Daily

Volatility
Co-efficient of (%) OR Stock
determination Satandard variance
Name (R2) deviation (σ2i) Beta Values (β) Index variance
A.C.C. 0.17 1.41 1.9881 0.62 0.8792
BAJAJ AUTO 0.22 1.52 2.3104 0.74 0.9282
BHARTI TELEVENTURES 0.22 2.26 5.1076 1.11 0.9120
BHEL 0.17 1.63 2.6569 0.72 0.8713
CIPLA LTD. 0.24 1.79 3.2041 0.93 0.8891
DR.REDDY'S 0.2 1.53 2.3409 0.71 0.9287
GRASIM IND. 0.26 1.35 1.8225 0.74 0.8653
GUJARAT AMBUJA CEMENT 0.24 1.66 2.7556 0.86 0.8942
HDFC 0.12 1.8 3.2400 0.66 0.8926
HDFC BANK 0.23 1.71 2.9241 0.86 0.9093
HERO HONDA 0.17 1.95 3.8025 0.85 0.8947
HINDALCO 0.26 1.64 2.6896 0.88 0.9030
HINDUSTAN LEVER 0.14 1.78 3.1684 0.7 0.9053
ICICI BANK 0.36 1.9 3.6100 1.2 0.9025
INFOSYS TECHNOLOGIES 0.45 1.63 2.6569 1.16 0.8885
ITC LTD. 0.13 1.55 2.4025 0.58 0.9284
LARSEN & TOUBRO 0.18 1.9 3.6100 0.84 0.9209
MARUTI UDYOG 0.32 1.95 3.8025 1.17 0.8889
NATIONAL THERMAL POWER 0.34 1.48 2.1904 0.95 0.8252
ONGC 0.38 1.44 2.0736 0.93 0.9111
RANBAXY LAB. 0.17 1.65 2.7225 0.72 0.8928
RELIANCE 0.46 1.59 2.5281 1.14 0.8948
RELIANCE ENERGY 0.24 1.81 3.2761 0.94 0.8898
SATYAM COMPUTER 0.47 1.96 3.8416 1.42 0.8954
STATE BANK OF INDIA 0.42 1.85 3.4225 1.27 0.8912
TATA CONSULTANCY 0.23 1.68 2.8224 0.85 0.8985
TATA MOTORS 0.44 1.81 3.2761 1.27 0.8937
TATA POWER 0.34 1.95 3.8025 1.21 0.8830
TATA STEEL 0.4 1.76 3.0976 1.18 0.8899
WIPRO LTD. 0.49 1.79 3.2041 1.33 0.8876
Average Index
Variance σI2 0.8952
 Daily
Volatility
Co-efficient of (%) OR Unsystematic
Stock variance Risk (σ e) = (1 - Beta ratio = (Ri -
2
determination Satandard
Name Beta Values (βi) Returns Ri (R2) deviation (σ2i) R2)*σ2i Rf)/βi ((Ri - Rf)*βi)/σ2e
A.C.C. 0.62 79.36 0.17 1.41 1.9881 1.6501 117.5161 27.3757
BAJAJ AUTO 0.74 75.55 0.22 1.52 2.3104 1.8021 93.3108 28.3540
BHARTI TELEVENTURES 1.11 86.25 0.22 2.26 5.1076 3.9839 71.8468 22.2199
BHEL 0.72 84.82 0.17 1.63 2.6569 2.2052 108.7778 25.5712
CIPLA LTD. 0.93 35.06 0.24 1.79 3.2041 2.4351 30.7097 10.9074
DR.REDDY'S 0.71 9.97 0.2 1.53 2.3409 1.8727 4.8873 1.3156
GRASIM IND. 0.74 21.12 0.26 1.35 1.8225 1.3487 19.7568 8.0219
GUJARAT AMBUJA CEMENT 0.86 74.05 0.24 1.66 2.7556 2.0943 78.5465 27.7392
HDFC 0.66 60.98 0.12 1.8 3.2400 2.8512 82.5455 12.6111
HDFC BANK 0.86 82.9 0.23 1.71 2.9241 2.2516 88.8372 29.1816
HERO HONDA 0.85 43.12 0.17 1.95 3.8025 3.1561 43.0824 9.8626
HINDALCO 0.88 15.37 0.26 1.64 2.6896 1.9903 10.0795 3.9218
HINDUSTAN LEVER 0.7 43.67 0.14 1.78 3.1684 2.7248 53.1000 9.5489
ICICI BANK 1.2 100.9 0.36 1.9 3.6100 2.3104 78.6667 49.0305
INFOSYS TECHNOLOGIES 1.16 46.05 0.45 1.63 2.6569 1.4613 34.0948 31.3954
ITC LTD. 0.58 62.46 0.13 1.55 2.4025 2.0902 96.4828 15.5283
LARSEN & TOUBRO 0.84 64.54 0.18 1.9 3.6100 2.9602 69.0952 16.4697
MARUTI UDYOG 1.17 13.54 0.32 1.95 3.8025 2.5857 6.0171 3.1855
NATIONAL THERMAL POWER 0.95 24.22 0.34 1.48 2.1904 1.4457 18.6526 11.6445
ONGC 0.93 31.01 0.38 1.44 2.0736 1.2856 26.3548 17.7300
RANBAXY LAB. 0.72 0 0.17 1.65 2.7225 2.2597 -9.0278 -2.0711
RELIANCE 1.14 43.77 0.46 1.59 2.5281 1.3652 32.6930 31.1226
RELIANCE ENERGY 0.94 4.17 0.24 1.81 3.2761 2.4898 -2.4787 -0.8797
SATYAM COMPUTER 1.42 53.86 0.47 1.96 3.8416 2.0360 33.3521 33.0303
STATE BANK OF INDIA 1.27 81.2 0.42 1.85 3.4225 1.9851 58.8189 47.7917
TATA CONSULTANCY 0.85 28.52 0.23 1.68 2.8224 2.1732 25.9059 8.6125
TATA MOTORS 1.27 13.65 0.44 1.81 3.2761 1.8346 5.6299 4.9495
TATA POWER 1.21 48.51 0.34 1.95 3.8025 2.5097 34.7190 20.2547
TATA STEEL 1.18 40.87 0.4 1.76 3.0976 1.8586 29.1271 21.8215
WIPRO LTD. 1.33 34.54 0.49 1.79 3.2041 1.6341 21.0827 22.8220
Rf 6.5

Average Index Variance σI2 0.8952

Rm 13
 Ci=(σ2I * i=1 i∑((Ri -
Rf) * βi)/σ2e)/(1 +
β2i/σ2e i=1
i
∑((Ri - Rf)*βi)/σ2e i=1
i
∑(β2i/σ2e) σ2I(i=1 i∑(β2i/σ2e))
0.2330 27.3757 0.2330 20.2779
0.3039 55.7296 0.5368 33.6961
0.3093 77.9495 0.8461 39.7063
0.2351 103.5208 1.0812 47.0927
0.3552 114.4282 1.4363 44.8139
0.2692 115.7437 1.7055 41.0062
0.4060 123.7657 2.1116 38.3338
0.3532 151.5049 2.4647 42.2987
0.1528 164.1160 2.6175 43.9452
0.3285 193.2976 2.9460 47.5746
0.2289 203.1602 3.1749 47.3350
0.3891 207.0820 3.5640 44.2383
0.1798 216.6308 3.7438 44.5662
0.6233 265.6613 4.3671 48.4416
0.9208 297.0568 5.2879 46.3790
0.1609 312.5850 5.4489 47.6072
0.2384 329.0547 5.6872 48.3599
0.5294 332.2402 6.2166 45.3032
0.6243 343.8847 6.8409 43.2126
0.6727 361.6148 7.5137 41.8986
0.2294 359.5437 7.7431 40.5799
0.9520 390.6663 8.6950 39.8147
0.3549 389.7866 9.0499 38.3385
0.9903 422.8169 10.0403 37.8959
0.8125 470.6086 10.8528 39.3161
0.3325 479.2211 11.1852 38.9538
0.8791 484.1706 12.0644 36.7312
0.5834 504.4253 12.6478 36.6459
0.7492 526.2468 13.3970 36.2578
1.0825 549.0688 14.4795 35.2046
 Beta Co-efficient of Daily Volatility (%) Stock
Values Returns determination OR Satandard variance
Name (βi) Ri (R2) deviation (σ2i)
A.C.C. 0.62 79.36 0.17 1.41 1.99
BHEL 0.72 84.82 0.17 1.63 2.66
ITC LTD. 0.58 62.46 0.13 1.55 2.4
BAJAJ AUTO 0.74 75.55 0.22 1.52 2.31
HDFC BANK 0.86 82.9 0.23 1.71 2.92
HDFC 0.66 60.98 0.12 1.8 3.24
ICICI BANK 1.2 100.9 0.36 1.9 3.61
GUJARAT AMBUJA CEMENT 0.86 74.05 0.24 1.66 2.76
BHARTI TELEVENTURES 1.11 86.25 0.22 2.26 5.11
LARSEN & TOUBRO 0.84 64.54 0.18 1.9 3.61
STATE BANK OF INDIA 1.27 81.2 0.42 1.85 3.42
HINDUSTAN LEVER 0.7 43.67 0.14 1.78 3.17
HERO HONDA 0.85 43.12 0.17 1.95 3.8
TATA POWER 1.21 48.51 0.34 1.95 3.8
INFOSYS TECHNOLOGIES 1.16 46.05 0.45 1.63 2.66
SATYAM COMPUTER 1.42 53.86 0.47 1.96 3.84
RELIANCE 1.14 43.77 0.46 1.59 2.53
CIPLA LTD. 0.93 35.06 0.24 1.79 3.2
TATA STEEL 1.18 40.87 0.4 1.76 3.1
ONGC 0.93 31.01 0.38 1.44 2.07
TATA CONSULTANCY 0.85 28.52 0.23 1.68 2.82
WIPRO LTD. 1.33 34.54 0.49 1.79 3.2
GRASIM IND. 0.74 21.12 0.26 1.35 1.82
NATIONAL THERMAL POWER 0.95 24.22 0.34 1.48 2.19
HINDALCO 0.88 15.37 0.26 1.64 2.69
MARUTI UDYOG 1.17 13.54 0.32 1.95 3.8
TATA MOTORS 1.27 13.65 0.44 1.81 3.28
DR.REDDY'S 0.71 9.97 0.2 1.53 2.34
RELIANCE ENERGY 0.94 4.17 0.24 1.81 3.28
RANBAXY LAB. 0.72 0 0.17 1.65 2.72
Rf 6.5
Average Index Variance σI2 0.8952
Rm 13
 Beta ratio
Unsystematic Risk = (Ri - ((Ri -
(σ2e) = (1 - R2)*σ2i Rf)/βi Rf)*βi)/σ2e β2i/σ2e i=1
i
∑((Ri - Rf)*βi)/σ2e i=1
∑(β2i/σ2e)
i

1.6501 117.5161 27.3757 0.2330 27.3757 0.2330

2.2052 108.7778 25.5712 0.2351 103.5208 1.0812
2.0902 96.4828 15.5283 0.1609 312.5850 5.4489
1.8021 93.3108 28.3540 0.3039 55.7296 0.5368
2.2516 88.8372 29.1816 0.3285 193.2976 2.9460
2.8512 82.5455 12.6111 0.1528 164.1160 2.6175
2.3104 78.6667 49.0305 0.6233 265.6613 4.3671
2.0943 78.5465 27.7392 0.3532 151.5049 2.4647
3.9839 71.8468 22.2199 0.3093 77.9495 0.8461
2.9602 69.0952 16.4697 0.2384 329.0547 5.6872
1.9851 58.8189 47.7917 0.8125 470.6086 10.8528
2.7248 53.1000 9.5489 0.1798 216.6308 3.7438
3.1561 43.0824 9.8626 0.2289 203.1602 3.1749
2.5097 34.7190 20.2547 0.5834 504.4253 12.6478
1.4613 34.0948 31.3954 0.9208 297.0568 5.2879
2.0360 33.3521 33.0303 0.9903 422.8169 10.0403
1.3652 32.6930 31.1226 0.9520 390.6663 8.6950
2.4351 30.7097 10.9074 0.3552 114.4282 1.4363
1.8586 29.1271 21.8215 0.7492 526.2468 13.3970
1.2856 26.3548 17.7300 0.6727 361.6148 7.5137
2.1732 25.9059 8.6125 0.3325 479.2211 11.1852
1.6341 21.0827 22.8220 1.0825 549.0688 14.4795
1.3487 19.7568 8.0219 0.4060 123.7657 2.1116
1.4457 18.6526 11.6445 0.6243 343.8847 6.8409
1.9903 10.0795 3.9218 0.3891 207.0820 3.5640
2.5857 6.0171 3.1855 0.5294 332.2402 6.2166
1.8346 5.6299 4.9495 0.8791 484.1706 12.0644
1.8727 4.8873 1.3156 0.2692 115.7437 1.7055
2.4898 -2.4787 -0.8797 0.3549 389.7866 9.0499
2.2597 -9.0278 -2.0711 0.2294 359.5437 7.7431
Ci=(σ2I * i=1 i∑((Ri - Rf) *
βi)/σ2e)/(1 + σ2I(i=1
i
∑(β2i/σ2e))
20.2779
47.0927
47.6072
33.6961
47.5746
43.9452
48.4416
42.2987
39.7063
48.3599
39.3161
44.5662 C* (Cut-off)
47.3350
36.6459
46.3790
37.8959
39.8147
44.8139
36.2578
41.8986
38.9538
35.2046
38.3338
43.2126
44.2383
45.3032
36.7312
41.0062
38.3385
40.5799
 Unsystematic Risk (σ2e) = Beta ratio = (Ri - Z = (β2 /σ2 )*(Beta Returns R
i i e i
Beta Values (βi) (1 - R2)*σ2i Rf)/βi ratio - C*) (%)
A.C.C. 0.62 1.6501 117.5161 16.9939 79.36
BHEL 0.72 2.2052 108.7778 15.0947 84.82
ITC LTD. 0.58 2.0902 96.4828 8.3556 62.46
BAJAJ AUTO 0.74 1.8021 93.3108 14.8118 75.55
HDFC BANK 0.86 2.2516 88.8372 14.5423 82.9
HDFC 0.66 2.8512 82.5455 5.8024 60.98
ICICI BANK 1.2 2.3104 78.6667 21.2538 100.9
GUJARAT AMBUJA CEMENT 0.86 2.0943 78.5465 12.0004 74.05
BHARTI TELEVENTURES 1.11 3.9839 71.8468 8.4370 86.25
LARSEN & TOUBRO 0.84 2.9602 69.0952 5.8468 64.54
STATE BANK OF INDIA 1.27 1.9851 58.8189 11.5807 81.2
HINDUSTAN LEVER 0.7 2.7248 53.1000 1.5346 43.67
C* = 44.5662 Z = 136.2539

Stock Allocation

Stock allocation Xi = Zi/Z

X ACC 12.5%
X BHEL 11.1%
12.5% 1.1%
X 6.1% 8.5%
ITC X ACC X SBI
X 10.9% 4.3%
Bajaj X BHEL X HLL
X 10.7%
HDFCBank X ITC
X 11.1% 6.2%
HDFC 4.3% X Bajaj
X ICICIBank 15.6% X HDFCBank
X Gujarat Ambuja Cement 8.8% X HDFC
8.8%
X 6.2% X ICICIBank
Bharti
6.1%
X L&T 4.3% X Gujarat Ambuja
X Cement
SBI 8.5%
X X Bharti
HLL 1.1%
10.9% X L&T
15.6%
Return of Portfolio (%)
10.7% 4.3%
Rp = i=1
∑ (Xi*Ri)
12
80.5468

Risk of Portfolio (%)

σ2p = [(i=1 ∑Xi*βi)2 * σ2m] + [(i=1
12
∑X2i*σ2e]
12
1.1874 Analysis by: yogeshgarg@msn.com

Or σp = Risk of Portfolio 1.0897

Beta of Portfolio (βp)

βp = i=1
12
∑(βi*Xi) 0.8765
arg@msn.com