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COVARIANCE
COV (X, ) =1/NEL( Rx- Rx)( RY- Y)
Y
BETA:
The Beta coefficient, in terms of finance and investing, is a measure of a stock (or
portfolio)'s volatility in relation to the rest of the market. Beta is calculated for individual
companies using regression analysis.
The beta coefficient is a key parameter in the capital asset pricing model (CAPM). It
measures the part of the asset's statistical variance that cannot be mitigated by the
diversification provided by the portfolio of many risky assets, because it is correlated
with the return of the other assets that are in the portfolio.
For example, if every stock in the New York Stock Exchange -was uncorrelated with
every other stock, then every stock would have a Beta of zero, and it would be
possible to create a portfolio that was nearly risk free, simply by diversifying it
sufficiently so that the variations in the individual stocks' prices averaged out. In
reality, investments tend to be correlated, more so within an industry, or when
considering
Beta, is what actually creates almost all of the risk in a diversified portfolio.
The-formula-for the Beta o f anasset-within a portfolio i s
ov ' ' , , rp )
Var (rte)
Where
ra
. rp measures the rate of return of the portfolio of which the asset is a part
And Cov (ra, rp) is the covariance between the rates of return.
In the CAPM formulation, the portfolio is the market portfolio that contains all risky
assets, and so the rp terms in the formula are replaced by
rm,
market.
The beta movement should be distinguished from the actual returns of the stocks. For
example, a sector may be performing well and may have good prospects, but the fact
that its movement does not correlate well with the broader market index may decrease
its beta. Beta is a measure of risk and not to be confused with the attractiveness of the
investment.
SML : E(RA) - xf =
f)
f l 1 ( E ( R 1) R .
Asset
return
ki,,c;-tree
ate or
return
Beta
4.
ICICI BANK
Business Profile
ICICI Bank was promoted in 1994 by ICICI Ltd., an Indian development financial
instituition. The two entities subsequently merged to become the largest comercial
bank in the private sector.
A new generation bank, ICICI Bank started with all the latest technologies to hit
the Indian banking industry in the second half of the ninties. All its branches are fully
computerised with the state-of-the-art technology and systems, networked through
VSAT technology. The bank is connected to the SWIFT International network.
- In 2005, it expanded its network to 562 branches and 1,910 ATMs. It continued to
expand its electronic channels, namely internet banking, mobile banking, call centres
and ATMs, and migrate customer transaction volumes to these channels. Over 70% of
customer induced transactions take place through these electronic channels.
It has acquired a small Russian banking entity, Investitsionno-Kreditny Bank
(IKB), which will help boost its corporate business and deposit franchise overseas. The
bank has also built several strategic alliances with banks like Wells Fargo in USA,
Lloyds TSB in UK and DBS in Singapore.
ICICI has entered into strategic alliance with Prudential plc. of UK for its mutual
find buisness. The duo have been fairly aggressive through their companies,
Prudential ICICI Asset Management Company Limited and Prudential ICICI Trust
Limited.
The bank is also keen to offer its services to the Indian agricultural sector. Over
2,000 Internet kiosks and 70 agri-desks have been established in locations with large
agricultural markets.
ii
Recent Developments
ICICI Bank launched 'Mutual Fund Sweep Account' - an automatic sweeping
facility which allows current account holders to park their short-term surpluses into
liquid mutual funds and earn higher returns. Initially, ICICI Bank current account
customers will have the facility to invest their account surpluses in the liquid fund
schemes of Prudential ICICI Asset Management Company and GIC Mutual Fund.
The bank is in the process of the reverse merger of ICICI with ICICI Bank.
The merger of two wholly-owned subsidiaries of ICICI, ICICI Personal Financial
Services Limited and
underway.
ICRA has assigned an A1+ rating, indicating highest safety in the short-term,
to the Rs 500 crore certificates of deposit (CD) programme of ICICI Bank Ltd (IBL).
The rating agency said in its report that the rating takes into consideration IBL's
strategic importance to its parent ICICI, IBL's comfortable profitability and capital
adequacy, good control on asset quality.
47
2004
Open
Series Date
High
Low
Last
EQ
Jan
297.9
305.5
297
EQ
Feb
295
303
280
297
EQ
Mar
273.7
283.05
271.1
281.35
EQ
Apr
298.7
302.95
296.5
EQ
May
314.5
319.3
310.5
EQ
Jun
229
239.5
229
EQ
Jul
245.6
248.8
242.1
247.95
EQ
Aug
267
277
267
EQ
Sep
273
273
EQ
Oct
289
EQ
Nov
EQ
Dec
Close
301.8 302.75
Total Traded
Quantity
Turnover in
Lacs
1475607
4463.332617
295.3
2199927
6450.500538
281.7
1446826
4009.055571
301.55 300.95
1287142
3854.740634
314.8
2427306
7634.389072
238.8 236.75
645001
1525.128864
247.8
1708651
4209.053305
275.65
275.9
1158676
3166.630872
268.1
270.5
270.9
382950
1037.416655
294
287.5
290.1
289.3
770631
2236.878429
299.1
300.8
295.6
296.25
296.3
336132
998.595491
340.1
342.8
334
339 339.75
836789
2840.424768
315
IC ICI-2004
ICICI-2004
40.0 350 -302.75
339.75
w 300 -
281.7
14.8
250 ---29-5-3-300-.-95- 36,7
275.9 289.3
270.9
w 200 100-
247.8
Q 150-
--296:3
- - - Close Price
50 0
*}0
0
Quo,
MONTHS
co*Q
*o*
2005
Prev
Open
High
Low
Last
Total Traded
Close
Series
Date
EQ
Jan
371.35
375
375
370.15
373:5
371.35
EQ
Feb
360.9
363
368
358.15
360.5
EQ
Mar
380.9
381.5
382
369.05
EQ
Apr
392.8
393
407.45
EQ
May
359.95
368
EQ
Jun
392.05
EQ
Jul
EQ
Turnover in
Lacs
Quantity
412258
1537.493731
361.8
504522
1826.499843
373.9
372.25
388748
1452.231185
393
407
406.05
922987
3705.56233
373.95
357.55
360.45
360.35
716359
2597.986122
393.95
401
393
401
399.4
278070
1105.869992
425.75
427
429.25
419.2
419.55
421.25
431571
1832.331435
Aug
534.45
532.5
549.9
525
535.8
538.4
EQ
Sep
481.8
482.25
495.25
481.2
484
483.85
521027
2542.511994
EQ
Oct
601.7
604.4
614
587.65
589
593.4
566954
3421.112911
EQ
Nov
498.6
501
510
493.7
496
498.65
EQ
Dec
538.05
540
544.8
537
539
540.55
1459516 7794.022609
122530 614.5857475
799196- 4318.477188
ICICI-2005
700 - 600 Lt.'
593.4
538.4
500400 =
421 5
98.65
483.-85-- --
_371_.35372..-2-360.
300 -
200 -
540.55
---- Seriesl
100.0
'- -.
>, Q
Q.
a)
>U
o a)
2006
Prev
Series Date
Open
High
EQ
Jan
EQ
Feb
58-5.05 587.7
609.25 619.9
EQ
Mar
615.25
600
EQ
Apr
EQ
Low
Last
Total Traded
Quantity
Close
Turnover
in
Lacs
609.9
587.7 593.95
597
10240898 61395.27
619.9
588.6
590.2
871478 5208.205
620
560
614.4 616.55
1160638 7115.239
589.05
599 611.95
592
603.9
May
591.75
600.1 625.85
600.1
EQ
Jun
537.5.
EQ
Jul
487.9
EQ
Aug
553.85
554
554
541.9
EQ
Sep
597.45
594.9
611.9
588.5
609.5
609.6
1711581 10398.98
EQ
Oct
699.6
700
708
691.5
692.1 697.75
760505 5330.941
EQ
Nov
777.15
784.9
936459 7276.903
EQ
Dec
872.45 .
542
604
809778 4889.214
618.7 621.95
1621966 9981.174
551 531.15
499 518.35
883
592
532
534.3
791136 4277.888
485 488.45
489.1
490577 2401.659
550 549.65
636281 3488.624
884.5 865.65:
876 878.15
1236189 10872.02
IC
IC IC!-2006
1000-
878.15 778
604 021.9.5
609.6
697.75 -597590621'6.56504
-.-Seri
616.55
400 =
534
-4891-
N 200 0
1
P
2007
Series
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
Date
Jan
Feb
Mar.
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Prev.
Open
High
Low
Last
Close
Total
Traded
891.5
892 906.5
888 895.25 Price
897.45 Quantity
345636
941.1
951
957 942.35
952.9 952.55 811547
829.5
840 858.5
824
857 855.35 1081867
853.35 820.6 829.7 800.05
805.3 803.95 1829939
865.85
898
898 864.65
866 869.9 2223603
919.15
925 938.8
922.1 927.15 930.45 1233813
955.45 981.5 981.5
945
952 950.2 644010
927.45
920
920
885.1
890
891 4669774
888.4 890.1
911
890.1
910 907.9 2929146
1062.4 1068 1068
1035
1058 1057.8 3191887
1254.05 1270 1318
1240
1298 1298.3 5076881
1178.4 1180 1188 1156.25
1163
1162 3538453
Turnover
3109.8611
7710.4247
9106.0205
14810.493
19376.367
11489.425
6119.6264
41808.275
26456.396
33560.268
65449.378
41222.945
ICICI-2007
1298:3
1400 -
1057
a) 1000 t3
950.2
891-
.8
11.62 Series1
200 - 0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Months
2008
Prey
1169.06 Quantity
5525805
Turnover in
Lacs
64600.06
1079.42 3665904
39570753
769.40
785.02 5048217
39629.35
881
879.60
886.81 4446390
39431.01
778.2
786.55
788.6
787.09 6852195
53932.8
664.8
611.35
635
630.2
626.79 6725234
42153.09
636.1
638
621.15
633
632.02 5333027
33705.611
632.55
644.5
642.65
670.65
671.55 8633379
57977.632
485.9
460.05
517.95 21452818
111113.883
370.55
363
Open
High
Low
Last
Series
Date
EQ
Jan
:rose
11"87.40
1190
EQ
EQ
Feb
Mar
1105.85
835.50
1100 1045.45
848.85
765
769
EQ
902:50
918
872
EQ
Apr
May
796.25
795.25
EQ
Jun
652.15
EQ
Jul
EQ
EQ
Aug
Sep
EQ
Oct
493.3
345.35
EQ
EQ
Nov
350.85
Dec
458.6
1131
1147
Close
1147
1077.65 108850
637.3
671.9
540 535.55
Total Traded
399.5
398.75
384.89 14134982
54403.601
354
It= 340
I C I 316.35
BANK? 2
008
472.8 444
447.6
351.65
348.13 12329653
42923.30
385.02
7.09
632.412
448.1
452.42 7794740
4.13
517.95
11 69.66.
Soo - 250 2 1 0 - ?1 50 100
1079.42
886.81
626.79
384.39
671.55
452.42 52
,ILr1
35264.774
** ",a
Years
2004
2005
It7*Lt1S*:
Mon
Prev
Close
NIFTY
ROR
ROR
X*X
Y*Y
X*Y
R=
XAvg(X)
T=
YAvg(Y)
R"2
P2
0.0448
0.00000
0.00201
Jan
140.5
1154.67
0.0208
(Y)
0.0255
Feb
149.9
1178.72
0.0798
0.0627
0.0064
0.0039
0.00501
0.0970
0.0821
0.00940
0.00673
Mar
149.3
1084.64
0.0430
0.0040
0.0018
0.0000
0.00017
0.0602
0.0153
0.00362
2.4E-04
Apr
133.75
1038
0.0812
0.1163
0.0066
0.0135
0.00944
0.0641
0.0969
0.00410
0.00939
May
121.15
1122.32
0.1336
0.1040
0.0178
0.0108
0.01389
0.1164
0.0847
0.01355
Jun
July
137.95
1272.21
0.0516
0.1218
0.0027
0.0148
0.00628
0.0344
0.1411
0.00119
150.15
1337.86
0.1497
0.0813
0.0224
0.0066
0.01216
0.1325
0.1006
0.01755
0.01012
Aug
159.15
1538.08
0.0469
0.0566
0.0022
0.0032
0.00265
0.0297
0.0759
0.00088
0.00576
Sep
179.7
1610.21
0.0993
0.1144
0.0099
0.0131
0.01135
0.0821
0.1337
0.00674
0.01788
Oct
204.5
1770.08
0.0384
0.1213
0.0015
0.0147
0.00465
0.0212
0.1406
4.5E-04
2.0E-02
Nov
247
1837.98
0.1643
0.1721
0.0270
0.0296
0.02827
0.1471
0.1914
0.02164
0.03664
Dec
250.1
2139.93
0.0362
0.0124
0.0013
0.0002
0.00045
0.0534
0.0317-
0.00285
0.00101
Jan
295.45
2062.42
0.0049
0.1535
2.4E-05
0.0236
0.00075
D.0220
0.1728
0.00048
0.02987
Feb
295.05
2052.4
0.0157
0.0014
0.0002
0.0000
0.00002
0.0328
0.0180
0.00108
0.00032
Mar
270.95
2020.25
0.0138
0.0889
0.0002
0.0079
0.00123
0.0033
0.0696
0.00001
0.00484
Apr
May
296.3
2048.22
0.1709
0.0856
0.0292
0.0073
0.01462
0.1881
0.1049
0.03537
0.01100
315
1698.16
0.0175
0.0594
0.0003
0.0035
0.00104
0.0004
0.0787
0.00000
6.2E-03
Jun
230.4
1727.93
0.0872
0.3672
0.0076
0.1348
0.03202
0.0700
0.3478
0.00491
0.12099
July
244.5
1878.62
0.0018
0.0577
3.4E-06
0.0033
0.00011
0.0153
0.0770
0.00023
5.9E-03
Aug
267.5
1882.09
0.0736
0.0860
0.0054
0.0074
0.00633
0.0564
0.1053
0.00319
0.01109 -
Sep
269.8
2020.62
0.0241
0.0085
0.00058
0.0001
0.00021
0.0070
0.0279
4.9E-05
7.8E-04-
Oct
286.25
2069.39
0.0965
0.0575
0.0093
0.0033
0.00554
0.0793
0.0768
0.00629.
0.00590
Nov
299.05
2268.99
0.0661
0.0428
0.0044
0.0018
0.00283
0.0489
0.0622
0.00239:
0.00386
Dec
339.75
2418.88
0.0104
0.1198
0.00011
0.0144
0.00124
0.0275
0.1391
0.00076
0.01936
53
0.0004
0.00000
0.00053
'
0.00717
0.01992
2006
2007
2008
Jan
371.35 2393.76
0.0226 0.0851
0.0005
Feb
360.9
2447.94
0.0320 0.0290
0.0010
Mar
380.9
2369.69
0.0653
0.0525
Apr
392.8
2214.96
0.0988
0.0303
May
359.95
2433.73
0.0683
Jun
392.05
2599.93
0.0428
July
425.75
2711.24
Aug
534.45
2801.99
Sep
481.8
Oct
601.7
0.0072
0.00193
0.0055
0.1044
0.00003
0.01091
0.0008
0.00093
-0.0491
-0.0096
0.00241
0.00009
0.0043
0.0028
0.00343
-0.0825
0.0719
0.00680
0.0098
0.0009
0.00299
0.0816
0.0496
0.00666
0.00516
0.00246
0.0913
0.0047
0.0083
0.00623
0.0511
-0.0719
0.00261
0.00517
0.0819
0.0018
0.0067
0.00351
0.0256
0.1012
0.00066
0.01025
0.0335
0.0792
0.0011
0.0063
0.00265
0.0163
0.0985
0.0943
0.2034
0.0089
0.0414
0.01917
0.0771
0.2227
0.00595
0.04961
3066.15
0.0881
0.1093
0.0078
0.0119
0.00963
-0.1053
-0.0899
0.01109
0.00809
2795.89
0.1187
0.1993
0.0141
0.0397
0.02366
0.1016
0.2186
0.01031
0.04779
0.03513
2.7E-04 0.00970
Nov
498.6
3127.8
0.0721
0.2068
0.0052
0.0428
Dec
538.05
3353.37
0.0586
0.0733
0.0034
0.0054
0.01491
0.00430
0.0550
0.0414
-0.1874
0.0927
0.00302
0.00172
Jan
585.05
3549.92
0.0252
0.0803
0.0006
0.0065
0.00203
0.0081
0.0997
0.00006
0.00859
0.00994
Feb
609.25
3639.43
0.1070
0.0397
0.0114
0.0016
0.00425
0.0898
0.0591
0.00807
0.00349
Mar
615.25
4028.82
0.0459
0.0098
0.0021
0.0001
0.00045
0.0288
0.0291
0.00083
0.00085
Apr
589.05
4213.88
0.1356
0.0445
0.0184
0.0020
0.00603
-0.1528
-0.0251
0.02335
0.00063
May
591.75
3642.31
0.0218
0.0046
0.00048
0.0000
0.00010
0.0046
0.0239
0.00002
0.00057
Jun
537.5
3721.71
0.0064
0.1009
4.1E-05
0.0102
0.00064
-0.0108
-0.0816
0100012 0.00666
July
487.9
3745.46
0.0876
0.1017
0.0077
0.0103
0.00891
0.0704
-0.0823
0.00496
0.00678
Aug
553.85
4073.55
0.0529
0.1191
0:0028
0.0142
0.00630
0.0357
0.1384
0.00128
0.01916
Sep
597.45
4288.97
0.0437
0.0730
0.0019
0.0053.
0.00319
0.0266
0.0923
0.00071
0.00852
Oct
699.6
4476.5
0.0564
0.1460
0.0032
0.0213
0.00824
0.0393
0.1654
0.00154
0.02734
Nov
777.15
4729.13
0.0062
0.0998
3.8E-05
0.0100
0.00062
-0.0110
0.1191
0.00012
0.01419
Dec
872.45
4758.45
0.0296
0.1092
0.0009
0.0119
0.00324
0.0125
0.1286
Jan
891.5
4899.39
0.0806
0.0214
0.0065
0.0005
0.00172
-0.0977
0.0407
.
1.7E-02
04
0.00955 0.00166
Feb
941.1
4504.73
0.0225
0.0527
0.0005
0.0028
0.00118
0.0053
0.0721
0.00003
0.00519
Mar
829.5
4605.89
0.0713
0.1345
0.0051.
0.0181
0.00960
0.0542
-0.1152
0.00293
0.01327
Apr
853.35
4934.46
0.0510
0.0279
0.0026
0.0008
0.00142
0.0338
0.0473
0.00114
-__May
-0.0002-- -0:00011- =
1.55E-
0.00224
-
-0.0099- -- 0.0338-
-0:00010 -0:00114-
Jun
919.15
5223.82
0.0497
0.0580
0.0025
0.0034
0.00288
0.0325
0.0773
0.00106
6.0E-03
July
955.45
5483.25
0.0131
0.0380
0.0002
0.0014
0.00050
-0.0303
0.0573
0.00092
0.00329
Aug
927.45
5411.29
0.1262
0.0302
0.0159
0.0009
0.00381
0.1090
-0.0108
0.01189
0.00012
Sep
888.4
6094.11
0.1754
0.0440
0.0308
0.0019
0.00771
0.1583
-0.0246
0.02505
0.00061
Oct
1062.4
7163.3
0.0231
0.1638
0.0005
0.0268
0.00379
-0.0403
0.1831
0.00162
0.03354
Nov
1254.05
6997.6
0.0663
0.1528
0.0044
0.0234
0.01013
0.0491
0.1722
0.00241
0.02964
1178.4
7461.48
0.06420
Dec
1.0000
0.0642
1.0000
0.0041
1.0298
1.8159
1.3385
3.2975
1.0298
1.0298
1.259
1.3385
3.29750
0.0172
0.4896
0.0193
29854.3
SUM
AVERAGE
29854.3
0.82536
-1.0172
-0.0448
1.03462
0.00201
1.0126384
1.835249
1.32080
3.36814
1.0126
1.7856
1.32080
3.18849
Beta
Exy
Ex4.
Ey
Ex2
n
Ey2
1
0.825
1.03
1.216
1.339
60
3.298
0.6085
2.
Alpha
Avg(X)
-0.4896
Avg(Y)
P
0.02026
0.906
0.2776
3.
Coef.Correlation
0.045
4.
Coef of
Determination
0.002053
5.
6.
Standard
Devition
SDx
0.1483
SDy
0.2305
Variance
Vx
Vy
0.02199
0.05313
Services Banking. All our branches and administrative offices throughout the country
sponsor and participate in large number of welfare activities and social causes. Our
business is more than banking because we touch the lives of people anywhere in
many ways.
There commitment to nation-building is complete & comprehensive.
2004
Prey
Series
Date
EQ
JAN
EQ
Open
Close
High
Low
Last
Total Traded
Close
Turnover in
Lacs
Quantity
537.55
540.5
568.45
540.1
566.95
564.65
5941630
33075.88938
FEB
598.05
599.9
599.9
557.2
571
567.3
7381059
42362.68498
EQ
MAR
584.5
586.55
602.5
581.1
602
600.25
4005601
23676.23811
EQ
APR
605.85
607.5
621.35
606
616.7
618.3
4242657
26081.50684
EQ
MAY
642.25
635
635.8
605.45
618.5
619.05
4828665
29851.8291
EQ
JUN
465.15
470
482
466.55
468.4
469.3
5008010
23811.40687
EQ
JUL
430.6
434.8
444.35
434
441.9
442.9
6282161
27600.74098
EQ
AUG
442.1
443.1
444.9
436.4
443.1
442.3
2647037
11658.11253
EQ
SEP
442.85
447.5
452
443.15
450.9
450.7
3613238
16209.39575
EQ
OCT
468.1
467.5
481.2
462.7
478
478.85
1911963
9026.838506
EQ
NOV
447.4
448.5
471.5
447.55
471.5
468.65
3287171
15152.45108
EQ
DEC
529.7
530.2
544
520.95
544
541
4569314
24421.57067
SBI 2004
700
600 -
618.3
19.05
60
564.65 567.3
500
541
469.3
450.
400 -
478.85
*
4 8.65
442.9 442.3
2005
Series
Date
Open
Prev
Close
High
Low
Last
Total Traded
Quantity
Close
Turnover in Lacs
Price
EQ
JAN
652
654.5
662.9
650.1
657
655.75
2131452
13998.50891
EQ
FEB
643
640
646
631.2
634
634.05
2467277
15694.57473
EQ
MAR
714.65
711
716.9
692.65
695.5
695.6
5128658
36067.6012
EQ
APR
654.8
655
672.8
652.65
671.8
670.1
2785374
18473.09788
EQ
MAY
584.85
588
592.8
576.05
585.6
589.35
2738218
15989.79179
EQ
JUN
670.45
669.5
674.9
658.1
660.1
660.2
2072014
13802.17176
EQ
JUL
681.9
682
708.9
662.15
705
706.25
4867582
34202.39639
EQ
AUG
800.25
799
804.95
785.1
789.55
789.95
1980985
15663.99636
EQ
SEP
796.3
801
805.5
795.25
799
799.6
1168582
9357.570853
EQ
OCT
938.2
938
953
938
944
945.35
1607862
15210.2526
EQ
NOV
839.1
869.75
869.75
832.1
834.7
838.85
523113
4403.574651
EQ
DEC
896.65
903
915.4
891.25
913.5
913.35
2420620
21869.33291
S BI-2005
945.35
1000 - 900 -
655.75
634.05
800= 700 - 600 - 500 - 400 - 300 - 200 -
200
0
----78
706.25
695.6
660.2
670.1
589.35
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
20
95-799.6
838.85
913.35
2006
Prev
High
Price
Open
Low Price
Last
a
Total Traded Quantity
Close
Turnover in
Lacs
Series
Date
EQ
JAN
908.15
912.5
917.75
902.15
903.5
904.9
2004095
18237.452
EQ
FEB
886.35
889
891.5
866
868.6
869.25
2223458
19522.791
EQ
MAR
877.5
878.1
888.05
873.2
880.15
881.2
1546930
13613.003
EQ
APR
968.5
970
990
964
988.9
983.35
1059091
10339.821
EQ
MAY
937.65
940
971
935.15
956
961.7
2610414
24914.285
EQ
JUN
832.65
840
846.15
814.1
817
818.75
1444939
12005.743
EQ
JUL
727.75
735
746.5
730.05
741.55
742.6
1418037
10441.331
EQ
AUG
810.25
802
819
794.4
818
811.75
1982509
15930.42
EQ
SEP
931.25
932
935.7
925.1
931.4
931.25
887349
8266.71
EQ
OCT
1028.65
1029
1037.8
1023.1
1030.1
1033.35
874932
9024.2621
EQ
NOV
1095.65
1256.3
1256.3
1089
1119
1113.8
1035588
11462.727
EQ
DEC
1317.05
1315
1370
1313.15
1366
1362.65
1612467
21785.692
Price
SBI-2006
1600 - 1400 -
1362.65
742.6
400
200
0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
21
2007
Prev
Open
High
Low
Last
Total Traded i
Quantity
Close
Turnover
in
a
Lacs
Series
Date
EQ
JAN
1245.6
1250
1260
1243
1253
1253.55
EQ
FEB
1140.45
1158
1230
1135.7
1203.1
1203
2491197
29698.604
EQ
MAR
1041.85
1042
1061
1016
1051
1055.65
1108823
11522.978
EQ
APR
994.45
979.4
979.4
922.35
937
930.5
1133049
10583.44
EQ
MAY
1353.65
1364
1385
1356
1380
1378.9
1908666
26147.129
EQ
JUN
1525.8
1530
1551
1523.35
1528
1530.75
1746382
26860.939
EQ
JUL
1623.85
1610
1610
1540.2
1550.2
1548.05
2715856
42709.452
EQ
AUG
1600.35
1619
1623
1602.35
1606.1
1606.65
901942
14539.915
EQ
SEP
1945.85
1952
1965
1882.6
1905
1894.6
1919363
36639.177
EQ
OCT
2068.2
2167
2167
2052.5
2073.9
2075.35
2143188
45181.497
EQ
NOV
2302.4
2330
2345.9
2307.9
2324
2324.75
955082
22217.635
EQ
DEC
2302.4
2330
2345.9
2307.9
2324
2324.75
955082
22217.64
408144 5112.3453
SBI2007
2500
2324.75
2324.75
2075.
1894.6
2000
1606.6
1530.75
1500
1253.55
moo
1203
- _ . 1055 6b
1548.05
- --
--
930.5
500..
0
JAN
JUN
61
JUL
2008
Prev
Open
High
Low
Last
Close
Total
Traded
Quantity
Turnover
in
Lacs
Series
Date
EQ
JAN
2,223.95
2,167.35
1159043
25,347.44
EQ
FEB
2,039.10
2,111.65
2401205
48,660.48
EQ
MAR
1,677.80
1;608.00 1,600.25
1036121
16,712.89
EQ
APR
1,795.55
1461.15
1,774.65
1445
839999
867328
14,987.18
12613.70
EQ
MAY
1161.2
1194.95 1194.95
EQ
EQ
EQ
EQ
EQ
EQ
EQ
1101
1107
1111.6
787863
8940.20
1406
1417.25
1885052
26136.91
1403.85
2661636
36957.08
JUN
1387.95
1390
1430.9
1343
1309.35
1336
1409.8
1336
1405.45
1385-
1485
1355
1472
1463.35
2229762
32255.34
1099.55
1149.95
1177
1065.5
1114
1109.7
4293292
48015.33
1088.55
4321864
46965.76
1288.8
2704078
34799.18
JUL
1404.55
AUG
SEP
OCT
1105
1065
1109.9
1055
1291.7
1308
1308
1270
1085.05
NOV
DEC
62
1290
90 50 '0.
91000'0
EL81'0
5L30'0-
81.940'0
1-Z00'0
6EZ00'0
6Z900'0
5624'0
68170'0
E6L0'0
417400'0
20000'0
69000'0
85900'0
50000'0
6400'0
b0-3'Z
461700'0
9120'0
94410'0
00000'0
99000'0
0000'0
01400'0
OZZ00'0. 6617170'0
44000'0
66'89ZZ
6'690Z
Ao
147Z0'0
92.0'0
8400'0
3L80'0
Z9'OZOZ
607884
Z9'8L8L
E6'LZLL
des
611Z'0- 50'649
51.40'0
94'8694
Aa
6014'0
ZZ'8170Z
Jdy
17000'0
7Zb00'0
Z5890'0
48000'0
LE90'0
9Z0'0-
4884'0-
LZ000'0
00000'0
LZ6Z0'0
ZL00'0
10000'0
80400'0
Z900'0
ZEE0'0
800'08ZE0'0-
27000'0
46000'0
06000'0
LEE00'0
61.000'0
52000'0
L0E0'0 52'009
1850'0 '195
840'0
L91.0'0
5Z'0ZOZ
17'Z50Z
*eW
ga
d
170-38'17
ZOZO'0-
03Z0'0-
50-37-
90-3Z'Z
90-317'Z
1700'0 591795
61700'0
Z17'Z90Z
Ue
0800'0
58200'0
551.1-'0
750'0-
9ZL00'0
17 40170'0
LE 100'0
1700Z'O 17'0117
Z90'0
6'6LZ
oad
EE400'0
179 120'0
1790'0-
LLbL'0
06400'0
4000'0
66920'0
9410'0- 6'5117
E179L'0
86'LE81-
Ao
81400'0
50000'0
817000'0
517000'0
17L900'0
88000'0
ZZbO'0
Z4Z0'0
LZ80'0
L6 Z0'0
L5Z00'0
6L400'0
0ZZ00'0
6171700'0
EE000'0
64200'0
117400'0
98600'0
-OZZOO'O
0L90'0
91717
0810'0 1'817
89170'0 5'8417
1780'0
E660'0
69170'0
80'0114
2 ' 0 L91.
80'854
PO
8900'00ZZ0'0
08700'0
61900'0
5511.0'0
64400'0
E690'0
17280'0
521'0
17170'0
601740'0
9900'0
98800'0
05440'0
017ZZ0'0
99200'0
14760'0 5'Z8E
ELOL'0 5b'9bE
L614'0
9150'0
98'11
L3'ZLZ4
A n
580170'0
20000'0
86900'0
5510'0
041700'0
Z9E00'0
1Z0Z'0
9700'0
17914'0
11790'0
5880'0-
Z090'0-
4E0E0'0
6Z00'0
Z5Z00'0
49490'0
L8000'0
171700'0
178140'0
09900'0
58400'0
0LZ3'0 55'482
17630'0 5'ELZ
L890'0- 55'062
984'0
2480'0
0E170'0
ZE'ZZ11
8E01179'17801
55000'0
07600'0
5EZ0'0-
OL60'0-
44000'0
00000'0
54'06Z
8610'0
ZL'8LL1
d ad
60000'0
Zvi
40000'0
Zv8
Z900'0(A)6AV
-A=1
L00'0
117000'0
A.X
6000'0
A*A
L610'0
55'b8Z
(A)21021 33121d
8020'0
(X)
21021
19'17511
MA IN
Ua
(X)
-X=21
49100.0
4990'0
5960'0
8992'0-
6Ay
9400'0
oaa
90-39'Z461700'0
170-34'17
85000'0
217500'0
90-317'2
88'8117Z
540'0001070
6500'0Z9Z0'04480'0-
06E00'0
9000'0
00000'0
17040'0
0L00'0
17950'0
Z970'0
91700'0
0600'0
4175
0Z0L0'0
9=0'0
- 45400'0
017400'0
E8EZ0'0
517000'0
LZ4Z'0
71751'0 59'8917
EZ0'0- 58'8117.
5290'0
0640'0
17400'0E950'0-
1900'0 17 L0070
17000'0
X*X
L'09b
E'31717
6'Z17b
E'6917
'849
t L*f
N
PO
6ny
A n
if
Unf
W
9002
des
6ny
If
Unf
Ae
W
aa
17002
Si BOA
y;UOW
p *1
:
2006
2007
2008
Jan
2393.76
0.0226
655.75
0.0331
0.00051
0.00110
-0.00075
0.0055
-0.0579
0.00003
0.00336
Feb
2447.94
-0.0320
634.05
0.0971
0.00102
0.00942
-0.00310
-0.0491
0.0722
0.00241
0.00522
Mar
2369.69
-0.0653
695.6
0.0367
0.00426
0.00134
0.00239
-0.0825
-0.0615
0.00680
0.00378
Apr
2214.96
0.0988
670.1
0.1205
0.00976
0.01452
-0.01190
0.02113
.2433.73
0.0683
589.35
0.1202
0.00466
0.01445
0:00821
0.0816
0.0511
0.00666
May
0.0954
0.00261
0.00909
Jun
2599.93
0.0428
660.2
0.0698
0.00183
0.00487
0.00299
0.0256
0.0449
0.00066
0.00202
July
2711.24
0.0335
706.25
0.1185
0.00112
0.01405
0.00397
0.0163
0.0937
0.00027
0.00877
Aug
2801.99
0.0943
789.95
0.0122
0.00889
0.00015
0.00115
0.0771
-0.0126
0.00595
0.00016
Sep
3066.15
-0.0881
799.6
0.1823
0.00777
0.03323
-0.01607
-0.1053
0.1574
0.01109
0.02478
Oct
2795.89
0.1187
945.35
0.1127
0.01409
0.01269
-0.01337
0.01031
0.01891
3127.8
0.0721
838.85
0.0888
0.00520
0.00789
0.00640
0.1016
0.0550
-0.1375
Nov
0.0640
0.00302
0.00409
Dec
3353.37
0.0586
913.35
0.0093
0.00344
0.00009
-0.00054
0.0414
-0.0341
0.00172
0.00116
Jan
3549.92
0.0252
904.9
0.0394
0.00064
0.00155
-0.00099
0.0081
-0.0642
0.00006
0.00413
Feb
3639.43
0.1070
869.25
0.01145
0.00019
0.00147
0.0898
-0.0111
0.00807
0.00012
Mar
4028.82
0.0459
881.2
0.0137
0.1159
0.00211
0.01344
0.00532
0.0288
0.0911
0.00083
0.00829
Apr
4213.88
-0.1356
983.35
0.0220
0.01840
0.00048
0.00299
-0.1528
-0.0469
0.02335
0.00220
May
3642.31
0.0218
961.7
0.1486
0.00048
0.02209
-0.00324
0.0046
-0.1735
0.00002
0.03010
Jun
3721.71
0.0064
818.75
0.0930
4.1E-05
0.00865
-5.9E-04
-0.0108
-0.1179
1.2E-04
0.01389
July
3745.46
0.0876
742.6
0.0931
0.00767
0.00867
0.00816
0.0704
0.0683 -
0.00496
0.00466
Aug
4073.55
0.0529
811.75
0.02167
0.00778
0.0357
0.1224
0.00128
0.01497
4288.97
0.0437
931.25
0.1472
0.1096
0.00280
Sep
0.00191
0.01202
0.00479
0.0266
0.0848
0.00071
0.00719
Oct
4476.5
0.0564
1033.35
0.0779
0.00318
0.00606
0.00439
0.0393
0.0530
0.00154
0.00281
Nov
4729.13
0.0062
1113.8
0.2234
3.8E-05
5.0E-02
1.4E-03
-0.0110
0:1986
1.2E-04
3.9E-02
Dec
4758.45
0.0296
1362.65
0.0801
0.00088
0.00641
-0.00237
0.0125
-0.1049
0.00016
0.01101
Jan
4899.39
-0.0806
1253.55
0.0403
0.00649
0.00163
0.00325
-0.0977
-0.0652
0.00955
0.00425
Feb
4504.73
0.0225
1203
0.1225
0.00050
0.01500
-0.00275
0.0053
-0.1473
0.00003
0.02171
Mar
4605.89
0.0713
1055.65
0.1186
0.00509
0.01405
-0.00846
0.0542
-0.1434
0.00293
0.02056.
Apr
4934.46
0.0510
0.00260
0.23222
0.02456
0.0338
0.4570
0.00114
0.20888
5185.95
0.0073
930.5
1378.9
0.4819
May
0.1101
5.3E-05
1.2E-02
8.0E-04
-0.0099
0.0853
9.7E-05
7.3E-03
Jun
5223.82
0.0497
1530.75
0.0113
0.00247
0.00013
0.00056
0.0325
-0.0136
0.00106
0.00018
July
5483.25
-0.0131
0.0379
0.00017
0.00143
-0.00050
-0.0303
0.0130
0.00092
0.00017
5411.29
0.1262
1548.05
1606.65
0.1792
0.01592
0.03212
0.02262
0.1090
0.1544
0.01189
0.02383
Aug
Sep
-0.1454
6094.11
0.1754
0.03078
0.00910
0.01674
0.1583
0.0706
0.02505
0.00498
-0.0231
1894.6
2075.35
0.0954
7163.3
0.1202
0.00054
0.01444
-0.00278
-0.0403
0.0953
0.00162
0.00909
Nov
6997.6
0.0663
2324.75
0.0000
0.00439
0.00000
0.00000
0.0491
-0.0249
0.00241
0.00062
Dec
7461.48
-1.0000
2324.75
1.0000
1.00000
1.00000
1.00000
-1.0172
-1.0249
1.03462
1.05032
1.4911
1.33849
2.223455
1.11404
0.0000
1.466273324
1.0298
1.4911
1.3385
2.2235
1.1140
0.0000
1.4422
0.00000
0.30697
2.14996
2.08004
0.0172
0.0249
Oct
SUM
AVERAGE
1.32082
1.82353
64
1.
Beta
Exy
Ex
Ey
Ex2
N
Ey2
1.114
1.0298
1.4911
1.3385
60
2.2235
0.824
Alpha
Avg(X) Avg(Y) 0.0172 0.0249
3.
CoefBCorrelation0.824
4.
0.64047
Coef ofDetermination
0.4102
0.0107272
5.
S tan d ard
Devition
SDx
SDy
0.07152
0.18619
Variance
Vx
Vy
0. 005115
0.03466
BETA VALUES
CONCLUSION
4.
4
Average rate of return of the 2 different companies are lesser than that of its
market returns. So, the returns are better than the market returns.
m
Since standard deviation of SBI equity and ICICI equity is less than its
market, the risk is likely less compared to that of market.
m
Lower the beta and higher the funds performance is the better equity for
investment. One might expect the best performance by funds with low
diversification because they apparently are attempting to beat the market by
being unique in their selection or timing.
b
Since Beta (0.6085) of ICICI Bank is less than that of markets beta , the fund
reacts less than the market reaction. Also beta indicates that the funds
returns would increase or decease by 0.6% for every 1 % increase or
decrease in the market returns. This also means that the mutual fund
fluctuates 4% lless than the market index.
Considering only the rate of return, all the equities outperformed the market.
REFERENCES
W
WEBSITES
www.nseindia.com
www.google.co.in
www.wikipedia .com
www.investopedia .com
B
BOOKS
Donald D
D.Fischer--Security Analysis and Portfolio Management
Prasanna Chandra -- Investment Analysis and Portfolio Management
34