equity and portfolio management (2)

8/7/2019 EQUITY AND PORTFOLIO MANAGEMENT (2)

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to netA PROJECT REPORT

ON

EQUITIES AND PORTFOLIO MANAGEMENT

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

MASTER OF BUSINESS ADMINISTRATION

BY

A.INDU

ROLL NO: 0640-60-121

Under the guidance of

Mr.Mahender

BHAVANS VIVEKANANDA COLLEGE

Sainikpuri, Secunderabad

(AFFILAITED TO OSMANIA UNIVERSITY)

2006-2008

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DECLARATION

I hereby declare that this Project Report titled EQUITIES AND

PORTFOLIO MANAGEMENT submitted by me to the Department of Business

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

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

degree diploma / certificate or published any time before.

Name of the Student Signature of the Student

INDU

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ACKNOWLEDGMENT

It plunge me in exhilaration in taking privilege in expressing our heart felt

gratitude to all those who helped, encouraged and foreseeing successful completion of

my project. Ecstasy to work under gregarious guidance of Mr. M.S.MAHENDRA, to

whom extremely in debited for her valuable and timely suggestions.

I convey my sincere thanks to Prof.ANAND REDDYBAVANS VIVEKANANDA

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

assistance in finishing out this project.

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I INTRODUCTION1

NEED & SCOPE 2

OBJECTIVES 2

METHODOLGY 3

LIMITATIONS 4

SOURCE 4

TOOLS AND TECHNIQUES 4

IILITERATURE REVIEW

6

INTRODUCTION TO INVESTMENT 7

EQUITY SHARES 9

PORTFOLIO 10

RISK 11

PHASES OF PORTFOLIO MANAGEMENT 12

III COMPANY PROFILE

14

IV ANALYSIS AND INFERENCE18

MODELS 19

BETA 22

ICICI BANK 25

ANALYSIS FROM 2003-2007 27-31

CALCULATION OF BETA 34

SBI BANK 35

ANALYSIS FROM 2003-2007 36-40

CALCULATION OF BETA 43

BETA COMPARISION 44

V CONCLUSIONS & SUGGESTIONS46

BIBLIOGRAPHY

47

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NEED FOR THE STUDY:

The purpose of the study is to know the fluctuations in the share price of

sample companies.

The purpose of the study is to help the unknown investors for investing in

securities.

To update the portfolio reviewed and adjusted from time to time in tune with

market condition.

To analyse the risk and return on securities.

To test portfolio strategies before taking decisions.

OBJECTIVES OF THE STUDY

The objectives of Equities and investment /portfolio management can be categorised as

follows:

To observe the rate of fluctuations of selected companies.

The amount of risk involved in the securities of the sample companies.

To make comparative study of risk and return of the sample companies.

SCOPE OF THE STUDY

The study covers all the information related to the Equity fund and the Portfolio

management it also covers the investor risk in the investment in various securities.

Identification of the investors objectives, constraints and preferences.

Strategies are to be developed and implemented in tune with investment policy

formulated.

To reduce the future risk in advance.

To earn maximum profit in the securities.

Review and monitoring of the performance of the portfolio.

Finally the evaluation of the portfolio.

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METHODOLOGY OF THE STUDY

Primary Data:

The data provided by the firm was been analyzes by using Markowitz model

determines an efficient asset of portfolio return i.e.,1. Return

2. Standard deviation

3. Coefficient of correlation

Secondary Data:

The data that is used in this project is of secondary nature. The data is to

be collected from secondary sources such as various websites, journals, newspapers,

books, etc., the analysis used in this project has been done using selective technical tools.

In Equity market, risk is analyzed and trading decisions are taken on basis of technical

analysis.It is collecting share prices of selected companies for a period of five years.

PERIOD OF THE STUDY:

The study of Equity value and portfolio management for a period of five years

(2003-2007).

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LIMITATIONS:

The companies are selected on the basis of the performance

Expand or contract the size of the portfolio reflect the changes in investor risk

disposition.

SOURCE :

NCE, The standards set by NSE in terms of market practices and technologies have

become industry benchmarks and are being emulated by other market participants. NSE

is more than a mere market facilitator. It's that force which is guiding the industry

towards new horizons and greater opportunities.

TOOLS & TECHNIQUES:

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

companys funds.

1. Rate of Return (ROR)

N2-N1ROR =

N1

Where, N1 is Close period at period1

N2 is Close period at period

2. Standard Deviation (SD) [R-AVG(R)]

SD =

N

Where, R is rate of return

N is total number of months

3. Betan xy x * y

Beta =n x2 (x)2

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4. Alpha

Alpha = Avg (y) (beta*Avg (x))

5. Coefficient of Correlation

n xy x * y

Coefficient of Correlation =

[(n y2 (y) 2) (n x2 (x) 2)]

6. Coefficient of Correlation

Coefficient of determination = (Coefficient of Correlation) 2

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INTRODUCTION TO INVESTMENT

Investment may be defined as an activity that commits funds in any financial

form in the present with an expectation of receiving additional return in the

future. The expectations bring with it a probability that the quantum of

return may vary from a minimum to a maximum. This possibility of

variation in the actual return is known as investment risk. Thus every

investment involves a return and risk.

Investment is an activity that is undertaken by those who have

savings. Savings can be defined as the excess of income over expenditure.An investor earns/expects to earn additional monetary value from the mode

of investment that could be in the form of financial assets.

The three important characteristics of any financial asset are:

Return-the potential return possible from an asset.

Risk-the variability in returns of the asset form the chances of its

value going down/up.

Liquidity-the ease with which an asset can be converted into cash.

Investors tend to look at these three characteristics while deciding on

their individual preference pattern of investments. Each financial asset will

have a certain level of each of these characteristics.

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Investment avenues

There are a large number of investment avenues for savers in India.

Some of them are marketable and liquid, while others are non-marketable.

Some of them are highly risky while some others are almost risk less.

Investment avenues can be broadly categorized under the following heads:

Corporate securities

Equity shares.

Preference shares.

Debentures/Bonds.

Derivatives.

Others.

Corporate Securities

Joint stock companies in the private sector issue corporate securities. These

include equity shares, preference shares, and debentures. Equity shares havevariable dividend and hence belong to the high risk-high return category;

preference shares and debentures have fixed returns with lower risk.

The classification of corporate securities that can be chosen as investment

avenues can be depicted as shown below:

12

Equity

Shares

Preference

shares

Bonds Warrants Derivatives


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Equity shares

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

the company. When the company makes profits, shareholders receive their

share of the profits in the form of dividends. In addition, when company

performs well and the future expectation from the company is very high, theprice of the companys shares goes up in the market. This allows

shareholders to sell shares at a profit, leading to capital gains.

Investors can invest in shares either through primary market offerings

or in the secondary market.

The primary market has shown abnormal returns to investors who

subscribed for the public issue and were allotted shares.

Stock Exchange :

In a stock exchange a person who wishes to sell his security is called a

seller, and a person who is willing to buy the particular stock is called as the

buyer. The rate of stock depends on the simple law of demand and supply. If

the demand of shares of company x is greater than its supply then its price of

its security increases.

In Online Exchange the trading is done on a computer network. The

sellers and buyers log on to the network and propose their bids. The system

is designed in such ways that at any given instance, the buyers/sellers are

bidding at the best prices.

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The transaction cycle for purchasing and selling shares online is

depicted below:

PORTFOLIO

A portfolio is an appropriate mix of or collection of investments held by an institution or

a private individual. It is a collection of securities, since it is rarely desirable to invest the

entire funds of an individual or an institution in a single security.

Portfolio analysis considers the determination of future risk and return in holding

various blends of individual securities.

Portfolio expected return is a weighted average of the expected return of

individual securities but portfolio variance, in short contrast, can be something

less than a weighted average of security variances.

14

Client

Member/

Broking

firm. Stock Exchange

(BSE / NSE)

Member/

Broking

firm.

Client

Transa

ction Cycle


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As a result an investor can sometimes reduce portfolio risk by adding security

with greater individual risk than any other security in the portfolio. This is

because risk depends greatly on the co-variance among return of individual

securities.

Since portfolios expected return is a weighted average of the expected return of its

securities, the contribution of each security to the portfolios expected returns

depends on its expected returns and its proportionate share of the initial

portfolios market value.

RISK

Risk is a concept that denotes a potential negative impact to an asset or some

characteristic of value that may arise from some present process or future event. In

everyday usage, risk is often used synonymously with the probability of a known loss.

Risk is uncertaintyof the income / capital appreciation or loss of the both.

The total risk of an individual security comprises two components, the market related risk

called systematic risk also known as undiversifiable risk and the unique risk of that

particular security called unsystematic riskor diversifiable risk.

Types of risk

Systematic risk (market) Unsystematic risk (company risk)

Examples:

Interest rate risk

Market risk

Inflation risk

Demand

Government policy

International factors

Examples:

Labor troubles

Liquidity problems

Raw materials risks

Financial risks

Management problems

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http://en.wikipedia.org/wiki/Concepthttp://en.wikipedia.org/wiki/Assethttp://en.wikipedia.org/wiki/Value_(economics)http://en.wikipedia.org/wiki/Process_(general)http://en.wikipedia.org/wiki/Event_(probability_theory)http://en.wikipedia.org/wiki/Probabilityhttp://en.wikipedia.org/wiki/Concepthttp://en.wikipedia.org/wiki/Assethttp://en.wikipedia.org/wiki/Value_(economics)http://en.wikipedia.org/wiki/Process_(general)http://en.wikipedia.org/wiki/Event_(probability_theory)http://en.wikipedia.org/wiki/Probability


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PHASES OF PORTFOLIO MANAGEMENT

Five phases can be identified in this process:

Security analysis

Portfolio analysis

Portfolio selection

Portfolio revision

Portfolio evaluation

SECURITY ANALYSIS

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

security. Security Analysis stands for the proposition that a well-disciplined

investor can determine a rough value for a company from all of its financial

statements, make purchases when the market inevitably under-prices

some of them, earn a satisfactory return, and never be in real danger ofpermanent loss.

PORTFOLIO ANALYSIS

Analysis phase of portfolio management consists of identifying the range of

possible portfolios that can be constituted from a given set of securities

and calculating their return and risk for further analysis.

PORTFOLIO SELECTION

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

the highest returns at a given level of risk. A portfolio having this

characteristic is known as an efficient portfolio. The inputs from portfolio

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analysis can be used to identify the set of efficient portfolios. From this set

of efficient portfolios, the optimal portfolio has to be selected for

investment. Harry Markowitz portfolio theory provides both the conceptual

framework and analytical tools for determining the optimal portfolio in a

disciplined and objective way.

PORTFOLIO REVISION

Having constructed the optimal portfolio, the investor has to constantly monitor

the portfolio to ensure that it continues to be optimal. Portfolio revision is

as important as portfolio analysis and selection.

PORTFOLIO EVALUATION

It is the process, which is concerned with assessing the performance of the

portfolio over a selected period of time in terms of returns and risk. This

involves quantitative measurement of actual return realized and the risk

born by the portfolio over the period of investment. It provides a feedback

mechanism for improving the entire portfolio management process.

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ICICI Securities Limited

ICICI Securities Ltd is a premier Indian Investment Bank, with a dominant position in its

core segments of its operations - Corporate Finance including Equity Capital Markets

Advisory Services, Institutional Equities, Retail and Financial Product Distribution.

ICICI Securities Limited assists global institutional investors to make the right decisions

through insightful research coverage and a client focused Sales and Dealing team.

ICICI Securities has the largest reach to the retail segment through its two pioneering bra

Winning is a habit that is assiduously cultivated at ICICI Securities Limited (I-Sec). Be it

deals, mandates or awards, we manage them all in our quite and efficient way.

For us winning awards is a matter of pride and honour. Each new award is a

manifestation of our hard work and commitment to our clients

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Since inception, I-Sec's expertise has been time and again widely recognized by both

domestic and international agencies.

I-Sec PD has been recognized as the Best Domestic Bond House in India by Asiamoney

for 2002, 2003, 2004, 2005 and 2007. I-Sec PD has been awarded the prestigious Best

Bond House by Financeasia.com for the years - 2001, nds ICICIdirect.com and

ICICIdirect2004, 2005, 2006 and 2007. These awards are a strong testimony of our

capabilities and continuing dominant position in the market. The equities team was

adjudged the Best Indian Brokerage House-2003 by Asiamoney. The Corporate Finance

group also was awarded a runner-up Best Merchant Banker by Outlook Money in 2007.

ICICI Securities (I-Sec) topped the Prime Database League Tables 2007 for money raised

through IPOs/FPOs.

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

none, we have a formidable reputation within the industry. Today ICICI Securities is

among the leading Financial Institutions both on the institutional as well as retail side.

The Corporate Finance team regularly ranks highest among the leading capital markets

league tables and recently topped the Prime Database League tables for funds mobilized

through equity instruments in the first half of CY 07.

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

ICICI Securities Inc., the step-down wholly owned US subsidiary of the company is a

member of the National Association of Securities Dealers, Inc. (NASD). As a result of

this membership, ICICI Securities Inc. can engage in permitted activities in the U.S.

securities markets. These activities include Dealing in Securities and Corporate Advisory

Services in the United States and providing research and investment advice to US

investors.

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ICICI Securities Inc. is also registered with the Financial Services Authority, UK (FSA)

and the Monetary Authority of Singapore (MAS) to carry out Corporate Advisory

Services and Dealing in Securities.

ICICI Securities Indias Leading Investment Bank

A subsidiary of ICICI Bank - the largest and most recognized private bank in India

ICICI Securities Ltd is premier Indian Investment Bank, with a dominant position in its

core segments of its operations - Corporate Finance including Equity Capital Markets

Advisory Services, Institutional Equities, Retail and Financial Product Distribution With

a full-service portfolio, a roster of blue-chip clients and performance second to none, we

have a formidable reputation within the industry. I

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I

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MODELS

Some of the financial models used in the process of Valuation, stock selection, and

management of portfolios include:

Maximizing return, given an acceptable level of risk.

Modern portfolio theorya model proposed by Harry Markowitz among others.

The single-index model of portfolio variance.

Capital asset pricing model.

Arbitrage pricing theory.

The Jensen Index.

The TreynorIndex.

The Sharpe Diagonal (or Index) model.

Value at riskmodel.

MARKOWITZ: PORTFOLIO SELECTION MODEL

The basic portfolio model, developed by Harry Markowitz, derived the expected rate ofreturn for a portfolio of assets and an expected risk measure. Markowitz showed that the

variance of the rate of return was meaning full measure of risk under a reasonable set of

assumptions and derives the formulas for computing the variance of the portfolio. This

portfolio variance formulation indicated the importance of diversification for reducing

risk, and showed how to properly diversify.

PARAMETERS OF MARKOWITZ:THE MEAN VARIANCE CRITERION

Based on his research, for building up the efficient set of portfolio, as laid down by

Markowitz, we need to look into these important parameters.

1. Expected return

2. Variability of returns as measured by standard deviation from the mean.

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

ASSUMPTIONS OF MARKOWWITZ MODEL:

1. Investors consider each investment alternative as being represented by aprobability distribution of expected returns over some holding period.

2. Investors maximize one period expected utility and possess utility curves that

demonstrate diminishing marginal utility of wealth.

3. Individuals estimate risk on the basis of the variability of expected returns.

4. Investors base decisions solely on expected return and risk; i.e, their utility curves

are a function of expected return and variance (or standard deviation) of returns

only.

5. For a given risk level, investors prefer higher returns to lower returns. Similarly,

for a given level of expected return, investors prefer less risk to more risk.

EXPECTED RISK CALCULATION:

PORTFOLIORISK = SQRT [((XX2*SDX

2)+(XY2*SDY

2)+(2*XX*XY*(rXY*SDX2*SDY

2)))]

WHERE

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

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

rxy = correlation coefficient of x & y

EXPECTED RETURN OF A PORTFOLIO CALCULATION:

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

WHERE

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XX= proportion of total portfolio invested in security X

XY= proportion of total portfolio invested in security Y

RX= expected return to securityX

RY = expected return to security Y

FORMULAS USED IN MARKOWITZ MODEL

Arithmetic return

Where

Vi is the initial investment value and

Vf is the final investment value

This return has the following characteristics:

ROIArith = + 1.00 = + 100% when the final value is twice the initial value

ROIArith > 0 when the investment is profitable

ROIArith < 0 when the investment is at a loss

ROIArith = 1.00 = 100% when investment can no longer be recovered

STANDARD DEVIATION

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

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COVARIANCE

COV (X, Y)=1/N[(RX-RX)(RY-RY)

BETA:

The Beta coefficient, in terms of finance and investing, is a measure of a stock (or

portfolio)s volatility in relation to the rest of the market. Beta is calculated for individual

companies using regression analysis.

The beta coefficient is a key parameter in the capital asset pricing model (CAPM). It

measures the part of the asset's statistical variance that cannot be mitigated by the

diversification provided by the portfolio of many risky assets, because it is correlated

with the return of the other assets that are in the portfolio.

For example, if every stock in the New York Stock Exchange was uncorrelated with

every other stock, then every stock would have a Beta of zero, and it would be possible to

create a portfolio that was nearly risk free, simply by diversifying it sufficiently so that

the variations in the individual stocks' prices averaged out. In reality, investments tend to

be correlated, more so within an industry, or when considering a single asset class (suchas equities). This correlated risk, measured by Beta, is what actually creates almost all of

the risk in a diversified portfolio.

The formula for the Beta of an asset within a portfolio is

Where

ra measures the rate of return of the asset,

rp measures the rate of return of the portfolio of which the asset is a part

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And Cov (ra, rp) is the covariance between the rates of return.

In the CAPM formulation, the portfolio is the market portfolio that contains all risky

assets, and so the rp terms in the formula are replaced by rm, the rate of return of the

market.

The beta movement should be distinguished from the actual returns of the stocks. For

example, a sector may be performing well and may have good prospects, but the fact that

its movement does not correlate well with the broader market index may decrease its

beta. Beta is a measure of risk and not to be confused with the attractiveness of the

investment.

THE SECURITY MARKET LINE

The Security Market Line (SML) is the graphical representation of the Capital Asset

Pricing Model. It displays the expected rate of return for an overall market as a function

of systematic (non-diversifiable) risk (beta).

The x-axis represents the risk (beta), and the y-axis represents the expected return. The

market risk premium is determined from the slope of the SML.

The securities market line can be regarded as representing a single-factor model of the

asset price, where Beta is exposure to changes in value of the Market. The equation of the

SML is thus:

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IMPLICATIONS FOR INVESTORS FROM THE MEASUREMENT OF PORTFOLIO

RISK

If the investor conservative and interested in low variability of portfolio returns from the

expected return (actual realizable return not from expected), he should:

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

2. Ensure that the securities chosen for his portfolio have relatively low coefficients

of correlation with one another.

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

coefficients of correlation with other securities in the portfolio.

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ICICI BANK

Business Profile

ICICI Bank was promoted in 1994 by ICICI Ltd., an Indian

development financial instituition. The two entities subsequently merged to

become the largest comercial bank in the private sector.

A new generation bank, ICICI Bank started with all the latest

technologies to hit the Indian banking industry in the second half of the

ninties. All its branches are fully computerised with the state-of-the-art

technology and systems, networked through VSAT technology. The bank is

connected to the SWIFT International network.

In 2005, it expanded its network to 562 branches and 1,910 ATMs. It

continued to expand its electronic channels, namely internet banking, mobile

banking, call centres and ATMs, and migrate customer transaction volumes

to these channels. Over 70% of customer induced transactions take place

through these electronic channels.

It has acquired a small Russian banking entity, Investitsionno-

Kreditny Bank (IKB), which will help boost its corporate business and

deposit franchise overseas. The bank has also built several strategic alliances

with banks like Wells Fargo in USA, Lloyds TSB in UK and DBS in

Singapore.

ICICI has entered into strategic alliance with Prudential plc. of UK for

its mutual find buisness. The duo have been fairly aggressive through their

companies, Prudential ICICI Asset Management Company Limited and

Prudential ICICI Trust Limited.

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The bank is also keen to offer its services to the Indian agricultural

sector. Over 2,000 Internet kiosks and 70 agri-desks have been established in

locations with large agricultural markets.

Recent Developments

ICICI Bank launched `Mutual Fund Sweep Account` - an automatic

sweeping facility which allows current account holders to park their short-

term surpluses into liquid mutual funds and earn higher returns. Initially,

ICICI Bank current account customers will have the facility to invest their

account surpluses in the liquid fund schemes of Prudential ICICI Asset

Management Company and GIC Mutual Fund.

The bank is in the process of the reverse merger of ICICI with ICICI

Bank. The merger of two wholly-owned subsidiaries of ICICI, ICICI

Personal Financial Services Limited and ICICI Capital Services Limited,

with ICICI Bank is also underway.

ICRA has assigned an A1+ rating, indicating highest safety in the

short-term, to the Rs 500 crore certificates of deposit (CD) programme of

ICICI Bank Ltd (IBL). The rating agency said in its report that the rating

takes into consideration IBL`s strategic importance to its parent ICICI, IBL`s

comfortable profitability and capital adequacy, good control on asset quality.

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ICICI-2004

339

289.3

270.9

275.9

247.8

236.75

314.8

300.95 296.3281.7

295.3

302.75

0

50

100

150

200

250

300

350400

te an eb ar pr ay un Ju

lug ep c

t ov

SHAREVALUE

2004

Series DateOpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice

Total TradedQuantity

Turnover inLacs

EQ Jan 297.9 305.5 297 301.8 302.75 1475607 4463.332617

EQ Feb 295 303 280 297 295.3 2199927 6450.500538

EQ Mar 273.7 283.05 271.1 281.35 281.7 1446826 4009.055571

EQ Apr 298.7 302.95 296.5 301.55 300.95 1287142 3854.740634

EQ May 314.5 319.3 310.5 315 314.8 2427306 7634.389072

EQ Jun 229 239.5 229 238.8 236.75 645001 1525.128864

EQ Jul 245.6 248.8 242.1 247.95 247.8 1708651 4209.053305

EQ Aug 267 277 267 275.65 275.9 1158676 3166.630872

EQ Sep 273 273 268.1 270.5 270.9 382950 1037.416655

EQ Oct 289 294 287.5 290.1 289.3 770631 2236.878429

EQ Nov 299.1 300.8 295.6 296.25 296.3 336132 998.595491

EQ Dec 340.1 342.8 334 339 339.75 836789 2840.424768

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ICICI-2005

540.5

498.65

593.4

483.85

538.4

421.25

399.4

360.35

406.05

372.25

361.8

371.35

0

100

200

300

400

500

600

700

an

eb a

rpr

ay

un

Jul

ug

ep c

tov

ec

SH

AREPRICE

2005

Series Date

Prev

Close

Open

Price

High

Price

Low

Price

Last

Price

Close

Price

Total Traded

Quantity

Turnover in

Lacs

EQ Jan 371.35 375 375 370.15 373.5 371.35 412258 1537.493731

EQ Feb 360.9 363 368 358.15 360.5 361.8 504522 1826.499843

EQ Mar 380.9 381.5 382 369.05 373.9 372.25 388748 1452.231185

EQ Apr 392.8 393 407.45 393 407 406.05 922987 3705.56233

EQ May 359.95 368 373.95 357.55 360.45 360.35 716359 2597.986122

EQ Jun 392.05 393.95 401 393 401 399.4 278070 1105.869992

EQ Jul 425.75 427 429.25 419.2 419.55 421.25 431571 1832.331435

EQ Aug 534.45 532.5 549.9 525 535.8 538.4 1459516 7794.022609

EQ Sep 481.8 482.25 495.25 481.2 484 483.85 521027 2542.511994

EQ Oct 601.7 604.4 614 587.65 589 593.4 566954 3421.112911

EQ Nov 498.6 501 510 493.7 496 498.65 122530 614.5857475

EQ Dec 538.05 540 544.8 537 539 540.55 799196 4318.477188

32


33/56

ICICI-200

878

778.15

697.75609.6

549.65

489.1534.3

621.95604

616.55

590.2

597

0

200

400

600

800

1000

Jan

Feb

Mar

Apr

May

Jun Ju

lAu

gSe

pOc

tNo

vDe

c

S

HAREVALUE

2006

Series DatePrev

CloseOpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice


TurnoverinLacs

EQ Jan 585.05 587.7 609.9 587.7 593.95 597 10240898 61395.27

EQ Feb 609.25 619.9 619.9 588.6 592 590.2 871478 5208.205

EQ Mar 615.25 600 620 560 614.4 616.55 1160638 7115.239

EQ Apr 589.05 599 611.95 592 603.9 604 809778 4889.214

EQ May 591.75 600.1 625.85 600.1 618.7 621.95 1621966 9981.174

EQ Jun 537.5 542 551 531.15 532 534.3 791136 4277.888

EQ Jul 487.9 499 518.35 485 488.45 489.1 490577 2401.659

EQ Aug 553.85 554 554 541.9 550 549.65 636281 3488.624

EQ Sep 597.45 594.9 611.9 588.5 609.5 609.6 1711581 10398.98

EQ Oct 699.6 700 708 691.5 692.1 697.75 760505 5330.941

EQ Nov 777.15 784.9 784.9 771.15 777.25 778.15 936459 7276.903

EQ Dec 872.45 883 884.5 865.65 876 878.15 1236189 10872.02

33


34/56

ICICI-2007

116

1298.3

1057.8

907.9891

950.2930.45

869.9803.95

855.35

952.55

897.45

0

200

400

600

800

1000

1200

1400

SharePrice

2007

Series DatePrev

CloseOpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice


Turnover inLacs

EQ Jan 891.5 892 906.5 888 895.25 897.45 345636 3109.8611

EQ Feb 941.1 951 957 942.35 952.9 952.55 811547 7710.4247

EQ Mar 829.5 840 858.5 824 857 855.35 1081867 9106.0205

EQ Apr 853.35 820.6 829.7 800.05 805.3 803.95 1829939 14810.493

EQ May 865.85 898 898 864.65 866 869.9 2223603 19376.367

EQ Jun 919.15 925 938.8 922.1 927.15 930.45 1233813 11489.425

EQ Jul 955.45 981.5 981.5 945 952 950.2 644010 6119.6264

EQ Aug 927.45 920 920 885.1 890 891 4669774 41808.275

EQ Sep 888.4 890.1 911 890.1 910 907.9 2929146 26456.396

EQ Oct 1062.4 1068 1068 1035 1058 1057.8 3191887 33560.268

EQ Nov 1254.05 1270 1318 1240 1298 1298.3 5076881 65449.378

EQ Dec 1178.4 1180 1188 1156.25 1163 1162 3538453 41222.945

34


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2008

Series DatePrev

CloseOpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice


Turnover inLacs

EQ Jan 1187.40 1190 1131 1147 1147 1169.06 5525805 64600.06

EQ Feb 1105.85 1100 1045.45 1077.65 1088.50 1079.42 3665904 39570.53

EQ Mar 835.50 848.85 765 769 769.40 785.02 5048217 39629.35

EQ Apr 902.50 918 872 881 879.60 886.81 4446390 39431.01

EQ May 796.25 795.25 778.2 786.55 788.6 787.09 6852195 53932.8

EQ Jun 652.15 664.8 611.35 635 630.2 626.79 6725234 42153.09

EQ Jul 636.1 638 621.15 633 637.3 632.02 5333027 33705.611

EQ Aug 632.55 644.5 642.65 670.65 671.9 671.55 8633379 57977.632

EQ Sep 493.3 485.9 460.05 540 535.55 517.95 21452818 111113.883

EQ Oct 345.35 370.55 363 399.5 398.75 384.89 14134982 54403.601

EQ Nov 350.85 340 316.35 354 351.65 348.13 12329653 42923.30

EQ Dec 458.6 472.8 444 447.6 448.1 452.42 7794740 35264.774

35


36/56

Years MonthPrevClose

S&PCNXNIFTY

ROR(X)

ROR(Y) X*X Y*Y X*Y

R=X-

Avg(X)

T=Y-

Avg(Y) R^2 T^2

2003 Jan 140.5 1154.67 0 .0208 0.0255 0.0004 0.00000 0.00053 0.0448 0.00000 0.0020

Feb 149.9 1178.72-

0.0798 0.0627 0.0064 0.0039-

0.00501-

0.0970 0.0821 0.00940 0.0067

Mar 149.3 1084.64-

0.0430-

0.0040 0.0018 0.0000 0.00017-

0.0602 0.0153 0.00362 2.4E-0

Apr 133.75 1038 0.0812-

0.1163 0.0066 0.0135-

0.00944 0.0641-

0.0969 0.00410 0.0093

May 121.15 1122.32 0.1336-

0.1040 0.0178 0.0108-

0.01389 0.1164-

0.0847 0.01355 0.007

Jun 137.95 1272.21 0.0516 0.1218 0.0027 0.0148 0.00628 0.0344 0.1411 0.00119 0.0199

July 150.15 1337.86 0.1497 0.0813 0.0224 0.0066 0.01216 0.1325 0.1006 0.01755 0.0101

Aug 159.15 1538.08 0.0469 0.0566 0.0022 0.0032 0.00265 0.0297 0.0759 0.00088 0.0057

Sep 179.7 1610.21 0.0993 0.1144 0.0099 0.0131 0.01135 0.0821 0.1337 0.00674 0.0178

Oct 204.5 1770.08 0.0384 0.1213 0.0015 0.0147 0.00465 0.0212 0.1406 4.5E-04 2.0E-0

Nov 247 1837.98 0.1643 0.1721 0.0270 0.0296 0.02827 0.1471 0.1914 0.02164 0.0366

Dec 250.1 2139.93-

0.0362 0.0124 0.0013 0.0002-

0.00045-

0.0534 0.0317 0.00285 0.0010

2004 Jan 295.45 2062.42 -0.0049 0.1535 2.4E-05 0.0236 -0.00075 -0.0220 0.1728 0.00048 0.0298

Feb 295.05 2052.4-

0.0157-

0.0014 0.0002 0.0000 0.00002-

0.0328 0.0180 0.00108 0.0003

Mar 270.95 2020.25 0.0138-

0.0889 0.0002 0.0079-

0.00123-

0.0033-

0.0696 0.00001 0.0048

Apr 296.3 2048.22-

0.1709 0.0856 0.0292 0.0073-

0.01462-

0.1881 0.1049 0.03537 0.0110

May 315 1698.16 0.0175 0.0594 0.0003 0.0035 0.00104 0.0004 0.0787 0.00000 6.2E-0

Jun 230.4 1727.93 0 .0872-

0.3672 0.0076 0.1348-

0.03202 0.0700-

0.3478 0.00491 0.1209

July 244.5 1878.62 0.0018 0.0577 3.4E-06 0.0033 0.00011-

0.0153 0.0770 0.00023 5.9E-0

Aug 267.5 1882.09 0.0736 0.0860 0.0054 0.0074 0.00633 0.0564 0.1053 0.00319 0.0110

Sep 269.8 2020.62 0.0241 0.0085 0.00058 0.0001 0.00021 0.0070 0.0279 4.9E-05 7.8E-0

Oct 286.25 2069.39 0.0965 0.0575 0.0093 0.0033 0.00554 0.0793 0.0768 0.00629 0.0059Nov 299.05 2268.99 0.0661 0.0428 0.0044 0.0018 0.00283 0.0489 0.0622 0.00239 0.0038

Dec 339.75 2418.88-

0.0104 0.1198 0.00011 0.0144-

0.00124-

0.0275 0.1391 0.00076 0.0193

36


37/56

2005 Jan 371.35 2393.76 0.0226 0.0851 0.0005 0.0072 0.00193 0.0055 0.1044 0.00003 0.01091

Feb 360.9 2447.94-

0.0320-

0.0290 0.0010 0.0008 0.00093 -0.0491 -0.0096 0.00241 0.00009

Mar 380.9 2369.69-

0.0653 0.0525 0.0043 0.0028-

0.00343 -0.0825 0.0719 0.00680 0.00516

Apr 392.8 2214.96 0.0988 0.0303 0.0098 0.0009 0.00299 0.0816 0.0496 0.00666 0.00246

May 359.95 2433.73 0.0683-

0.0913 0.0047 0.0083-

0.00623 0.0511 -0.0719 0.00261 0.00517

Jun 392.05 2599.93 0.0428 0.0819 0.0018 0.0067 0.00351 0.0256 0.1012 0.00066 0.01025

July 425.75 2711.24 0.0335 0.0792 0.0011 0.0063 0.00265 0.0163 0.0985 2.7E-04 0.00970

Aug 534.45 2801.99 0.0943 0.2034 0.0089 0.0414 0.01917 0.0771 0.2227 0.00595 0.04961

Sep 481.8 3066.15-

0.0881-

0.1093 0.0078 0.0119 0.00963 -0.1053 -0.0899 0.01109 0.00809

Oct 601.7 2795.89 0.1187 0.1993 0.0141 0.0397 0.02366 0.1016 0.2186 0.01031 0.04779

Nov 498.6 3127.8 0.0721-

0.2068 0.0052 0.0428-

0.01491 0.0550 -0.1874 0.00302 0.03513

Dec 538.05 3353.37 0.0586 0.0733 0.0034 0.0054 0.00430 0.0414 0.0927 0.00172 0.00859

2006 Jan 585.05 3549.92 0.0252 0.0803 0.0006 0.0065 0.00203 0.0081 0.0997 0.00006 0.00994

Feb 609.25 3639.43 0.1070 0.0397 0.0114 0.0016 0.00425 0.0898 0.0591 0.00807 0.00349

Mar 615.25 4028.82 0.0459 0.0098 0.0021 0.0001 0.00045 0.0288 0.0291 0.00083 0.00085

Apr 589.05 4213.88-

0.1356-

0.0445 0.0184 0.0020 0.00603 -0.1528 -0.0251 0.02335 0.00063

May 591.75 3642.31 0.0218 0.0046 0.00048 0.0000 0.00010 0.0046 0.0239 0.00002 0.00057

Jun 537.5 3721.71 0.0064-

0.1009 4.1E-05 0.0102-

0.00064 -0.0108 -0.0816 0.00012 0.00666

July 487.9 3745.46 0.0876-

0.1017 0.0077 0.0103-

0.00891 0.0704 -0.0823 0.00496 0.00678

Aug 553.85 4073.55 0.0529 0.1191 0.0028 0.0142 0.00630 0.0357 0.1384 0.00128 0.01916

Sep 597.45 4288.97 0.0437 0.0730 0.0019 0.0053 0.00319 0.0266 0.0923 0.00071 0.00852

Oct 699.6 4476.5 0 .0564 0 .1460 0.0032 0.0213 0 .00824 0.0393 0.1654 0 .00154 0.02734

Nov 777.15 4729.13 0.0062 0.0998 3.8E-05 0.0100 0.00062 -0.0110 0.1191 0.00012 0.01419

Dec 872.45 4758.45 0 .0296 0 .1092 0.0009 0.0119 0 .00324 0.0125 0.12861.55E-

04 1.7E-02

2007 Jan 891.5 4899.39-

0.0806 0.0214 0.0065 0.0005-

0.00172 -0.0977 0.0407 0.00955 0.00166

Feb 941.1 4504.73 0.0225 0.0527 0.0005 0.0028 0.00118 0.0053 0.0721 0.00003 0.00519

Mar 829.5 4605.89 0.0713-

0.1345 0.0051 0.0181-

0.00960 0.0542 -0.1152 0.00293 0.01327

Apr 853.35 4934.46 0.0510 0.0279 0.0026 0.0008 0.00142 0.0338 0.0473 0.00114 0.00224

May 865.85 5185.95 0.0073 0.0144 0.0001 0.0002 0.00011 -0.0099 0.0338 0.00010 0.00114

Jun 919.15 5223.82 0.0497 0.0580 0.0025 0.0034 0.00288 0.0325 0.0773 0.00106 6.0E-03

July 955.45 5483.25-

0.0131 0.0380 0.0002 0.0014-

0.00050 -0.0303 0.0573 0.00092 0.00329

Aug 927.45 5411.29 0 .1262-

0.0302 0.0159 0.0009-

0.00381 0.1090 -0.0108 0.01189 0.00012

Sep 888.4 6094.11 0.1754-

0.0440 0.0308 0.0019-

0.00771 0.1583 -0.0246 0.02505 0.00061

Oct 1062.4 7163.3-

0.0231 0.1638 0.0005 0.0268-

0.00379 -0.0403 0.1831 0.00162 0.03354

Nov 1254.05 6997.6 0.0663 0.1528 0.0044 0.0234 0.01013 0.0491 0.1722 0.00241 0.02964

Dec 1178.4 7461.48 -1.0000 -0.0642 1.0000 0.0041 0.06420 -1.0172 -0.0448 1.03462 0.00201

29854.3 1.0298 1.8159 1.3385 3.2975 1.0126384 1.835249 1.32080 3.36814

SUM 29854.3 1.0298 1.0298 1.259 1.3385 3.29750 0.82536 1.0126 1.7856 1.32080 3.18849

AVERAGE 0.0172-

0.4896-

0.0193

37


38/56

1. Beta

xy 0.825

x 1.03

y 1.216

x2 1.339

n 60

y2 3.298

0.6085

2 Alpha

Avg(X) -0.4896

Avg(Y)-

0.02026

0.906

0.2776

3 Coef.Correlation

0.045

4Coef ofDetermination

0.002053

38


39/56

5StandardDevition 6 Variance

SDx 0.1483 Vx 0.02199

SDy 0.2305 Vy 0.05313

39


40/56

STATE BANK OF INDIA

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

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

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

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

ways.

There commitment to nation-building is complete & comprehensive.

40


41/56

SBI 2004

541

468.65

478.85

450.7

442.3442.9

469.3

619.05618.3

600.25

567.3564.65

100

200

300

400

500

600

700

2004

Series DatePrevClose

OpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice


Turnover inLacs

EQ JAN 537.55 540.5 568.45 540.1 566.95 564.65 5941630 33075.88938EQ 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

41


42/56

2005

Series DatePrev

CloseOpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice

Total TradedQuantity Turnover in Lacs

EQ JAN 652 654.5 662.9 650.1 657 655.75 2131452 13998.50891

EQ FEB 643 640 646 631.2 634 634.05 2467277 15694.57473

EQ MAR 714.65 711 716.9 692.65 695.5 695.6 5128658 36067.6012

EQ APR 654.8 655 672.8 652.65 671.8 670.1 2785374 18473.09788

EQ MAY 584.85 588 592.8 576.05 585.6 589.35 2738218 15989.79179

EQ JUN 670.45 669.5 674.9 658.1 660.1 660.2 2072014 13802.17176

EQ JUL 681.9 682 708.9 662.15 705 706.25 4867582 34202.39639

EQ AUG 800.25 799 804.95 785.1 789.55 789.95 1980985 15663.99636

EQ SEP 796.3 801 805.5 795.25 799 799.6 1168582 9357.570853

EQ OCT 938.2 938 953 938 944 945.35 1607862 15210.2526

EQ NOV 839.1 869.75 869.75 832.1 834.7 838.85 523113 4403.574651

EQ DEC 896.65 903 915.4 891.25 913.5 913.35 2420620 21869.33291

42


43/56

EQ AUG 810.25 802 819 794.4 818 811.75 1982509 15930.42

EQ SEP 931.25 932 935.7 925.1 931.4 931.25 887349 8266.71

EQ OCT 1028.65 1029 1037.8 1023.1 1030.1 1033.35 874932 9024.2621

EQ NOV 1095.65 1256.3 1256.3 1089 1119 1113.8 1035588 11462.727

EQ DEC 1317.05 1315 1370 1313.15 1366 1362.65 1612467 21785.692

SBI-2006

881.2

811.75

931.25

103

1113.8

869.25

904.9

1362.65

742.6

818.75961.7

983.35

200

400

600

800

1000

1200

1400

1600

43


44/56

SBI2007

930.5

1378.9

22324.75

2075.35

1894.6

1606.65

1548.05

1530.75

1055.651203

1253.55

500

1000

1500

2000

2500

Series DatePrevClose

OpenPrice

HighPrice

LowPrice

LastPrice

ClosePrice


TurnoverinLacs

EQ

JAN 1245.6 1250 1260 1243 1253 1253.55 408144

5112.3453EQ

FEB 1140.45 1158 1230 1135.7 1203.1 1203 249119729698.604

EQMAR 1041.85 1042 1061 1016 1051 1055.65 1108823

11522.978

EQAPR 994.45 979.4 979.4 922.35 937 930.5 1133049

10583.44

EQMAY 1353.65 1364 1385 1356 1380 1378.9 1908666

26147.129

EQJUN 1525.8 1530 1551 1523.35 1528 1530.75 1746382

26860.939

EQJUL 1623.85 1610 1610 1540.2 1550.2 1548.05 2715856

42709.452

EQAUG 1600.35 1619 1623 1602.35 1606.1 1606.65 901942

14539.915

EQSEP 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

EQNOV 2302.4 2330 2345.9 2307.9 2324 2324.75 955082

22217.635

EQDEC 2302.4 2330 2345.9 2307.9 2324 2324.75 955082

22217.64

44


45/56

Series Date

Prev

Close

Open

Price

High

Price

Low

Price

Last

Price

Close

Price

Total Traded

Quantity

Turnovein

Lacs

EQ JAN 2,223.95

2,155.0

0

2,247.7

0

2,136.0

0

2,165.0

0

2,167.3

5 1159043 25,347.4

EQ FEB 2,039.10

2,010.0

0

2,135.0

0

1,945.0

0

2,088.8

0

2,111.6

5 2401205 48,660.4

EQ MAR 1,677.801,674.0

01,695.0

01,590.0

01,608.0

01,600.2

5 1036121 16,712.8

EQ APR 1,795.551,799.0

01,821.0

01,730.0

01,781.0

01,774.6

5 839999 14,987.1

EQ MAY

1461.15 1465.05 1489 1435.35 1445 1445 867328 12613.7

EQ JUN1161.2 1194.95 1194.95 1101 1107 1111.6 787863 8940.20

EQ JUL

1387.95 1390 1430.9 1343 1406 1417.25 1885052 26136.9

EQ AUG

1309.35 1336 1409.8 1336 1404.55 1403.85 2661636 36957.0

EQ SEP

1405.45 1385 1485 1355 1472 1463.35 2229762 32255.3

EQ OCT

1099.55 1149.95 1177 1065.5 1114 1109.7 4293292 48015.3

EQ NOV

1105 1065 1109.9 1055 1085.05 1088.55 4321864 46965.7

EQ DEC

1291.7 1308 1308 1270 1290 1288.8 2704078 34799.1

45


46/56

years Month

S&PCNXNIFTY

ROR(X) PRICE ROR(Y) X*X Y*Y X*Y

R=X-Avg(X)

T=Y-Avg(Y) R^2 T^2

2003 Jan 1154.67 0.0208 284.55 0.0197 0.00043 0.00039 0.00041 0.0037 -0.0052 0.00001 0.00003

Feb 1178.72-

0.0798 290.15 0.0014 0.00637 0.00000-

0.00011 -0.0970 -0.0235 0.00940 0.00055

Mar 1084.64

-

0.0430 290.55 -0.0587 0.00185 0.00344 0.00252 -0.0602 -0.0835 0.00362 0.00698 Apr 1038 0.0812 273.5 0.0294 0.00660 0.00087 0.00239 0.0641 0.0046 0.00410 0.00002 May 1122.32 0.1336 281.55 0.2270 0.01784 0.05151 0.03031 0.1164 0.2021 0.01355 0.04085 Jun 1272.21 0.0516 345.45 0.1073 0.00266 0.01150 0.00553 0.0344 0.0824 0.00119 0.00679 July 1337.86 0.1497 382.5 0.0941 0.02240 0.00886 0.01409 0.1325 0.0693 0.01755 0.00480 Aug 1538.08 0.0469 418.5 0.0468 0.00220 0.00219 0.00220 0.0297 0.0220 0.00088 0.00048 Sep 1610.21 0.0993 438.1 0.0180 0.00986 0.00033 0.00179 0.0821 -0.0068 0.00674 0.00005 Oct 1770.08 0.0384 446 0.0670 0.00147 0.00449 0.00257 0.0212 0.0422 0.00045 0.00178

Nov 1837.98 0.1643 475.9 -0.0116 0.02699 0.00013-

0.00190 0.1471 -0.0364 0.02164 0.00133

Dec 2139.93-

0.0362 470.4 0.2004 0.00131 0.04014-

0.00726 -0.0534 0.1755 0.00285 0.03080

2004 Jan 2062.42-

0.0049 564.65 0.0047 2.4E-05 2.2E-05 -2.3E-05 -0.0220 -0.0202 4.8E-04 4.1E-04

Feb 2052.4 -0.0157 567.3 0.0581 0.00025 0.00337 -0.00091 -0.0328 0.0332 0.00108 0.00110 Mar 2020.25 0.0138 600.25 0.0301 0.00019 0.00090 0.00042 -0.0033 0.0052 0.00001 0.00003

Apr 2048.22-

0.1709 618.3 0.0012 0.02921 0.00000-

0.00021 -0.1881 -0.0236 0.03537 0.00056

May 1698.16 0.0175 619.05 -0.2419 0.00031 0.05852-

0.00424 0.0004 -0.2668 0.00000 0.07116

Jun 1727.93 0.0872 469.3 -0.0563 0.00761 0.00316-

0.00491 0.0700 -0.0811 0.00491 0.00658

July 1878.62 0.0018 442.9 -0.0014 3.4E-06 0.00000 -2.5E-06 -0.0153 -0.0262 2.3E-04 0.00069 Aug 1882.09 0.0736 442.3 0.0190 0.00542 0.00036 0.00140 0.0564 -0.0059 0.00319 0.00003

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Sep 2020.62 0.0241 450.7 0.0625 0.00058 0.00390 0.00151 0.0070 0.0376 0.00005 0.00141

Oct 2069.39 0.0965 478.85 -0.0213 0.00930 0.00045-

0.00205 0.0793 -0.0462 0.00629 0.00213

Nov 2268.99 0.0661 468.65 0.1544 0.00436 0.02383 0.01020 0.0489 0.1295 0.00239 0.01678

Dec 2418.88-

0.0104 541 0.2121 0.00011 0.04499-

0.00220 -0.0275 0.1873 0.00076 0.03506

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2005 Jan 2393.76 0.0226 655.75

-0.0331 0.00051 0.00110 -0.00075 0.0055 -0.0579 0.00003 0.00336

Feb 2447.94 -0.0320 634.05 0.0971 0.00102 0.00942 -0.00310 -0.0491 0.0722 0.00241 0.00522

Mar 2369.69 -0.0653 695.6-

0.0367 0.00426 0.00134 0.00239 -0.0825 -0.0615 0.00680 0.00378

Apr 2214.96 0.0988 670.1-

0.1205 0.00976 0.01452 -0.01190 0.0816 -0.1454 0.00666 0.02113

May 2433.73 0.0683 589.35 0.1202 0.00466 0.01445 0.00821 0.0511 0.0954 0.00261 0.00909 Jun 2599.93 0.0428 660.2 0 .0698 0 .00183 0.00487 0.00299 0.0256 0.0449 0.00066 0.00202

July 2711.24 0.0335 706.25 0.1185 0.00112 0.01405 0.00397 0.0163 0.0937 0.00027 0.00877

Aug 2801.99 0.0943 789.95 0.0122 0.00889 0.00015 0.00115 0.0771 -0.0126 0.00595 0.00016

Sep 3066.15 -0.0881 799.6 0.1823 0.00777 0.03323 -0.01607 -0.1053 0.1574 0.01109 0.02478

Oct 2795.89 0.1187945.35 -

0.11270.01409 0.01269 -0.01337 0.1016

-0.1375 0.01031 0.01891

Nov 3127.8 0.0721 838.85 0.0888 0.00520 0.00789 0.00640 0.0550 0.0640 0.00302 0.00409

Dec 3353.37 0.0586 913.35-

0.0093 0.00344 0.00009 -0.00054 0.0414 -0.0341 0.00172 0.00116

2006 Jan 3549.92 0.0252 904.9

-0.0394 0.00064 0.00155 -0.00099 0.0081 -0.0642 0.00006 0.00413

Feb 3639.43 0.1070 869.25 0 .0137 0 .01145 0.00019 0.00147 0.0898 -0.0111 0.00807 0.00012

Mar 4028.82 0.0459 881.2 0 .1159 0 .00211 0.01344 0.00532 0.0288 0.0911 0.00083 0.00829

Apr 4213.88 -0.1356 983.35-

0.0220 0.01840 0.00048 0.00299 -0.1528 -0.0469 0.02335 0.00220

May 3642.31 0.0218 961.7-

0.1486 0.00048 0.02209 -0.00324 0.0046 -0.1735 0.00002 0.03010

Jun 3721.71 0.0064 818.75-

0.0930 4.1E-05 0.00865 -5.9E-04 -0.0108 -0.1179 1.2E-04 0.01389

July 3745.46 0.0876 742.6 0 .0931 0 .00767 0.00867 0.00816 0.0704 0.0683 0.00496 0.00466

Aug 4073.55 0.0529 811.75 0.1472 0.00280 0.02167 0.00778 0.0357 0.1224 0.00128 0.01497

Sep 4288.97 0.0437 931.25 0.1096 0.00191 0.01202 0.00479 0.0266 0.0848 0.00071 0.00719

Oct 4476.5 0.0564 1033.35 0.0779 0.00318 0.00606 0.00439 0.0393 0.0530 0.00154 0.00281

Nov 4729.13 0.0062 1113.8 0.2234 3.8E-05 5.0E-02 1.4E-03 -0.0110 0.1986 1.2E-04 3.9E-02

Dec 4758.45 0.0296 1362.65-

0.0801 0.00088 0.00641 -0.00237 0.0125 -0.1049 0.00016 0.01101

200

7 Jan 4899.39 -0.0806 1253.55

-

0.0403 0.00649 0.00163 0.00325 -0.0977 -0.0652 0.00955 0.00425

Feb 4504.73 0.0225 1203-

0.1225 0.00050 0.01500 -0.00275 0.0053 -0.1473 0.00003 0.02171

Mar 4605.89 0.0713 1055.65-

0.1186 0.00509 0.01405 -0.00846 0.0542 -0.1434 0.00293 0.02056

Apr 4934.46 0.0510 930.5 0 .4819 0 .00260 0.23222 0.02456 0.0338 0.4570 0.00114 0.20888

May 5185.95 0.0073 1378.9 0.1101 5.3E-05 1.2E-02 8.0E-04 -0.0099 0.0853 9.7E-05 7.3E-03

Jun 5223.82 0.0497 1530.75 0.0113 0.00247 0.00013 0.00056 0.0325 -0.0136 0.00106 0.00018

July 5483.25 -0.0131 1548.05 0.0379 0.00017 0.00143 -0.00050 -0.0303 0.0130 0.00092 0.00017

Aug 5411.29 0.1262 1606.65 0 .1792 0 .01592 0.03212 0.02262 0.1090 0.1544 0.01189 0.02383

Sep 6094.11 0.1754 1894.6 0.0954 0.03078 0.00910 0.01674 0.1583 0.0706 0.02505 0.00498

Oct 7163.3 -0.0231 2075.35 0.1202 0.00054 0.01444 -0.00278 -0.0403 0.0953 0.00162 0.00909

Nov 6997.6 0.0663 2324.75 0 .0000 0 .00439 0.00000 0.00000 0.0491 -0.0249 0.00241 0.00062

Dec 7461.48 -1.0000 2324.75-

1.0000 1.00000 1.00000 1.00000 -1.0172 -1.0249 1.03462 1.05032

1.4911 1.33849 2.223455 1.11404 0.0000 1.466273324 0.00000 2.14996

SUM 1.0298 1.4911 1.3385 2.2235 1.1140 0.0000 1.4422 0.30697 2.08004

AVERAGE 0.0172 0.0249 1.32082 1.82353

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1 Beta

xy 1.114 x 1.0298

y 1.4911

x2 1.3385

n 60

y2 2.2235

0.824

2 Alpha

Avg(X) 0.0172

Avg(Y) 0.0249

0.824

0.0107272

3 Coef.Correlation

0.64047

4

Coef of

Determination

0.4102

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6 Variance

Vx 0.005115

Vy 0.03466

5 StandardDevition

SDx 0.07152

SDy 0.18619

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BETA VALUE

0.6085

0.824

00.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

ICICI BANK SBI BANK

BETA VALUES

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CONCLUSION AND SUGGESTIONS

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Conclusions

Average rate of return of the 2 different companies are lesser than that of its

market returns. So, the returns are better than the market returns.

Since standard deviation of SBI equity and ICICI equity is less than its market,

the risk is likely less compared to that of market.

Lower the beta and higher the funds performance is the better equity for

investment. One might expect the best performance by funds with low

diversification because they apparently are attempting to beat the market by

being unique in their selection or timing.

Since Beta (0.6085) of ICICI Bank is less than that of markets beta , the fund

reacts less than the market reaction. Also beta indicates that the funds returns

would increase or decease by 0.6% for every 1 % increase or decrease in the

market returns. This also means that the mutual fund fluctuates 4% less than the

market index.

Considering only the rate of return, all the equities outperformed the market.

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BIBLIOGRAPHY

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WWW.NSEINDIA.COM

www.google.co.in

Security Analysis And Protfolio Management

---Donald D.Fischer

---Ronald J.Jordan

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http://www.nseindia.com/http://www.google.co.in/

equity and portfolio management (2)

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