% 18532.2 0.287% 856.75 -0.372% 1577.3 0.436%
23-Sep-14 26775.69 -1.584% 18206.62 -1.757% 848.65 -0.945% 1538.45 -2.463%
24-Sep-14 26744.69 -0.116% 18009.23 -1.084% 853.9 0.619% 1516.6 -1.420%
25-Sep-14 26468.36 -1.033% 17525.09 -2.688% 851.25 -0.310% 1466.85 -3.280%
26-Sep-14 26626.32 0.597% 17859.88 1.910% 871.25 2.349% 1478.05 0.764%
29-Sep-14 26597.11 -0.110% 17697.97 -0.907% 864.2 -0.809% 1457.45 -1.394%
30-Sep-14 26630.51 0.126% 17615.46 -0.466% 871.5 0.845% 1435.25 -1.523%
1-Oct-14 26567.99 -0.235% 17538.57 -0.436% 868.15 -0.384% 1428.45 -0.474%
7-Oct-14 26271.97 -1.114% 17386.3 -0.868% 862.35 -0.668% 1430.1 0.116%
8-Oct-14 26246.79 -0.096% 17576.06 1.091% 868.6 0.725% 1449.65 1.367%
9-Oct-14 26637.28 1.488% 18017.86 2.514% 888.15 2.251% 1487.9 2.639%
10-Oct-14 26297.38 -1.276% 17694.23 -1.796% 866.95 -2.387% 1460 -1.875%
13-Oct-14 26384.07 0.330% 17932.85 1.349% 876.3 1.078% 1476.55 1.134%
14-Oct-14 26349.33 -0.132% 18026.6 0.523% 868.75 -0.862% 1476.7 0.010%
16-Oct-14 25999.34 -1.328% 17802.75 -1.242% 859.15 -1.105% 1463.7 -0.880%
17-Oct-14 26108.53 0.420% 18240.22 2.457% 885.3 3.044% 1505.6 2.863%
20-Oct-14 26429.85 1.231% 18564.39 1.777% 894.8 1.073% 1537 2.086%
21-Oct-14 26575.65 0.552% 18787.43 1.201% 895.9 0.123% 1577.6 2.642%
22-Oct-14 26787.23 0.796% 18822.74 0.188% 893.75 -0.240% 1570.85 -0.428%
23-Oct-14 26851.05 0.238% 18857.52 0.185% 896.5 0.308% 1576.25 0.344%

23
27-Oct-14 26752.9 -0.366% 18948.89 0.485% 897.15 0.073% 1572.4 -0.244%
28-Oct-14 26880.82 0.478% 19073.55 0.658% 895.2 -0.217% 1601.2 1.832%
29-Oct-14 27098.17 0.809% 19030.6 -0.225% 891.45 -0.419% 1603.9 0.169%
30-Oct-14 27346.33 0.916% 19167.15 0.718% 895.4 0.443% 1611.5 0.474%
31-Oct-14 27865.83 1.900% 19505.16 1.763% 912.2 1.876% 1625.45 0.866%
Return 0.139% 0.209% 0.164% 0.208%
Risk 0.811% 1.362% 1.278% 1.727%
Coefficient 5.82 6.52 7.80 8.29
of variation

ANNEXURE – II

Total risk, Systematic risk, Unsystematic risk, Alpha value and Beta value of HDFC bank
and ICICI bank
Risk free
Market return 0.139% return 0.047%
Market
Market risk 0.811% variance 0.007%
HDFC Bank ICICI bank
Risk 1.278% 1.727%
Correlation with market 0.655795 0.737877 Corr (stock Ret Range, Market Ret Range)
Beta of stock 1.033457 1.571059
Variance 0.016% 0.030%
Beta Square 1.068034 2.468227
Total Risk 0.016% 0.030%
Market risk 0.007% 0.016%
Unsystematic risk 0.009% 0.014%
Return 0.164% 0.208%
Alpha value 0.000198 -0.000106
Correlation between HDFC
bank and ICICI bank 0.577787
Characteristic Line equation of (Return of HDFC bank = 0.0002+ 1.0334*
HDFC bank Return of Market)
Characteristic Line equation of (Return of ICICI bank = -0.000106 + 1.571*
ICICI bank Return of Market)
Slope of SML 0.000828902 0.000828902
Equation of Security Market (Return - 0.0016= 0.0008(Beta - 1.0334)
Line Or Return -0.0008*beta=0.00077 )

24
 ANNEXURE – III

Sharpe Ratio, Treynor Ratio and Jensen Alpha for Portfolio 1 and Portfolio 2
Portfolio 1 Portfolio 2
(75%HDFC, 25% ICICI ) (25% HDFC, 75% ICICI )
Return 0.175% 0.197%
Variance 0.016% 0.023%
SD 1.258% 1.503%
Coefficient of variation 7.192 7.617
Beta 1.168 1.437
Sharpe ratio 0.101805 0.100088
Treynor ratio 0.001097 0.001047
Required rate of return (CAPM) 0.001550 0.001798
Jensen Alpha 0.000200 0.000174

25