Вы находитесь на странице: 1из 41

CHAPTER 1: INTRODUCTION

An investor considering investment in securities is faced with the problem of choosing from among
a large number of securities and how to allocate his funds over this group of securities. Again he is
faced with problem of deciding which securities to hold and how much to invest in each, the risk
and return characteristics of portfolios. The investor tries to choose the optimal portfolio taking into
consideration the risk return characteristics of all possible portfolios.

It is evident that rational investment activity involves creation of an investment portfolio which is
an uphill task considering the amount of analysis that goes into portfolio construction. Portfolio
construction makes use of analytical techniques and conceptual theories regarding rational
allocation of funds so that efficient portfolios with high returns and low risks can be constructed.

Indian Markets have always been susceptible to the volatile movements of the foreign markets and
there have been several catastrophic incidences in the past which have impacted the movements of
Indian bourses such as the burst of the IT bubble of 2000, Asian crisis of 2003 and Real Estate
bubble of 2008 to name a few. The present day scenario with the European Union grappling with
the Greek Debt crisis as well as the US credit Downgrade also paints a similar picture. It has
immediately manifested in the form of major Indian indices such as the SENSEX plummeting by
almost 16% of their total market capitalization in the months of July and August 2011 with
SENSEX currently trading close to 16000 from 19000 levels it attained in July. 1 However this crisis
has also presented an excellent opportunity for active investment as many scrips are undervalued
and thus have significant capital appreciation potential.

The aim of this research project is to avail this opportunity by utilizing the all important Capital
Asset Pricing Model (CAPM) developed by by Sharpe (1964), Lintner (1965) and Black(1972) in
order to find out these undervalued scrips in the BSE 500 index and provide avenues for return
generation through construction of portfolios comprising of these stocks.

http://bseindia.com/stockinfo/indices_main.aspx?indi=BSE30%20%20&fromDate=01/06/2011&to
Date=31/08/2011&DMY=D (Accessed on 2/09/2011)
1

The CAPM model is a single factor model explaining the return generation process. This model was
originally developed in 1952 by Harry Markowitz and fine-tuned over a decade later by others,
including William Sharpe. The capital asset pricing model (CAPM) describes the relationship
between risk and expected return, and it serves as a model for the pricing of risky securities.

CAPM says that the expected return of a security or a portfolio equals the rate on a risk-free
security plus a risk premium. If this expected return does not meet or beat our required return, the
investment should not be undertaken. The model takes into account the asset's sensitivity to nondiversifiable risk (also known as systematic risk or market risk), often represented by the
quantity beta () in the financial industry, as well as the expected return of the market and the
expected return of a theoretical risk-free asset.

The CAPM is a model for pricing an individual security or a portfolio. For individual securities, we
make use of the security market line (SML) and its relation to expected return and systematic
risk (beta) to show how the market must price individual securities in relation to their security risk
class. The SML enables us to calculate the reward-to-risk ratio for any security in relation to that of
the overall market.
.

CHAPTER 2: REVIEW OF LITERATURE


Sharpe2 (1964) says Only the responsiveness of an assets rate of return to the level of economic
activity is relevant in assessing its risk. Prices will adjust until there is a linear relationship between
the magnitude of such responsiveness and expected return. Assets which are unaffected by changes
in economic activity will return the pure interest rate: those which move with economic activity will
promise appropriately higher expected rates of return. This forms the basis of CAPM. Sharpe
asserts that in equilibrium the expected return on any efficient portfolio will be linearly related to
the expected return on the market portfolio.
Lintners3 CAPM version focuses on returns in real terms. Lintner (1965) shows in his empirical
analysis that there exist limitations on diversification to reduce risks as the 70 large mutual funds
have greater conditional standard errors of estimate than risk free return.
Black4 (1972) created zero beta portfolios. Empirical tests of the two factor model suggest that it
explains historical returns better than pure CAPM. Black, Jensen and Scholes (1972) demonstrated
the linear relationship between return on a security and its beta does not always hold true.
Robert C.Merton5 (1973) developed an inter-temporal capital asset pricing model which was
consistent with expected utility maxim and the limited liability of assets.
King 6(1966) explains the share price movement of individual stocks in line with the market and
also quantified the extent to which their variability was attributable to industry membership. Black,
Jensen and Scholes (1972) using monthly return data and portfolios found that cross section of
expected returns was linear with beta.

Sharpe, William F. ,(1964) , Capital Asset Prices : A theory of Market Equilibrium under conditions of Risk, Journal
Of Finance, Vol. 19 ,pp. 425-442
3

Lintner, John, (1965),Security Prices, Risk and Maximal Gains From Diversification, Journal Of Finance, Vol. 20,
No. 4, pp. 587-615
4

Black, Fisher(1972), Capital Market Equilibrium with Restricted Borrowing, The Journal of Business, Vol. 45, No.
3,pp. 444-455
5

Merton, Robert.An Inter Temporal Capital Asset Pricing Model, Econometrica, Vol.41, No.5, pp.867-887

King, B.,(1966),Market and Industry Factors in stock price behavior, Journal of Business, Vol. 39,pp. 139-190

Fama and Macbeth7 (1973) found positive linear relation between average returns and beta. Sauer
and Murphy (1992) found that CAPM is a good indicator of Asset Pricing in German stock market
except certain deviations. Major reexamination of the CAPM model was done after the empirical
work of Fama and French (1992).
They found that 3 variables were
1.) Market Equity,
2.) Ratio of book equity to market equity , and
3.) Leverage variables
capture much of the cross section of average stock return .The 3 variables were found to have more
explaining power as compared to market beta.
Dash and Sumanjeet8 (2008) support Fama and Frenchs Hypotheses for Indian capital markets on
the basis of their study from January 1997 to January 2007 on BSE 500. Market Beta was found to
have an insignificant explanatory power.
Brandt and Clara 9(2006) in Dynamic Portfolio selection by augmenting the Asset space have
used Markowitz approach in a novel manner. They expand the set of assets to include mechanically
managed portfolios and optimize statistically the extended asset space. They have created
conditional portfolios. Their study suffers from finite size of the sample returns. Their study relied
on the intuition that the static choice in mechanically managed portfolios is equivalent to a dynamic
strategy in the basis assets. This paper paves the easy way to undertake dynamic portfolio selection.

CONCLUSION
As is evident from the aforementioned survey of literature, CAPM model widely constitutes the
basis for temporal analysis of Indian capital markets and thus is also essential for the all important
task of portfolio construction. Although alternatives in the form of Fama and French model have
merged, yet CAPM model still continues to be the all conclusive model and is utilized excessively
for portfolio construction and valuation purpose and thus has also been used in this project.
7

Fama, F. and James MacBeth, (1973),Risk, return and equilibrium: Empirical Tests, Journal Of Finance, Vol. 81,pp.
607-636
8

Dash, Ranjan K. and Sumanjeet,(2008,Explaining the cross section of Expected Stock Returns: An application of
Fama and French model for India , Finance India, Vol. XXII, No. 3, 2008, pp. 923-935
9

Brandt, Michael W. and Pedro Santa Clara, (2006), Dynamic Portfolio Selection by Augmenting the Asset Space,
the Journal of Finance ,Vol. LXI, No. 5,pp. 2187-2217

CHAPTER 3: NEED OF STUDY

The recent Greek Debt and US Credit Rating Downgrade Crises in the months of July and August
2011 have led to plummeting of the prices of majority of stocks on Indian bourses largely due to the
withdrawal of foreign investments. Hence a significant correction has been witnessed in the Indian
Stock Market which has made many stocks all the more lucrative for Indian investors. However,
due to the negative sentiment prevalent in the Indian market most of the investors are shirking from
taking positions in attractive stocks as well. The current research tries to solve the problem of
investors by finding those stocks which are undervalued and have a possibility of yielding good
returns.

However, the CAPM model used in the study is founded on certain assumptions which need to be
satisfied before the analysis is completed. First, the markets are perfect, or in other words there is a
perfect flow of information in the market, and all the publically available information gets
incorporated into the stock. But, the markets are perfect or efficient only in a semi-strong form. This
means that it is not necessary that the stock price represents the fair value of the stock. Secondly,
there are no transaction costs or taxes. Although this assumption appears to be quite serious at first
glance, it does not pose any serious problem in the analysis because we strive to get the perfect
answer, and instead the result we get would always be near perfect. Finally, the most important of
all, that the investors have a common perception regarding the risk and return distribution of the
stocks. This assumption, again, is not perfectly true, but since the subject of model has not been
developed to incorporate such sophistication, at best we can only work with this assumption.

CHAPTER 4: OBJECTIVES OF STUDY


The following are the objectives of this study:
1.) To use CAPM model to compute expected return and compare it with the estimated return
of the stocks to discern overvalued stocks from undervalued stocks.
2.) To test whether the overvalued or undervalued stocks belong to specific sectors or not.
3.) To construct portfolios from these stocks based on specific criteria mentioned below.
4.1 SCOPE
The present study will evaluate the performance of the BSE 500 stocks through their expected
returns based on CAPM as well as their actual returns in the months of June,July and August 2011
in order to discern the undervalued scrips from the overvalued scrips. Based on the findings
portfolios of 10 stocks (randomly selected) each would be constructed from BSE 500 based on
following criteria:

Portfolio
1

Basis

Reason

Securities with beta between .5 and 1 The


randomly picked from BSE 500

selected

equities

represent

moderate sensitivity to the index and


hence moderate risk.

Randomly picked equities with negative beta

With BSE 500 stocks going down such


stocks should provide good returns as
they are negatively related with index.

Randomly picked overvalued equities

To trace the performance of a portfolio


consisting of overvalued equities.

Randomly picked undervalued equities

To trace the performance of a portfolio


consisting of undervalued equities.

CHAPTER 5: HYPOTHESES OF STUDY

Two hypotheses have been tested : -

First Hypothesis is

H0 : BSE 500 stocks are equally undervalued and overvalued.


HA: Most of the stocks of BSE500 are either overvalued or under valued

The second hypothesis of the study is:

H0 : Majority of the undervalued stocks belong to a particular sector


HA: Majority of the undervalued stocks do not belong to a particular sector.

CHAPTER 6: RESEARCH DESIGN


6.1 POPULATION

The BSE 500 index represents nearly 93% of the market capitalization on BSE, 74% of the turnover
and covers all 20 major industries of the Indian economy. Both the hypotheses in question have
been tested using data pertaining to all 500 scrips of BSE 500 index.

6.2 DATA
The closing prices of the scrips forming part of the BSE 500 for the months of June, July and
August 2011 have been used for calculating expected and estimated returns. The data is readily
available on www.bseindia.com as well as www.moneycontrol.com. BSE 500 has been used as the
proxy for the market index. The risk free rate is taken as the 91 days Treasury bill rate of Reserve
Bank of India (Rf).

6.3 LIMITATIONS OF THE STUDY

1. A sample of 500 companies has been selected from a population of more than 5000 companies
included in the BSE index.
2. For some sample companies data pertaining to the beta value as well as returns for certain
periods has been found to be missing.

CHAPTER 7: FRAMEWORK OF ANALYSIS


7.1 CAPM MODEL

The first asset pricing model derived from economic theory by Sharpe (1964) has been utilized to
compute the expected return of the scrips. The CAPM is represented by the following equation
Ri = Rf + (Rm Rf) i

Ri

(1)

Expected return on security

i = measure of systematic risk of asset

Rf = return on riskless asset


Rm Rf = Risk Premium

7.2 ASSUMPTIONS OF THE MODEL

1. The stock returns follow a normal distribution. Even if the distribution is not exactly normal,
the Central Limit theorem states that the average of the sample returns from any population
is normally distributed. Since, the study is based on sampling, Central Limit theorem holds
well.
2. The investors are rational.
3. The capital markets perfectly incorporate all the information in the security prices.
4. Transaction costs and taxes have been ignored.
5. The investors have homogenous expectations and have a common investment horizon
period.
6. Securities traded are infinitely divisible.
7. The investors can lend and borrow at the same risk free rate of interes.
9

CAPM is an equilibrium asset pricing model derived from the aforementioned set of assumptions.
This equation shows that the expected return on an individual asset is a positive linear function of
its index of systematic risk as measured by beta. An investor pursuing active strategy will try to
search for underpriced securities or try to sell overpriced securities. If an investor believes in
CAPM, then by comparing expected rate of return with the estimated rate of return one can easily
identify mispriced securities.

If,
CAPM Return < Estimated Return

Undervalued Scrip

CAPM Return > Estimated Return

Overvalued Scrip

CAPM Return < Estimated Return

Fairly Valued

Estimated Return is given by

Ri= (P2-P1 +D1)/P1

(2)

Where

Ri = estimated return on security


P1= price of security at time t
P2= price of security at time t+1
D1= dividend declared in July or August

10

7.3 PORTFOLIO CONSTRUCTION


The difference between closing prices of shares is used to calculate the percentage change in price.
The percentage change in market index is also calculated in the same manner .The beta is calculated
with the help of regression between percentage change in price (Ri) and percentage change in
market index (Rm).The expected rate of return has been determined using equation 2.
The estimated rate of return is calculated using CAPM.CAPM return is then compared with
estimated return to find overvalued, undervalued and properly valued stocks. Out of the 500 stocks
under study, the portfolios are constructed by taking ten stocks in each portfolio that is constructed
in accordance with the before mentioned criteria.

Assignment of weight and Return formulae


The weight to each stock in the portfolio is given on the following basis
n
Wi=i / i
i=1

Return on each portfolio is calculated by multiplying the weights and return on each equity
included in the portfolio.

n
Rp = wi Ri
i=1

The overall portfolio risk is computed using the following equation


n

= wiwjCov(i,j)
i=1

j=1

11

In order to practically construct the portfolio the portstats function available in the financial toolbox
of MATLAB is utilized. The following parameters are required by the function in order to compute
the return and risk of the portfolio.

[PortRisk, PortReturn] = portstats (ExpReturn, ExpCovariance, PortWts)

ExpReturn

1-by-number of assets (NASSETS) vector specifying the expected


(mean) return of each asset.(1*10 in this case)

ExpCovariance NASSETS-by-NASSETS matrix specifying the covariance of the


asset returns.(10*10 in this case)
PortWts

(Optional) Number of portfolios (NPORTS) by NASSETS matrix of


weights allocated to each asset. Each row represents a different
weighting
combination.
Default = 1/NASSETS
(equally
weighted).(1*10 in this case)

The ExpCovariance matrix in turn is computed by utilizing the following MATLAB fuction
Cov(X).
where
X represents the 2*10 matrix of the monthly returns of the stocks selected in the portfolio.

12

CHAPTER 8: DATA ANALYSIS AND FINDINGS


BSE 500 stocks

Company
3I Infotech Ltd.
3M India Ltd.
A
2
Z
Maintenance &
Engg. Services
Ltd.
A B B Ltd.
A B G Shipyard
Ltd.
A C C Ltd.
A
I
A
Engineering Ltd.
A
R
S
S
Infrastructure
Projects Ltd.
Aban Offshore
Ltd.
Abbott India Ltd.
Adani
Enterprises Ltd.
Adani
Power
Ltd.
Adhunik
Metaliks Ltd.
Aditya
Birla
Nuvo Ltd.
Akzo Nobel India
Ltd.
Alfa Laval (India)
Ltd.
Allahabad Bank
Allcargo
Logistics Ltd.
Alok Industries
Alstom Projects
India Ltd.
Amara Raja

Beta August July


1.17 27.1
40.9
0.66 4610.05 4471

Ambuja

1.84
0.95

179
835.35

1.39
0.82

Annualized
June
Return Return
SML
46.2
-0.41
-95.93%
-59.10%
4190.5 0.10
77.28%
-29.76%

257.95 251.7
867.6 876.1

-0.29
-0.05

Status
1
0

-87.06%
-24.86%

-97.64%
-46.44%

0
0

371.1
388.4 352.55 0.05
1002.55 1012.1 949.25 0.06

36.03%
38.79%

-71.75%
-38.97%

0
0

0.93

327.5

378.2

371.95 -0.12

-53.40%

-45.29%

2.29

291.25

397.2

447.25 -0.35

-92.37%

123.52%

1.78
0.39

377.5
1469.9

490.15 524.25 -0.28


1459.5 1482.9 -0.01

-86.06%
-5.15%

-94.19%
-14.23%

0
0

1.47

529.05

586.1

712.55 -0.26

-83.25%

-76.35%

0.55

91.65

99.25

110

-0.17

-66.55%

-23.44%

1.26

57.05

74.7

83.55

-0.32

-89.86%

-64.28%

1.3

915.6

952.85 901.35 0.02

9.87%

-66.58%

0.39

927.8

973.7

24.06%

-14.23%

0.33
1.09

1695.15 1673.1 1487.5 0.14


178.7
202.05 196.8 -0.09

119.08%
-43.95%

-10.78%
-54.50%

0
0

0.37
1.36

149
17.7

160
25.1

-53.61%
-87.99%

-13.08%
-70.03%

1
1

1.28
1.16

519.3
240.3

571.95 513
239.1 225.3

0.01
0.07

7.60%
47.22%

-65.43%
-58.52%

0
0

0.76

133.1

129.3

0.00

0.00%

-35.52%

895.05 0.04

169.35 -0.12
25.2
-0.30

133.1

13

Cements Ltd.
Amtek Auto Ltd.
Amtek India Ltd.
Anant Raj Inds.
Ltd.
Andhra Bank

0.88
0.86

133.65
112.25

159
162.55 -0.18
115.65 85.45 0.31

-69.10%
413.86%

-42.42%
-41.27%

1
0

1.48
1.08

65.1
129.9

81.65
135.5

63.5
0.03
134.15 -0.03

16.10%
-17.57%

-76.93%
-53.92%

0
0

360

372.2

369.25 -0.03

-14.12%

-28.61%

100.51%

Andhra Pradesh
Paper Mills Ltd.
0.64
Ansal Properties
& Infrastructure
Ltd.
1.89
Apollo Hospitals
Enterprise Ltd.
Apollo Tyres Ltd.
Aptech Ltd.
Aqua Logistics
Ltd.
Areva T & D
India Ltd.
Arshiya
International
Ltd.
Arvind Ltd.
Asahi India Glass
Ltd.
Ashok Leyland
Ltd.
Asian Paints Ltd.
Aurobindo
Pharma Ltd.
Aventis Pharma
Ltd.
Axis Bank Ltd.
B A S F India Ltd.
B E M L Ltd.
B F Utilities Ltd.
B G R Energy
Systems Ltd.
B O C India Ltd.
Bajaj Auto Ltd.
Bajaj Corp Ltd.
Bajaj Electricals
Ltd.
Bajaj
Finance
Ltd.
Bajaj
Finserv
Ltd.
Bajaj

27.3

40.05

42.2

-0.35

-92.67%

0.58
0.86
1.82

532.2
59
120.65

528.6
73.15
139.1

478.15 0.11
78.25 -0.25
96.15 0.25

90.14%
-81.63%
290.36%

2.31

14.35

15.3

16

-0.10

1.21

216.1

246.1

0.85
1.58

130.45
78.35

0.85

67.7

0
1
0

-47.95%

-25.16%
-41.27%
-96.49%
124.67%

256.85 -0.16

-64.53%

-61.40%

141.5
87.6

149.75 -0.13
78
0.00

-56.30%
2.72%

-40.69%
-82.68%

1
0

82.1

81

-0.16

-65.91%

-40.69%

1.17
0.43

24.85
51.05 48.65 -0.49
3287.15 3125.8 3180.6 0.03

-98.22%
21.87%

-59.10%
-16.53%

1
0

0.91

125.7

171.4

172.5

-0.27

-85.03%

-44.14%

0.43
1.2
0.69
1.11
1.36

2179.05
1075
594.7
464.1
439.8

2104.4
1338.2
661.7
550.45
728.7

2067.7
1289
600.1
580.5
702.45

0.05
-0.17
-0.01
-0.20
-0.37

37.01%
-66.35%
-5.28%
-73.89%
-93.98%

-16.53%
-60.82%
-31.49%
-55.65%
-70.03%

0
1
0
1
1

1.8
0.58
0.91
0.84

324.3
270.9
1573
118.85

397.45
303.5
1464.9
121.2

449.05
277.35
1405.9
117

-0.28
-0.02
0.12
0.02

-85.81%
-13.17%
96.18%
9.87%

-95.34%
-25.16%
-44.14%
-40.12%

0
0
0
0

1.02

193.4

219.1

239.95 -0.19

-72.58%

-50.47%

1.04

614.7

700.2

609.8

0.01

4.92%

-51.62%

1.06
1.52

541.55
54.7

534.7
67.8

513
71.05

0.06
-0.23

38.40%
-79.18%

-52.77%
-79.23%

0
0

14

Hindusthan Ltd.
Bajaj Holdings &
Invst. Ltd.
Balkrishna
Industries Ltd.
Ballarpur
Industries Ltd.
Balmer Lawrie &
Co. Ltd.
Balrampur Chini
Mills Ltd.
Bank Of Baroda
Bank Of India
Bank
Of
Maharashtra
Bata India Ltd.
Bayer
Cropscience Ltd.
Berger
Paints
India Ltd.
Bharat
Bijlee
Ltd.
Bharat
Electronics Ltd.
Bharat
Forge
Ltd.
Bharat
Heavy
Electricals Ltd.
Bharat
Petroleum
Corpn. Ltd.
Bharati Shipyard
Ltd.
Bharti Airtel Ltd.
Bhushan Steel
Ltd.
Bilcare Ltd.
Biocon Ltd.
Birla
Corporation Ltd.
Blue
Dart
Express Ltd.
Blue Star Ltd.
Bombay Dyeing
& Mfg. Co. Ltd.
Bombay Rayon
Fashions Ltd.
Bosch Ltd.
Brigade

0.73

749.35

772.15 726.65 0.03

20.27%

-33.79%

0.84

169.8

170

155.9

0.09

66.94%

-40.12%

1.08

27.25

34.5

32.9

-0.17

-67.71%

-53.92%

0.89

636.6

666.15 606.85 0.05

33.26%

-42.99%

1.06
1.06
1.35

54.3
736.6
309.7

59.3
62.9
878.3 871.9
386.45 414.3

-0.14
-0.16
-0.25

-58.61%
-63.64%
-82.55%

-52.77%
-52.77%
-69.45%

1
1
1

0.95
1.05

50.85
694.65

55.8
56.55
658.65 610.9

-0.10
0.14

-47.14%
116.16%

-46.44%
-52.20%

1
0

0.79

811.5

880.6

852.85 -0.05

-25.78%

-37.24%

0.67

100.1

108.5

99.9

0.00

1.21%

-30.34%

1.23

721.05

792.4

881.3

-0.18

-70.00%

-62.55%

0.78

1541.85 1756.6 1601.8 -0.04

-20.46%

-36.67%

0.98

276.85

329.1

-0.11

-48.97%

-48.17%

1.01

1767.7

1838.4 2046.6 -0.14

-58.47%

-49.90%

0.72

674.05

657.2

649.3

25.16%

-33.21%

1.35
0.67

103.95
404.2

128.2
437

127.35 -0.18
395.25 0.02

-70.42%
14.38%

-69.45%
-30.34%

1
0

1.15
1.24
0.9

344.2
331.5
331

393.15 438.5
405.8 409.8
362.8 354.7

-0.22
-0.19
-0.07

-76.61%
-71.98%
-33.96%

-57.95%
-63.12%
-43.57%

1
1
0

0.95

316.75

322

330.4

-0.04

-22.36%

-46.44%

0.61
0.85

1628.55 1596.2 1428


248.7
286.25 299

0.14
-0.17

120.05%
-66.88%

-26.89%
-40.69%

0
1

1.76

305.6

-0.15

-61.18%

-93.04%

1.17
0.54
1.65

279
286.9 283.65 -0.02
7219.95 7090.4 6886.7 0.05
65.95
70.25 72.65 -0.09

-9.44%
32.79%
-44.04%

-59.10%
-22.86%
-86.71%

0
0
0

309.7

343.55 357.8

0.04

15

Enterprises Ltd.
Britannia
Industries Ltd.
C E S C Ltd.
C M C Ltd.
C
Mahendra
Exports Ltd.
Cadila
Healthcare Ltd.
Cairn India Ltd.
Canara Bank
Carborundum
Universal Ltd.
Castrol India Ltd.
Central Bank Of
India
Century Textiles
& Inds. Ltd.
Chambal
Fertilisers
&
Chemicals Ltd.
Chennai
Petroleum
Corpn. Ltd.
Cipla Ltd.
City Union Bank
Ltd.
Clariant
Chemicals
(India) Ltd.
Coal India Ltd.
ColgatePalmolive (India)
Ltd.
Consolidated
Construction
Consortium Ltd.
Container
Corpn. Of India
Ltd.
Core Education
& Technologies
Ltd.
Coromandel
International
Corporation
Bank
Cox & Kings Ltd.
Crisil Ltd.

0.4
1.16
0.96
1.52

485.4
302.4
943.5

482.05 477.5 0.02


337.65 298.3 0.01
1123.8 1124.3 -0.16

10.35%
8.54%
-65.06%

-14.81%
-58.52%
-47.02%

0
0
1

147.65

231.3

241.95 -0.39

-94.84%

95.63%

0.46
0.89
1.11

841.6
278.55
426.6

883.75 919.3 -0.08


308.35 310.75 -0.10
460.6 524.3 -0.19

-41.13%
-48.13%
-70.98%

-18.26%
-42.99%
-55.65%

1
1
1

0.58
0.45

293.85
515.5

307.5
536.2

14.60%
-11.60%

-25.16%
-17.68%

0
0

1.18

99.3

116.35 124.1

-0.20

-73.75%

-59.67%

1.53

285.1

344

352.35 -0.19

-71.94%

-79.81%

1.44

106.25

86.05

80.3

436.64%

-74.63%

1.16
0.48

203.3
280

219.45 224.95 -0.10


307.85 330.35 -0.15

-45.51%
-62.92%

-58.52%
-19.41%

0
1

1.34

46.05

49.2

18.75%

-68.88%

0.78
0.74

735.3
374.95

752.95 753.85 -0.02


387.95 392.4 -0.04

-13.89%
-23.89%

-36.67%
-34.36%

0
0

0.26

954.2

971.9

981.35 -0.03

-15.49%

-6.76%

1.02

18

27.9

31

-0.42

-96.17%

-50.47%

0.5

932.7

1104.7 1039.1 -0.10

-47.70%

-20.56%

1.47

302.55

300.35 295.75 0.02

14.61%

-76.35%

1.05

308.4

327.45 350.15 -0.12

-53.32%

-52.20%

0.99
0.84
0.72

438.85
200.15
7909.7

501.85 525.55 -0.16


208.4 182.5 0.10
8250.6 6941.9 0.14

-66.10%
74.00%
118.82%

-48.74%
-40.12%
-33.21%

1
0
0

287.25 0.02
526.2 -0.02

44.75

0.32

0.03

16

Crompton
Greaves Ltd.
Cummins India
Ltd.
D B Corp Ltd.
D B Realty Ltd.
D L F Ltd.
Dabur India Ltd.
Dalmia Bharat
Enterprises Ltd.
Deccan
Chronicle
Holdings Ltd.
Deepak
Fertilisers
&
Petrochemicals
Corpn. Ltd.
Delta Corp Ltd.
Den Networks
Ltd.
Dena Bank
Development
Credit Bank Ltd.
Dewan Housing
Finance Corpn.
Ltd.
Dhanlaxmi Bank
Ltd.
Dish T V India
Ltd.
Dishman
Pharmaceuticals
& Chemicals Ltd.
Divi'S
Laboratories
Ltd.
Dr.
Reddy'S
Laboratories
Ltd.
Dredging Corpn.
Of India Ltd.
E
I
D-Parry
(India) Ltd.
E I H Ltd.
Eclerx Services
Edelweiss
Financial
Services Ltd.
Educomp

1.06

150.55

169.2

259.2

-0.42

-96.16%

-52.77%

0.79
0.72
1.66
1.68
0.54

589.25
245.5
60
196.35
110.5

639.35
248.05
78.2
230.9
104.25

676.15
232.4
70.1
210.55
114.05

-0.13
0.06
-0.14
-0.07
-0.03

-56.19%
38.96%
-60.68%
-34.23%
-17.28%

-37.24%
-33.21%
-87.28%
-88.43%
-22.86%

1
0
0
0
0

0.88

127.55

141.85 164.35 -0.22

-78.15%

-42.42%

1.4

55.25

69.1

-0.20

-74.32%

-72.33%

1.22
1.03

164.4
89.9

162.25 166.6
105.85 100

-0.01
-0.10

-7.67%
-47.21%

-61.97%
-51.05%

0
0

0.56
1.21

41.4
81.6

80.35
84.75

86.8
90.6

-0.52
-0.10

-98.82%
-46.62%

-24.01%
-61.40%

1
0

1.62

46.5

56.8

59.7

-0.22

-77.67%

-84.98%

1.5

222.1

208.4

221.45 0.00

1.77%

-78.08%

1.03

78.5

106.1

116.9

-0.33

-90.83%

-51.05%

1.4

78.7

84.75

87.75

-0.10

-47.96%

-72.33%

0.88

68.75

89.6

89.85

-0.23

-79.93%

-42.42%

1.03

722.45

824.75 785.05 -0.08

-39.26%

-51.05%

0.44

1493.85 1587.5 1533.4 -0.03

-14.51%

-17.11%

1.14

238.55

281.05 307.15 -0.22

-78.05%

-57.37%

0.83
0.74
0.97

247
87.8
718.7

268.95 251.35 -0.02


96.05 86.2
0.02
808.05 839.9 -0.14

-9.94%
11.67%
-60.74%

-39.54%
-34.36%
-47.59%

0
0
1

1.39
1.25

28.85
204.1

33.3
345.8

-55.76%
-98.01%

-71.75%
-63.70%

0
1

69.3

33.05 -0.13
391.95 -0.48

17

Solutions Ltd.
Eicher Motors
Ltd.
Elecon
Engineering Co.
Ltd.
Electrosteel
Castings Ltd.
Elgi Equipments
Ltd.
Emami Ltd.
Engineers India
Ltd.
Entertainment
Network (India)
Ltd.
Era Infra Engg.
Ltd.
Escorts Ltd.
Ess
Dee
Aluminium Ltd.
Essar Oil Ltd.
Essar Ports Ltd.
Everest Kanto
Cylinder Ltd.
Everonn
Education Ltd.
Exide Industries
Ltd.
F A G Bearings
India Ltd.
F D C Ltd.
Federal
Bank
Ltd.
Financial
Technologies
(India) Ltd.
Finolex Cables
Ltd.
Finolex
Industries Ltd.
Firstsource
Solutions Ltd.
Fortis
Healthcare
(India) Ltd.
Fresenius Kabi
Oncology Ltd.
Future Capital

0.93

1349.2

1320.3 1298

0.04

26.13%

-45.29%

1.36

70.1

81.95

65.7

0.07

47.54%

-70.03%

1.23

29.6

28.45

29.45

0.01

3.10%

-62.55%

0.77
0.77

70.4
459.25

80.1
493.7

80.9
-0.13
475.25 -0.03

-56.57%
-18.57%

-36.09%
-36.09%

1
0

1.14

253.4

286.15 274.1

-0.08

-37.57%

-57.37%

1.14

260.9

262.75 257.5

0.01

8.19%

-57.37%

0.97
1.49

155.8
69.05

167.35 170.85 -0.09


98.55 113
-0.39

-42.49%
-94.79%

-47.59%
-77.50%

0
1

1.21
1.78
1.35

218.55
88.15
70.25

365.15 353.6 -0.38


116.55 124.45 -0.29
92.15 98.7
-0.29

-94.43%
-87.37%
-87.00%

-61.40%
-94.19%
-69.45%

1
0
1

1.23

73.75

90.2

-0.19

-72.04%

1.95

439.3

552.95 526.1

-0.16

-66.10%

-62.55%
103.96%

0.82

149.1

155

161.65 -0.08

-38.42%

-38.97%

0.88
0.74

1163.35 1321.4 1189.7 -0.02


87.6
92.55 92.2
-0.05

-12.55%
-26.44%

-42.42%
-34.36%

0
0

0.87

370.45

425.3

451.8

-0.18

-69.61%

-41.84%

1.41

734.8

808.5

874.3

-0.16

-64.76%

-72.90%

1.18

40.3

45.35

46.3

-0.13

-56.51%

-59.67%

1.13

69.8

72.95

75.05

-0.07

-35.28%

-56.80%

1.4

12.15

17.45

17.8

-0.32

-89.89%

-72.33%

0.9

152.5

166.75 162.55 -0.06

-31.81%

-43.57%

0.84
1.68

107.05
158.85

126.95 134
-0.20
186.1 137.35 0.16

-74.00%
139.30%

-40.12%
-88.43%

1
0

91.2

18

G A I L (India)
Ltd.
G
M
R
Infrastructure
Ltd.
G
T
L
Infrastructure
Ltd.
G T L Ltd.
G V K Power &
Infrastructure
Ltd.
Gammon India
Ltd.
Gammon
Infrastructure
Projects Ltd.
Gateway
Distriparks Ltd.
Geodesic Ltd.
Gillette
India
Ltd.
Gitanjali Gems
Ltd.
Glaxosmithkline
Consumer
Healthcare Ltd.
Glaxosmithkline
Pharmaceuticals
Ltd.
Glenmark
Pharmaceuticals
Ltd.
Glodyne
Technoserve
Ltd.
Godrej
Consumer
Products Ltd.
Godrej
Industries Ltd.
Godrej
Properties Ltd.
Graphite India
Ltd.
Grasim
Industries Ltd.
Great Eastern
Shipping Co. Ltd.
Great Offshore

0.65

410.6

461.75 441.25 -0.07

-35.08%

-29.19%

1.42

27

30.65

32.65

-0.17

-68.02%

-73.48%

0.9
0.42

12.38
50.05

15
74.85

15.05
90.75

-0.18
-0.45

-69.02%
-97.19%

-43.57%
-15.96%

1
1

1.61

16.85

18.05

19.3

-0.13

-55.72%

-84.41%

1.42

75.25

86.5

92.3

-0.18

-70.64%

-73.48%

1.43

13.95

15.73

13.65

0.02

13.93%

-74.05%

1.01
0.91

134.4
53.6

136.45 126.7
64.7
70.2

0.06
-0.24

42.47%
-80.19%

-49.90%
-44.14%

0
1

0.49

1953.55 2262

2114.8 -0.08

-37.87%

-19.98%

1.48

313.3

308.7

302.95 0.03

22.33%

-76.93%

0.46

2394.3

2411.7 2413.8 -0.01

-4.75%

-18.26%

0.37

2120.3

2346.4 2353.9 -0.10

-46.58%

-13.08%

0.87

325.45

330.15 320.5

0.02

9.63%

-41.84%

1.4

304

308.8

345.6

-0.12

-53.68%

-72.33%

0.4

425.2

435.7

430.25 -0.01

-6.84%

-14.81%

1.64

198.25

211.75 206.35 -0.04

-21.36%

-86.13%

0.94

688.4

777.15 739.1

-0.07

-34.71%

-45.87%

78.2

88.1

-0.14

-58.92%

-49.32%

0.83

2184.35 2193.5 2093.5 0.04

29.03%

-39.54%

1.27
1

237.9
148.45

-67.83%
-87.92%

-64.85%
-49.32%

1
1

270.1
214

90.7

287.4 -0.17
211.15 -0.30

19

Greaves Cotton
Ltd.
Gruh
Finance
Ltd.
Gujarat Alkalies
& Chemicals Ltd.
Gujarat
Fluorochemicals
Ltd.
Gujarat Gas Co.
Ltd.
Gujarat Mineral
Devp.
Corpn.
Ltd.
Gujarat N R E
Coke Ltd.
Gujarat
Narmada Valley
Fertilizers
Co.
Ltd.
Gujarat Pipavav
Port Ltd.
Gujarat
State
Fertilizers
&
Chemicals Ltd.
Gujarat
State
Petronet Ltd.
Gulf Oil Corpn.
Ltd.
H
C
L
Infosystems Ltd.
H
C
L
Technologies
Ltd.
H D F C Bank
Ltd.
H E G Ltd.
H M T Ltd.
H T Media Ltd.
Hathway Cable
& Datacom Ltd.
Havells
India
Ltd.
Heidelberg
Cement
India
Ltd.
Hero Motocorp
Ltd.
Hexaware
Technologies

1.08

90.25

91

87.15

0.04

23.33%

-53.92%

0.51

483

432.4

432

0.12

95.34%

-21.14%

1.08

146.45

154.05 144.05 0.02

10.42%

-53.92%

1.22

494.3

488.1

305.40%

-61.97%

0.51

455.15

418.55 390.5

0.17

150.73%

-21.14%

1.41

178.1

159.55 150

0.19

180.18%

-72.90%

1.37

28.1

44.25

48.15

-0.42

-96.05%

-70.60%

1.22

93.75

100.6

99.25

-0.06

-28.97%

-61.97%

0.8

67.1

70.8

64.85

0.03

22.71%

-37.82%

1.18

391

400.75 355.85 0.10

75.98%

-59.67%

0.98

99.7

101.95 88.95

0.12

98.29%

-48.17%

1.63

77.75

90.65

85.65

-0.09

-44.05%

-85.56%

0.74

67.8

85.05

88.75

-0.24

-80.12%

-34.36%

0.87

411.2

487.35 493.45 -0.17

-66.51%

-41.84%

0.95
0.97
1.74
1.17

472.2
220.7
43.3
149.15

487.4
236.6
56.9
159.2

-0.81
-0.06
-0.28
-0.12

-100.00%
-31.47%
-85.59%
-54.39%

-46.44%
-47.59%
-91.88%
-59.10%

1
0
0
0

0.72

87.9

111.65 122.5

-0.28

-86.35%

-33.21%

1.02

335

363

384.35 -0.13

-56.16%

-50.47%

1.26

32.7

36.3

37.55

-56.39%

-64.28%

0.41

2047.85 1787.2 1877.8 0.09

68.25%

-15.38%

0.97

75.95

68.85%

-47.59%

87.1

391.45 0.26

2502.6
235.05
59.8
170

69.6

-0.13

0.09

20

Himachal
Futuristic
Communications
Ltd.
Himadri
Chemicals
&
Inds. Ltd.
Hindalco
Industries Ltd.
Hindustan
Construction Co.
Ltd.
Hindustan
Copper Ltd.
Hindustan
Oil
Exploration Co.
Ltd.
Hindustan
Petroleum
Corpn. Ltd.
Hindustan
Unilever Ltd.
Hindustan Zinc
Ltd.
Hotel
Leelaventure
Ltd.
Housing
Development &
Infrastructure
Ltd.
Housing
Development
Finance Corpn.
Ltd.
I C I C I Bank Ltd.
I C R A Ltd.
I C S A (India)
Ltd.
I D B I Bank Ltd.
I F C I Ltd.
I L & F S
Transportation
Networks Ltd.
I N G Vysya Bank
I
R
B
Infrastructure
Developers Ltd.
I T C Ltd.

1.59

12.1

15.55

16.4

-0.26

-83.87%

-83.26%

1.22

51.15

56.65

40.85

0.25

285.41%

-61.97%

1.35

150.35

168.4

181

-0.17

-67.15%

-69.45%

1.86

28.25

30.45

31.95

-0.12

-52.22%

-98.79%

1.77

233.85

253.9

266.75 -0.12

-54.61%

-93.61%

1.59

122.45

170.25 178.75 -0.31

-89.67%

-83.26%

0.78

373.15

382.75 397.8

-0.06

-31.87%

-36.67%

0.45

320.9

323.95 342.75 -0.06

-32.65%

-17.68%

1.06

129.75

142.1

136.25 -0.05

-25.42%

-52.77%

1.27

38.3

45.75

41.35

-0.07

-36.85%

-64.85%

2.08

102.35

142.5

159.7

-0.36

-93.07%

111.44%

0.93
1.43
0.89

662.9
873.25
993.05

688.5 703.85 -0.06


1037.8 1093.1 -0.20
1263.2 1130.6 -0.12

-30.21%
-74.01%
-54.08%

-45.29%
-74.05%
-42.99%

0
0
1

1.66
1.42

76.35
110.3

91.65 99.75 -0.23


128.65 136.05 -0.19

-79.89%
-71.60%

0
0

1.91

37.7

45.05

45.75

-0.18

-68.69%

-87.28%
-73.48%
101.66%

0.94
1

183.05
292.7

210.6 209.5
350.65 343.5

-0.13
-0.15

-55.50%
-61.72%

-45.87%
-49.32%

1
1

1
0.48

146.8
200

174
208.3

172.7 -0.15
202.45 -0.01

-62.28%
-7.04%

-49.32%
-19.41%

1
0

21

I V R C L Assets
& Holdings Ltd.
1.89
I V R C L Ltd.
Idea Cellular Ltd.
India Cements
Ltd.
India
Infoline
Ltd.
India Securities
Ltd.
Indiabulls
Financial
Services Ltd.
Indiabulls Power
Ltd.
Indian Bank
Indian
Hotels
Co. Ltd.
Indian Oil Corpn.
Ltd.
Indian Overseas
Bank
Indraprastha
Gas Ltd.
Indusind Bank
Ltd.
Info Edge (India)
Ltd.
Infosys Ltd.
Infotech
Enterprises Ltd.
Infrastructure
Development
Finance Co. Ltd.
Ingersoll-Rand
(India) Ltd.
Ipca
Laboratories
Ltd.
J B Chemicals &
Pharmaceuticals
Ltd.
J B F Industries
Ltd.
J M Financial
J S L Stainless
Ltd.
J S W Energy
Ltd.

30.15

42.2

46.2

-0.35

-92.28%

1.91
1.02

35.05
99.95

62.2
94.35

69.8
79.75

-0.50
0.25

-98.40%
287.54%

1.14

67.05

69.75

71

-0.06

-29.07%

2.08

73.9

83.55

88.05

-0.16

0.88

58.8

46.55

54.5

1.48

154.1

181.7

160.6

0.56
1.08

14.5
206.4

1.04

100.51%
101.66%
-50.47%

0
0
0
0

-65.05%

-57.37%
111.44%

0.08

57.72%

-42.42%

-0.04

-21.96%

-76.93%

17.1
225.5

18
-0.19
212.65 -0.03

-72.67%
-16.39%

-24.01%
-53.92%

1
0

72.05

75.8

77.4

-0.07

-34.93%

-51.62%

0.84

306.55

315.05 337.65 -0.09

-44.00%

-40.12%

1.25

109.95

138.45 146.85 -0.25

-82.38%

-63.70%

0.68

427.55

407.65 381.3

98.76%

-30.91%

1.54

245.95

271.3

272.15 -0.10

-45.52%

-80.38%

0.66
0.46

694.55
2342.8

743.15 722.25 -0.04


2766.8 2907.4 -0.19

-20.91%
-72.62%

-29.76%
-18.26%

0
1

0.73

119.45

136.05 144.5

-0.17

-68.09%

-33.79%

1.38

113.75

126.05 131.05 -0.13

-57.24%

-71.18%

0.68

461

509.4

465.3

-0.01

-5.42%

-30.91%

0.6

313.95

328.15 341.9

-0.08

-40.05%

-26.31%

0.89

93.95

141.85 133.05 -0.29

-87.60%

-42.99%

1.14
1.43

129.8
18

151.9
21.7

163.5
22.8

-0.21
-0.21

-74.97%
-75.79%

-57.37%
-74.05%

1
1

1.19

90.9

100.5

97.75

-0.07

-35.33%

-60.25%

1.15

54.25

67.55

66.85

-0.19

-71.44%

-57.95%

0.12

22

J S W Ispat Steel
Ltd.
J S W Steel Ltd.
Jagran
Prakashan Ltd.
Jai Balaji Inds.
Ltd.
Jai Corp Ltd.
Jain
Irrigation
Systems Ltd.
Jaiprakash
Associates Ltd.
Jaiprakash
Power Ventures
Ltd.
Jammu
&
Kashmir
Bank
Ltd.
Jaypee Infratech
Ltd.
Jet
Airways
(India) Ltd.
Jindal Poly Films
Ltd.
Jindal
South
West Holdings
Ltd.
Jindal Steel &
Power Ltd.
Jubilant
Foodworks Ltd.
Jubilant
Life
Sciences Ltd.
Jyothy
Laboratories
Ltd.
Jyoti Structures
Ltd.
K
E
C
International
Ltd.
K G N Industries
Ltd.
K P I T Cummins
Infosystems Ltd.
K S K Energy
K S Oils Ltd.
Kalpataru Power
Transmission
Ltd.

1.64
1.43

14.6
678.1

17.95
774.2

19.15 -0.24
882.45 -0.23

-80.36%
-79.41%

-86.13%
-74.05%

0
1

0.8

109

113.5

126.8

-0.14

-59.65%

-37.82%

1.26
1.53

125
78.45

179.05 180.75 -0.31


100.35 121.8 -0.36

-89.06%
-92.86%

-64.28%
-79.81%

1
1

0.74

172.25

173.7

170.65 0.01

5.76%

-34.36%

1.74

61.2

66.7

80.85

-0.24

-81.19%

-91.88%

1.53

33.2

43

47.75

-0.30

-88.70%

-79.81%

0.89

787

871.8

840.1

-0.06

-32.41%

-42.99%

1.5

39.6

46.95

56.4

-0.30

-88.02%

-78.08%

1.35

274

446.3

479.65 -0.43

-96.52%

-69.45%

0.9

209.9

259.55 292.5

-0.28

-86.34%

-43.57%

1.8

641.9

863.85 974.35 -0.34

-91.82%

-95.34%

1.46

519.8

586.35 651.15 -0.20

-74.12%

-75.78%

1.28

944.35

852.5

-0.01

-3.09%

-65.43%

0.79

187.85

213.45 193

-0.03

-14.98%

-37.24%

0.86

171.35

236.15 216.4

-0.21

-75.35%

-41.27%

1.47

66.1

84.1

84.85

-0.22

-77.65%

-76.35%

1.14

62.35

78.9

79.25

-0.21

-76.29%

-57.37%

1.38

31.85

50.45

65.85

-0.52

-98.72%

-71.18%

1.17
0.73
1.25

149
99.05
10.05

189.1
106.9
18.75

172.9
110
22.15

-0.14
-0.10
-0.55

-59.04%
-46.69%
-99.13%

-59.10%
-33.79%
-63.70%

0
1
1

0.92

115.65

129.1

124.7

-0.07

-36.37%

-44.72%

949.3

23

Kansai Nerolac
Paints Ltd.
Karnataka Bank
Ltd.
Karuturi Global
Ltd.
Kemrock
Industries
&
Exports Ltd.
Kesoram
Industries Ltd.
Kingfisher
Airlines Ltd.
Kiri
Industries
Ltd.
Kirloskar
Brothers Ltd.
Kirloskar
Oil
Engines Ltd.
Kotak Mahindra
Bank Ltd.
Kwality
Dairy
(India) Ltd.
L I C Housing
Finance Ltd.
Lakshmi
Machine Works
Ltd.
Lanco Infratech
Ltd.
Larsen & Toubro
Ltd.
Lupin Ltd.
M M T C Ltd.
M O I L Ltd.
M R F Ltd.
M V L Ltd.
Madhucon
Projects Ltd.
Madras
Cements Ltd.
Magma Fincorp
Ltd.
Mahanagar
Telephone
Nigam Ltd.
Maharashtra SL
Mahindra
&
Mahindra
Financial

0.62

811.9

892.2

901.35 -0.10

-46.59%

-27.46%

1.11

96

115.7

130.6

-0.26

-84.23%

-55.65%

1.44

9.08

11.65

11.52

-0.21

-76.02%

-74.63%

1.53

527.85

501.9

516.45 0.02

14.00%

-79.81%

1.21

123.4

147.65 167

-0.26

-83.72%

-61.40%

1.74

25.55

34.6

-0.36

-93.31%

-91.88%

0.75

159.4

183.75 214.1

-0.26

-82.97%

-34.94%

0.97

152.7

170.35 158.6

-0.04

-20.34%

-47.59%

0.62

118

126.4

124.35 -0.05

-26.98%

-27.46%

1.5

441.75

446.85 480.2

-0.08

-39.39%

-78.08%

0.78

168.15

153

0.22

237.41%

-36.67%

1.28

210.75

212.35 241.95 -0.13

-56.32%

-65.43%

1.2

1961.45 2170.6 2090.5 -0.06

-31.76%

1.94

17.1

17.95

23.45

-0.27

-84.96%

-60.82%
103.39%

1.22
0.56
1.43
0.68
0.99
0.83

1609.8
449.95
697.55
302.05
6616.95
24.05

1726
454.6
884.65
346.25
7209.4
24.35

1822.7
448.55
912.35
334.1
6723.6
25.3

-0.12
0.00
-0.24
-0.10
-0.02
-0.05

-52.53%
1.89%
-80.03%
-45.40%
-9.15%
-26.22%

-61.97%
-24.01%
-74.05%
-30.91%
-48.74%
-39.54%

0
0
1
1
0
0

1.55

80.7

86.95

88.1

-0.08

-40.93%

-80.96%

0.94

87.35

92.1

81.2

0.08

54.97%

-45.87%

0.61

76.55

73.5

73

0.05

32.96%

-26.89%

1.08
1.03

35.35
353.4

47.15
373.8

43.05 -0.18
375.15 -0.06

-69.35%
-30.12%

-53.92%
-51.05%

1
0

0.61

616.05

637.75 626

-9.17%

-26.89%

40.1

137.3

-0.02

24

Services Ltd.
Mahindra
&
Mahindra Ltd.
Mahindra
Holidays
&
Resorts
India
Ltd.
Mahindra
Lifespace
Developers Ltd.
Manappuram
Finance Ltd.
Mangalore
Refinery
&
Petrochemicals
Ltd.
Marico Ltd.
Maruti
Suzuki
India Ltd.
Max India Ltd.
Mcleod Russel
India Ltd.
Mcnally Bharat
Engg. Co. Ltd.
Mercator Ltd.
Mindtree Ltd.
Monnet Ispat &
Energy Ltd.
Monsanto India
Ltd.
Moser
Baer
India Ltd.
Motherson Sumi
Systems Ltd.
Motilal
Oswal
Financial
Services Ltd.
Mphasis Ltd.
Mundra Port &
Special
Economic Zone
Ltd.
N C C Ltd.
N H P C Ltd.
N I I T Ltd.
N
I
I
T
Technologies
N M D C Ltd.

1.11

737.55

718.25 701.3

0.92

350.35

380

1.41

314.15

0.56

0.05

35.31%

-55.65%

6.95%

-44.72%

353.05 359.85 -0.13

-55.73%

-72.90%

50.4

55.05

56.15

-0.10

-47.70%

-24.01%

1.42
0.42

62.8
148.6

78.35
167.3

77.45 -0.19
155.75 -0.05

-71.58%
-24.57%

-73.48%
-15.96%

0
1

0.71
1.13

1092.35 1207.9 1158.5 -0.06


194.45 182.95 183.3 0.06

-29.71%
42.52%

-32.64%
-56.80%

0
0

1.13

241.2

271.65 269.15 -0.10

-48.20%

-56.80%

1.5
1.8
0.51

129.85
24.55
341.8

153.35 143.85 -0.10


35.95 40
-0.39
414.2 392.65 -0.13

-45.90%
-94.65%
-56.49%

-78.08%
-95.34%
-21.14%

0
0
1

0.97

488.05

492.4

-13.67%

-47.59%

0.71

1792.35 1765.3 1728.6 0.04

24.29%

-32.64%

1.32

23.1

36.7

39.05

-0.41

-95.72%

-67.73%

0.68

189.65

229.95 225.8

-0.16

-64.89%

-30.91%

1.41
0.63

85.8
353.45

100
94.05
447.35 434.9

-0.09
-0.19

-42.35%
-71.18%

-72.90%
-28.04%

0
1

1.09
1.72
0.84
1.29

152.15
54
24.3
46.5

143.8
73
24.6
55.2

-0.06
-0.34
0.01
-0.16

-29.82%
-91.41%
7.74%
-64.46%

-54.50%
-90.73%
-40.12%
-66.00%

0
1
0
0

1.05
1.58

192.7
220.65

223.2 179.35 0.07


240.15 254.75 -0.13

53.84%
-57.78%

-52.20%
-82.68%

0
0

346.45 0.01

500.15 -0.02

161.4
81.3
24
55.25

25

N T P C Ltd.
National
Aluminium Co.
Ltd.
National
Fertilizers Ltd.
Nava
Bharat
Ventures Ltd.
Navneet
Publications
(India) Ltd.
Nestle India Ltd.
Network
18
Media & Invst.
Ltd.
Neyveli Lignite
Corpn. Ltd.
Noida
Toll
Bridge Co. Ltd.
Novartis India
Ltd.
Oberoi
Realty
Ltd.
Oil & Natural
Gas Corpn. Ltd.
Oil India Ltd.
Omaxe Ltd.
Onmobile Global
Ltd.
Opto
Circuits
(India) Ltd.
Oracle Financial
Services
Software Ltd.
Orbit
Corporation Ltd.
Orchid
Chemicals
&
Pharmaceuticals
Ltd.
Orient Paper &
Inds. Ltd.
Oriental Bank Of
Commerce
P T C India Ltd.
Panacea Biotec
Ltd.
Pantaloon Retail
(India) Ltd.
Parsvnath

0.7

169.55

176.3

186.85 -0.09

-44.18%

-32.06%

0.93

63.6

75.5

82.8

-0.23

-79.46%

-45.29%

1.49

76.25

86.2

94.7

-0.19

-72.75%

-77.50%

1.23

165.5

229.45 209.95 -0.21

-76.01%

-62.55%

0.95
0.28

62.45
67.2
63.15 -0.01
4387.75 4349.2 4097.1 0.07

-6.47%
50.87%

-46.44%
-7.91%

0
0

1.16

96.35

120.8

134.05 -0.28

-86.21%

-58.52%

1.41

82.9

99.85

97.35

-0.15

-61.87%

-72.90%

1.3

24

25.7

25.55

-0.06

-31.31%

-66.58%

0.53

860.85

900.6

832.85 0.03

21.95%

-22.29%

1.15

225

235.9

240.2

-0.06

-32.45%

-57.95%

0.88
0.39
1.57

263.15
1300.1
131.65

268.65 273.95 -0.04


1317.1 1301.7 0.00
136.9 129.05 0.02

-21.44%
-0.71%
12.71%

-42.42%
-14.23%
-82.11%

0
0
0

1.12

62.5

91.8

108.45 -0.42

-96.34%

-56.22%

1.2

266.8

286.8

297.6

-0.10

-48.08%

-60.82%

0.95

1815.45 2118.3 2288.6 -0.21

-75.08%

2.27

36.75

38.85

-0.13

-56.38%

-46.44%
122.37%

1.32

192.2

206.35 270.8

-0.29

-87.22%

-67.73%

1.14

58

58.65

56.2

0.03

20.82%

-57.37%

1.14
1.15

310.8
70.75

350.9
77.4

329.5
79.4

-0.06
-0.11

-29.57%
-49.95%

-57.37%
-57.95%

0
0

0.93

143.6

158.3

166.3

-0.14

-58.55%

-45.29%

1.16
1.88

293.75
50

335.3
46.55

306.65 -0.04
47.45 0.05

-22.73%
36.90%

-58.52%
-99.94%

0
0

42.2

26

Developers Ltd.
Patel
Engineering Ltd.
Patni Computer
Systems Ltd.
Peninsula Land
Ltd.
Persistent
Systems Ltd.
Petronet L N G
Ltd.
Pfizer Ltd.
Phoenix
Mills
Ltd.
Pidilite
Industries Ltd.
Pipavav Defence
&
Offshore
Engg. Co. Ltd.
Piramal
Healthcare Ltd.
Polaris Financial
Technology Ltd.
Polyplex
Corporation Ltd.
Power Finance
Corpn. Ltd.
Power
Grid
Corpn. Of India
Ltd.
Praj Industries
Ltd.
Prakash
Industries Ltd.
Prestige Estates
Projects Ltd.
Prism Cement
Ltd.
Procter
&
Gamble Hygiene
& Health Care
Ltd.
Provogue (India)
Ltd.
Prraneta
Industries Ltd.
Punj Lloyd Ltd.
Punjab & Sind
Bank
Punjab National

1.6

101.25

135.45 148.25 -0.32

-89.85%

-83.83%

0.63

288.75

324.9

323.85 -0.11

-49.76%

-28.04%

1.58

46.05

51.75

46.4

-4.44%

-82.68%

0.9

321.2

353.6

365.35 -0.12

-53.83%

-43.57%

1.08
0.47

173.95
1375.3

172.1 135.65 0.28


1535.6 1487.1 -0.08

344.66%
-37.43%

-53.92%
-18.83%

0
1

1.16

212.05

211.55 189.7

95.09%

-58.52%

0.82

162.95

172.45 165.15 -0.01

-7.73%

-38.97%

1.37

72.7

71.65

76.45

-0.05

-26.05%

-70.60%

0.59

360.7

381.75 396.7

-0.09

-43.49%

-25.74%

1.17

129.55

173

179.75 -0.28

-85.98%

-59.10%

1.01

186.1

185.5

186.6

-1.60%

-49.90%

0.9

145.25

184.15 184.05 -0.21

-75.84%

-43.57%

0.73

100.25

104.9

109.3

-0.08

-40.46%

-33.79%

1.47

70.35

83.1

76.6

-0.08

-39.99%

-76.35%

1.59

54.95

66.45

65.75

-0.16

-65.93%

1.93

98.5

131.25 120.45 -0.18

-70.09%

-83.26%
102.81%

1.18

39.9

46

-58.24%

-59.67%

0.33

1961.9

1931.6 1967.9 0.00

-1.80%

-10.78%

1.35

28.35

34.95

34.85

-0.19

-71.02%

-69.45%

0.72
1.66

38.4
58.25

75.65
70.35

77.05
75.85

-0.50
-0.23

-98.47%
-79.49%

-33.21%
-87.28%

1
0

1.5
1.01

74.8
930.5

95.75 100
-0.25
1124.3 1089.6 -0.15

-82.49%
-61.21%

-78.08%
-49.90%

1
1

46.15

-0.01

0.12

0.00

-0.14

27

Bank
Puravankara
Projects Ltd.
Radico Khaitan
Ltd.
Rain
Commodities
Ltd.
Rajesh Exports
Ltd.
Rallis India Ltd.
Ranbaxy
Laboratories
Ltd.
Rashtriya
Chemicals
&
Fertilizers Ltd.
Raymond Ltd.
Redington
(India) Ltd.
Rei Agro Ltd.
Reliance Capital
Ltd.
Reliance
Communications
Ltd.
Reliance
Industrial
Infrastructure
Ltd.
Reliance
Industries Ltd.
Reliance
Infrastructure
Ltd.
Reliance
Mediaworks Ltd.
Reliance Power
Ltd.
Religare
Enterprises Ltd.
Rolta India Ltd.
Ruchi Soya Inds.
Ltd.
Rural
Electrification
Corpn. Ltd.
S J V N Ltd.
S K F India Ltd.

1.8

68.1

76.85

0.74

129.95

1.39

87.95

-78.45%

-95.34%

132.65 128.95 0.01

4.74%

-34.36%

29.65

36.1

-51.06%

-71.75%

1.22
0.89

112.2
168.15

110.45 100.55 0.12


162.6 1530.7 -0.89

93.05%
-100.00%

-61.97%
-42.99%

0
1

0.76

473.15

539

540.35 -0.12

-54.92%

-35.52%

1.63
1.21

79.05
349.25

74.6
79.2
0.00
379.65 365.85 -0.05

-1.13%
-24.32%

-85.56%
-61.40%

0
0

1.01
1.18

95.5
25.35

96.95
29.05

83.63%
-1.18%

-49.90%
-59.67%

0
0

1.75

384.45

575.45 576.75 -0.33

-91.23%

-92.46%

1.36

79.45

101.55 95.7

-67.26%

-70.03%

33.4

86.3
25.4

-0.23

-0.11

0.11
0.00

-0.17

2.03

408.7

515.2

535.2

-0.24

-80.17%

108.57%

1.01

781.5

827.7

897.6

-0.13

-56.44%

-49.90%

1.56

437.3

540.95 536

-0.18

-70.51%

1.9

93.95

116.35 122.3

-0.23

-79.45%

-81.53%
101.09%

1.31

84.8

111.7

115.55 -0.27

-84.38%

-67.15%

0.62
1.28

415.85
99.35

465.7 459.05 -0.09


116.05 128.85 -0.23

-44.73%
-78.99%

-27.46%
-65.43%

1
1

1.29

101.35

97.8

0.03

20.12%

-66.00%

1.06
0.61
0.72

174.35
22.25
638.4

209.45 195.8
22
21.45
656.9 680.1

-0.11
0.04
-0.06

-50.15%
24.57%
-31.59%

-52.77%
-26.89%
-33.21%

0
0
0

98.3

28

S
K
S
Microfinance
Ltd.
S
Kumars
Nationwide Ltd.
S
R
E
I
Infrastructure
Finance Ltd.
S R F Ltd.
Sadbhav
Engineering Ltd.
Sesa Goa Ltd.
Shipping Corpn.
Of India Ltd.
Shiv Vani Oil &
Gas Exploration
Services Ltd.
Shoppers Stop
Ltd.
Shree
Ashtavinayak
Cine Vision Ltd.
Shree Cement
Ltd.
Shree Ganesh
Jewellery House
Ltd.
Shree
Global
Tradefin Ltd.
Shree
Renuka
Sugars Ltd.
Shriram
Transport
Finance Co. Ltd.
Siemens Ltd.
Simplex
Infrastructures
Ltd.
Sintex Industries
Ltd.
Sobha
Developers Ltd.
South
Indian
Bank Ltd.
Spicejet Ltd.
Standard
Chartered Plc
State Bank Of
Bikaner & Jaipur
SBI

0.89

198.35

409.3

344.65 -0.42

-96.37%

-42.99%

1.57

46.7

55.3

53.95

-0.13

-57.93%

-82.11%

1.57
1.19

41.85
300.6

46.65 43
-0.03
317.75 285.25 0.05

-15.01%
36.96%

-82.11%
-60.25%

0
0

1.16
1.21

131.4
234.1

142.55 133.9 -0.02


275
282.15 -0.17

-10.69%
-67.38%

-58.52%
-61.40%

0
1

1.12

85.9

101.25 102.5

-0.16

-65.36%

-56.22%

1.13

165.9

214.1

222

-0.25

-82.58%

-56.80%

1.03

398.4

394.15 452

-0.12

-53.11%

-51.05%

0.4

4.59

4.12

-0.06

-29.03%

-14.81%

0.9

1664.8

1778.6 1755.8 -0.05

-27.34%

-43.57%

0.94

134.15

177

-98.74%

-45.87%

0.03

244.3

279.55 318.3

-0.23

-79.56%

6.47%

1.23

57.8

70.1

-0.13

-57.27%

-62.55%

0.72
1.06

630.8
883.95

640.8 615.85 0.02


922.15 889.4 -0.01

15.48%
-3.62%

-33.21%
-52.77%

0
0

1.52

232.2

300

269.95 -0.14

-59.50%

-79.23%

1.19

144.55

176

180.65 -0.20

-73.75%

-60.25%

1.53

223

259.75 258.75 -0.14

-59.02%

-79.81%

1.06
1.54

20.65
22.95

23.5
31.6

23.95
32.9

-0.14
-0.30

-58.91%
-88.48%

-52.77%
-80.38%

1
1

0.54

79.7

90.35

93.65

-0.15

-62.01%

-22.86%

0.99
1.11

450.05
1974.5

479.3
2342

502.2
2406

-0.10
-0.18

-48.20%
-69.45%

-48.74%
-55.65%

0
1

4.86

278.25 -0.52

66.6

29

State Bank Of
Mysore
State Bank Of
Travancore
State
Trading
Corpn. Of India
Ltd.
Steel Authority
Of India Ltd.
Sterlite
Industries
(India) Ltd.
Sterlite
Technologies
Ltd.
Strides Arcolab
Ltd.
Subex Ltd.
Sujana Towers
Ltd.
Sun
Pharma
Advanced
Research
Co.
Ltd.
Sun
Pharmaceutical
Inds. Ltd.
Sun T V Network
Ltd.
Sundram
Fasteners Ltd.
Sunteck Realty
Ltd.
Supreme
Industries Ltd.
Suzlon Energy
Ltd.
Syndicate Bank
T T K Prestige
Ltd.
T V S Motor Co.
Ltd.
Tamil
Nadu
Newsprint
&
Papers Ltd.
Tata Chemicals
Ltd.
Tata Coffee Ltd.
Tata
Communications

1.2

602.3

602.35 633.45 -0.05

-26.11%

-60.82%

1.1

682

697.9

709.35 -0.04

-21.02%

-55.07%

1.79

162.3

197.3

209.3

-0.22

-78.26%

-94.76%

1.31

107.9

126.35 137.5

-0.22

-76.65%

-67.15%

1.4

128.65

159.9

168.05 -0.23

-79.87%

-72.33%

1.61

39.25

50.05

51.9

-0.24

-81.29%

-84.41%

0.98
1.2

291.35
45

373.7
58.25

335.95 -0.13
57.3
-0.21

-57.46%
-76.54%

-48.17%
-60.82%

1
1

1.67

24.95

29.85

32.25

-0.23

-78.56%

-87.86%

1.1

72.25

93.05

88.7

-0.19

-70.79%

-55.07%

0.32

490.3

516.8

496.8

-0.01

-7.60%

-10.21%

0.81

300.9

321.6

347.75 -0.13

-58.03%

-38.39%

0.97

61

58.9

58.8

24.66%

-47.59%

0.43

251.95

291.5

303.75 -0.17

-67.43%

-16.53%

0.93

210.35

210.9

181

146.37%

-45.29%

1.62
1.11

36.85
101.25

52.4
47.95 -0.23
119.75 117.45 -0.14

-79.40%
-58.96%

-84.98%
-55.65%

0
1

0.81

2746.4

2939.4 2938

-0.07

-33.28%

-38.39%

1.11

55.3

49.35

0.03

19.93%

-55.65%

0.68

108

119.75 117.9

-0.08

-40.92%

-30.91%

1.15
0.63

335.25
744.8

356.6
852.3

371.95 -0.10
843.05 -0.12

-46.38%
-52.45%

-57.95%
-28.04%

0
1

0.93

202.9

222.5

197.1

19.01%

-45.29%

53.65

0.04

0.16

0.03

30

Tata
Consultancy
Services Ltd.
Tata Elxsi Ltd.
Tata
Global
Beverages Ltd.
Tata Investment
Corpn. Ltd.
Tata Motors Ltd.
Tata Power Co.
Ltd.
Tata Steel Ltd.
Tata
Teleservices
(Maharashtra)
Ltd.
Tech Mahindra
Ltd.
Techno Electric
& Engg. Co. Ltd.
Thermax Ltd.
Thomas
Cook
(India) Ltd.
Time
Technoplast Ltd.
Timken
India
Ltd.
Tinplate Co. Of
India Ltd.
Titagarh
Wagons Ltd.
Titan Industries
Ltd.
Torrent
Pharmaceuticals
Ltd.
Torrent Power
Ltd.
Trent Ltd.
Triveni
Engineering &
Inds. Ltd.
Tube
Investments Of
India Ltd.
Tulip Telecom
Ltd.
Tv18 Broadcast
Ltd.

0.49
0.96

1040.6
195.8

1134.5 1180.4 -0.12


235.8 243.75 -0.20

-53.05%
-73.13%

-19.98%
-47.02%

1
1

0.6

93.5

106.2

96.55

-0.03

-17.52%

-26.31%

0.83
1.17

460.25
741.7

479.95 493.2
947.4 993.5

-0.07
-0.25

-33.96%
-82.69%

-39.54%
-59.10%

0
1

1
1.44

1043.3
468.55

1285.5 1303.6 -0.20


565.1 608.7 -0.23

-73.72%
-79.20%

-49.32%
-74.63%

1
1

1.1

18.75

22.1

-0.03

-14.61%

-55.07%

1.08

648.05

774.75 721.45 -0.10

-47.47%

-53.92%

1.61
1.03

199.75
489.5

230
570.9

227.45 -0.12
593.85 -0.18

-54.12%
-68.63%

-84.41%
-51.05%

0
1

1.05

43.95

48.6

48.4

-0.09

-43.94%

-52.20%

1.08

68.25

68.9

70.95

-0.04

-20.77%

-53.92%

0.94

206.65

230.85 225.55 -0.08

-40.85%

-45.87%

1.12

48.35

59.45

-0.18

-69.09%

-56.22%

1.28

385.5

432.45 400.3

-0.04

-20.23%

-65.43%

0.91

205.55

228.4

-0.04

-23.64%

-44.14%

0.74

599.45

654.65 635.3

-0.06

-29.43%

-34.36%

1.21
0.65

223.9
1117.5

240.4 238.95 -0.06


1209.4 1143
-0.02

-32.32%
-12.66%

-61.40%
-29.19%

0
0

1.49

21.9

33.65

39.45

-97.07%

-77.50%

0.96

138.8

159.1

136.85 0.01

8.86%

-47.02%

1.1

148.85

156.5

161.85 -0.08

-39.49%

-55.07%

1.22

40.9

68.7

77.5

-97.84%

-61.97%

19.25

58.8

215

-0.44

-0.47

31

U T V Software
Communications
Ltd.
Uco Bank
Uflex Ltd.
Ultratech
Cement Ltd.
Unichem
Laboratories
Ltd.
Union Bank Of
India
Unitech Ltd.
United Bank Of
India
United
Breweries
(Holdings) Ltd.
United
Breweries Ltd.
United
Phosphorus Ltd.
United
Spirits
Ltd.
Usha Martin Ltd.
Uttam
Galva
Steels Ltd.
V I P Industries
Ltd.
V S T Industries
Ltd.
Vakrangee
Softwares Ltd.
Vardhman
Textiles Ltd.
Videocon
Industries Ltd.
Vijaya Bank
Voltamp
Transformers
Ltd.
Voltas Ltd.
Walchandnagar
Industries Ltd.
Whirlpool
Of
India Ltd.
Wipro Ltd.
Wockhardt Ltd.

0.87
1.13
1.01

941.3
69.2
176.3

962.15 826.6 0.14


84.75 95.7
-0.28
209.25 205.45 -0.14

118.07%
-85.71%
-60.07%

-41.84%
-56.80%
-49.90%

0
1
1

0.69

1070.4

1028.8 933.5

0.15

127.30%

-31.49%

0.64

141.95

144.15 151.6

-0.06

-32.61%

-28.61%

1.04

241.6

289.35 292.8

-0.17

-68.44%

2.09

27.65

30.7

31.95

-0.13

-57.99%

-51.62%
112.02%

1.33

76.25

93.55

96.3

-0.21

-75.36%

-68.30%

1.73

113.45

136.4

151.25 -0.25

-82.19%

-91.31%

0.92

421.8

497.8

527.7

-0.20

-73.92%

-44.72%

1.08

145.4

166.1

152.85 -0.05

-25.90%

-53.92%

1.04
1.52

895.45
36.75

1020.5 979.3
44.7
53.45

-0.09
-0.31

-41.55%
-89.44%

-51.62%
-79.23%

0
1

0.98

77.1

102.05 104.75 -0.26

-84.10%

-48.17%

1.09

810.6

810.9

41.54%

-54.50%

0.54

1221.6

1217.4 1001.2 0.22

229.95%

-22.86%

1.74

379.6

395.1

373.35 0.02

10.47%

-91.88%

0.99

191.2

215.3

217.4

-0.12

-53.72%

-48.74%

1.26
1.18

178.9
57.2

187.95 215.75 -0.17


63.4
69.5
-0.18

-67.49%
-68.92%

-64.28%
-59.67%

1
1

1.24
1.31

495.95
115.9

506.7
137.8

512.95 -0.03
159.3 -0.27

-18.31%
-85.17%

-63.12%
-67.15%

0
1

1.76

92.15

114.95 120.15 -0.23

-79.65%

-93.04%

1.03
0.74
0.9

215.5
335.05
385.9

221.1 256.85 -0.16


389.95 417.6 -0.20
448.9 366.65 0.05

-65.12%
-73.33%
35.94%

-51.05%
-34.36%
-43.57%

1
1
0

765

0.06

32

Wyeth Ltd.
Yes Bank Ltd.
Zee
Entertainment
Enterprises Ltd.
Zuari Industries
Ltd.
Zydus Wellness
Ltd.
Zylog Systems
Ltd.

0.37
1.48

1008.5
278.05

1023.7 960.2
310.65 311.9

0.05
-0.11

34.24%
-49.81%

-13.08%
-76.93%

0
0

0.93

115.6

131.5

135.15 -0.14

-60.84%

-45.29%

1.35

624.25

665.75 637.7

-0.02

-12.01%

-69.45%

0.71

586.55

622.2

620.65 -0.05

-28.76%

-32.64%

1.07

405.1

400.9

399.4

8.87%

-53.35%

0.01

Table 8.1: SML Analysis of BSE 500 stocks

where

Symbol
1
0

Status
Total
Overvalued
195
Undervalued 300

The three covariance matrices utilized in the three portfolios are:


Covariance1
0.001
0.002
-0.001
0.004
0.001
0.000
-0.003
0.006
0.003
0.003

0.002
0.008
-0.002
0.014
0.005
0.002
-0.009
0.021
0.010
0.012

-0.001
-0.002
0.001
-0.003
-0.001
0.000
0.002
-0.005
-0.003
-0.003

0.004
0.014
-0.003
0.024
0.009
0.003
-0.016
0.036
0.018
0.020

0.001
0.005
-0.001
0.009
0.003
0.001
-0.006
0.013
0.007
0.007

0.000
0.002
0.000
0.003
0.001
0.000
-0.002
0.004
0.002
0.002

-0.003
-0.009
0.002
-0.016
-0.006
-0.002
0.011
-0.024
-0.012
-0.014

0.006
0.021
-0.005
0.036
0.013
0.004
-0.024
0.055
0.027
0.031

0.003
0.010
-0.003
0.018
0.007
0.002
-0.012
0.027
0.013
0.015

0.003
0.012
-0.003
0.020
0.007
0.002
-0.014
0.031
0.015
0.017

Table 8.2 : Covariance matrix of Portfolio I

33

Covariance2
0.000
-0.003
-0.002
-0.002
-0.002
0.000
-0.001
0.000
-0.002
-0.002

-0.003
0.033
0.022
0.027
0.019
-0.006
0.014
0.000
0.027
0.024

-0.002
0.022
0.014
0.017
0.012
-0.004
0.009
0.000
0.017
0.016

-0.002
0.027
0.017
0.021
0.015
-0.005
0.011
0.000
0.021
0.019

-0.002
0.019
0.012
0.015
0.010
-0.003
0.008
0.000
0.015
0.013

0.000
-0.006
-0.004
-0.005
-0.003
0.001
-0.002
0.000
-0.005
-0.004

-0.001
0.014
0.009
0.011
0.008
-0.002
0.006
0.000
0.011
0.010

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

-0.002
0.027
0.017
0.021
0.015
-0.005
0.011
0.000
0.021
0.019

-0.002
0.024
0.016
0.019
0.013
-0.004
0.010
0.000
0.019
0.017

0.002
0.001
0.000
0.002
0.003
0.000
0.002
0.001
0.000
0.002

0.011
0.007
-0.002
0.012
0.017
0.000
0.010
0.009
0.002
0.010

Table 8.3 : Covariance matrix of Portfolio II

Covariance3
0.014
0.008
-0.003
0.015
0.020
0.000
0.012
0.010
0.002
0.011

0.008
0.005
-0.002
0.009
0.012
0.000
0.007
0.006
0.001
0.007

-0.003
-0.002
0.001
-0.003
-0.004
0.000
-0.002
-0.002
0.000
-0.002

0.015
0.009
-0.003
0.016
0.022
0.000
0.013
0.011
0.002
0.012

0.020
0.012
-0.004
0.022
0.030
0.001
0.018
0.015
0.003
0.017

0.000
0.000
0.000
0.000
0.001
0.000
0.000
0.000
0.000
0.000

0.012
0.007
-0.002
0.013
0.018
0.000
0.011
0.009
0.002
0.010

0.010
0.006
-0.002
0.011
0.015
0.000
0.009
0.008
0.001
0.009

Table 8.4 : Covariance matrix of Portfolio III

34

Porttfolio I (Beta Between .5 and 1)


Portfolio Parameters
Portfolio Return : 7.76%
Portfolio Risk : 4.11%

August

July

June

Ret1

Ret2

Return

Ann
ualiz
ed

4610.1

4471

4190.5

0.067

0.031

1.100

0.77

-29.76%

0.08

59

73.15

78.25

-0.065

-0.193

0.754

-0.82

-41.27%

0.10

Bajaj Auto
Ltd.
0.91

1573

1464.9

1405.9

0.042

0.074

1.119

0.96

-44.14%

0.11

Bharat
Electronics
Ltd.

0.78

1541.9

1756.6

1601.8

0.097

-0.122

0.963

-0.20

-36.67%

0.10

Corporatio
n Bank

0.99

438.85

501.85

525.55

-0.045

-0.126

0.835

-0.66

-48.74%

0.12

Cummins
India Ltd.

0.79

589.25

639.35

676.15

-0.054

-0.078

0.871

-0.56

-37.24%

0.10

110.5
993.05

104.25
1263.2

114.05
1130.6

-0.086
0.117

0.060
-0.214

0.969
0.878

-0.17
-0.54

-22.86%
-42.99%

0.07
0.11

205.55

228.4

215

0.062

-0.100

0.956

-0.24

-44.14%

0.11

941.3

962.15

826.6

0.164

-0.022

1.139

1.18

-41.84%

0.11

Company
Beta
3M India
Ltd.
0.66
Apollo
Tyres Ltd.

0.86

Dabur India
Ltd.
0.54
I C R A Ltd. 0.89
Titan
Industries
Ltd.
0.91
U
T
V
Software
Communic
ations Ltd.

0.87

SML

wts

Table 8.5: Portfolio I (Beta Between .5 and 1)

35

Portfolio II (Overvalued Scrips)


Portfolio Parameters
Portfolio Return : 9.01%
Portfolio Risk : 6.811%

Company
Adani Power
Ltd.
Ballarpur
Industries
Ltd.
Dhanlaxmi
Bank Ltd.
Gillette India
Ltd.
H
C
L
Technologie
s Ltd.
Hindustan
Unilever Ltd.
Infosys Ltd.
J S W Steel
Ltd.
K
E
C
Internationa
l Ltd.
Marico Ltd.

Beta

August

July

June

Ret1

Ret2

Retu
rn

0.55

91.65

99.25

110

-0.098

-0.077

1.08

27.25

34.5

32.9

0.049

1.03

78.5

106.1

116.9

0.49

1953.55

2262

0.87

411.2

0.45
0.46

Annu
alized

SML

wts

0.833 -0.67

-23.44%

0.07

-0.210

0.828 -0.68

-53.92%

0.14

-0.092

-0.260

0.672 -0.91

-51.05%

0.13

2114.8

0.070

-0.136

0.924 -0.38

-19.98%

0.06

487.35

493.45

-0.012

-0.156

0.833 -0.67

-41.84%

0.11

320.9
2342.8

323.95
2766.8

342.75
2907.4

-0.055
-0.048

-0.009
-0.153

0.936 -0.33
0.806 -0.73

-17.68%
-18.26%

0.06
0.06

1.43

678.1

774.2

882.45

-0.123

-0.124

0.768 -0.79

-74.05%

0.18

1.14
0.42

62.35
148.6

78.9
167.3

79.25
155.75

-0.004
0.074

-0.210
-0.112

0.787 -0.76
0.954 -0.25

-57.37%
-15.96%

0.14
0.05

Table 8.6: Portfolio II (Overvalued Stocks)

36

Portfolio III (Undervalued Scrips)


Portfolio Parameters
Portfolio Return : 8.65%
Portfolio Risk : 10.08%

Company
Aban
Offshore
Ltd.
Apollo
Hospitals
Enterprise
Ltd.
Bajaj Auto
Ltd.
Bharti Airtel
Ltd.
D L F Ltd.
Gitanjali
Gems Ltd.

Beta

August

July

June

Ret1

Ret2

Retu
rn

1.78

377.5

490.15

524.25

-0.065

-0.230

0.58

532.2

528.6

478.15

0.106

0.91

1573

1464.85

1405.9

0.67
1.68

404.2
196.35

437
230.9

1.48

313.3

I F C I Ltd.
Idea Cellular
Ltd.
Lupin Ltd.
Maruti
Suzuki India
Ltd.

1.91

Annu
alize
d

SML

wts

0.720 -0.86

-94.19%

0.16

0.007

1.113 0.90

-25.16%

0.05

0.042

0.074

1.119 0.96

-44.14%

0.08

395.25
210.55

0.106
0.097

-0.075
-0.150

1.023 0.14
0.933 -0.34

-30.34%
-88.43%

0.06
0.15

308.7

302.95

0.019

0.015

1.034 0.22

0.13

37.7

45.05

45.75

-0.015

-0.163

0.824 -0.69

-76.93%
101.66%

1.02
0.56

99.95
449.95

94.35
454.6

79.75
448.55

0.183
0.013

0.059
-0.010

1.253 2.88
1.003 0.02

-50.47%
-24.01%

0.09
0.05

0.71

1092.3
5

1207.9

1158.45

0.043

-0.096

0.943 -0.30

-32.64%

0.06

0.17

Table 8.7: Portfolio III(Undervalued Stocks)

37

CHAPTER 9: TESTING THE HYPOTHESES


First Hypothesis is

H0 : BSE 500 stocks are equally undervalued and overvalued.


HA: Most of the stocks of BSE500 are either overvalued or under valued

We will use the chi square test statistic for the above mentioned hypothesis.

Actual(O)
Expected(E)
(O-E)
(O-E)^2
(O-E)^2/E

Overvalued
195
250
-55
3025
12.1

Undervalued
300
250
50
2500
10

Total
500
500

22.1

Table 9.1: Chi-Square Test for BSE 500 sample

The Chi square statistic at 5% significance level with 1 degree of freedom =3.84
Therefore we can reject the Null Hypothesis that there is an equitable distribution of stocks between
undervalued and overvalued in BSE500.The BSE 500 stocks are predominantly undervalued.

The second hypothesis of the study is:

H0 : Majority of the undervalued stocks belong to a particular sector.


HA: Majority of the undervalued stocks do not belong to a particular sector.

Since 300 stocks of BSE 500 index are undervalued hence the null hypothesis that majority of these
stocks belong to a particular sector is rejected.
Moreover this is also helpful in reaping the diversification benefits by constructing portfolios of
these undervalued stocks belonging to diverse industrial sectors.

38

CHAPTER 10: CONCLUSION

Portfolio Parameter
Return
Risk

Portfolio I
7.76%
4.11%

Portfolio II
9.01%
6.81%

Portfolio III
8.65%
10.08%

Table 10.1: Parameters of all the Portfolios

S.No
H01

Hypothesis
Results
BSE 500 stocks are equally Rejected
undervalued and overvalued.

H02

Majority of the undervalued Rejected


stocks belong to a particular
sector
Table 10.2: Hypotheses Results

39

CHAPTER 11: REFERENCES

Books
1. Richard A. Defusco and David E. Runkie, Portfolio Management CFA Program, Volume 5,
Pearson, (2011)

Research Papers
1. Agarwal, J.D., (1989) ,Security Analysis & Portfolio Management: A Review:, Finance
India ,Vol. III,No. 1
2. Black,F., M.C. Jensen and M.Scholes,(1972), Capital Asset Pricing Model: Some empirical
tests, Studies in the Theory Of Capital Market, Praeger, New York ,pp. 79-121.
3. Black, Fisher(1972), Capital Market Equilibrium with Restricted Borrowing, The Journal
of Business, Vol. 45, No. 3,pp. 444-455
4. Brandt, Michael W. and Pedro Santa Clara, (2006), Dynamic Portfolio Selection by
Augmenting the Asset Space, the Journal of Finance ,Vol. LXI, No. 5,pp. 2187-2217
5. Corporate Finance & Portfolio Management, CFA programme Curriculum Volume 4 2011.
6. Dash, Ranjan K. and Sumanjeet,(2008,Explaining the cross section of Expected Stock
Returns: An application of Fama and French model for India , Finance India, Vol. XXII, No.
3, 2008, pp. 923-935
7. Fama,F. and James MacBeth, (1973),Risk, return and equilibrium: Empirical Tests, Journal
Of Finance, Vol. 81,pp. 607-636
8. Fama,F. and R. Kenneth French,(1992),The cross section of expected stock returns, Journal
Of Finance, Vol. 47, pp. 427-466
9. King,B.,(1966),Market and Industry Factors in stock price behavior, Journal of Business,
Vol. 39,pp. 139-190
10. Lintner,John, (1965),Security Prices, Risk and Maximal Gains From Diversification,
Journal Of Finance, Vol. 20, No. 4, pp. 587-615
11. Merton,Robert.An Inter Temporal Capital Asset Pricing Model, Econometrica, Vol.41,
No.5, pp.867-887
12. Portfolios from BSE 500 using CAPM, Journal of Accounting and Finance, April September
2009.
13. Roy,A.D.,(1952), Safety First and the Holding of Assets, Econometrica, Vol. 20,No. 3,pp.
431-449
14. Sauer,A. and A. Murphy, (1992), An Empirical Testing Comparison of Alternative Models
of Capital Asset Pricing in Germany, Journal Of Banking and Finance, Vol. 16, pp.183-196
15. Sharpe, William F. ,(1964) , Capital Asset Prices : A theory of Market Equilibrium under
conditions of Risk, Journal Of Finance, Vol. 19 ,pp. 425-442
40

Websites
1. http://www.mathworks.in/help/toolbox/finance/portstats.html
2. http://bseindia.com/stockinfo/indices_main.aspx
3. http://www.mathworks.in/help/toolbox/finance/cov.html

41