Вы находитесь на странице: 1из 34

Xx = proportion of total portfolio invested in security X

Xy = proportion of total portfolio invested in security Y


Rx = expected return to security X
Ry = expected return to security Y
FORMULAS USED IN MARKOWITZ MODEL
Arithmetic return
ROIAritr = _ Vu
W
Where
V, is the initial investment value and
V

Vf is the final investment value


This return has the following characteristics:
T
ROlk;th = + 1.00 = + 100% when the final value is twice the initial value
ROlAr;th > 0 when the investment is profitable
R
ROIArith < 0 when the investment is at a loss
R
ROIAr;th = - 1.00 = - 100% when investment can no longer be recovered
STANDARD--DEVIATION

a = Square root ((Emean return -expected return)^2/N)

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

single asset class (such as equities). This correlated risk, measured by

Beta, is what actually creates almost all of the risk in a diversified portfolio.
The-formula-for the Beta o f anasset-within a portfolio i s

ov ' ' , , rp )
Var (rte)
Where
ra

measures the rate of return of the asset,

. rp measures the rate of return of the portfolio of which the asset is a part
And Cov (ra, rp) is the covariance between the rates of return.

In the CAPM formulation, the portfolio is the market portfolio that contains all risky
assets, and so the rp terms in the formula are replaced by

rm,

the rate of return of the

market.
The beta movement should be distinguished from the actual returns of the stocks. For
example, a sector may be performing well and may have good prospects, but the fact
that its movement does not correlate well with the broader market index may decrease
its beta. Beta is a measure of risk and not to be confused with the attractiveness of the
investment.

THE SECURITY MARKET LINE


The Security Market Line (SML) is the graphical representation of the Capital Asset
Pricing Model. It displays the expected rate of return- for an overall market as a
function of systematic (non-diversifiable) risk (beta).
The x-axis represents the risk (beta), and the y-axis represents the expected return.
The market risk premium is determined from the slope of the SML.
The securities market line can be regarded as representing a single-factor model of the
asset price, where Beta is exposure to changes in value of the Market. The equation of
the SML is thus:

SML : E(RA) - xf =

f)

f l 1 ( E ( R 1) R .

Asset
return

ki,,c;-tree

ate or
return

Beta

IMPLICATIONS FOR INVESTORS FROM THE MEASUREMENT OF PORTFOLIO


RISK
If the investor conservative and interested in low variability of
portfolio returns from the expected return (actual realizable return
not from expected), he should:
1.Invest his funds in securities with low standard deviations, and
2.Ensure that the securities chosen for his portfolio have
relatively low coefficients of correlation with one another.
Theoretically, if it is possible, he should include some securities
with negative coefficients of correlation with other securities in
the portfolio.

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

ICICI Capital Services Limited, with

ICICI Bank is also

underway.
ICRA has assigned an A1+ rating, indicating highest safety in the short-term,
to the Rs 500 crore certificates of deposit (CD) programme of ICICI Bank Ltd (IBL).
The rating agency said in its report that the rating takes into consideration IBL's
strategic importance to its parent ICICI, IBL's comfortable profitability and capital
adequacy, good control on asset quality.

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

406.05 399.4 361.8

---- Seriesl

100.0
'- -.

>, Q

Q.

a)

? 2 -) -' < (n O z o MONTHS

>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

784.9 771.15 777.25 778.15

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

000 - w 800 597590.2


6005 4 9 . .

604 021.9.5
609.6

697.75 -597590621'6.56504
-.-Seri

616.55

400 =

534

-4891-

N 200 0

1
P

,?,3 4 c 46'7 * ? J peg' MONTHS

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

1200 952.55 55.35


930.45 869.9
897.45.
803.95

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

Jan Feb MEt Apr M oy

,ILr1

Jul Aug Sep Oct Nov' Dec PAM I THIS

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

___865.85_ _5185.95- _0.0073_ -0.0144- - 0.0001-

-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

STATE BANK OF INDIA


The Bank is actively involved since 1973 in non-profit activity called Community

Services Banking. All our branches and administrative offices throughout the country
sponsor and participate in large number of welfare activities and social causes. Our
business is more than banking because we touch the lives of people anywhere in
many ways.
There commitment to nation-building is complete & comprehensive.

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

300 200 100


0

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

1200 - 1000 - 800 - 600 -

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

FEB MAR APR MAY

JUN

61

JUL

AUG SEP OCT NOV DEC

2008

Prev

Open

High

Low

Last

Close

Total
Traded
Quantity

Turnover
in
Lacs

Series

Date

EQ

JAN

2,223.95

2,155.00 2,247.70 2,136.00 2,165.00

2,167.35

1159043

25,347.44

EQ

FEB

2,039.10

2,010.00 2,135.00 1,945.00 2,088.80

2,111.65

2401205

48,660.48

EQ

MAR

1,677.80

1,674.00 1,695.00 1,590.00

1;608.00 1,600.25

1036121

16,712.89

EQ

APR

1,795.55
1461.15

1,799.00 1,821.00 1,730.00 1,781.00


1465.05
1489
1435.35
1445

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