Sandhya 3br16mba54

STUDY OF OPTIMAL PORTFOLIO OF SHARPE’S SINGLE INDEX MODEL OF NIFTY50 STOCKS
CHAPTER-1
1.1 INTRODUCTION
Portfolio is an accumulation of or a mix together of individual resources or

securities and the portfolio hypothesis gives regulating approach. It depends on the
speculation that financial specialists are hazard unwilling. This suggests
speculators hold all around broadened portfolios as opposed to putting their whole
riches in a specific or couple of advantages. Financial specialists who are chance
unwilling reject speculation portfolios that are reasonable diversions or more
regrettable. Hazard disinclined speculators are prepared to consider just hazard free
or theoretical expectation with positive hazard premiums. A practical financial
specialist is a man that desires to expand their arrival with less hazard on his
interest in a portfolio. This implies the requirements to build a creative portfolio
least hazard for a given expected return. This can be accomplished with the
assistance of single record.
The security examination and portfolio administration is generally concerned

trademark for sensible speculation and basic leadership. A portfolio is an
arrangement of securities, for example, stocks, securities and currency advertise
instruments. The procedure of unification together these benefits classes, in order
to get greatest come back with least hazard are called portfolio development. It is
an exceptionally precarious assignment to discover top notch speculations among
different kinds of ventures. In an ideal portfolio each financial specialist require
most extreme come back with a base return. This procedure is done through the
development of an ideal portfolio.
1.2 INDUSTRY PROFILE
The functioning of stock broking in India was started in 1875. The BSE is
most experienced stock broking of India. History of Indian stocks
exchanging begins with the 318 man taking staffing in Stock Brokers
Association and; locality Share, which In the year 1965, BSE got an
perpetual statement from Government of India which handed over to most
tremendous requisite. The National Stock Exchange arrives second to the
DMS-BITM, BALLARI. Page 1

BSE inside expressions of popularity.. is comprehended by name as

Bombay Stock Exchange (BSE)
The trading activity even before the formulation of the Bombay stock
exchange. The Indian stock broking industry is correctly large with 9000 odd
brokers and 24000 sub-brokers. Around 15 to1% of the market share still
under control by top five Indian brokers. It proved top contribution to the
economy retail trading contributed around 60% and FII’s averaged around
20%
1.2.1 India Financial Brokerage Market
Stock market is a synchronized marketplace region in which indexed stocks
are bought and sold with the help of investors. The price of every selling
and buying business is estimated by demand and supply performance of
picky stock. Stock market provides companies to raise long term sources of
funds by issuing bonds and securities which are negotiated and
transferrable. Price of the stock imitate the performance of the traded
companies, this makes the corporates to sustain their market status. In
former, floor trading was taken place to make a transaction at current days
most of all the transactions are conduct by electronic means by upgrading of
IT.
1.2.2 Purpose
 The main purposes of the stock market are to give investors the
opportunity to share in the present and future value of companies by
purchasing shares in the companies and to allow companies to expand their
capital pools by making investors partial owners of their companies.
 To provide a source of funds to various organisation and institutions.
1.2.3 Stock market impact of the Indian economy
Stock market has great impact on the Indian economy .some of them are
listed below
 Stock markets are central to financial planning

 It create employment opportunities

 Increasing FDI
 Contribution to GDP
 Provides a sources of funds for the organisation.
 Generate revenue for the government in the form of tax
 Better utilization of idle funds of common inventory for better
profitable purpose.
1.2.4 Post independent

Indian securities exchange is the most established in Asia Its history goes
back about before freedom, there was no appropriate stock trade in India
After the independent the majority of stock trade are shut.
 1850 Shares of banks & securities of East Indian employer traded in
Mumbai underneath a sravling banyan tree in front of metropolis hall.
 1875-agents organised an affiliation referred to as the country wide
share broker affiliation and the U.S.A first stock exchange the B.S.E set up
in Mumbai with 318members..
 In 1957 Bangalore inventory trade constrained became enrolled and
got acknowledgment in 1963. The greater part of trades were in a gloomy
till 1957, and once they connected for affirmation beneath securities
contracts (controls) Act,1956. Those trades were seen under the Act 1956.
Inside the pre autonomy span, there has been best 3 stock trades, in
particular, Bombay Stock Exchange, 1877, Ahmedabad Stock Exchange,
1894 and Calcutta Stock Exchange, 1908.
1. Bombay 5. Bangalore
2. Delhi 6..Hyderabad
3. Madras 7. Indore
4. Calcutta 8.Ahmadabad

1.2.5 Present scenario

Indian stock market has strong improvement in current situations. There is
complete transparency and immediate transactions. All indian stock market
are involved computerized and internet base trading it has become very easy
to trade. Any small bit changes in economy or any pat of the country have
direct effect on stock market i.e. china market effect. T present 24 stock
exchanges in india.
In present scenario stockbrokers also perform some activities they are :-
 Act as on a inventory, sell and buy securities on his own account and
bearing risk.
 Act as agent providing advisory service.
 Buying and selling based on client’s decision and getting some
commission from this activity.
1.2.6 National stock exchange

NSE emerged as an undertaking by utilizing various instincts speculator
inside the nation to manage the financial specialist and to break the
imposing business model which changed by appreciated utilizing BSE
merchant.
NSE joined in 1992 by modern improvement bank of India and given

perceived as a stock trade in April 1993 and started task in July 1994. It
introduced for encouraging national wide purchasing and pitching to fulfill
universal securities. NSE empowers short settlement cycle and book
passage settlement framework. It guarantees same get admission to financial
specialist everywhere throughout the nation through a fitting compensation
group.
1.2.7 Bombay stock exchange
BSE is the most seasoned stock trade in India and in addition in Asia. It was
set up in the year 1875 as. The local offers and stock Broker's affiliation
'situated at dalastreet, Mumbai. In India there are of 24 stock trades among
them BSE is the first to be perceived under securities contract act , 6000

stocks are recorded in BSE and it is second biggest stock trade everywhere
throughout the world. The BSE-Sensex is the benchmark record of Indian
capital market.
1.2.8 Over The Counter Exchange of India OTCEI
The OTCEI was joined in October, 1990 as a Company under the
Companies Act 1956. It has turned out to be completely operational in 1992
with opening of a counter at Mumbai. It is perceived by the Government of
India as a perceived stock trade under the Securities Control and Regulation
Act 1956. It was advanced mutually by the money related organizations like
UTI, ICICI, IDBI, LIC, GIC, SBI, IFCI, and so forth.
1.3 COMPANY PROFILE
INTRODUCTION OF KOTAK SECURITIES LTD.
Kotak securities ltd are a subsidiary of Kotak Mahindra bank ltd is one of the
largest private brokerage and division house. Set up in 1994 by Mr.Uday Kotak.
Kotak Securities have 25% equity involvement from Goldman Sachs.
Kotak securities have been the leading in IPO distribution and were ranked no.1 in
the year 2003-2004 as book leading managers in IPO’s by chief database. The core
strength are the expertise in equity research and wide retail division network. It has
an exceptional research division involved in macroeconomic studies, industry and
company specific equity research with analysis specializing in particular economic
sector and large cap stocks. Kotak securities manage assets over rupees 1200crores
under portfolio management.
Initially settled in 1994, Kotak Securities is an auxiliary of Kotak Mahindra Bank,

which benefits in excess of 7.4 lakh clients. The firm has a wide system of in
excess of 1400 branches, franchisees delegate workplaces, and satellite workplaces
crosswise over 448 urban communities in India and workplaces in New York,
London, Dubai, Mauritius and Singapore.
Company process in excess of 400000 exchanges every day which is significantly

higher than a portion of the prominent universal specialists. The organization is a
corporate individual from both The Bombay Stock Exchange (BSE) and The

National Stock Exchange of India (NSE). Company activities integrate stock

broking administrations for exchanging securities exchanges through branches,
web and circulation of different money related items incorporating interests in
IPOs, Mutual Funds and Currency Derivatives. As of now, Kotak Securities is one
of the prime broking houses in India with liberal land reach to Asia Pacific,
Europe, Middle East and America. Kotak Securities Limited has Rs. 1,202 crore of
Assets under Management (AUM) starting at 31st Dec, 2011.
1.4 PROMOTERS:
Promoters are the universal population who believe the possibility of an

organization and place it into implementation. They by and large appear to be the
substance of the organization as they hold enters basic leadership positions in it.
They may devolve some stake in the organization after some time, yet have a
affinity to hold essential positions in the administration and command the load up.
At the point when an organization is obtained by another organization, the acquirer
purchases the majority of the promoter's stake.
By ideals of this, it turns into the new promoter. The company pecking order of the
succeeding element relies upon the transactions between the promoters and the
acquirer. Once in a while, the promoters offer their whole stake in the organization
and leave it. On dissimilar proceedings, they hold a little stake and keep holding
key authority positions and interpretation on the directorate.
Chairman: Mr. Uday Kotak.
Managing Director: Mr. Narayan S.A.
Directors: Mr. C. Jayaram
Mrs. Falguni Nayar.
Mr. Vikram Sud.
Executive Director & Chief operating Officer: Mr. D. Kannan

1.5 Vision, Mission & Quality Policy
Vision
To positively contribute towards economic, environmental and social well-being of

communities through Corporate Social Responsibility agenda.
Mission
Create a lasting value for communities by:
 Promoting and supporting education and other interventions for the under
privileged
 Encouraging employee volunteering
 Supporting Non-Governmental Organizations and other institutions with
financial and other resources to collectively deliver community initiatives.
QUALITY POLICY:
 Whistle Blower Policy

 Corporate Social Responsibility Policy
 Dormant Account Policy
 Humanity
 True equality
 Customer satisfaction
1.6 Products and services:
Bank
Life Insurance
Mutual Fund
Car Finance
Securities
Institutional Equities

Investment Banking
Kotak Mahindra International
Kotak Private Equity
Kotak Realty Fund
Main areas of business Kotak Securities are:
• Institutional broking business
• Private client group
• Client money management
• Retail distribution of financial products
• Depository services
• Online trading
 Institutional broking business:
This service first and foremost covers secondary market broking. It caters to the
needs of foreign and Indian institutional investors in Indian equities Kotak
Securities institutional business also incorporates a wide-ranging research cell with
sect oral analysts who cover all the key areas of Indian economy.
 Private client group:
Private client group is a unique investment division for high net worth individuals.
Non-resident Indian investors, trusts corporate and banks the investments product
range at private client group is among the widest in the country and covers debt
and equity, mutual funds and specialized prearranged investment products.
 Client money management:
This division provides professional portfolio management services to high net

worth individuals and community. Well-organized fund management is maintained
at all times as well as whole responsibility and simplicity. Its expertise in research

and stock broking gives it the right perspectives from which it provide its clients
with investments advisory services that benefit the clients.
 Retail distribution of financial products:
Kotak Securities has a widespread retail division network, comprising about 7000
agents,13 branches and over 20 franchisees across India. This network is used for
the supply and placements of a range of financial products that includes company
fixed deposits, mutual funds initial public offerings, equity and small saving
schemes.
 Depository services:
Kotak Securities is a depository participant with national securities depository

limited for trading and settlement of dematerialized shares. Since it is also in the
broking business investors who use its depository services get double profit.
 Online trading:
Kotak Securities online broking service Kotaksecurities.com offers services for

retail investors who like to trade on net its exclusive product offering securities as
margins and its market watch service with real time prices collective in an order
facility not offered by and other web site at present.
1.7 SWOT ANALYSIS:
Strength
Weakness
Opportunities
Threats

 STRENGTH: Kotak Securities ltd is one of the largest players in the

IPO’s its brokerage charges are almost half of the web trade.
 Highly cooperative and skilled staff.
 Sales oriented organization.
 Aggressiveness of sales force in selling products.
 The company has expertise in managing big business.
 Effective and wider distribution network.
 It has a wide network more than of 1400 branches, franchises
representative offices, and satellite offices across 448 cities in India
and office of New York, London, Dubai, Mauritius and Singapore.
 The company enjoys a very high brand loyalty and recall value
among its customers.
 The company has a presence in all metros as well as in the most of
the major cities in the country.
 Product designed for every area of personal.
 WEAKNESS:
 No presence in the rural and semi urban segment
 Lack in making follow-ups
 Lack of corporate agents.
 Lack of customer services and promotional activities.
 OPPORTUNITIES
 There is continuous growth in this sector
 People have started turning towards the organization as they know
that facilities are far better than the others
 Market is fully vacant to capture because the branch has recently
setup its business
 THREATS:
 Competition in the sector is increasing in the entry of lots of private
giants with the collaboration of foreign giants.
 Selling attitude for the company always has to be maintained in
order to compete with other companies.

 Continuous follow ups of clients and customers.

 As other organization like icici web trade, India info line, etc are
there in the city so is a little bit difficult for them to capture the
market.
1.8 COMPETITORS:
 Karvey stock broking ltd

 Geojit
 Anand Rati
 HDFC securities
 Reliance securities

1.9 FINANCIAL STATEMENT:

Ratios: 31st March 2017
Sl. No Formula Amount Ratio

1 Current ratio=current assets/ current 255885490/131976373 1.94
liabilities
2 Quick Ratio=Quick assets/current 255885490/131976373 1.94
liabilities
3 Debt to equity ratio= debt/ equity 496899092/9204489 53.98
4 Operating expenses 142454072/339837659 0.419
revenue=operating exp/revenue
5 Working capital=current assets- 255885490-131976373 123909117
current liabilities
6 Cash ratio=cash+marketable 75122255+180763235/1 1.94
securities/current liabilities 31976373
7 Debt-to-assets ratio=total 496899092/2761875587 0.18
debt/total assets
RATIOS: 31st March 2016
Sl. No Formula Amount Ratio

1 Current ratio=current assets/current 115993084/122170908 0.95
liabilities
2 Quick Ratio=Quick assets/current 115993084/122170908 0.95
liabilities
3 Debt to equity ratio=debt/equity 437297936/9171911 47.68
4 Operating expenses 108940849/280323643 0.39
revenue=operating exp/revenue
5 Working capital=current assets- 115993084-122170908 -
current liabilities 6177824
6 cash ratio= cash+marketable 69249004+46745080/12217 0.95
securities/current liabilities 0908
7 Debt-to-assets ratio=total debt/ 437297936/2408035759 0.18
total assets

INTRPRETATIONS:
1. Current Ratio: The current ratio process a company’s current assets

against its current liabilities. The current ratio indicates if the company can
pay off its short-term liabilities in an crisis by liquidating its current assets.
Current assets are found at the top of the balance sheet and include line
items such as cash and cash equivalents, accounts receivable and inventory,
among others.
In the year 2017 the currents assets are more than current liabilities. A high
ratio indicates a high level of liquidity i.e with the ratio of 1.94.
In the year 2016 the current assets are less than current liabilities. A low
current ratio indicates that a firm may have a hard time paying their current
liabilities in the short run and deserves further investigation i.e with the
ratio of 0.95.
2. Quick Ratio: The quick ratio is a liquidity ratio that is tougher than the
current ratio. This ratio compares the cash, short-term marketable securities
and accounts receivable to current liabilities. The main line item excluded
in the quick ratio is inventory, which can compose a large segment of
current assets but may not easily be converted to cash.
In 2017 the quick ratio is 1.94 indicates that the company can only cover
current liabilities by using all cash-on-hand, liquidating short-term
marketable securities and monetizing accounts receivable.
In 2016 the quick ratio is 0.95 indicates that the company can only cover
current liabilities by using all cash-on-hand, liquidating short-term
marketable securities and monetizing accounts receivable.
3. Debt to equity ratio: The debt-to-equity ratio method is the amount of

debt capital a firm uses compared to the amount of equity capital it uses.
In 2017 ratio of 53.98 indicates that the firm uses the same amount of debt as
equity and means that creditors have claim to all assets, leaving nothing for
shareholders in the event of a theoretical liquidation.

In 2016 ratio of 47.68 indicates that the firm uses the same amount of debt as
equity and means that creditors have claim to all assets, leaving nothing for
shareholders in the event of a theoretical liquidation.
4. Operating expenses revenue: Operating profit margin is calculated by

dividing operating expenses by net revenue. Operating expenses consist of
costs such as administrative overhead and other costs that cannot be
accredited to single product units.
In 2017 there was a ratio of 0.419, decreasing operating expenses is
generally seen as a good sign, but investors should simply be looking for
strong.
In 2016 it decreased again to the ratio of 0.39 and it has again got a good
sign for investors.
5. Working capital: Positive working capital means that the business is able

to pay off its short-term liabilities. Also, a high working capital can be a
indication that the company might be able to increase its operations.
In 2017 there was a positive reflection in the ratio of 123909117.
In 2016 there was a negative sign in the ratio of -6177824.
6. Cash ratio: The most conventional liquidity ratio is the cash ratio, which is
calculated as simply cash and short-term marketable securities divided by
current liabilities. Cash and short-term marketable securities symbolize the
majority liquid assets of a firm.
The cash ratio in 2017, which suggests that the firm can cover of ratio 1.94
of its current liabilities with its cash and short-term marketable securities.
The cash ratio in 2016, which suggests that the firm can cover of ratio 0.95
of its current liabilities with its cash and short-term marketable securities.

7. Debt to asset ratio: The debt-to-assets ratio is the generally basic solvency
ratio, measuring the percentage of a company’s total assets that is financed
by debt. The ratio is calculated by dividing total liabilities by total assets.
In the year 2017 ratio of 0.18 there is more of debt than assets, which
increases its financial risk in the form of fixed interest payments.
In the year 2016 also there is slight changes in numbers i.e ratio of 0.18,
there is increase in debts over assets.

CHAPTER-2
CONCEPTUAL BACKGROUND AND LITRATURE REVIEW

THEORITICAL BACKGROUND OF THE STUDY
SHARPE’S SINGLE INDEX MODEL

Sharpe's Model suggests that the connection between each match of securities can
be implication be estimated by contrasting every security with a typical factor
'showcase execution record' that is shared among every one of the securities. This
structures the pith of Sharpe's Model which has made monetary investigators and
specialists to think of it as better than the Markowitz Model.
CONSTRUCTION OF AN OPTIMAL PORTFOLIO USING

SINGLE INDEX MODEL:
The greater part of the stock costs over some undefined time frame move with the
market record. Reserve administrators do choice of securities in light of the
administration proficiency and security examination which is finished considering
different parameters like the turnover of organization, its overall revenue, DPS,
EPS, quantifiable profit and so forth. The rate of return of the stocks incorporated
into portfolio, utilizing day by day shutting costs of each organization is registered
utilizing the recipe:
Ri=(Pt-Po)/Po*100
Where, Pt= current year value Po = earlier year cost.
The rate of return of the Sensex index may be computed using daily closing
points as under:
Rm=(Pt-Po)/Po*100
Where, Pt= current year price. Po = previous year price.
Beta, to evaluate the risk.

Β=(rm-Rm)(ri-Ri)/(rm-Rm)2
Where, β = beta Rm= return of market index m = mean of market index Ri = return
of individual stock i = mean of individual stock

The excess return to Beta is computed using following formula:

Ri-Rf/β
The securities are ranked according to this ratio.
The variance of the index movement is computed as under:

Ϭ2=∑(rm-Rm)/N-1
The variance of the Stock price movement is computed as under:

Ϭ2=∑(ri-Ri)2/N-1
The systematic and unsystematic risks are computed as under:

Systematic risk = β2 σ2m
Unsystematic risk = σ2ei - Systematic risk
Ci values for all the stocks according to the ranked order is computed using
the following formula:
σ2 ei = unsystematic risk β = beta value of individual security σm = market index

risk Ri-Rf = excess return.
LIMITATIONS OF SINGLE INDEX MODEL:

 The Single Index Model proposed by William Sharpe does not consider
vulnerability in the market as time advances; rather the model advances for
a solitary point in time.
 This model accept that security costs move together simply because of
regular co-development with the market. In any case, there are impacts past

the general business and economic situations, similar to industry-arranged

variables that likewise impact development of securities together.
LITERATURE REVIEW
J. Francis Mary, G. Rathika
Risk and return plays an vital role in building any investment decisions. Decision
include Investment should be done or not and which securities should be included
in portfolio. shaping competent portfolios within an asset class (e.g., stocks) can be
achieved with the Single index (beta) model proposed by Sharpe. Sharpe's single-
index model was applied by using the monthly closing prices of 10 companies
listed in NSE and CNX PHARMA price index for the period from September 2010
to September 2014.
This study aims at analyzing the chance that are available for investors as per as
returns are alarmed and the investment of risk thereof while investing in equity of
firms listed in the national stock exchange.
Niranjan Mandal
An endeavour is made here to get a knowledge into the thought embedd ed in
Sharpe's single list demonstrate and to develop an ideal portfolio exactly utilizing
this model. Taking BSE SENSEX as market execution file and considering every
day records alongside the day by day costs of inspected securities for the time of
April 2001 to March 2011, the proposed strategy details a one of a kind cut-off rate
and chooses those securities to develop an ideal portfolio whose abundance come
back to beta proportion is more noteworthy than the cut-off rate.
Chintan A. Shah
Portfolio is the mix of securities, for example, stocks, bonds and currency advertise
instruments. The way toward mixing together the wide resource classes so as to get
ideal come back with least hazard if called portfolio development. Expansion of
speculations spreads hazard over numerous advantages. Markowitz Model had
genuine viable confinements due the rigors engaged with incorporating the normal
returns, standard deviation, change, covariance of every security to each other

security in the portfolio. Sharpe Model has improved this procedure by relating the
arrival in a security to a solitary Market record.
Tanuj Nandan1 , Nivedita Srivastava
The development of an ideal portfolio has turned out to be progressively testing as

of late, as financial specialists hope to amplify returns and limit dangers from their
individual speculations. A financial specialist needs legitimate learning of security
investigation and portfolio hypothesis for settling on redress speculation choices.
The explanation behind picking SINGLE INDEX MODEL over the Markowitz
Model is that it requires less data sources and is less demanding to figure. It is
named as Single Index Model as it utilizes just a solitary record for portfolio
development.
M Sathyapriya
An assessment between the different accessible resources is at first sight. A most

regularly utilized business as usual is the normal come back to-chance exchange
off as figured by the Sharpe Index Model. This examination shows an investigation
of four years' advantage esteem, from 2008 to 2012, of organizations picked from
Infrastructure and Pharmaceutical segments. This investigation goes for assessing
the portfolio execution, subsequently drawing out the ideal blend of advantages for
be put resources into before said two divisions. It is done essentially by positioning
the picked resources in light of abundance come back to beta proportion and after
that discovering the cut off point (Ci), accordingly the ideal mix of the benefits.
LAXMI KANTA GIRI Dr. GAYADHAR PARHI
Investment decision requires reflection of two parameters - risk and return, under
modern portfolio theory. The same is suitable both for selecting an individual
security as well as a portfolio comprising of securities. In this paper the author
attempts to construct an optimum portfolio with the help of Sharpe‟s single index
model. The daily closing prices of all 50 stocks along with the Nifty Index were
considered for the period of one year. i.e. from 1 st January 2015 to 31st December
2015. Results from the analysis shows that out of 50 stocks, only 5 stocks were
incorporated in the optimum portfolio.

Dr Kavitha Lal, Dr S.R. Subba Rao
Investment in stocks might be made separately or through portfolio administrators.

This investigation endeavors at choosing an ideal portfolio for interest in Indian
value stocks having a place with particular monetary divisions. In this paper, an
ideal arrangement of financial parts in India, in which the speculations could be
made, has been developed, utilizing Sharpe's record model and Treynor's list as
proper.
Pratibha Jenifer Andrade
(I) To build an ideal portfolio by actualizing Sharpe's single list

demonstrates.
(II) To know the extent of every security in the ideal portfolio. This paper
goes for building up an ideal arrangement of value of IT part, through
Sharpe's Single Index Model. For the examination, six top performing
IT organizations exchanged BSE were taken and the ideal portfolio was
developed with 5 organizations.
Dr. Poornima S, Aruna P Remesh
The investigation center around ideal portfolio development utilizing Sharpe's

single list show with uncommon reference to chose parts such as keeping money,
car and monetary divisions. For this reason an example of fifteen organizations
have been taken. Five organizations from every division recorded in NSE been
chosen .Calculating the cut-off qualities utilizing all the gathered information.
Based on the cut-off qualities to know which securities are performing great and
which are performing low in the market .

CHAPTER 3
RESEARCH DESIGN
PROBLEM STATEMENT
“To construct an optimal portfolio using Sharpe Index Model for NSE T OF
NIFTY 50 securities”
A speculator considering interest in securities is looked with the issue of browsing
among an extensive number of securities and how to apportion those assets over a
gathering of securities. The obstacle that exists is that the speculator has an issue of
choosing which securities to hold and the amount to put resources into every one
of them. In spite of the fact that Markowitz Model empowers a speculator to touch
base at an ideal portfolio, the Single list display is useful in dodging the trouble of
information and time cost thought. Along these lines, the present investigation is
entitled, "Ideal Portfolio Construction utilizing Sharpe's Single Index Model-“A
Study of Selected Stocks from NSE".
NEED FOR THE STUDY
Each speculator experiences disarray while choosing securities for his portfolio. He
additionally faces quandary while choosing about the extent of business enterprise
to be made in every security. To enable financial specialists to escape such
turbulent circumstances the Sharpe's Single Index model might be utilized to
develop an ideal portfolio. This encourages the speculator to discover a portfolio
that best suits his needs. The present investigation is attempted to demonstrate that
by applying this model an individual can develop a portfolio with greatest return
for a given level of hazard.
OBJECTIVES OF THE STUDY

The following are the objectives of the study:
o To get a functional learning with regards to the thought implanted in
Sharpe's record display.

o To develop an ideal portfolio exactly utilizing the Sharpe's Single

Index Model
o To ascertain the extent of enterprise to be made into every one of the
stock that is incorporated into the ideal portfolio.
o To construct an optimal portfolio using Sharpe Index Model.
o To analyze the Portfolio risk and Portfolio return of stocks listed at NSE.
SCOPE OF THE STUDY
The objective financial specialists never disregard the hazard factor while taking
speculation choices. The speculators like to put resources into a gathering of
securities which is known as a portfolio keeping in mind the end goal to enhance
the hazard. There are diverse speculation roads for financial specialists to
contribute. While some venture roads include gigantic hazard others might be
either less unsafe or hazard less roads. Along these lines, it is basic to teach the
speculator about the venture choices and the hazard and come back from those
speculations. As the extent of venture roads with shifting degrees of hazard is
immense, the extent of the present examination is identifying with value portfolio
development with chose stocks from the BSE.
RESEARCH METHODOLOGY
The study is empirical in nature. The study is based on secondary source and the
data required for this study was obtained from the website www.NSE.com. The
steps followed are
i). Estimate the return on stock. The equation to be used
Ri=(Pt-Po)/Po*100
Where, Pt = current year price Po = previous year price.
ii). Next, find excess return to beta ratio for each security
EXCESS RETURN TO BETA RATIO=(Ri-Rf)/βi
where,
Ri = the expected return of stock i ,Rf = risk free rate of return, β i = systematic
risk of stock

i). As a next step, arrange all the securities in ascending order and then calculate
the ‘Cut-off rate’ ‘C’i by using following equation:
Where,
σ 2 m = variance of the market index
σ 2ei = variance of stock movement that is not associated with the movement of
market index i.e. stocks’ unsystematic risk
The point will be selected as cut off point after which cumulative value of Ci start
declining. Those securities which have value of Ci more or equal to cut off point
will be selected in optimum portfolio.
HYPOTHESIS
The Sharpe’s Single Index Model is based on the following assumptions:
1. The lists, to which the profits of every security are connected, are probably
going to be a few securities' market intermediary.
2. The irregular unsettling influence terms 'ei' has a normal esteem zero (0)
and a limited difference. It isn't related with the arrival on showcase
portfolio (Rm) and also with the mistake term (ei) for some other
securities.

SNAPSHOT OF METHODOLOGY
Type of research used Descriptive and analytical design
Research instrument Tables
Sampling universe Companies listed on the NSE
Sample size Sector wise indices in NSE of 50
companies
Sampling technique Non random sampling
Availability sampling
Sample period 1 Jan 2017 to 31st Dec 2017
st
Sample scope NIFTY STOCK

Statistical tools β, Ϭ, ∑, Standard deviation, single index
model, Residual variance
Data source: websites www.nseindia.com, www.kotak.com,
risk free value taken from RBI.org.in,
www.moneycontrol.com
LIMITATIONS OF THE STUDY
The limitations of the present study are:

1. The study uses monthly data
2. Only 50 companies have been selected for conducting this study.
3. The results of the study may not be universally applicable
Chapter 4

Analysis and Interpretation
Tools for Analysis: In this research, statistical tools such as Variance(Standard

Variance), Expected return, Residual variance, Sharpe Model.
Parameter Estimates:
JANUARY
1- 01- 2017 Data
Sr. Security Bet Volatility Monthly Residual
1 ADANIPORT 1.4 1.88 5.72 159.5141568
2 AMBUJACEM 0.9 1.19 3.77 67.52083664
3 ASIANPAINT 0.8 1.08 2.61 56.20067856
4 AUROPHAR 1.1 1.27 8.49 109.8574389
5 AXISBANK 1.1 1.45 5.26 102.2088697
6 BAJAJ AUTO 0.9 0.94 0.11 64.815881
7 BAJFINANCE 1.3 1.65 4.49 152.9493824
8 BPCL 1 1.48 4.91 79.7001
9 BHARTIART 1.0 1.98 16.95 94.47007681
10 INFRATEL 0.7 1.92 7.18 47.46997284
11 BOSCHLTD 0.8 0.83 3.8 63.47275721
12 CIPLA 0.7 1.17 2.69 39.75288841
13 COALINDIA 0.6 2.07 13.92 30.15038169
14 DRREDDY 0.6 2.05 7.82 27.174836
15 EICHERMOT 1.1 1.78 11.26 98.24200121
16 GAIL 0.8 1.73 4.21 62.57275721
17 HCLTECH 0.2 1.51 10.79 3.97777476
18 HDFCBANK 0.6 0.81 7.12 37.83984561
19 HEROMOTO 0.8 0.94 2.48 59.10080196
20 HINDALCO 1.8 1.6 6.36 270.2640369
21 HINDPETRO 1.1 2.03 4.99 105.3306823
22 HINDUNILVR 0.8 0.93 0.11 56.35067856
23 HDFC 1 1.7 14.38 79.4801
24 ITC 1.2 1.2 3.1 121.6173733
25 ICICIBANK 1.5 1.63 12.4 201.0280016
26 IBULHSGFIN 1.2 1.9 16.24 126.9815268
27 IOC 0.8 1.31 7.48 53.27549924
28 INDUSINDBK 0.9 1.21 6.32 66.01524081
29 INFY 0.7 1.4 10.38 44.26380625
30 KOTAKBAN 0.6 1.08 9.78 37.56984561
31 LT 1.3 1.09 12.58 142.5094789
32 LUPIN 0.6 1.46 0.15 34.98174689
33 M&M 0.9 0.89 1.59 64.865881
34 MARUTI 1.0 1.11 2.26 88.39106025
35 NTPC 0.6 0.67 3.81 34.69205156
36 ONGC 0.6 1.64 4.23 34.80174689
37 POWERGRID 0.4 0.65 3.27 18.05389504
38 RELIANCE 1.0 1.37 4.37 91.57309649

39 SBIN 1.7 1.98 1.08 252.3491353

40 SUNPHARMA 1.0 1.1 1.53 83.35977604
41 TCS 0.3 1.89 15.22 5.416209
42 TATAMOTOR 1.6 1.37 7.49 206.451056
43 TATASTEEL 1.5 1.8 2.15 203.4314108
44 TECHM 0.5 1.31 21.55 24.14807936
45 UPL 1.1 2.08 1.4 101.5788697
46 ULTRACEMC 1.0 1.33 1.42 91.61309649
47 VEDL 1.8 1.68 3.17 285.2429454
48 WIPRO 0.3 1.81 3.04 6.50284224
49 YESBANK 1.2 1.52 12.45 117.3357844
50 ZEEL 0.8 1.48 2.05 51.78226361
Interpretations: From above table, we can say that the securities whose Beta
values are greater than 1 are highly sensitive and also we can examine that the
highly sensitive securities have high return along with high Beta. For e.g Securities
like Adani Ports and Special Economic Zone Ltd., Aurobindo Pharma Ltd, Axis
Bank Ltd, Bharti Airtel Ltd.etc are bearing high risk and also earning high return
as compare to others.
Construction of an optimal portfolio

Step 1 : Find out the “ excess return to beta ” ratio for each stock under
consideration.
Securities must be ranked from the highest return to beta to the lowest
Security Ri Βi Ri Rf Ri RV Ri βi2/ϭ2
ADANIPORT 5.72 1.4 0.470 0.3339 159.51415 0.0041615 0.012
AMBUJACE 3.77 0.9 9.960 10.827 67.520836 0.1357201 0.012
ASIANPAIN 2.61 0.8 8.800 10.477 56.200678 0.1315406 0.012
AUROPHAR 8.49 1.1 14.68 12.547 109.85743 0.1563529 0.012
AXISBANK 5.26 1.1 0.930 0.8237 102.20886 0.0102907 0.012
BAJAJ 0.11 0.9 6.080 6.7564 64.815881 0.0844348 0.012
BAJFINANC 4.49 1.3 10.68 7.7397 152.94938 0.0963685 0.012
BPCL 4.91 1 11.10 11.100 79.7001 0.1392821 0.012
BHARTIART 16.9 1.0 23.14 21.230 94.470076 0.2669995 0.012
INFRATEL 7.18 0.7 13.37 17.142 47.469972 0.2197014 0.012
BOSCHLTD 3.8 0.8 9.990 11.225 63.472757 0.1400886 0.012
CIPLA 2.69 0.7 8.880 12.508 39.752888 0.1586140 0.012
COALINDIA 13.9 0.6 7.729 12.268 30.150381 0.1615036 0.013
DRREDDY 7.82 0.6 14.01 23.351 27.174836 0.3093479 0.013
EICHERMO 11.2 1.1 17.45 15.721 98.242001 0.1971701 0.012
GAIL 4.21 0.8 10.40 11.686 62.572757 0.1479351 0.012

HCLTECH 10.7 0.2 4.599 17.689 3.9777747 0.3006183 0.016

HDFCBANK 7.12 0.6 0.929 1.3466 37.839845 0.0169437 0.012
HEROMOTO 2.48 0.8 8.670 10.082 59.100801 0.1261723 0.012
HINDALCO 6.36 1.8 12.55 6.8583 270.26403 0.0849834 0.012
HINDPETRO 4.99 1.1 11.18 9.7224 105.33068 0.1220719 0.012
HINDUNILV 0.11 0.8 6.080 7.2390 56.350678 0.0906443 0.012
HDFC 14.3 1 8.189 8.1892 79.4801 0.1030345 0.012
ITC 3.1 1.2 3.090 2.5128 121.61737 0.0312593 0.012
ICICIBANK 12.4 1.5 6.209 3.9298 201.02800 0.0488018 0.012
IBULHSGFI 16.2 1.2 10.04 7.9755 126.98152 0.0997152 0.012
IOC 7.48 0.8 1.289 1.5721 53.275499 0.0198429 0.012
INDUSINDB 6.32 0.9 0.129 0.1419 66.015240 0.0017809 0.012
INFY 10.3 0.7 4.189 5.5856 44.263806 0.0709812 0.012
KOTAKBAN 9.78 0.6 3.589 5.2017 37.569845 0.0659185 0.012
LT 12.5 1.3 6.389 4.8039 142.50947 0.0596285 0.012
LUPIN 0.15 0.6 6.340 9.4638 34.981746 0.1214443 0.012
M&M 1.59 0.9 4.600 5.112 64.865881 0.0638351 0.012
MARUTI 2.26 1.0 8.450 8.0483 88.391060 0.1003873 0.012
NTPC 3.81 0.6 10.00 15.152 34.692051 0.1902605 0.012
ONGC 4.23 0.6 1.960 2.9265 34.801746 0.0377491 0.012
POWERGRI 3.27 0.4 9.460 19.71 34.801746 0.2515348 0.012
RELIANCE 4.37 1.0 1.820 1.7016 18.053895 0.0212754 0.012
SBIN 1.08 1.7 5.110 2.8874 252.34913 0.0358476 0.012
SUNPHARM 1.53 1.0 4.660 4.5694 83.359776 0.0570300 0.012
TCS 15.2 0.3 9.029 30.097 5.416209 0.5001210 0.016
TATAMOTO 7.49 1.6 13.68 8.5505 206.45105 0.1060264 0.012
TATASTEEL 2.15 1.5 4.040 2.5413 203.43141 0.0315824 0.012
TECHM 21.5 0.5 15.35 27.427 24.148079 0.3561836 0.012
UPL 1.4 1.1 7.590 6.7175 101.57886 0.0844427 0.012
ULTRACEM 1.42 1.0 4.770 4.4586 91.613096 0.0557208 0.012
VEDL 3.17 1.8 3.020 1.6068 285.24294 0.0199097 0.012
WIPRO 3.04 0.3 9.230 28.846 6.5028422 0.4542407 0.015
YESBANK 12.4 1.2 6.259 5.1728 117.33578 0.0645466 0.012
ZEEL 2.05 0.8 4.140 5.1121 51.782263 0.0647721 0.012
Ranked table
Ra Ri Ri Σ(Ri Σβi2/ϭ
nk Security Rf/βi Rf/ϭ2ei* Rf)/ϭ2ei*βi βi2/ϭ2ei 2ei Ci
1 TCS 30.09 0.500121 0.5001210 0.01661 0.016 2.371
2 TECHM 27.42 0.356183 0.8563047 0.01298 0.029 4.066
3 HCLTECH 17.68 0.300618 1.1569230 0.01699 0.046 5.524
4 COALINDI 12.26 0.161503 1.3184266 0.01316 0.059 6.325
5 HDFC 8.189 0.103034 1.4214612 0.01258 0.072 6.856
6 IBULHSGF 7.975 0.099715 1.5211764 0.01250 0.084 7.371
7 INFY 5.585 0.070981 1.5921577 0.01270 0.097 7.755
8 KOTAKBA 5.201 0.065918 1.6580762 0.01267 0.110 8.116
9 NK
YESBANK 739
5.172 504 1.7226228
0.064546 42 0.01247
2397 0.122
23 8.470
509

10 LT 4.803 0.059628 1.7822514 0.01241 0.135 8.800

11 ICICIBAN 3.929 0.048801 1.8310532 0.01241 0.147 9.081
12 IOC 1.572 0.019842 1.8508962 0.01262 0.160 9.230
13 HDFCBAN 1.346 0.016943 1.8678399 0.01258 0.172 9.366
14 INDUSIND 0.141 0.001780 1.8696209 0.01254 0.185 9.432
15 ADANIPO 0.333 0.004161 1.8654594 0.01246 0.197 9.470
16 AXISBAN 0.823 0.010290 1.8551686 0.01249 0.210 9.480
17 VEDL 1.606 0.019909 1.8352589 0.01239 0.222 9.445
18 RELIANC 1.701 0.021275 1.8139835 0.01250 0.235 9.405
19 ITC 2.512 0.031259 1.7827241 0.01243 0.247 9.319
20 TATASTE 2.541 0.031582 1.7511416 0.01242 0.26 9.231
21 SBIN 2.887 0.035847 1.7152940 0.01241 0.272 9.123
22 ONGC 2.926 0.037749 1.6775449 0.01289 0.285 9.009
23 ULTRACE 4.458 0.055720 1.6218241 0.01249 0.297 8.811
24 SUNPHAR 4.569 0.057030 1.5647940 0.01248 0.310 8.606
25 M&M 5.112 0.063835 1.5009589 0.01248 0.322 8.370
26 ZEEL 5.112 0.064772 1.4361867 0.01267 0.335 8.131
27 UPL 6.717 0.084442 1.3517439 0.01257 0.348 7.801
28 BAJAJ 6.756 0.084434 1.2673091 0.01249 0.360 7.471
29 HINDALC 6.858 0.084983 1.1823256 0.01239 0.372 7.138
30 HINDUNIL 7.239 0.090644 1.0916813 0.01252 0.385 6.779
31 BAJFINAN 7.739 0.096368 0.9953127 0.01245 0.397 6.394
32 MARUTI 8.048 0.100387 0.8949254 0.01247 0.410 5.991
33 TATAMOT 8.550 0.106026 0.7888990 0.01240 0.422 5.561
34 LUPIN 9.463 0.121444 0.6674546 0.01283 0.435 5.062
35 HINDPET 9.722 0.122071 0.5453827 0.01255 0.448 4.560
36 HEROMO 10.08 0.126172 0.4192103 0.01251 0.460 4.038
37 ASIANPAI 0.477 0.131540 0.2876697 0.01255 0.473 3.492
38 AMBUJAC 10.82 0.135720 0.1519496 0.01253 0.485 2.927
39 BPCL 11.10 0.139282 0.0126674 0.01254 0.498 2.345
40 BOSCHLT 11.22 0.140088 0.1274211 0.01247 0.510 1.759
41 GAIL 11.68 0.147935 0.2753563 0.01265 0.523 1.138
42 CIPLA 12.50 0.158614 0.4339704 0.01268 0.536 0.468
43 AUROPHA 12.54 0.156352 0.5903233 0.01246 0.548 0.191
44 NTPC 15.15 0.190260 0.7805839 0.01255 0.561 1.007
45 EICHERM 15.72 0.197170 0.9777540 0.01254 0.573 1.854
46 INFRATEL 17.14 0.219701 1.1974555 0.01281 0.586 2.804
47 POWERGR 19.71 0.251534 1.4489903 0.01276 0.599 3.900
48 BHARTIA 21.23 0.266999 1.7159899 0.01257 0.611 5.068
49 DRREDDY 23.35 0.309347 2.0253379 0.01324 0.625 6.427
50 WIPRO 28.84 0.454240 2.4795787 0.01574 0.640 8.439
Proceed to calculate Ci for all the stocks according to the ranked order using
the following formula.

σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=9.48022
The cumulated values of Ci start declining after a particular Ci and that point
is taken as cut off point and that stock ratio is the cut off point C.
According to highest C*, the optimal portfolio consists of following securities.
TCS, TECHM, HCLTECH, COALINDIA, HDFC, IBULHSGFIN, INFY,

KOTAKBANK, YESBANK, ICICIBANK,LT,IOC, HDFCBANK,
INDUSINDBK, ADANIPORTS,AXISBANK
FEBRUARY
1-02-2017
Sr. Security Symbol Beta Volatility Monthly Residual

1 ACC 1.04 1.76 0.14 86.04439616
2 ADANIPORTS 1.65 1.47 2.86 219.5428223
3 AMBUJACEM 1.23 1.55 0.13 121.2673733
4 ASIANPAINT 0.84 1.22 5.51 56.06067856
5 AUROPHARMA 1.15 2.17 0.67 105.1906823
6 AXISBANK 1.25 1.92 8.72 124.9239063
7 BAJAJ AUTO 0.9 0.68 2.74 65.075881
8 BANKBARODA 1.44 3.18 0.09 165.1550554
9 BHEL 1.39 2.23 18.53 154.6180712
10 BPCL 0.82 1.96 1.7 52.62549924
11 BHARTIARTL 0.82 1.62 4.87 52.96549924
12 INFRATEL 0.56 2.06 3.25 23.39807936
13 BOSCHLTD 1.13 1.68 2.47 101.9788697
14 CIPLA 0.56 1.47 1.45 23.98807936
15 COALINDIA 0.63 1.47 4.11 30.75038169
16 DRREDDY 0.51 1.12 5.59 19.99494401
17 EICHERMOT 0.98 1.78 4.78 76.18536804
18 GAIL 0.88 1.49 10.41 61.37586944
19 GRASIM 1.09 1.76 8.75 94.69007681
20 HCLTECH 0.57 0.97 3.57 25.40541449
21 HDFCBANK 0.75 1.1 8.04 44.56380625
22 HEROMOTOCO 1.09 1.42 1.08 95.03007681
23 HINDALCO 1.74 1.91 2.95 243.8708708
24 HINDUNILVR 0.59 0.84 1.23 27.41879281
25 HDFC 1.1 1 0.31 97.227921
26 ITC 1.05 1.47 1.59 88.03106025
27 ICICIBANK 1.75 1.61 2.75 247.0040563
28 IDEA 0.8 2.5 5.22 49.455264
29 INDUSINDBK 1.09 1.42 4.84 95.03007681
30 INFY 0.72 1.33 9.02 40.75376384

31 KOTAKBANK 0.81 0.87 3.61 52.39226361

32 LT 1.29 0.96 1.59 134.1318044
33 LUPIN 0.82 0.97 0.23 53.61549924
34 M&M 0.94 1.54 5.81 70.19073636
35 MARUTI 1.32 1.55 0.48 139.8982062
36 NTPC 0.79 1.21 5.45 49.45450041
37 ONGC 0.63 0.92 4.44 31.30038169
38 POWERGRID 0.74 1.18 7.26 43.27422276
39 RELIANCE 0.69 2.74 18.45 35.90984561
40 SBIN 1.54 1.14 3.4 191.3867252
41 SUNPHARMA 0.7 2.05 7.52 37.728249
42 TCS 0.68 1.8 10.6 35.73767824
43 TATAMTRDVR 1.62 2.9 17.1 210.1490544
44 TATAMOTORS 1.77 2.78 12.76 251.5491353
45 TATAPOWER 0.97 1.16 3.51 75.22235609
46 TATASTEEL 1.62 1.58 4.24 211.4690544
47 TECHM 1.08 1.59 10.44 93.09846864
48 ULTRACEMCO 1.17 1.02 2.17 110.1074389
49 WIPRO 0.55 0.8 6.72 23.75698025
50 YESBANK 1.38 1.21 4.06 153.3893824
51 ZEEL 1.04 1.61 4.15 86.19439616
values are greater than 1 are highly sensitive and also we can observe that the
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, yesbanketc..
consideration.
Securities have to be ranked from the highest return to beta to the lowest
ACC 0.1 1.0 6.330 6.0873 86.044396 0.0765190 0.012
ADANIPORT 2.86 1.6 3.330 2.0186 219.54282 0.0250330 0.012
AMBUJACE 0.13 1.2 6.060 4.9274 121.26737 0.0614739 0.012
ASIANPAIN 5.51 0.8 0.680 0.8104 56.060678 0.0102009 0.012
AUROPHAR 0.67 1.1 6.860 5.9659 105.19068 0.0750058 0.012
AXISBANK 8.72 1.2 2.529 2.0233 124.92390 0.0253074 0.012
BAJAJ 2.74 0.9 8.930 9.9231 65.075881 0.1235130 0.012
BANKBARO 0.09 1.4 6.100 4.2366 165.15505 0.0531933 0.012
BHEL 18.5 1.3 12.33 8.8771 154.61807 0.1109280 0.012
BPCL 1.7 0.8 7.890 9.6229 52.625499 0.1229528 0.012
BHARTIART 4.87 0.8 1.320 1.6107 52.965499 0.0204483 0.012
INFRATEL 2.25 0.5 9.440 16.858 23.398793 0.2259522 0.013
BOSCHLTD 2.47 1.1 8.660 7.6644 101.97886 0.0959679 0.012

CIPLA 1.45 0.5 4.740 8.4657 23.988079 0.1106736 0.013

COALINDIA 4.11 0.6 2.080 3.3028 30.750381 0.0426304 0.012
DRREDDY 5.59 0.5 11.78 23.099 19.994944 0.3004863 0.013
EICHERMO 4.78 0.9 1.410 1.4395 76.185368 0.0181476 0.012
GAIL 10.4 0.8 4.219 4.7945 61.375869 0.0604943 0.012
GRASIM 8.75 1.0 2.559 2.3478 94.690076 0.0294595 0.012
HCLTECH 3.57 0.5 2.620 4.5978 5.4054144 0.0588006 0.012
HDFCBANK 8.04 0.7 1.849 2.4656 44.563806 0.0311216 0.012
HEROMOTO 1.08 1.0 7.270 6.6704 95.030076 0.0833964 0.012
HINDALCO 2.95 1.7 9.140 5.2533 243.87087 0.0652189 0.012
HINDUNILV 1.23 0.5 4.960 8.4081 27.418792 0.1067469 0.012
HDFC 0.31 1.1 5.880 5.3461 97.227921 0.0665331 0.012
ITC 1.59 1.0 4.600 4.3817 88.031060 0.0548765 0.012
ICICIBANK 2.75 1.7 3.440 1.9661 247.00405 0.0243777 0.012
IDEA 5.22 0.8 0.970 1.2135 49.455264 0.0157038 0.012
INDUSINDB 4.84 1.0 1.350 1.2392 95.030076 0.0154937 0.012
INFY 9.02 0.7 2.829 3.9294 40.753763 0.0499837 0.012
KOTAKBAN 3.61 0.8 2.580 3.1861 52.392263 0.0398999 0.012
LT 1.59 1.2 4.600 3.5665 134.13180 0.0442477 0.012
LUPIN 0.23 0.8 5.960 7.2692 53.615499 0.0911649 0.012
M&M 5.81 0.9 0.380 0.4051 70.190736 0.0050997 0.012
MARUTI 0.48 1.3 5.710 4.3263 139.89820 0.0538838 0.012
NTPC 5.45 0.7 11.64 14.735 49.454500 0.1859533 0.012
ONGC 4.44 0.6 10.63 16.874 31.300381 0.2139719 0.012
POWERGRI 7.26 0.7 13.45 18.176 43.274222 0.2300120 0.012
RELIANCE 18.4 0.6 12.25 17.766 35.909845 0.2355579 0.013
SBIN 3.4 1.5 2.790 1.8122 191.38672 0.0224562 0.012
SUNPHARM 7.52 0.7 1.329 1.8988 37.728249 0.0246616 0.012
TCS 10.6 0.6 4.409 6.4841 35.737678 0.0838962 0.012
TATAMTRD 17.1 1.6 23.29 14.377 210.14905 0.1795444 0.012
TATAMOTO 12.7 1.7 18.95 10.706 251.54913 0.1333453 0.012
TATAPOWE 3.51 0.9 2.680 2.7637 75.222356 0.0345691 0.012
TATASTEEL 4.24 1.6 1.950 1.2042 211.46905 0.0149444 0.012
TECHM 10.4 1.0 4.249 3.9344 93.098468 0.0492933 0.012
ULTRACEM 2.17 1.1 4.020 3.4365 110.10743 0.0427249 0.012
WIPRO 6.72 0.5 0.529 0.9621 23.756980 0.0122515 0.012
YESBANK 4.06 1.3 2.130 .54406 153.38938 0.0191701 0.012
ZEEL 4.15 1.0 2.040 1.9623 86.194396 0.0246237 0.012
Ranked table
Ra Security Ri Ri Σ(Ri βi2/ϭ Σβi2/ϭ Ci

nk Rf/βi Rf/ϭ2ei* Rf)/ϭ2ei*βi 2ei 2ei
1 RELIANCE 17.76 0.235557 0.23555790 0.013 0.013 0.92559

2 BHEL 8.877 0.110928 0.34648599 0.012 0.025 1.38473
3 TCS 6.484 0.083896 0.43038221 0.012 0.038 1.74495
4 GAIL 4.794 0.060494 0.49087661 0.012 0.051 2.01693
5 TECHM 3.934 0.049293 0.54016996 0.012 0.063 2.24691
6 INFY 3.929 0.049983 0.59015366 0.012 0.076 2.48017
7 HDFCBAN 2.465 0.031121 0.62127533 0.012 0.089 2.6429
8 K
GRASIM 2.3476 668
0.029459 0.650734897 62
0.012 18
0.101 2.79916
9 AXISBAN 2.023 0.025307 0.67604230 0.012 0.114 2.93983
10 SUNPHAR 1.898 0.024661 0.70070393 0.012 0.127 3.07989
11 WIPRO 0.962 0.012251 0.71295548 0.012 0.139 3.17283
12 M&M 0.405 0.005099 0.70785578 0.012 0.152 3.20069
13 ASIANPAI 0.810 0.010200 0.69765483 0.012 0.165 3.20956
14 TATASTE 1.204 0.014944 0.68271035 0.012 0.177 3.20014
15 IDEA 1.213 0.015703 0.66700646 0.012 0.190 3.18986
16 INDUSIND 1.239 0.015493 0.65151271 0.012 0.202 3.17873
17 EICHERM 1.439 0.018147 0.63336508 0.012 0.215 3.15812
18 YESBANK 1.544 0.019170 0.61419489 0.012 0.228 3.13299
19 BHARTIA 1.610 0.020448 0.59374656 0.012 0.240 3.10415
20 SBIN 1.812 0.022456 0.57129029 0.012 0.253 3.06670
21 ZEEL 1.962 0.024623 0.54666650 0.012 0.265 3.02178
22 ICICIBAN 1.966 0.024377 0.52228877 0.012 0.278 2.97722
23 ADANIPO 2.018 0.025033 0.49725575 0.012 0.290 2.93023
24 TATAPOW 2.763 0.034569 0.46268655 0.012 0.302 2.84816
25 KOTAKBA 3.186 0.039899 0.42278662 0.012 0.315 2.74632
26 COALINDI 3.302 0.042630 0.38015612 0.012 0.328 2.63575
27 ULTRACE 3.436 0.042724 0.33743116 0.012 0.340 2.52306
28 LT 3.566 0.044247 0.29318340 0.012 0.353 2.40461
29 BANKBAR 4.236 0.053193 0.23999004 0.012 0.365 2.25344
30 MARUTI 4.326 0.053883 0.18610618 0.012 0.378 2.09932
31 ITC 4.381 0.054876 0.13122964 0.012 0.390 1.94177
32 HCLTECH 4.597 0.058800 0.07242894 0.012 0.403 1.77061
33 AMBUJAC 4.927 0.061473 0.01095500 0.012 0.416 1.58833
34 HINDALC 5.253 0.065218 0.05426390 0.012 0.428 1.39190
35 HDFC 5.346 0.066533 0.12079705 0.012 0.440 1.19069
36 AUROPHA 5.965 0.075005 0.19580294 0.012 0.453 0.95844
37 ACC 6.087 0.076519 0.27232195 0.012 0.466 0.72055
38 HEROMOT 6.670 0.083396 0.35571841 0.012 0.478 0.456
39 LUPIN 7.269 0.091164 0.44688339 0.012 0.491 0.164
40 BOSCHLT 7.664 0.095967 0.54285135 0.012 0.503 0.146
41 HINDUNIL 8.408 0.106746 0.64959828 0.012 0.516 0.495
42 CIPLA 8.465 0.110673 0.76027192 0.013 0.529 0.859
43 BPCL 9.622 0.122952 0.88322478 0.012 0.542 1.268
44 BAJAJ 9.923 0.123513 1.00673782 0.012 0.554 1.682
45 TATAMOT 0.706 0.133345 1.14008321 0.012 0.567 2.131
46 TATAMTR 14.37 0.179544 1.31962766 0.012 0.579 2.753
47 NTPC 14.73 0.185953 1.50558105 0.012 0.592 3.398
48 INFRATEL 16.85 0.225952 1.73153327 0.013 0.605 4.188

49 ONGC 16.87 0.213971 1.94550523 0.012 0.618 4.937

50 POWERGR 18.17 0.230012 2.17551726 0.012 0.630 5.746
51 DRREDDY 23.09 0.300486 2.47600362 0.013 0.643 6.815
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=3.209567
RELIANCE, BHEL,TCS,GAIL, TECHM,INFY,HDFCBANK,

GRASIM,AXISBANK, SUNPHARMA,WIPRO,M&M, ASIANPAINT
MARCH
01-03-2017

1 ACC 1.04 0.81 12.48 86.99439616
2 ADANIPORTS 1.66 1.99 3.5 221.7098836
3 AMBUJACEM 1.3 0.96 3.91 136.234369
4 ASIANPAINT 0.95 1.29 4.37 71.97504025
5 AUROPHARMA 1.17 1.37 10.14 109.7574389
6 AXISBANK 1.18 1.39 3.84 111.6451712
7 BAJAJ AUTO 0.94 0.98 2.09 70.75073636
8 BANKBARODA 1.38 1.54 8.44 153.0593824
9 BPCL 0.89 1.31 10.68 62.99275721
10 BHARTIARTL 0.84 1.36 1.56 55.92067856
11 INFRATEL 0.53 2 8.84 20.80349009
12 BOSCHLTD 1.17 1.14 1.06 109.9874389
13 CIPLA 0.55 0.61 5.99 23.94698025
14 COALINDIA 0.61 1.63 5.47 28.57711521
15 DRREDDY 0.48 1.53 1.26 17.17389504
16 EICHERMOT 1.1 1.35 1.88 96.877921
17 GAIL 0.77 1.37 12.47 46.76168129
18 GRASIM 1.12 1.61 10.11 100.2223174
19 HCLTECH 0.54 1.03 6.93 22.64211716
20 HDFCBANK 0.77 0.81 7.21 47.32168129
21 HEROMOTOCO 1.01 1.16 3 81.65182001
22 HINDALCO 1.74 2.04 2.2 243.7408708
23 HINDUNILVR 0.63 1.08 2.54 31.14038169
24 HDFC 1.19 1.2 2.33 113.7591396

25 ITC 0.96 1.5 0.82 73.31558016

26 ICICIBANK 1.69 1.83 0.6 230.0284836
27 IBULHSGFIN 1.3 2.08 1.92 135.114369
28 IOC 1.1 1.07 13.69 97.157921
29 INDUSINDBK 1.1 0.88 1.39 97.347921
30 INFY 0.67 1.07 10.11 35.37174689
31 KOTAKBANK 0.85 0.91 3.41 57.74262225
32 LT 1.27 1.18 11.11 129.7553833
33 LUPIN 0.81 0.75 7.39 52.51226361
34 M&M 1.09 1.05 3.78 95.40007681
35 MARUTI 1.31 0.93 8.46 138.3831696
36 NTPC 0.83 1.2 0.9 54.72497089
37 ONGC 0.66 0.99 0.84 34.37205156
38 POWERGRID 0.78 0.74 5.42 48.64997284
39 RELIANCE 0.71 1.52 5.62 39.40288841
40 SBIN 1.46 1.24 1.24 171.8035012
41 SUNPHARMA 0.73 1.33 6.71 41.93087529
42 TCS 0.59 0.97 6.52 27.28879281
43 TATAMTRDVR 1.69 1.38 0.76 230.4784836
44 TATAMOTORS 1.74 1.42 1.49 244.3608708
45 TATAPOWER 1.02 0.91 6.7 83.54977604
46 TATASTEEL 1.61 1.76 6.93 208.6669372
47 TECHM 1.01 1.08 9.19 81.73182001
48 ULTRACEMCO 1.17 1.11 6.63 110.0174389
49 WIPRO 0.54 1.13 4.16 22.54211716
50 YESBANK 1.41 1.4 5.4 159.9941568
51 ZEEL 1.05 0.89 1.62 88.61106025
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, zeeletc.
consideration.
Securities have to be ranked from the highest return to beta to the lowest

ACC 12.4 1.0 6.289 6.0473 86.994396 0.0751860 0.012
ADANIPORT 3.5 1.6 9.690 5.8378 221.70988 0.0725575 0.012
AMBUJACE 3.91 1.3 2.280 1.7544 136.23436 0.0217642 0.012
ASIANPAIN 4.37 0.9 1.820 1.9166 71.975040 0.0240327 0.012
AUROPHAR 10.1 1.1 16.33 13.957 109.75743 0.1740842 0.012
AXISBANK 3.84 1.1 2.350 1.9922 111.64517 0.0248460 0.012
BAJAJ 2.09 0.9 4.100 4.3625 70.750736 0.0544835 0.012
BANKBARO 8.44 1.3 2.249 1.6298 153.05938 0.0202790 0.012
BPCL 10.6 0.8 4.489 5.0440 62.992757 0.0634261 0.012
BHARTIART 1.56 0.8 4.630 5.5128 55.920678 0.0695605 0.012
INFRATEL 8.84 0.5 2.649 4.9984 20.803490 0.0674923 0.013
BOSCHLTD 1.06 1.1 5.130 4.3853 109.98743 0.0545792 0.012
CIPLA 5.99 0.5 12.18 22.146 23.946980 0.2797613 0.012
COALINDIA 5.47 0.6 11.66 19.116 28.577115 0.2489085 0.013
DRREDDY 1.26 0.4 7.450 15.522 17.173895 0.2082453 0.013
EICHERMO 1.88 1.1 4.310 3.9189 96.877921 0.0489469 0.012
GAIL 12.4 0.7 6.279 8.1548 46.761681 0.1033962 0.012
GRASIM 10.1 1.1 3.919 3.4992 100.22231 0.0437976 0.012
HCLTECH 6.93 0.5 13.12 24.297 22.642117 0.3129226 0.012
HDFCBANK 7.21 0.7 1.019 1.3236 47.321681 0.0165840 0.012
HEROMOTO 3 1.0 3.190 3.1592 81.651820 0.0394689 0.012
HINDALCO 2.2 1.7 3.990 2.2935 243.74087 0.0284892 0.012
HINDUNILV 2.54 0.6 3.650 5.7949 31.140381 0.0738592 0.012
HDFC 2.33 1.1 3.860 3.2443 113.75913 0.0403866 0.012
ITC 0.82 0.9 7.010 7.3029 73.315580 0.0917999 0.012
ICICIBANK 0.6 1.6 5.590 3.3081 230.02848 0.0410751 0.012
IBULHSGFI 1.92 1.3 4.270 3.2852 135.11436 0.0410914 0.012
IOC 13.6 1.1 7.499 6.8174 97.157921 0.0849042 0.012
INDUSINDB 1.39 1.1 4.800 4.3643 97.347921 0.0542474 0.012
INFY 10.1 0.6 16.30 24.329 35.371746 0.3087643 0.012
KOTAKBAN 3.41 0.8 2.780 3.2715 57.742622 0.0409347 0.012
LT 11.1 1.2 4.919 3.8733 129.75538 0.0481473 0.012
LUPIN 7.39 0.8 13.58 16.766 52.512263 0.2094834 0.012
M&M 3.78 1.0 2.410 2.2117 95.400076 0.0275447 0.012
MARUTI 8.46 1.3 2.269 1.7322 138.38316 0.0214813 0.012
NTPC 0.9 0.8 7.090 8.5431 54.724970 0.1075443 0.012
ONGC 0.84 0.6 5.350 8.1072 34.372051 0.1027441 0.012
POWERGRI 5.42 0.7 0.770 0.9882 48.649972 0.0123581 0.012
RELIANCE 5.62 0.7 0.570 0.8039 39.402888 0.0102852 0.012
SBIN 1.24 1.4 7.430 5.0895 171.80350 0.0631475 0.012
SUNPHARM 6.71 0.7 12.90 17.672 41.930875 0.2245978 0.012
TCS 6.52 0.5 12.71 21.543 27.288792 0.2748150 0.012
TATAMTRD 0.76 1.6 6.950 4.1129 230.47848 0.0509672 0.012
TATAMOTO 1.49 1.7 7.680 4.4142 244.36087 0.0546920 0.012
TATAPOWE 6.7 1.0 12.89 12.638 83.549776 0.1573746 0.012
TATASTEEL 6.93 1.6 13.12 8.1495 208.66693 0.1012354 0.012
TECHM 9.19 1.0 15.38 15.228 81.731820 0.1900680 0.012
ULTRACEM 6.63 1.1 0.439 0.3753 110.01743 0.0046707 0.012

WIPRO 4.16 0.5 0.350 19.168 22.542117 0.2479550 0.012

YESBANK 5.4 1.4 0.790 0.5608 159.99415 0.0069691 0.012
ZEEL 1.62 1.0 7.810 7.4388 88.611060 0.0925543 0.012
Ranked table
Ra Ri Ri Σ(Ri βi2/ϭ Σβi2/ϭ

nk Security Rf/βi Rf/ϭ2ei*β Rf)/ϭ2ei*βi 2ei 2ei Ci
1 GAIL 8.960 0.147552 0.14755277 0.012 0.0126 0.4464
2 IOC 5.670 0.064203 0.21175629 0.012 0.0251 0.6177
3 ACC 3.740 0.044720 0.25647678 0.012 0.0375 0.7245
4 BPCL 9.200 0.129994 0.38647128 0.012 0.0501 1.1132
5 INFRATEL 8.459 0.215510 0.17096052 0.013 0.0636 0.3552
6 LT 0.999 0.009779 0.16118070 0.012 0.0760 0.2817
7 GRASIM 0.250 0.002802 0.16398343 0.012 0.0885 0.2495
8 MARUTI 4.620 0.043742 0.20772609 0.012 0.1009 0.3532
9 BANKBAR 1.560 0.014072 0.22179843 0.012 0.1134 0.3586
10 HDFCBAN 2.420 0.039390 0.26118875 0.012 0.1259 0.4476
11 ULTRACE 0.620 0.006602 0.26779075 0.012 0.1384 0.4282
12 YESBANK 0.279 0.002460 0.26533022 0.012 0.1508 0.3789
13 RELIANCE 0.499 0.008995 0.25633514 0.012 0.1636 0.3068
14 POWERGRI 3.510 0.056288 0.31262343 0.012 0.1761 0.4517
15 AMBUJAC 3.010 0.028730 0.34135363 0.012 0.1885 0.5058
16 AXISBANK 9.320 0.098513 0.43986702 0.012 0.2010 0.7906
17 ASIANPAI 1.380 0.018225 0.45809222 0.012 0.2135 0.8094
18 M&M 8.110 0.092670 0.55076271 0.012 0.226 1.0749
19 HINDALCO 0.390 0.002789 0.55355253 0.012 0.2384 1.0430
20 HEROMOT 3.520 0.043550 0.59710340 0.012 0.2509 1.1458
21 HDFC 3.449 0.036081 0.56102236 0.012 0.2633 0.9852
22 IBULHSGFI 8.319 0.080043 0.48097936 0.012 0.2758 0.6789
23 ICICIBANK 6.010 0.044160 0.52514020 0.012 0.2882 0.7839
24 KOTAKBA 2.549 0.037525 0.48761472 0.012 0.3008 0.6183
25 EICHERMO 0.150 0.001712 0.48932697 0.012 0.3132 0.5826
26 TATAMTR 3.960 0.029042 0.51836982 0.012 0.3256 0.6378
27 INDUSIND 2.379 0.026884 0.49148563 0.012 0.3381 0.5076
28 TATAMOT 4.200 0.029912 0.52139792 0.012 0.3505 0.5656
29 BOSCHLT 0.780 0.008305 0.52970374 0.012 0.3629 0.5519
30 BAJAJ 4.390 0.058336 0.58804026 0.012 0.3754 0.7037
31 SBIN 2.799 0.023787 0.56425244 0.012 0.3878 0.5839
32 HINDUNIL 0.890 0.018021 0.58227418 0.012 0.4005 0.6013
33 ADANIPOR 6.349 0.047538 0.53473606 0.012 0.4130 0.4028
34 BHARTIAR 10.33 0.155181 0.68991786 0.012 0.4256 0.8747
35 ITC 0.709 0.009286 0.68063154 0.012 0.4382 0.8024
36 ZEEL 1.070 0.012688 0.69332003 0.012 0.4506 0.8032
37 TATASTEE 8.149 0.101235 0.79455546 0.012 0.4630 1.0972
38 ONGC 10.61 0.203744 0.99830030 0.012 0.4757 1.7296
39 NTPC 4.320 0.065532 1.06383279 0.012 0.4883 1.9049
40 AUROPHA 6.490 0.069191 1.13302388 0.012 0.5008 2.0926

41 DRREDDY 13.83 0.386562 1.51958639 0.013 0.5142 3.3277

42 TATAPOW 3.189 0.038934 1.48065171 0.012 0.5266 3.1576
43 TECHM 14.25 0.176104 1.65675580 0.012 0.5391 3.6992
44 LUPIN 8.1500 093
0.125725 1.782481633 48
0.012 0.55165 68
4.0740
45 SUNPHAR 4.840 0.084276 1.86675805 0.012 0.5643 4.3109
46 COALINDI 15.28 0.326180 2.19293821 0.013 0.5773 5.3475
47 TCS 7.590 0.164117 2.35705584 0.012 0.5901 5.8485
48 WIPRO 0.690 0.016548 2.37360406 0.012 0.6030 5.8604
49 HCLTECH 2.070 0.049387 2.42299132 0.012 0.6159 5.9813
50 INFY 5.220 0.098890 2.52188199 0.012 0.6286 6.2666
51 CIPLA 4.610 0.105898 2.62778011 0.012 0.6412 6.5753
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=1.113255
GAIL,IOC,ACC,BCPL.
APRIL
01-04-2017
Sr. Security Beta Volatilit Monthly Residual

1 ACC 1.16 1.87 12.48 107.3659426
2 ADANIPORTS 1.64 2.23 3.5 216.111997
3 AMBUJACEM 1.36 1.3 3.91 148.850713
4 ASIANPAINT 0.96 1.21 4.37 73.60558016
5 AUROPHARM 1.22 1.24 10.14 119.5884608
6 AXISBANK 1.26 1.53 3.84 127.3515268
7 BAJAJ AUTO 0.88 0.79 2.09 62.07586944
8 BANKBAROD 1.41 1.75 8.44 159.6441568
9 BPCL 0.87 1.82 10.68 59.62521769
10 BHARTIARTL 0.78 1.26 1.56 48.12997284
11 INFRATEL 0.52 2.48 8.84 19.47109904
12 BOSCHLTD 1.13 1.06 1.06 102.5988697
13 CIPLA 0.47 0.66 5.99 17.27268409
14 COALINDIA 0.6 1.06 5.47 28.164836
15 DRREDDY 0.53 1.31 1.26 21.49349009
16 EICHERMOT 1.09 1.03 1.88 95.42007681
17 GAIL 0.75 1.4 12.47 44.26380625

18 GRASIM 1.22 2.14 10.11 118.6884608

19 HCLTECH 0.51 1.1 6.93 20.01494401
20 HDFCBANK 0.77 0.92 7.21 47.21168129
21 HEROMOTOC 1.02 0.83 3 83.62977604
22 HINDALCO 1.61 1.85 2.2 208.5769372
23 HINDUNILVR 0.62 0.99 2.54 30.21563044
24 HDFC 1.23 1.37 2.33 121.4473733
25 ITC 0.97 1.57 0.82 74.81235609
26 ICICIBANK 1.69 1.52 0.6 230.3384836
27 IBULHSGFIN 1.31 1.39 1.92 137.9231696
28 IOC 1.08 1.69 13.69 92.99846864
29 INDUSINDBK 1.08 0.86 1.39 93.82846864
30 INFY 0.63 1.34 10.11 30.88038169
31 KOTAKBANK 0.84 1.12 3.41 56.16067856
32 LT 1.32 1.58 11.11 139.8682062
33 LUPIN 0.87 1.34 7.39 60.10521769
34 M&M 1.02 1.27 3.78 83.18977604
35 MARUTI 1.24 1.46 8.46 123.3625218
36 NTPC 0.76 1.25 0.9 45.63962576
37 ONGC 0.66 1.18 0.84 34.18205156
38 POWERGRID 0.79 1.45 5.42 49.21450041
39 RELIANCE 0.74 1.73 5.62 42.72422276
40 SBIN 1.45 1.26 1.24 169.4211603
41 SUNPHARMA 0.73 1.31 6.71 41.95087529
42 TCS 0.6 0.87 6.52 28.354836
43 TATAMTRDV 1.66 1.16 0.76 222.5398836
44 TATAMOTOR 1.72 1.05 1.49 239.1132078
45 TATAPOWER 0.91 1.12 6.7 66.10524081
46 TATASTEEL 1.62 1.38 6.93 211.6690544
47 TECHM 1.01 1.3 9.19 81.51182001
48 ULTRACEMC 1.22 1.29 6.63 119.5384608
49 WIPRO 0.48 0.99 4.16 17.71389504
50 YESBANK 1.43 1.59 5.4 164.4151865
51 ZEEL 1.05 1.41 1.62 88.09106025
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, TECHM ,etc..
consideration.

nk Security Rf/βi Rf/ϭ2ei* Rf)/ϭ2ei*βi 2ei 2ei Ci
1 GAIL 8.372 βi
0.106393 0.10639392 0.012 0.0127 0.169
2 IOC 6.943 0.087088 0.19348284 0.012 0.0252 0.310
3 ACC 5.421 0.067949 0.26143243 0.012 0.0377 0.424
4 BPCL 5.16 0.065502 0.32693498 0.012 0.0504 0.535
5 INFRATEL 5.094 0.070750 0.39768517 0.013 0.0643 0.656
6 LT 3.726 0.046424 0.44410991 0.012 0.0768 0.739
7 GRASIM 3.212 0.040285 0.48439541 0.012 0.0893 0.814
8 MARUTI 1.83 0.022809 0.50720467 0.012 0.1018 0.864
9 BANKBAR 1.595 0.019865 0.52706992 0.012 0.1142 0.910
10 HDFCBAN 1.323 0.016622 0.54369259 0.012 0.1268 0.952
11 ULTRACE 0.36 0.004482 0.54817503 0.012 0.1392 0.976
12 YESBANK 0.553 0.006877 0.54129705 0.012 0.1517 0.984
13 RELIANCE 0.771 0.009886 0.5314105 0.012 0.1645 0.988
14 POWERGR 0.975 0.012373 0.5190375 0.012 0.1772 0.988
15 AMBUJAC 1.677 0.020838 0.49819864 0.012 0.1896 0.976
16 AXISBANK 1.865 0.023258 0.47494012 0.012 0.2021 0.961
17 ASIANPAI 1.896 0.023747 0.45119235 0.012 0.2146 0.945
18 M&M 2.363 0.029559 0.42163324 0.012 0.2271 0.921
19 HINDALC 2.478 0.030804 0.39082836 0.012 0.2395 0.895
20 HEROMOT 3.128 0.038916 0.35191140 0.012 0.2520 0.857
21 HDFC 3.138 0.039101 0.3128098 0.012 0.2644 0.819
22 IBULHSGF 3.260 0.040564 0.27224559 0.012 0.2769 0.779
23 ICICIBANK 3.308 0.041019 0.23122573 0.012 0.2893 0.739
24 KOTAKBA 3.310 0.041592 0.18963307 0.012 0.3018 0.697
25 EICHERM 3.954 0.049243 0.14039006 0.012 0.3143 0.645
26 TATAMTR 4.187 0.051848 0.08854170 0.012 0.3267 0.589
27 INDUSIND 4.445 0.055258 0.03328273 0.012 0.3391 0.528
28 TATAMOT 4.465 0.055249 0.02196714 0.012 0.3515 0.467
29 BOSCHLT 4.540 0.056509 0.07847657 0.012 0.3639 0.405
30 BAJAJ 4.66 0.058133 0.13661033 0.012 0.3764 0.340
31 SBIN 5.124 0.063596 0.20020723 0.012 0.3888 0.267
32 HINDUNIL 5.888 0.074911 0.27511866 0.012 0.4015 0.179
33 ADANIPOR 5.909 0.073540 0.34865882 0.012 0.4140 0.092
34 BHARTIAR 5.936 0.075047 0.42370611 0.012 0.4266 0.004
35 ITC 7.227 0.090900 0.51460655 0.012 0.4392 0.107
36 ZEEL 7.438 0.093100 0.60770726 0.012 0.4517 0.221
37 TATASTEE 8.099 0.100419 0.70812674 0.012 0.4641 0.346
38 ONGC 8.107 0.103315 0.81144201 0.012 0.4768 0.475
39 NTPC 9.33 0.118077 0.92951940 0.012 0.4895 0.624
40 AUROPHA 13.38 0.166601 1.09612056 0.012 0.5019 0.843
41 DRREDDY 14.05 0.183726 1.27984707 0.013 0.5150 1.086
42 TATAPOW 14.16 0.177453 1.45730090 0.012 0.5275 1.320
43 TECHM 15.22 0.190581 1.64788195 0.012 0.5401 1.573
44 LUPIN 15.61 0.196576 1.84445883 0.012 0.5526 1.834
45 SUNPHAR 17.67 0.224490 2.06894959 0.012 0.5653 2.135

46 COALINDI 9.434 0.248411 2.31736147 0.012 0.5781 2.469

47 TCS 21.18 0.268965 2.58632723 0.012 0.5908 2.833
48 WIPRO 1.564 0.280479 2.86680671 0.013 0.6038 3.213
49 HCLTECH 25.72 0.334330 3.20113730 0.013 0.6168 3.669
50 INFY 25.87 0.332557 3.53369484 0.012 0.6297 4.123
51 CIPLA 25.91 0.331446 3.86514165 0.012 0.6425 4.576
ACC 12.4 1.1 6.289 5.4217 107.36594 0.0679495 0.012
ADANIPORT 3.5 1.6 9.690 5.9090 216.11199 0.0735401 0.012
AMBUJACE 3.91 1.3 2.280 1.6770 148.85071 0.0208389 0.012
ASIANPAIN 4.37 0.9 1.820 1.8966 73.605580 0.0237477 0.012
AUROPHAR 10.1 1.2 16.33 13.385 119.58846 0.1666011 0.012
AXISBANK 3.84 1.2 2.350 1.8657 127.35152 0.0232585 0.012
BAJAJ 2.09 0.8 4.100 4.66 62.075869 0.0581337 0.012
BANKBARO 8.44 1.4 2.249 1.5951 159.64415 0.0198652 0.012
BPCL 10.6 0.8 4.489 5.16 59.625217 0.0655025 0.012
BHARTIART 1.56 0.7 4.630 5.9369 48.129972 0.0750472 0.012
INFRATEL 8.84 0.5 2.649 5.0946 19.471099 0.0707501 0.013
BOSCHLTD 1.06 1.1 5.130 4.5405 102.59886 0.0565094 0.012
CIPLA 5.99 0.4 12.18 25.916 17.272684 0.3314468 0.012
COALINDIA 5.47 0.6 11.66 19.434 28.164836 0.2484118 0.012
DRREDDY 1.26 0.5 7.450 14.058 21.493490 0.1837265 0.013
EICHERMO 1.88 1.0 4.310 3.9548 95.420076 0.0492430 0.012
GAIL 12.4 0.7 6.279 8.3722 44.263806 0.1063939 0.012
GRASIM 10.1 1.2 3.919 3.2124 118.68846 0.040285 0.012
HCLTECH 6.93 0.5 13.12 25.727 20.014944 0.3343305 0.013
HDFCBANK 7.21 0.7 1.019 1.3236 47.211681 0.0166226 0.012
HEROMOTO 3 1.0 3.190 3.1282 83.629776 0.0389169 0.012
HINDALCO 2.2 1.6 3.990 2.4787 208.57693 0.0308048 0.012
HINDUNILV 2.54 0.6 3.650 5.8883 30.215630 0.0749114 0.012
HDFC 2.33 1.2 3.860 3.1388 121.44737 0.0391015 0.012
ITC 0.82 0.9 7.010 7.2276 74.812356 0.0909004 0.012
ICICIBANK 0.6 1.6 5.590 3.3081 230.33848 0.0410198 0.012
IBULHSGFI 1.92 1.3 4.270 3.2601 137.92316 0.0405642 0.012
IOC 13.6 1.0 7.499 6.9437 92.998468 0.0870889 0.012
INDUSINDB 1.39 1.0 4.800 4.4451 93.828468 0.0552589 0.012
INFY 10.1 0.6 16.30 25.874 30.880381 0.3325575 0.012
KOTAKBAN 3.41 0.8 2.780 3.3104 56.160678 0.0415926 0.012
LT 11.1 1.3 4.919 3.7266 139.86820 0.0464247 0.012
LUPIN 7.39 0.8 13.58 15.610 60.105217 0.1965768 0.012
M&M 3.78 1.0 2.410 2.3635 83.189776 0.0295591 0.012
MARUTI 8.46 1.2 2.269 1.83 123.36252 0.0228092 0.012
NTPC 0.9 0.7 7.090 9.33 45.639625 0.1180773 0.012
ONGC 0.84 0.6 5.350 8.1072 34.182051 0.1033152 0.012
POWERGRI 5.42 0.7 0.770 0.9757 49.214500 0.0123730 0.012
RELIANCE 5.62 0.7 0.570 0.7713 42.724222 0.0098864 0.012
SBIN 1.24 1.4 7.430 5.1246 169.42116 0.0635968 0.012
5 8 9 03 97 41
SUNPHARM 6.71 0.7 12.90 17.672 41.950875 0.2244907 0.012

TCS 6.52 0.6 12.71 211847 28.354836 0.2689657 0.012
TATAMTRD 0.76 1.6 6.950 4.1872 222.53988 0.0518483 0.012
TATAMOTO 1.49 1.7 7.680 4.4655 239.11320 0.0552498 0.012
TATAPOWE 6.7 0.9 12.89 14.165 66.105240 0.1774538 0.012
TATASTEEL 6.93 1.6 13.12 8.0992 211.66905 0.1004194 0.012
TECHM 9.19 1.0 15.38 15.228 81.511820 0.1905810 0.012
ULTRACEM 6.63 1.2 0.439 0.36 119.53846 0.0044824 0.012
WIPRO 4.16 0.4 10.35 21.564 17.713895 0.2804794 0.013
YESBANK 5.4 1.4 0.790 0.5530 164.41518 0.0068779 0.012
ZEEL 1.62 1.0 7.810 7.4388 88.091060 0.0931007 0.012
RANKED TABLE
Ra Security Ri Ri Σ(Ri βi2/ϭ Σβi2/ϭ Ci

1 GAIL 8.372 0.106393 0.10639392 0.012 0.0127 0.169
2 IOC 6.943 0.087088 0.19348284 0.012 0.0252 0.310
3 ACC 5.421 0.067949 0.26143243 0.012 0.0377 0.424
4 BPCL 5.16 0.065502 0.32693498 0.012 0.0504 0.535
5 INFRATEL 5.094 0.070750 0.39768517 0.013 0.0643 0.656
6 LT 3.726 0.046424 0.44410991 0.012 0.0768 0.739
7 GRASIM 3.212 0.040285 0.48439541 0.012 0.0893 0.814
8 MARUTI 1.83 0.022809 0.50720467 0.012 0.1018 0.864
9 BANKBAR 1.595 0.019865 0.52706992 0.012 0.1142 0.910
10 HDFCBAN 1.323 0.016622 0.54369259 0.012 0.1268 0.952
11 ULTRACE 0.36 0.004482 0.54817503 0.012 0.1392 0.976
12 YESBANK 5530 0.006877 0.54129705 0.012 0.1517 0.984
13 RELIANCE 0.771 0.009886 0.5314105 0.012 0.1645 0.988
14 POWERGR 0.975 0.012373 0.5190375 0.012 0.1772 0.988
15 AMBUJAC 1.677 0.020838 0.49819864 0.012 0.1896 0.976
16 AXISBANK 1.865 0.023258 0.47494012 0.012 0.2021 0.961
17 ASIANPAI 1.896 0.023747 0.45119235 0.012 0.2146 0.945
18 M&M 2.363 0.029559 0.42163324 0.012 0.2271 0.921
19 HINDALC 2.478 0.030804 0.39082836 0.012 0.2395 0.895
20 HEROMOT 3.128 0.038916 0.35191140 0.012 0.2520 0.857
21 HDFC 3.138 0.039101 0.3128098 0.012 0.2644 0.819
22 IBULHSGF 3.260 0.040564 0.27224559 0.012 0.2769 0.779
23 ICICIBANK 3.308 0.041019 0.23122573 0.012 0.2893 0.739
24 KOTAKBA 3.310 0.041592 0.18963307 0.012 0.3018 0.697
25 EICHERM 3.954 0.049243 0.14039006 0.012 0.3143 0.645
26 TATAMTR 4.187 0.051848 0.08854170 0.012 0.3267 0.589
27 INDUSIND 4.445 0.055258 0.03328273 0.012 0.3391 0.528
28 TATAMOT 4.465 0.055249 0.02196714 0.012 0.3515 0.467
29 BOSCHLT 4.540 0.056509 0.07847657 0.012 0.3639 0.405
30 BAJAJ 4.66 0.058133 0.13661033 0.012 0.3764 0.340
31 SBIN 5.124 0.063596 0.20020723 0.012 0.3888 0.267
32 HINDUNIL 5.888 0.074911 0.27511866 0.012 0.4015 0.179
33 ADANIPOR 5.909 0.073540 0.34865882 0.012 0.4140 0.092

34 BHARTIAR 5.936 0.075047 0.42370611 0.012 0.4266 0.004

35 ITC 7.227 0.090900 0.51460655 0.012 0.4392 0.107
36 ZEEL 7.438 0.093100 0.60770726 0.012 0.4517 0.221
37 TATASTEE 8.099 0.100419 0.70812674 0.012 0.4641 0.346
38 L
ONGC 26
8.107 478
0.103315 0.811442012 0.0124 0.47684 458
0.475
39 NTPC 9.33 0.118077 0.92951940 0.012 0.4895 0.624
40 AUROPHA 13.38 0.166601 1.09612056 0.012 0.5019 0.843
41 DRREDDY 14.05 0.183726 1.27984707 0.013 0.5150 1.086
42 TATAPOW 14.16 0.177453 1.45730090 0.012 0.5275 1.320
43 TECHM 15.22 0.190581 1.64788195 0.012 0.5401 1.573
44 LUPIN 15.61 0.196576 1.84445883 0.012 0.5526 1.834
45 SUNPHAR 17.67 0.224490 2.06894959 0.012 0.5653 2.135
46 COALINDI 19.43 0.248411 2.31736147 0.012 0.5781 2.469
47 TCS 21.18 0.268965 2.58632723 0.012 0.5908 2.833
48 WIPRO 21.56 0.280479 2.86680671 0.013 0.6038 3.213
49 HCLTECH 25.72 0.334330 3.20113730 0.013 0.6168 3.669
50 INFY 25.87 0.332557 3.53369484 0.012 0.6297 4.123
51 CIPLA 25.91 0.331446 3.86514165 0.012 0.6425 4.576
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=0.988693
GAIL,IOC,ACC,BCPL, INFRATEL, LT, GRASIM, MARUTI,BANKBARODA,

ULTRACEMCO,HDFCBANK,YESBANK,RELIANCE, POWERGRID.
May
01-05-2017

1 ACC 1.19 1.63 0.65 113.3291396
2 ADANIPORTS 1.64 2.49 3.45 215.851997
3 AMBUJACEM 1.41 1.76 1.89 159.6341568
4 ASIANPAINT 1 1.32 2.74 79.8601
5 AUROPHARMA 1.37 3.61 5.37 148.7569297
6 AXISBANK 1.3 1.56 0.86 135.634369
7 BAJAJ AUTO 0.85 1.49 0.63 57.16262225
8 BANKBARODA 1.46 2.13 5.07 170.9135012
9 BPCL 0.85 1.42 3.25 57.23262225

10 BHARTIARTL 0.83 2.03 4.51 53.89497089

11 INFRATEL 0.55 1.84 3.35 22.71698025
12 BOSCHLTD 1.14 1.51 1.51 103.991658
13 CIPLA 0.54 1.79 7.37 21.88211716
14 COALINDIA 0.62 1.06 5.1 30.14563044
15 DRREDDY 0.47 1.6 2.9 16.33268409
16 EICHERMOT 1.15 2 9.08 105.3606823
17 GAIL 0.76 1.55 2.35 45.33962576
18 HCLTECH 0.5 0.93 6.16 19.365025
19 HDFCBANK 0.77 0.76 5.8 47.37168129
20 HEROMOTOCO 1.08 1.56 12.86 93.12846864
21 HINDALCO 1.67 2.07 0.68 224.3331809
22 HINDUNILVR 0.64 1.46 14.12 31.79136896
23 HDFC 1.2 1.39 2.13 115.509344
24 ITC 0.98 1.83 12.16 76.13536804
25 ICICIBANK 1.66 2.29 17.22 221.4098836
26 IBULHSGFIN 1.24 2.15 14.13 122.6725218
27 IOC 1.11 1.53 2.41 98.49200121
28 INDUSINDBK 1.1 1.15 2.47 97.077921
29 INFY 0.6 1.12 6.32 28.104836
30 KOTAKBANK 0.82 1.1 7.11 53.48549924
31 LT 1.18 1.54 0.62 111.4951712
32 LUPIN 0.77 2.29 13.25 45.84168129
33 M&M 1.05 1.49 6.09 88.01106025
34 MARUTI 1.31 1.19 10.52 138.1231696
35 NTPC 0.79 0.98 2.61 49.68450041
36 ONGC 0.64 1.37 5.12 31.88136896
37 POWERGRID 0.83 1.36 0.02 54.56497089
38 RELIANCE 0.76 1.22 3.91 45.66962576
39 SBIN 1.37 1.72 0.5 150.6469297
40 SUNPHARMA 0.65 2.69 21.86 31.60859225
41 TCS 0.51 1.28 12.03 19.83494401
42 TATAMTRDVR 1.76 1.6 2.82 249.8634778
43 TATAMOTORS 1.83 1.77 3.76 270.0940369
44 TATAPOWER 0.93 1.26 3.91 68.95266849
45 TATASTEEL 1.73 2.42 12.34 240.5439213
46 TECHM 0.87 2.8 6.46 58.64521769
47 ULTRACEMCO 1.25 1.47 1.27 125.3739063
48 VEDL 1.89 2.34 2.01 287.6434352
49 WIPRO 0.46 1.06 8.35 16.11770916
50 YESBANK 1.5 1.98 12.2 180.675225
51 ZEEL 1.17 2 2.28 109.1274389
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda,etc.

consideration.
Security Ri βi Ri Rf Ri RV Ri βi2/ϭ2
ACC 0.65 1.1 5.540 4.6561 113.32913 0.0581805 0.012
ADANIPORT 3.45 1.6 2.740 1.6712 215.85199 0.0208240 0.012
AMBUJACE 1.89 1.4 8.080 5.7310 159.63415 0.0713752 0.012
ASIANPAIN 2.74 1 3.450 3.4508 79.8601 0.0432105 0.012
AUROPHAR 5.37 1.3 11.56 8.4385 148.75692 0.1064709 0.012
MA
AXISBANK 0.86 1.3 5.3300 4.10064 97 0.05109358 0.012
35.634369 62
BAJAJ 0.63 0.8 6.820 8.0244 57.162622 0.1014243 0.012
BANKBARO 5.07 1.4 11.26 7.7128 170.91350 0.0961935 0.012
BPCL 3.25 0.8 2.940 3.4597 57.232622 0.0436757 0.012
BHARTIART 4.51 0.8 1.680 2.0250 53.894970 0.0258848 0.012
INFRATEL 3.35 0.5 2.840 5.1650 22.716980 0.0687785 0.013
BOSCHLTD 1.51 1.1 4.680 4.1059 103.99165 0.0513128 0.012
CIPLA 7.37 0.5 13.56 25.112 21.882117 0.3346491 0.013
COALINDIA 5.1 0.6 11.29 18.211 30.145630 0.2322159 0.012
DRREDDY 2.9 0.4 9.090 19.342 16.332684 0.2616028 0.013
EICHERMO 9.08 1.1 2.889 2.5123 105.36068 0.0315353 0.012
GAIL 2.35 0.7 8.540 11.237 45.339625 0.1431641 0.012
HCLTECH 6.16 0.5 0.030 0.0616 19.365025 0.0007952 0.012
HDFCBANK 5.8 0.7 0.390 0.5075 47.371681 0.0063522 0.012
HEROMOTO 12.8 1.0 6.669 6.1751 93.128468 0.0773419 0.012
HINDALCO 0.68 1.6 5.510 3.2998 224.33318 0.0410239 0.012
HINDUNILV 14.1 0.6 7.929 12.389 31.791368 0.1596247 0.012
HDFC 2.13 1.2 4.060 3.384 115.50934 0.0421867 0.012
ITC 12.1 0.9 5.969 6.0910 76.135368 0.0768344 0.012
ICICIBANK 17.2 1.6 11.02 6.6440 221.40988 .0826904 0.012
IBULHSGFI 14.1 1.2 7.939 6.4025 122.67252 0.0802511 0.012
IOC 2.41 1.1 8.600 7.7484 98.492001 0.0969305 0.012
INDUSINDB 2.47 1.1 3.720 3.3825 97.077921 0.0421607 0.012
INFY 6.32 0.6 0.129 0.2153 28.104836 0.0027582 0.012
KOTAKBAN 7.11 0.8 0.919 1.1209 53.485499 0.0140925 0.012
LT 0.62 1.1 5.570 4.7210 111.49517 0.0589581 0.012
LUPIN 13.2 0.7 19.44 25.247 45.841681 0.3265459 0.012
M&M 6.09 1.0 0.100 0.096 88.011060 0.0012025 0.012
MARUTI 10.5 1.3 4.329 3.3047 138.12316 0.0410594 0.012
NTPC 2.61 0.7 8.800 11.140 49.684500 0.1399356 0.012
ONGC 5.12 0.6 11.31 17.673 31.881368 0.2270577 0.012
POWERGRI 0.02 0.8 6.210 7.4828 54.564970 0.0944738 0.012
RELIANCE 3.91 0.7 10.10 13.290 45.669625 0.1680900 0.012
SBIN 0.5 1.3 6.690 4.8838 150.64692 0.0608468 0.012
SUNPHARM 21.8 0.6 28.05 43.155 31.608592 0.5768374 0.013
TCS 12.0 0.5 5.839 11.449 19.834944 0.150138 0.013

TATAMTRD 2.82 1.7 3.370 1.9152 249.86347 0.0237434 0.012

TATAMOTO 3.76 1.8 2.430 1.3283 270.09403 0.0164696 0.012
TATAPOWE 3.91 0.9 10.10 10.861 68.952668 0.1362346 0.012
TATASTEEL 12.3 1.7 6.149 3.5544 240.54392 0.044225 0.012
TECHM 6.46 0.8 12.65 14.541 58.645217 0.1876742 0.012
ULTRACEM 1.27 1.2 7.460 5.9686 125.37390 0.0743854 0.012
VEDL 2.01 1.8 8.200 4.3390 287.64343 0.0538844 0.012
WIPRO 8.35 0.4 2.159 4.6939 16.117709 0.061623 0.013
YESBANK 12.2 1.5 18.39 12.260 180.67522 0.1526839 0.012
ZEEL 2.28 1.1 8.470 7.24 109.12743 0.0908189 0.012
RANKED TABLE

1 HINDUNIL 12.38 0.159624 0.1596247 0.012 0.0128 0.588
2 TCS 11.44 0.150138 0.3097634 0.013 0.026 1.144
3 ICICIBANK 6.644 0.082690 0.3924538 0.012 0.0384 1.469
4 IBULHSGF 6.402 0.080251 0.4727049 0.012 0.0509 1.785
5 HEROMOT 6.175 0.077341 0.5500468 0.012 0.0635 2.092
6 ITC 6.091 0.076834 0.6268812 0.012 0.0761 2.397
7 WIPRO 4.693 0.061623 0.6885049 0.013 0.0892 2.652
8 TATASTEE 3.554 0.044225 0.7327301 0.012 0.1016 2.845
9 MARUTI 3.304 0.041059 0.7737895 0.012 0.1141 3.027
10 EICHERM 2.512 0.031535 0.8053248 0.012 0.1266 3.178
11 KOTAKBA 1.120 0.014092 0.8194173 0.012 0.1392 3.269
12 INFY 0.215 0.002758 0.8221756 0.012 0.1520 3.322
13 HCLTECH 0.061 0.000795 0.8213803 0.012 0.1649 3.363
14 M&M 0.096 0.001202 0.8201777 0.012 0.1774 3.402
15 HDFCBAN 0.507 0.006352 0.8138255 0.012 0.19 3.423
16 TATAMOT 1.328 0.016469 0.7973558 0.012 0.2024 3.409
17 ADANIPOR 1.671 0.020824 0.7765318 0.012 0.2148 3.380
18 TATAMTR 1.915 0.023743 0.7527884 0.012 0.2272 3.341
19 BHARTIAR 2.025 0.025884 0.7269035 0.012 0.2400 3.297
20 HINDALC 3.299 0.041023 0.6858795 0.012 0.2524 3.199
21 INDUSIND 3.382 0.042160 0.6437188 0.012 0.2649 3.098
22 HDFC 3.384 0.042186 0.6015321 0.012 0.2774 2.997
23 ASIANPAI 3.450 0.043210 0.5583215 0.012 0.2899 2.892
24 BPCL 3.459 0.043675 0.5146457 0.012 0.3025 2.786
25 AXISBANK 4.100 0.051093 0.4635522 0.012 0.315 2.654
26 BOSCHLT 4.105 0.051312 0.4122393 0.012 0.3275 2.522
27 VEDL 4.339 0.053884 0.3583548 0.012 0.3399 2.381
28 ACC 4.656 0.058180 0.3001743 0.012 0.3524 2.225
29 LT 4.721 0.058958 0.2412162 0.012 0.3649 2.066
30 SBIN 4.883 0.060846 0.1803693 0.012 0.3773 1.901
31 INFRATEL 5.165 0.068778 0.1115908 0.013 0.3906 1.712
32 AMBUJAC 5.731 0.071375 0.0402155 0.012 0.4031 1.511
33 ULTRACE 5.968 0.074385 0.03416998 0.012 0.4156 1.300

34 ZEEL 7.24 0.090818 0.1249889 0.012 0.4281 1.033

35 POWERGR 7.482 0.094473 0.21946277 0.012 0.4407 0.754
36 BANKBAR 7.712 0.096193 0.31565627 0.012 0.4532 0.469
37 IOC 7.748 0.096930 0.41258687 0.012 0.4657 0.181
38 BAJAJ 8.024 0.101424 0.51401118 0.012 0.4783 0.121
39 AUROPHA 8.438 0.106470 0.62048216 0.012 0.491 0.441
40 TATAPOW 10.86 0.136234 0.75671683 0.012 0.5035 0.863
41 NTPC 11.14 0.139935 0.89665247 0.012 0.5161 1.297
42 GAIL 11.23 0.143164 1.03981659 0.012 0.5288 1.742
43 YESBANK 12.26 0.152683 1.1925005 0.012 0.5413 2.220
44 RELIANCE 13.29 0.168090 1.36059052 0.012 0.5539 2.750
45 TECHM 14.54 0.187674 1.54826475 0.012 0.5668 3.346
46 ONGC 17.67 0.227057 1.7753225 0.012 0.5797 4.077
47 COALINDI 18.21 0.232215 2.00753844 0.012 0.5924 4.825
48 DRREDDY 19.34 0.261602 2.26914125 0.013 0.6059 5.671
49 CIPLA 25.11 0.334649 2.6037904 0.013 0.6193 6.767
50 LUPIN 25.24 0.326545 2.93033637 0.012 0.6322 7.836
51 SUNPHAR 43.15 0.576837 3.50717383 0.013 0.6456 9.757
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=3.423034
HINDUNILVR,TCS,MARUTI, IBULHSGFIN,ICICIBANK,
HEROMOTOCO,ITC,WIPRO, TATASTEEL EICHERMOT,KOTAKBANK,INFY,
HCLTECH,M&M,HDFCBANK.
JUNE
01-06-2017
Sr. Security Symbol Beta Volatility Monthl Residual

1 ACC 1.27 1.14 4.21 129.7953833
2 ADANIPORTS 1.75 1.19 7.09 247.4240563
3 AMBUJACEM 1.44 1.06 2.2 167.2750554
4 ASIANPAINT 1.08 0.86 4.19 93.82846864
5 AUROPHARMA 1.36 1.68 19.24 148.470713
6 AXISBANK 1.34 1.31 0.64 144.4569876
7 BAJAJ AUTO 0.9 0.74 1.92 65.015881
8 BANKBARODA 1.56 1.73 9.21 195.8298914

9 BPCL 0.93 1.3 13.9 68.91266849

10 BHARTIARTL 0.74 0.9 2.19 43.55422276
11 INFRATEL 0.65 1.14 2.17 33.15859225
12 BOSCHLTD 1.14 1.18 0.05 104.321658
13 CIPLA 0.57 1.31 7.6 25.06541449
14 COALINDIA 0.63 0.81 6.97 31.41038169
15 DRREDDY 0.41 1.13 6.59 12.51637481
16 EICHERMOT 1.29 1.18 4.91 133.9118044
17 GAIL 0.82 1.3 12.69 53.28549924
18 HCLTECH 0.46 1.21 1.54 15.96770916
19 HDFCBANK 0.77 0.61 0.97 47.52168129
20 HEROMOTOCO 1.1 1.08 1.18 97.147921
21 HINDALCO 1.74 1.37 4.86 244.4108708
22 HINDUNILVR 0.6 1.22 1.18 28.004836
23 HDFC 1.21 0.95 2.87 117.9057844
24 ITC 0.98 1.34 3.8 76.62536804
25 ICICIBANK 1.63 1.06 2.23 214.6274077
26 IBULHSGFIN 1.24 1.35 7.28 123.4725218
27 IOC 1.2 1.61 10.3 115.289344
28 INDUSINDBK 1.15 0.75 0.12 106.6106823
29 INFY 0.53 1.02 4.25 21.78349009
30 KOTAKBANK 0.81 0.94 1.07 52.32226361
31 LT 1.14 1.11 4.15 104.391658
32 LUPIN 0.79 1.36 8.71 49.30450041
33 M&M 1.13 0.71 4.82 102.9488697
34 MARUTI 1.32 0.93 0.09 140.5182062
35 NTPC 0.78 0.89 0.78 48.49997284
36 ONGC 0.6 1.18 11.13 28.044836
37 POWERGRID 0.81 1.04 1.25 52.22226361
38 RELIANCE 0.78 1.28 2.93 48.10997284
39 SBIN 1.36 1.05 5.08 149.100713
40 SUNPHARMA 0.69 1.51 10.79 37.13984561
41 TCS 0.46 1.6 7.24 15.57770916
42 TATAMTRDVR 1.73 1.58 8.54 241.3839213
43 TATAMOTORS 1.76 1.5 9.16 249.9634778
44 TATAPOWER 0.99 1.47 0.56 78.09461601
45 TATASTEEL 1.67 1.36 8.13 225.0431809
46 TECHM 0.78 1.53 2.05 47.85997284
47 ULTRACEMCO 1.3 1.2 5.63 135.994369
48 VEDL 1.81 1.82 4.36 264.1341256
49 WIPRO 0.43 1.2 3.51 13.81020049
50 YESBANK 1.53 1.49 2.25 188.5444961
51 ZEEL 1.26 1.11 4.56 127.7715268

like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of

Baroda,yesbank,vedletc.
consideration.
Security Ri Βi Ri Rf Ri Rf/βi RV Ri βi2/ϭ2

ACC 4.2 1.2 10.400 8.18961 129.79 0.101768 0.012
ADANIPORTS 7.09 1.7 0.8992 0.51382 247.42 0.0063599 0.012
AMBUJACEM 2.2 1.4 3.9908 2.77139 167.27 0.0343551 0.012
ASIANPAINT 4.19 1.0 10.380 9.61185 93.828 0.11948681 0.012
AUROPHARM 19.2 1.3 13.049 9.595 148.47 0.1195314 0.012
AXISBANK 0.64 1.3 5.5508 4.14239 144.45 0.05148987 0.012
BAJAJ AUTO 1.92 0.9 8.1108 9.012 65.015 0.11227595 0.012
BANKBAROD 9.21 1.5 15.400 9.87231 195.83 0.12268427 0.012
BPCL 13.9 0.9 20.090 21.603 68.912 0.27113221 0.013
BHARTIARTL 2.19 0.7 4.0008 5.40649 43.554 0.06797486 0.013
INFRATEL 2.17 0.6 4.0208 6.18585 33.158 0.07881879 0.013
BOSCHLTD 0.05 1.1 6.2408 5.47439 104.32 0.06819784 0.012
CIPLA 7.6 0.5 1.4092 2.47228 25.065 0.0320459 0.013
COALINDIA 6.97 0.6 13.160 20.8902 31.410 0.26396699 0.013
DRREDDY 6.59 0.4 0.3992 0.97365 12.516 0.0130766 0.013
EICHERMOT 4.91 1.2 11.100 8.60527 133.91 0.10693629 0.012
GAIL 12.6 0.8 18.880 23.0254 53.285 0.29055289 0.013
HCLTECH 1.54 0.4 7.7308 16.8061 15.967 0.22270997 0.013
HDFCBANK 0.97 0.7 5.2208 6.78026 47.521 0.0845933 0.012
HEROMOTOC 1.18 1.1 7.3708 6.70073 97.147 0.08345912 0.012
HINDALCO 4.86 1.7 11.050 6.35103 244.41 0.07867241 0.012
HINDUNILVR 1.18 0.6 5.0108 8.35133 28.004 0.10735574 0.013
HDFC 2.87 1.2 3.3208 2.74446 117.90 0.03407948 0.012
ITC 3.8 0.9 2.3908 2.43959 76.625 0.03057713 0.013
ICICIBANK 2.23 1.6 8.4208 5.16613 214.62 0.06395224 0.012
IBULHSGFIN 7.28 1.2 13.470 10.8635 123.47 0.13528348 0.012
IOC 10.3 1.2 16.490 13.7423 115.28 0.17164605 0.012
INDUSINDBK 0.12 1.1 6.3108 5.48765 106.61 0.06807404 0.012
INFY 4.25 0.5 10.440 19.6996 21.783 0.25402835 0.013
KOTAKBANK 1.07 0.8 7.2608 8.96395 52.322 0.11240431 0.013
LT 4.15 1.1 10.340 9.07088 104.39 0.1129258 0.012
LUPIN 8.71 0.7 14.900 18.8618 49.304 0.2387537 0.013
M&M 4.82 1.1 11.010 9.74407 102.94 0.12085809 0.012
MARUTI 0.09 1.3 6.1008 4.62182 140.51 0.0573097 0.012
NTPC 0.78 0.7 6.9708 8.93692 48.5 0.11210777 0.013
ONGC 11.1 0.6 17.320 28.868 28.044 0.37056662 0.013
POWERGRID 1.25 0.8 4.9408 6.09975 52.222 0.0766349 0.013
RELIANCE 2.93 0.7 3.2608 4.18051 48.11 0.05286688 0.013

SBIN 5.08 1.3 11.270 8.28735 149.10 0.10280493 0.012

SUNPHARMA 10.7 0.6 4.5992 6.66550 37.139 0.0854459 0.013
TCS 7.24 0.4 13.430 29.1974 15.577 0.39660312 0.014
TATAMTRDV 8.54 1.7 14.730 8.51491 241.38 0.10557573 0.012
TATAMOTOR 9.16 1.7 15.350 8.72205 249.96 0.10808542 0.012
S
TATAPOWER 0.56 0.96 6.75088 6.81899 78.0943 0.08557942 0.013
TATASTEEL 8.13 1.69 1.9392 1.16119 225.046 0.0143904 0.012
TECHM 2.05 0.7 8.2408 10.5651 47.86 0.1343048 0.013
ULTRACEMC 5.63 1.3 11.820 9.09292 135.99 0.11299762 0.012
VEDL 4.36 1.8 1.8308 1.01149 264.13 0.0125457 0.012
WIPRO 3.51 0.4 9.7008 22.56 13.810 0.30204804 0.013
YESBANK 2.25 1.5 3.9408 2.57569 188.54 0.03197879 0.012
ZEEL 4.56 1.2 10.750 8.53238 127.77 0.10601742 0.012
RANKED TABLE

1 AUROPHA 9.595 0.119531 0.11953139 0.012 0.0124 0.137
2 SUNPHAR 6.665 0.085445 0.20497731 0.012 0.0252 0.239
3 CIPLA 2.472 0.032045 0.23702322 0.012 0.0382 0.286
4 TATASTEE 1.161 0.014390 0.25141363 0.012 0.0506 0.314
5 L
DRREDDY 198 0.013076
0.973 412 0.264490262 0.013
39 0.06403 0.341
127
6 ADANIPOR 0.513 0.006359 0.27085019 0.012 0.0764 0.361
7 VEDL 1.011 0.012545 0.25830449 0.012 0.0888 0.361
8 ITC 2.439 0.030577 0.22772735 0.012 0.1013 0.342
9 YESBANK 2.575 0.031978 0.19574857 0.012 0.1137 0.321
10 HDFC 2.744 0.034079 0.16166909 0.012 0.1262 0.299
11 AMBUJAC 2.771 0.034355 0.12731398 0.012 0.1386 0.276
12 AXISBANK 4.142 0.051489 0.07582411 0.012 0.1510 0.235
13 RELIANCE 4.180 0.052866 0.02295723 0.012 0.1636 0.194
14 MARUTI 4.621 0.057309 0.03435246 0.012 0.1760 0.147
15 ICICIBANK 5.166 0.063952 0.09830470 0.012 0.1884 0.093
16 BHARTIAR 5.406 0.067974 0.16627955 0.012 0.2010 0.036
17 BOSCHLT 5.474 0.068197 0.23447740 0.012 0.2134 0.021
18 INDUSIND 5.487 0.068074 0.30255144 0.012 0.2259 0.079
19 POWERGR 6.099 0.076634 0.37918634 0.012 0.2384 0.146
20 INFRATEL 6.185 0.078818 0.45800513 0.012 0.2512 0.215
21 HINDALC 6.351 0.078672 0.53667753 0.012 0.2635 0.284
22 HEROMOT 6.700 0.083459 0.62013665 0.012 0.2760 0.357
23 HDFCBAN 6.780 0.084593 0.70472996 0.012 0.2885 0.432
24 TATAPOW 6.818 0.085579 0.79030938 0.012 0.3010 0.508
25 ACC 8.189 0.101767 0.89207737 0.012 0.3135 0.601
26 SBIN 8.287 0.102804 0.99488230 0.012 0.3259 0.695
27 HINDUNIL 8.351 0.107355 1.10223805 0.012 0.3387 0.794
28 TATAMTR 8.514 0.105575 1.20781378 0.012 0.3511 0.890
29 ZEEL 8.532 0.106017 1.31383120 0.012 0.3635 0.988
30 EICHERM 8.605 0.106936 1.42076749 0.012 0.3760 1.086

31 TATAMOT 8.722 0.108085 1.52885292 0.012 0.3884 1.186

32 NTPC 8.936 0.112107 1.64096069 0.012 0.4009 1.289
33 KOTAKBA 8.963 0.112404 1.75336500 0.012 0.4134 1.393
34 BAJAJ 9.012 0.112275 1.86564095 0.012 0.4259 1.497
35 LT 9.070 0.112925 1.97856676 0.012 0.4383 1.601
36 ULTRACE 9.092 0.112997 2.09156438 0.012 0.4508 1.706
37 ASIANPAI 9.611 0.119486 2.21105118 0.012 0.4632 1.817
38 M&M 9.744 0.120858 2.33190928 0.012 0.4756 1.930
39 BANKBAR 9.872 0.122684 2.45459355 0.012 0.4880 2.045
40 TECHM 10.56 0.134304 2.58889835 0.012 0.5007 2.171
41 IBULHSGF 10.86 0.135283 2.72418182 0.012 0.5132 2.299
42 IOC 13.74 0.171646 2.89582787 0.012 0.5257 2.464
43 HCLTECH 23
16.80 046
0.222709 3.118537845 49
0.013 0.53894 2.6829
44 LUPIN 18.86 0.238753 3.35729154 0.012 0.5516 2.917
45 INFY 19.69 0.254028 3.61131989 0.012 0.5645 3.168
46 COALINDI 20.89 0.263966 3.87528688 0.012 0.5771 3.430
47 BPCL 21.60 0.271132 4.14641909 0.012 0.5897 3.698
48 WIPRO 22.56 0.302048 4.44846713 0.013 0.6031 3.999
49 GAIL 23.02 0.290552 4.73902002 0.012 0.6157 4.288
50 ONGC 28.86 0.370566 5.10958664 0.012 0.6285 4.660
51 TCS 29.19 0.396603 5.50618976 0.013 0.6421 5.058
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=0.361033
AUROPHARMA,SUN PHARMA,CIPLA,TATASTEEL,VEDL .
JULY
01-07-2017
Sr. Security Symbol Beta Volatilit Monthly Residual

1 ACC 1.3 1.22 10.53 135.974369
2 ADANIPORTS 1.72 0.62 9.05 239.5432078
3 AMBUJACEM 1.47 0.99 6.73 174.4320781
4 ASIANPAINT 1.04 0.95 5.33 86.85439616
5 AUROPHARMA 1.4 1.97 4.97 157.142996
6 AXISBANK 1.34 1.46 0.47 144.3069876
7 BAJAJ AUTO 0.91 0.75 0.62 66.47524081

8 BANKBARODA 1.48 1.42 2.72 176.396891

9 BPCL 0.9 0.74 10.53 65.015881
10 BHARTIARTL 0.77 1.78 10.34 46.35168129
11 INFRATEL 0.63 1.97 7.17 30.25038169
12 BOSCHLTD 1.15 0.82 3.65 106.5406823
13 CIPLA 0.57 1.03 0.81 25.34541449
14 COALINDIA 0.64 1.49 1.99 31.76136896
15 DRREDDY 0.41 1.87 11.41 11.77637481
16 EICHERMOT 1.32 1.19 11.25 140.2582062
17 GAIL 0.81 1.43 4.23 51.83226361
18 HCLTECH 0.46 1.11 4.94 16.06770916
19 HDFCBANK 0.74 0.7 8.01 43.75422276
20 HEROMOTOCO 1.09 1 1.23 95.45007681
21 HINDALCO 1.76 1.41 15.03 250.0534778
22 HINDUNILVR 0.62 0.87 7.05 30.33563044
23 HDFC 1.16 1.49 10.79 107.7459426
24 ITC 1.12 3.34 11.86 98.49231744
25 ICICIBANK 1.53 1.29 4.29 188.7444961
26 IBULHSGFIN 1.21 1.57 9.21 117.2857844
27 IOC 1.12 1.11 4.56 100.7223174
28 INDUSINDBK 1.23 0.93 11.28 121.8873733
29 INFY 0.54 1.27 8.09 22.40211716
30 KOTAKBANK 0.79 0.93 6.9 49.73450041
31 LT 1.13 0.89 6.12 102.7688697
32 LUPIN 0.75 1.88 2.63 43.78380625
33 M&M 1.12 0.92 4.06 100.9123174
34 MARUTI 1.25 0.71 7.38 126.1339063
35 NTPC 0.73 0.95 3.3 42.31087529
36 ONGC 0.54 1.29 7.69 22.38211716
37 POWERGRID 0.78 1.07 6.06 48.31997284
38 RELIANCE 0.79 1.43 17.04 49.23450041
39 SBIN 1.33 1.19 14.2 142.4094789
40 SUNPHARMA 0.67 1.58 4.33 34.86174689
41 TCS 0.47 1.53 5.48 16.40268409
42 TATAMTRDVR 1.7 1.09 1.06 233.520489
43 TATAMOTORS 1.74 1.19 2.79 244.5908708
44 TATAPOWER 0.99 0.68 1.8 78.88461601
45 TATASTEEL 1.71 1.22 3.91 236.1587304
46 TECHM 0.79 1.12 1.01 49.54450041
47 ULTRACEMCO 1.3 1.27 2.47 135.924369
48 VEDL 1.72 1.61 12.37 238.5532078
49 WIPRO 0.47 1.83 11.65 16.10268409
50 YESBANK 1.54 1.9 23.64 190.6267252
51 ZEEL 1.25 1.35 10.26 125.4939063

like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda TATASTEEL,
SBIN
etc..
consideration.
ADANIPORT 10.5 1.3 4.3392 3.33784 135.97 0.0414855 0.0124
AMBUJACE 9.05 1.7 2.8592 1.66232 239.54 0.02053 0.0123
ASIANPAINT 6.73 1.4 0.5392 0.36680 174.43 0.004544 0.0123
AUROPHAR 5.33 1.0 0.8608 0.82769 86.854 0.01030727 0.0124
AXISBANK 4.97 1.4 1.2208 0.872 157.14 0.01087621 0.0124
BAJAJ AUTO 0.47 1.3 5.7208 4.26925 144.30 0.05312197 0.0124
BAJFINANCE 0.62 0.9 5.5708 6.12176 66.475 0.07626039 0.0124
BHARTIART 2.72 1.4 3.4708 2.34514 176.39 0.0291206 0.0124
BOSCHLTD 10.5 0.9 4.3392 4.82133 65.015 0.0600666 0.0124
BPCL 10.3 0.7 4.1492 5.38857 46.351 0.068927 0.0127
CIPLA 7.17 0.6 0.9792 1.55428 30.250 0.020393 0.0131
COALINDIA 3.65 1.1 2.5408 2.20939 106.54 0.02742539 0.0124
DRREDDY 0.81 0.5 5.3808 9.44 25.345 0.12101029 0.0128
EICHERMOT 1.99 0.6 4.2008 6.56375 31.761 0.08464723 0.0129
GAIL 11.4 0.4 17.600 42.9288 11.776 0.61278009 0.0142
HCLTECH 11.2 1.3 5.0592 3.83272 140.25 0.0476132 0.0124
HDFC 4.23 0.8 1.9608 2.42074 51.832 0.03064207 0.0126
HDFCBANK 4.94 0.4 1.2508 2.71913 16.067 0.03580896 0.0131
HEROMOTO 8.01 0.7 1.8192 2.45837 43.754 0.0307675 0.0125
HINDALCO 1.2 1.0 7.4208 6.80807 95.450 0.08474244 0.0124
HINDPETRO 15.0 1.7 8.8392 5.02227 250.05 0.0622147 0.0123
HINDUNILV 7.05 0.6 0.8592 1.38580 30.335 0.0175603 0.0126
IBULHSGFIN 10.7 1.1 4.5992 3.96482 107.74 0.0495153 0.0124
ICICIBANK 11.8 1.1 18.050 16.1168 98.492 0.20526368 0.0127
INDUSINDB 4.29 1.5 1.9008 1.24235 188.74 0.01540826 0.0124
INFRATEL 9.21 1.2 3.0192 2.49520 117.28 0.0311481 0.0124
INFY 4.5 1.1 10.750 9.59893 100.72 0.11954546 0.0124
IOC 11.2 1.2 5.0892 4.13756 121.88 0.0513566 0.0124
ITC 8.09 0.5 1.8992 3.51703 22.402 0.04578 0.0130
KOTAKBAN 6.9 0.7 0.7092 0.89772 49.734 0.0112652 0.0125
LT 6.12 1.1 0.0708 0.06265 102.76 0.00077848 0.0124
LUPIN 2.6 0.7 8.8208 11.7611 43.783 0.15109696 0.0128
M&M 4.06 1.1 2.1308 1.9025 100.91 0.0236492 0.0124

MARUTI 7.38 1.2 1.1892 0.95136 126.13 0.0117851 0.0123

NTPC 3.3 0.7 2.8908 3.96 42.310 0.04987569 0.0125
ONGC 7.69 0.5 1.4992 2.77629 22.382 0.0361703 0.0130
POWERGRID 6.06 0.7 0.1308 0.16769 48.32 0.00211143 0.0125
RELIANCE 17.0 0.7 10.849 13.7331 49.234 0.1740826 0.0126
SBIN 14.2 1.3 8.0092 6.02195 142.40 0.0748 0.0124
SUNPHARM 4.3 0.6 10.520 15.7027 34.861 0.20219687 0.0128
TATAMOTO 5.48 0.4 0.7108 1.51234 16.402 0.02036715 0.0134
TATASTEEL 1.0 1.7 7.2508 4.26518 233.52 0.05278492 0.0123
TCS 2.79 1.7 3.4008 1.95448 244.59 0.02419302 0.0123
TECHM 1.8 0.9 4.3908 4.43515 78.884 0.05510443 0.0124
ULTRACEMC 3.91 1.7 2.2808 1.3338 236.15 0.01651503 0.0123
UPL 1.01 0.7 5.1808 6.55797 49.544 0.08260921 0.0126
VEDL 2.47 1.3 3.7208 2.86215 135.92 0.03558626 0.0124
WIPRO 12.3 1.7 6.1792 3.59255 238.55 0.0445528 0.0124
YESBANK 11.6 0.4 5.4592 11.6153 16.102 0.1593414 0.0137
ZEEL 23.6 1.5 17.449 11.3306 190.62 0.1409654 0.0124
RANKED TABLE
1 RELIANC 13.73 βi
0.174082 0.1740826 0.01267 0.012 1.090
2 YESBANK 11.61 0.159341 0.3334239 0.01371 0.026 2.101
3 ZEEL 11.33 0.140965 0.4743893 0.01244 0.038 2.997
4 SBIN 6.021 0.074800 0.5491894 0.01242 0.051 3.506
5 BPCL 5.388 0.068927 0.6181164 0.01279 0.064 3.983
6 HINDPET 5.022 0.062214 0.6803311 0.01238 0.076 4.419
7 BOSCHLT 4.821 0.060066 0.7403976 0.01245 0.088 4.843
8 IOC 4.137 0.051356 0.7917542 0.01241 0.101 5.215
9 IBULHSGF 3.964 0.049515 0.8412695 0.01248 0.113 5.577
10 HCLTECH 3.832 0.047613 0.8888827 0.01242 0.126 5.928
11 WIPRO 3.592 0.044552 0.9334355 0.01240 0.138 6.260
12 ITC 3.517 0.045779 0.9792155 0.01301 0.151 6.604
13 ADANIPO 3.337 0.041485 1.020701 0.01242 0.164 6.919
14 ONGC 2.776 0.036170 1.0568713 0.01302 0.177 7.206
15 INFRATEL 2.495 0.031148 1.0880194 0.01248 0.189 7.461
16 HEROMO 2.458 0.030767 1.1187869 0.01251 0.202 7.713
17 AMBUJAC 1.662 0.020530 1.1393169 0.01235 0.214 7.905
18 CIPLA 1.554 0.020392 1.1597099 0.01312 0.227 8.101
19 HINDUNIL 1.385 0.017560 1.1772702 0.01267 0.240 8.278
20 MARUTI 0.951 0.011785 1.1890553 0.01238 0.252 8.419
21 KOTAKBA 0.897 0.011265 1.2003205 0.01254 0.265 8.558
22 ASIANPAI 0.366 0.004544 1.2048645 0.01238 0.277 8.657
23 LT 0.062 0.000778 1.204086 0.01242 0.289 8.725
24 POWERGR 0.167 0.002111 1.2019746 0.01259 0.302 8.786
25 AUROPHA 0.827 0.010307 1.1916673 0.01245 0.315 8.799
26 AXISBAN 0.872 0.010876 1.1807911 0.01247 0.327 8.808

27 INDUSIND 1.242 0.015408 1.1653829 0.01240 0.339 8.790

28 ULTRACE 1.333 0.016515 1.1488679 0.01238 0.352 8.766
29 TATAMOT 1.512 0.020367 1.1285007 0.01346 0.365 8.726
30 M&M 1.902 0.023649 1.1048515 0.01243 0.378 8.660
31 TCS 1.954 0.024193 1.0806585 0.01237 0.390 8.591
32 COALINDI 2.209 0.027425 1.0532331 0.01241 0.402 8.504
33 BHARTIA 2.345 0.029120 1.0241125 0.01241 0.415 8.406
34 HDFC 2.420 0.030642 0.9934704 0.01265 0.428 8.301
35 HDFCBAN 2.719 0.035808 0.9576614 0.01316 0.441 8.169
36 VEDL 2.862 0.035586 0.9220752 0.01243 0.453 8.034
37 NTPC 3.96 0.049875 0.8721995 0.01259 0.466 7.816
38 TATASTE 4.265 0.052784 0.8194146 0.01237 0.478 7.580
39 BAJAJ 4.269 0.053121 0.7662926 0.01244 0.491 7.342
40 TECHM 4.435 0.055104 0.7111882 0.01242 0.503 7.093
41 BAJFINAN 6.121 0.076260 0.6349278 0.01245 0.515 6.721
42 UPL 6.557 0.082609 0.5523186 0.01259 0.528 6.312
43 EICHERM 6.563 0.084647 0.4676713 0.01289 0.541 5.893
44 HINDALC 6.808 0.084742 0.3829289 0.01244 0.553 5.471
45 DRREDDY 9.44 0.121010 0.2619186 0.01281 0.566 4.839
46 INFY 9.598 0.119545 0.1423731 0.01245 0.579 4.213
47 LUPIN 11.76 0.151096 0.0087238 0.01284 0.592 3.406
48 SUNPHAR 15.70 0.202196 0.2109206 0.01287 0.604 2.300
49 ICICIBAN 16.11 0.205263 0.4161843 0.01273 0.617 1.176
50 GAIL 42.92 0.612780 1.0289644 0.01427 0.631 2.318
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=8.80842
RELIANCE,YESBANK,ZEEL,SBIN,BCPL, HINDPETRO,BOSCHLTD,IOC,
IBULHSGFIN,HCLTECH,WIPRO, ADANIPORTS,ITC,ONGC.

AUGUST
01-08-2017
Sr. Security Symbol Bet Volatility Monthly Residual

1 ACC 1.18 1.18 3.87 111.8551712
2 ADANIPORTS 1.86 1.95 0.75 278.900674
3 AMBUJACEM 1.36 1.37 6.54 148.780713
4 ASIANPAINT 1 0.8 0.59 80.3801
5 AUROPHARMA 1.31 2.08 0.93 137.2331696
6 AXISBANK 1.3 1.06 3.74 136.134369
7 BAJAJ AUTO 0.87 1.18 0.21 60.26521769
8 BANKBARODA 1.61 1.98 16.98 208.4469372
9 BPCL 0.95 2.21 12.28 71.05504025
10 BHARTIARTL 0.79 1.02 2.09 49.64450041
11 INFRATEL 0.63 1.66 6.53 30.56038169
12 BOSCHLTD 1.16 1.56 9.06 107.6759426
13 CIPLA 0.69 2.08 2.11 36.56984561
14 COALINDIA 0.78 1.81 4.7 47.57997284
15 DRREDDY 0.44 2.39 15.2 13.32646736
16 EICHERMOT 1.31 2.01 4.55 137.3031696
17 GAIL 0.8 1.48 0.41 50.475264
18 HCLTECH 0.5 0.94 3.09 19.355025
19 HDFCBANK 0.75 0.74 0.45 44.92380625
20 HEROMOTOCO 1.02 1.37 9.28 83.08977604
21 HINDALCO 1.83 2.57 8.35 269.2940369
22 HINDUNILVR 0.63 1.21 5.54 31.01038169
23 HDFC 1.14 1.07 0.69 104.431658
24 ITC 1.14 0.95 1.05 104.551658
25 ICICIBANK 1.47 1 1.5 174.4220781
26 IBULHSGFIN 1.33 1.87 3.42 141.7294789
27 IOC 1.12 2.62 23.68 99.21231744
28 INDUSINDBK 1.19 0.86 0.67 114.0991396
29 INFY 0.63 2.84 9.52 29.38038169
30 KOTAKBANK 0.78 0.85 4.47 48.53997284
31 LT 1.09 0.82 4.83 95.63007681
32 LUPIN 0.72 1.76 5.09 40.32376384
33 M&M 1.03 0.94 4.17 85.18396809
34 MARUTI 1.25 1.11 0.64 125.7339063
35 NTPC 0.73 2.01 2.77 41.25087529
36 ONGC 0.55 1.12 7.35 23.43698025
37 POWERGRID 0.73 1.08 1.81 42.18087529
38 RELIANCE 0.74 1.29 1.28 43.16422276
39 SBIN 1.33 1.68 11.12 141.9194789
40 SUNPHARMA 0.85 2.4 9.5 56.25262225
41 TCS 0.42 0.73 0.18 13.59016964
42 TATAMTRDVR 1.74 2.19 16.03 243.5908708

43 TATAMOTORS 1.77 2.29 15.31 252.0391353

44 TATAPOWER 1.04 1.67 3.35 86.13439616
45 TATASTEEL 1.73 1.81 12.51 241.1539213
46 TECHM 0.73 1.7 10.96 41.56087529
47 ULTRACEMCO 1.18 1.03 1.39 112.0051712
48 VEDL 1.76 2.28 10.38 249.1834778
49 WIPRO 0.42 0.9 3.69 13.42016964
50 YESBANK 1.58 1.27 3.12 201.3880016
51 ZEEL 1.29 1.43 4.11 133.6618044
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, zeel,yesbank
M&M,LT,etc..
consideration.
ADANIPORT 4.12 1.8 10.31 5.6343 111.85517 0.1686892 0.029
AMBUJACE 4.96 1.3 11.86 8.7865 278.90067 0.0574162 0.006
ASIANPAIN 3.15 1.0 9.340 9.1576 148.78071 0.0640379 0.006
AUROPHAR 4.63 1.3 11.53 8.7362 80.3801 0.1893749 0.021
AXISBANK 1.76 1.2 4.430 3.6923 137.23316 0.0387439 0.010
BAJAJ 10.4 0.8 3.578 4.2597 136.13436 0.022078 0.005
BAJFINANC 3.15 1.8 3.040 1.6348 60.265217 0.0938499 0.057
BHARTIART 10.9 0.9 17.81 17.991 208.44693 0.0845955 0.004
BOSCHLTD 8.94 0.7 15.13 21.015 71.055040 0.1533202 0.007
BPCL 6.18 0.6 0.721 1.203 49.644500 0.0087236 0.007
CIPLA 6.56 1.1 12.75 11.591 30.560381 0.4589563 0.039
COALINDIA 2.48 0.7 4.421 6.2278 107.67594 0.0291567 0.004
DRREDDY 14.0 0.8 7.899 9.1851 36.569845 0.185762 0.020
EICHERMO 15.2 0.5 8.328 16.015 47.579972 0.091018 0.005
GAIL 0.76 1.2 6.950 5.3882 13.326467 0.6728363 0.124
HCLTECH 10.7 0.7 3.868 4.9592 137.30316 0.021974 0.004
HDFC 1.1 0.5 5.090 9.6052 50.475264 0.0534543 0.005
HDFCBANK 1.65 0.7 5.251 6.8205 19.355025 0.2089321 0.030
HEROMOTO 5.52 1.0 11.71 11.594 44.923806 0.2632882 0.022
HINDALCO 1.09 1.7 5.811 3.3987 83.089776 0.1196077 0.035
HINDPETRO 12.6 1.3 18.79 13.518 269.29403 0.0969914 0.007

HINDUNILV 3.76 0.6 10.66 16.659 31.010381 0.2200408 0.013

IBULHSGFI 1.96 1.1 8.150 7.1498 104.43165 0.0889760 0.012
ICICIBANK 8.49 1.1 15.39 13.384 104.55165 0.1692997 0.012
INDUSINDB 7.2 1.3 13.39 9.6336 174.42207 0.1067136 0.011
INFRATEL 0.72 1.3 7.621 5.7740 141.72947 0.0709857 0.012
INFY 11.9 1.1 18.11 15.479 99.212317 0.2135786 0.013
IOC 1.54 1.1 5.361 4.5439 114.09913 0.0554511 0.012
ITC 1.64 0.6 7.830 11.349 29.380381 0.1839068 0.016
KOTAKBAN 2.69 0.8 4.211 5.0744 48.539972 0.0720188 0.014
LT 0.51 1.1 5.680 5.0721 95.630076 0.0665323 0.013
LUPIN 3.53 0.7 3.371 4.8168 40.323763 0.0585327 0.012
M&M 6.73 1 12.92 12.920 85.183968 0.1516811 0.011
MARUTI 3.61 1.2 3.291 2.6546 125.73390 0.0324640 0.012
NTPC 0.77 0.6 6.960 11.227 41.250875 0.1046207 0.009
ONGC 8.92 0.5 2.018 3.8811 23.436980 0.044778 0.011
POWERGRI 3.76 0.6 9.950 15.077 42.180875 0.1556991 0.010
RELIANCE 2.05 0.8 8.951 11.051 43.164222 0.1679853 0.015
SBIN 8.6 1.2 14.79 11.555 141.91947 0.1334011 0.011
SUNPHARM 4.59 0.8 2.311 2.8540 56.252622 0.0332883 0.011
TATAMOTO 2.42 0.5 8.610 17.221 13.590169 0.3168025 0.018
TATASTEEL 6.63 1.6 0.271 0.1617 243.59087 0.0018745 0.011
TCS 2.27 1.7 3.920 2.2928 252.03913 0.0266013 0.011
TECHM 6.94 0.7 0.038 0.0509 86.134396 0.000332 0.006
ULTRACEM 5.98 1.3 12.17 9.2203 241.15392 0.0666191 0.007
UPL 3.65 1.2 10.55 8.5787 41.560875 0.3122820 0.036
VEDL 1.73 1.7 4.460 2.5934 112.00517 0.0685019 0.026
WIPRO 6.3 0.4 13.20 32.199 249.18347 0.0217219 0.000
YESBANK 0.17 1.5 6.360 4.1037 13.420169 0.7346583 0.179
ZEEL 0.12 1.3 6.781 5.0235 201.38800 0.0454616 0.009
RANKED TABLE

1 EICHERM 5.388 βi
0.672836 0.67283638 0.124 0.1248 0.865
2 DRREDDY 16.01 0.091018 0.58181774 0.005 0.1305 0.712
3 HCLTECH 9.605 0.053454 0.63527213 0.005 0.1361 0.788
4 ONGC 3.881 0.044778 0.590494 0.011 0.1476 0.699
5 BAJAJ 4.259 0.022078 0.56841517 0.005 0.1528 0.656
6 TECHM 0.050 0.000332 0.56808255 0.006 0.1593 0.645
7 TATASTEE 2.292 0.026601 0.59468385 0.011 0.1709 0.669
8 BPCL 17.99 0.084595 0.67927939 0.004 0.1756 0.795
9 BAJFINAN 1.634 0.093849 0.77312935 0.057 0.2330 0.853
10 SUNPHAR 2.854 0.033288 0.80641771 0.011 0.2447 0.887
11 MARUTI 2.654 0.032464 0.83888177 0.012 0.2569 0.919
12 TCS 17.22 0.316802 1.15568429 0.018 0.2753 1.390
13 VEDL 2.593 0.068501 1.22418627 0.026 0.3017 1.457
14 HINDALC 3.398 0.119607 1.34379398 0.035 0.3369 1.590

15 AXISBANK 3.692 0.038743 1.38253796 0.010 0.3474 1.635

16 LUPIN 4.816 0.058532 1.44107069 0.012 0.3596 1.708
17 IOC 15.47 0.213578 1.65464938 0.013 0.3734 2.024
18 YESBANK 4.103 0.734658 2.38930775 0.179 0.5524 2.902
19 KOTAKBA 5.074 0.072018 2.46132662 0.014 0.5666 2.993
20 ZEEL 5.023 0.045461 2.50678827 0.009 0.5756 3.051
21 LT 5.072 0.066532 2.57332064 0.013 0.5888 3.135
22 COALINDI 9.185 0.185762 2.38755797 0.020 0.6090 2.810
23 INFRATEL 1.203 0.008723 2.3962816 0.007 0.6162 2.812
24 GAIL 4.959 0.021974 2.3743069 0.004 0.6207 2.770
25 ADANIPOR 5.634 0.168689 2.54299614 0.029 0.6506 2.989
26 HDFCBAN 6.820 0.208932 2.75192824 0.030 0.6812 3.271
27 IBULHSGF 5.774 0.070985 2.82291401 0.012 0.6935 3.364
28 UPL 9.220 0.066619 2.8895331 0.007 0.7008 3.458
29 AUROPHA 8.736 0.189374 3.07890804 0.021 0.7224 3.723
30 AMBUJAC 8.786 0.057416 3.13632428 0.006 0.7290 3.803
31 ASIANPAI 9.157 0.064037 3.20036226 0.006 0.736 3.893
32 ULTRACE 8.578 0.312282 3.51264428 0.036 0.7724 4.329
33 HDFC 7.149 0.088976 3.60162029 0.012 0.7848 4.450
34 INDUSIND 82 0.055451
4.543 01 3.6570714 44 0.79705 4.518
0.012 51
35 RELIANCE 11.05 0.167985 3.82505677 0.015 0.8122 4.760
36 NTPC 11.22 0.104620 3.92967748 0.009 0.8215 4.910
37 ITC 13.38 0.169299 4.09897724 0.012 0.8342 5.158
38 SBIN 11.55 0.133401 4.2323784 0.011 0.8457 5.350
39 CIPLA 6.227 0.029156 4.26153513 0.004 0.8504 5.389
40 HEROMOT 11.59 0.263288 4.52482333 0.022 0.8731 5.769
41 ICICIBANK 9.633 0.106713 4.63153695 0.011 0.8842 5.920
42 M&M 12.92 0.151681 4.78321807 0.011 0.8959 6.141
43 HINDPETR 13.51 0.096991 4.8802095 0.007 0.9031 6.283
44 POWERGR 15.07 0.155699 5.03590868 0.010 0.9134 6.513
45 INFY 11.34 0.183906 5.21981549 0.016 0.9296 6.784
46 HINDUNIL 16.65 0.220040 5.43985638 0.013 0.9428 7.105
47 TATAMOT 0.161 0.001874 5.44173093 0.011 0.9544 7.089
48 BHARTIAR 21.01 0.153320 5.59505117 0.007 0.9617 7.320
49 BOSCHLT 11.59 0.458956 6.05400748 0.039 1.0013 7.983
50 WIPRO 32.19 0.021721 6.07572938 0.000 1.0020 8.016
proceed to calculate Ci for all the stocks according to the ranked order using
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=0.78866


EICHERMOT,DRREDDY,HCLTECH
SEPTEMBER
01-09-2017
Sr. Security Symbol Bet Volatility Monthly Residual

1 ADANIPORTS 1.83 1.71 4.12 270.1540369
2 AMBUJACEM 1.35 1.34 4.96 146.6107323
3 ASIANPAINT 1.02 1.52 3.15 82.93977604
4 AUROPHARMA 1.32 1.93 4.63 139.5182062
5 AXISBANK 1.2 1.39 1.76 115.509344
6 BAJAJ AUTO 0.84 1.53 10.48 55.75067856
7 BAJFINANCE 1.86 2.17 3.15 278.680674
8 BPCL 0.99 2.14 10.91 77.42461601
9 BHARTIARTL 0.72 1.03 8.94 41.05376384
10 INFRATEL 0.6 1.64 6.18 27.584836
11 BOSCHLTD 1.1 1.15 6.56 97.077921
12 CIPLA 0.71 1.37 2.48 39.55288841
13 COALINDIA 0.86 1.38 14.09 58.66080196
14 DRREDDY 0.52 3.11 15.23 18.84109904
15 EICHERMOT 1.29 1.37 0.76 133.7218044
16 GAIL 0.78 2.22 10.77 47.16997284
17 HCLTECH 0.53 0.85 1.1 21.95349009
18 HDFCBANK 0.77 0.8 1.65 47.33168129
19 HEROMOTOCO 1.01 1.13 5.52 81.68182001
20 HINDALCO 1.71 1.67 1.09 235.7087304
21 HINDPETRO 1.39 2.04 12.6 154.8080712
22 HINDUNILVR 0.64 1.28 3.76 31.97136896
23 HDFC 1.14 0.81 1.96 104.691658
24 ITC 1.15 1.19 8.49 106.1706823
25 ICICIBANK 1.39 1.01 7.2 155.8380712
26 IBULHSGFIN 1.32 1.86 0.72 139.5882062
27 IOC 1.17 1.51 11.92 109.6174389
28 INDUSINDBK 1.18 1.76 1.54 111.2751712
29 INFY 0.69 0.87 1.64 37.77984561
30 KOTAKBANK 0.83 1.25 2.69 54.67497089
31 LT 1.12 1.71 0.51 100.1223174
32 LUPIN 0.7 1.21 3.53 38.568249
33 M&M 1 1.22 6.73 79.9601
34 MARUTI 1.24 1.01 3.61 123.8125218
35 NTPC 0.62 0.76 0.77 30.44563044
36 ONGC 0.52 1.5 8.92 20.45109904
37 POWERGRID 0.66 0.84 3.76 34.52205156
38 RELIANCE 0.81 1.27 2.05 51.99226361
39 SBIN 1.28 0.97 8.6 132.0354758
40 SUNPHARMA 0.81 2.21 4.59 51.05226361

41 TCS 0.5 0.9 2.42 19.395025

42 TATAMOTORS 1.68 1.94 6.63 227.1827142
43 TATASTEEL 1.71 1.6 2.27 235.7787304
44 TECHM 0.75 1.2 6.94 44.46380625
45 UPL 1.32 1.07 5.98 140.3782062
46 ULTRACEMCO 1.23 1.5 3.65 121.3173733
47 VEDL 1.72 1.8 1.73 238.3632078
48 WIPRO 0.41 1.17 6.3 12.47637481
49 YESBANK 1.55 1.37 0.17 193.6651903
50 ZEEL 1.35 1.11 0.12 146.8407323
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, UPL,
TATAMOTORS, SBIN etc..
consideration.
Securities must be ranked from the highest return to beta to the lowest.
ADANIPORT 4.1 1.8 10.310 5.63432 270.15 0.06984446 0.0124
AMBUJACE 4.9 1.3 11.150 8.25985 146.61 0.11487391 0.0124
ASIANPAINT 3.1 1.0 9.3408 9.15765 82.939 0.11487391 0.0125
AUROPHAR 4.6 1.3 10.820 8.19758 139.51 0.04603056 0.0124
AXISBANK 1.76 1.2 4.4308 3.69233 115.50 0.04603056 0.0124
BAJAJ AUTO 10.4 0.8 4.2892 5.10619 55.750 0.02029523 0.0126
BAJFINANCE 3.15 1.8 3.0408 1.63484 278.68 0.02029523 0.0124
BHARTIART 10.9 0.9 17.100 7.2735 77.424 0.26536363 0.0126
BOSCHLTD 8.9 0.7 15.130 21.015 41.053 0.26536363 0.0126
BPCL 6.18 0.6 0.0108 0.018 27.584 0.14448064 0.0130
CIPLA 6.5 1.1 12.750 11.5916 97.077 0.14448064 0.0124
COALINDIA 2.48 0.7 3.7108 5.22648 39.552 0.1158067 0.0127
DRREDDY 14.0 0.8 7.8992 9.18511 58.660 0.1158067 0.0126
EICHERMOT 15.2 0.5 9.0392 17.3830 18.841 0.06705363 0.0143
GAIL 0.7 1.2 6.9508 5.38822 133.72 0.06705363 0.0124
HCLTECH 10.7 0.7 4.5792 5.87076 47.17 0.12290183 0.0129
HDFC 1.1 0.5 5.0908 9.60528 21.953 0.12290183 0.0128
HDFCBANK 1.65 0.7 4.5408 5.89714 47.331 0.14480466 0.0125
HEROMOTO 5.5 1.0 11.710 11.5949 81.681 0.14480466 0.0124
HINDALCO 1.09 1.7 5.1008 2.98292 235.70 0.16871996 0.0124

HINDPETRO 12. 1.3 18.790 13.5186 154.80 0.16871996 0.0124

HINDUNILV 3.7 0.6 9.9508 15.5481 31.971 0.08875504 0.0128
IBULHSGFIN 1.9 1.1 8.1508 7.14982 104.69 0.08875504 0.0124
ICICIBANK 8.4 1.1 14.680 12.7659 106.17 0.11943944 0.0124
INDUSINDB 7.2 1.3 13.390 9.63367 155.83 0.11943944 0.0124
INFRATEL 0.7 1.3 6.9108 5.23545 139.58 0.19330534 0.0124
INFY 11.9 1.1 18.110 15.4793 109.61 0.19330534 0.0124
IOC 1.54 1.1 4.6508 3.94136 111.27 0.14301943 0.0125
ITC 1.6 0.6 7.8308 11.349 37.779 0.14301943 0.0126
KOTAKBAN 2.69 0.8 3.5008 4.21783 54.675 0.06354723 0.0126
LT 0.51 1.1 5.6808 5.07214 100.12 0.06354723 0.0125
LUPIN 3.53 0.7 2.6608 3.80114 38.568 0.16159059 0.0127
M&M 6.7 1 12.920 12.9208 79.960 0.16159059 0.0125
MARUTI 3.61 1.2 2.5808 2.08129 123.81 0.14175092 0.0124
NTPC 0.7 0.6 6.9608 11.2271 30.445 0.14175092 0.0126
ONGC 8.92 0.5 2.7292 5.24846 20.451 0.19024153 0.0132
POWERGRID 3.7 0.6 9.9508 15.077 34.522 0.19024153 0.0126
RELIANCE 2.0 0.8 8.2408 10.1738 51.992 0.1433874 0.0126
SBIN 8.6 1.2 14.790 11.5553 132.03 0.1433874 0.0124
SUNPHARM 4.59 0.8 1.6008 1.9763 51.052 0.22198476 0.0128
TATAMOTO 2.4 0.5 8.6108 17.2216 19.395 0.22198476 0.0128
TATASTEEL 6.63 1.6 0.4392 0.26142 227.18 0.02843585 0.0124
TCS 2.27 1.7 3.9208 2.29287 235.77 0.02843585 0.0124
TECHM 6.94 0.7 0.7492 0.99893 44.463 0.11444409 0.0126
ULTRACEMC 5.9 1.3 12.170 9.2203 140.37 0.11444409 0.0124
UPL 3.6 1.2 9.8408 8.00065 121.31 0.03218859 0.0124
VEDL 1.73 1.7 4.4608 2.59349 238.36 0.03218859 0.0124
WIPRO 6.3 0.4 12.490 30.4654 12.476 0.05090868 0.0134
YESBANK 0.1 1.5 6.3608 4.10374 193.66 0.05090868 0.0124
ZEEL 0.12 1.3 6.0708 4.49689 146.84 0.05581272 0.0124
RANKED TABLE

1 EICHERM 5.388 0.067053 0.06705362 0.012 0.0124 0.070
2 DRREDDY 17.38 0.067053 0.13410725 0.014 0.0268 0.139
3 HCLTECH 9.605 0.122901 0.25700907 0.012 0.0395 0.282
4 ONGC 5.248 0.190241 0.44725061 0.013 0.0528 0.512
5 BAJAJ 5.106 0.020295 0.46754584 0.012 0.0654 0.522
6 TECHM 0.998 0.114444 0.58198993 0.012 0.0781 0.655
7 TATASTEE 2.292 0.028435 0.61042577 0.012 0.0905 0.675
8 BPCL 17.27 0.265363 0.87578941 0.012 0.1031 1.004
9 BAJFINAN 1.634 0.020295 0.89608464 0.012 0.1156 1.014
10 SUNPHAR 1.976 0.221984 1.11806940 0.012 0.1284 1.286
11 MARUTI 2.081 0.141750 1.25982031 0.012 0.1408 1.454
12 TCS 17.22 0.221984 1.48180508 0.012 0.1537 1.726
13 VEDL 2.593 0.032188 1.51399367 0.012 0.1661 1.752

14 HINDALC 2.982 0.168719 1.68271363 0.012 0.1785 1.955

15 AXISBANK 3.692 0.046030 1.72874419 0.012 0.1910 1.999
16 LUPIN 3.801 0.161590 1.89033479 0.012 0.2037 2.192
17 IOC 15.47 0.193305 2.08364012 0.012 0.2162 2.427
18 YESBANK 4.103 0.050908 2.13454881 0.012 0.2286 2.477
19 KOTAKBA 4.217 0.063547 2.19809604 0.012 0.2412 2.543
20 ZEEL 4.496 0.055812 2.25390875 0.012 0.2536 2.600
21 LT 5.072 0.063547 2.31745598 0.012 0.2661 2.666
22 COALINDI 9.185 0.115806 2.20164932 0.012 0.2787 2.499
23 INFRATEL 0.018 0.144480 2.34612995 0.013 0.2918 2.670
24 GAIL 5.870 0.122901 2.46903178 0.012 0.3047 2.813
25 ADANIPOR 5.634 0.069844 2.53887624 0.012 0.3171 2.888
26 HDFCBAN 5.897 0.144804 2.68368090 0.012 0.3296 3.060
27 IBULHSGF 5.235 0.193305 2.87698624 0.012 0.3421 3.295
28 UPL 9.220 0.114444 2.99143033 0.012 0.3545 3.427
29 AUROPHA 8.197 0.046030 3.03746089 0.012 0.3670 3.471
30 AMBUJAC 8.259 0.114873 3.1523348 0.012 0.3794 3.604
31 ASIANPAI 9.157 0.114873 3.26720870 0.012 0.3920 3.737
32 ULTRACE 8.000 0.032188 3.29939729 0.012 0.4044 3.763
33 HDFC 7.149 0.088755 3.38815233 0.012 0.4169 3.862
34 INDUSIND 82 0.143019
3.941 037 3.531171765 0.012 41 0.4294 4.032 63
35 RELIANCE 10.17 0.143387 3.67455916 0.012 0.4420 4.202
36 NTPC 11.22 0.141750 3.81631008 0.012 0.4546 4.370
37 ITC 12.76 0.119439 0.11943944 0.012 0.4671 0.451
38 SBIN 11.55 0.143387 4.07913692 0.012 0.4795 4.679
39 CIPLA 5.226 0.115806 3.96333026 0.012 0.4922 4.512
40 HEROMOT 11.59 0.144804 4.10813491 0.012 0.5047 4.684
41 ICICIBANK 9.633 0.119439 4.22757435 0.012 0.5171 4.823
42 M&M 12.92 0.161590 4.38916495 0.012 0.5296 5.017
43 HINDPETR 13.51 0.168719 4.55788491 0.012 0.5421 5.220
44 POWERGR 15.07 0.190241 4.74812644 0.012 0.5547 5.451
45 INFY 11.34 0.143019 4.89114587 0.012 0.5673 5.620
46 HINDUNIL 15.54 0.088755 4.97990091 0.012 0.5801 5.719
47 TATAMOT 0.261 0.028435 5.00833676 0.012 0.5926 5.740
48 BHARTIAR 21.01 0.265363 5.27370039 0.012 0.6052 6.069
49 BOSCHLT 11.59 0.144480 5.41818103 0.012 0.6176 6.240
50 WIPRO 30.46 0.050908 5.46908971 0.013 0.6311 6.289
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=2.666663

EICHERMOT, DRREDDY,HCLTECH, BAJAJ AUTO,ONGC, TECHM

,TATASTEEL, BAJFINANCE,BCPL, SUNPHARMA,MARUTI, VEDL,TCS,
HINDALCO,AXISBANK, LUPIN,IOC, YESBANK,KOTAKBANK,ZEEL.
OCTOBER
01-10-2017
Sr. Security Symbol Beta Volatility Monthly Resudial

1 ADANIPORTS 1.72 1.21 14.23 238.9532078
2 AMBUJACEM 1.34 1.2 5.65 144.5669876
3 ASIANPAINT 1.03 1.24 4.34 84.88396809
4 AUROPHARMA 1.27 1.34 9.88 129.5953833
5 AXISBANK 1.13 3.18 2.75 100.4788697
6 BAJAJ AUTO 0.83 0.8 4.75 55.12497089
7 BAJFINANCE 1.83 1.98 2.04 269.8840369
8 BPCL 1.07 1.62 14.92 91.32309649
9 BHARTIARTL 0.73 2.84 27.67 40.42087529
10 INFRATEL 0.74 3.07 10.98 41.38422276
11 BOSCHLTD 1.12 1.16 2.27 100.6723174
12 CIPLA 0.7 1.65 7.08 38.128249
13 COALINDIA 0.9 1.04 5.76 64.715881
14 DRREDDY 0.53 1.11 4.27 21.69349009
15 EICHERMOT 1.28 0.95 3.27 132.0554758
16 GAIL 0.84 1.68 11.01 55.60067856
17 HCLTECH 0.44 1.52 2.17 14.19646736
18 HDFCBANK 0.72 1.15 0.16 40.93376384
19 HEROMOTOCO 1.03 0.84 2 85.28396809
20 HINDALCO 1.79 1.91 11.14 258.1991584
21 HINDPETRO 1.46 2.13 4.77 170.9135012
22 HINDUNILVR 0.71 1.17 5.41 39.75288841
23 HDFC 1 0.77 1.99 80.4101
24 ITC 1.16 0.82 2.86 108.4159426
25 ICICIBANK 1.44 3.53 8.5 164.8050554
26 IBULHSGFIN 1.21 1.69 3.09 117.1657844
27 IOC 1.22 1.78 3.75 119.0484608
28 INDUSINDBK 1.16 1.35 3.27 107.8859426
29 INFY 0.75 1 2.44 44.66380625
30 KOTAKBANK 0.84 1.61 2.27 55.67067856
31 LT 1.14 1.33 7.03 104.171658
32 LUPIN 0.66 1.21 1.39 34.15205156
33 M&M 0.98 1.18 7.22 76.78536804
34 MARUTI 1.26 0.8 2.92 128.0815268
35 NTPC 0.66 1.18 8.24 34.18205156
36 ONGC 0.58 1.36 11.79 25.94898564
37 POWERGRID 0.61 1.46 0.4 28.7471151

38 RELIANCE 0.82 1.62 20.48 52.96549924

39 SBIN 1.47 6.27 20.46 169.1520781
40 SUNPHARMA 0.82 1.65 9.87 52.93549924
41 TCS 0.48 0.79 7.72 17.91389504
42 TATAMOTORS 1.7 1.4 6.7 233.210489
43 TATASTEEL 1.72 1.47 7.85 238.6932078
44 TECHM 0.75 1.51 5.29 44.15380625
45 UPL 1.37 1.6 2.67 150.7669297
46 ULTRACEMCO 1.32 1.72 14.19 139.7282062
47 VEDL 1.77 1.63 5.6 252.6991353
48 WIPRO 0.4 0.91 4.92 12.078816
49 YESBANK 1.52 2.51 10.21 185.048503
50 ZEEL 1.23 1.98 4.19 120.8373733
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, VEDL, UPL,
MARUTI,etc..
consideration.
ADANIPORT 14.2 1.7 8.0392 4.67395 238.95 0.05787 0.0123
AMBUJACE 5.65 1.3 0.5408 0.40358 144.56 0.005013 0.0124
ASIANPAINT 4.34 1.0 1.8508 1.79689 84.884 0.022458 0.0125
AUROPHAR 9.88 1.2 3.6892 2.90488 129.59 0.03615 0.0124
AXISBANK 2.75 1.1 3.4408 3.04496 100.47 0.038696 0.0127
BAJAJ AUTO 4.75 0.8 1.4408 1.7359 55.125 0.021694 0.0125
BAJFINANCE 2.04 1.8 8.2308 4.4977 269.88 0.055811 0.0124
BHARTIART 14.9 1.0 8.7292 8.15813 91.323 0.10228 0.0125
BOSCHLTD 27.6 0.7 21.479 29.4235 40.420 0.38791 0.0131
BPCL 10.9 0.7 4.7892 6.47189 41.384 0.08564 0.0132
CIPLA 2.27 1.1 3.9208 3.50071 100.67 0.04362 0.0124
COALINDIA 7.08 0.7 0.8892 1.27028 38.128 0.01632 0.0128
DRREDDY 5.76 0.9 0.4308 0.47867 64.715 0.005991 0.0125
EICHERMOT 4.27 0.5 1.9208 3.62415 21.693 0.046928 0.0129
GAIL 3.27 1.2 2.9208 2.28188 132.05 0.028311 0.0124
HCLTECH 11.0 0.8 4.8192 5.73714 55.600 0.07281 0.0126
HDFC 2.17 0.4 8.3608 19.0018 14.196 0.259132 0.0136

HDFCBANK 0.16 0.7 6.0308 8.37611 40.933 0.106078 0.0126

HEROMOTO 2 1.0 4.1908 4.06874 85.284 0.050614 0.0124
HINDALCO 11.1 1.7 4.9492 2.76491 258.19 0.03431 0.0124
HINDPETRO 4.77 1.4 1.4208 0.97315 170.91 0.012137 0.0124
HINDUNILV 5.41 0.7 0.7808 1.09972 39.752 0.013945 0.0126
IBULHSGFIN 1.99 1 8.1808 8.1808 80.410 0.101738 0.0124
ICICIBANK 2.86 1.1 3.3308 2.87138 108.41 0.035638 0.0124
INDUSINDB 8.5 1.4 2.3092 1.60361 164.80 0.02018 0.0125
INFRATEL 3.09 1.2 3.1008 2.56264 117.16 0.032023 0.0125
INFY 3.75 1.2 2.4408 2.00066 119.04 0.025013 0.0125
IOC 3.27 1.1 9.4608 8.15586 107.88 0.101723 0.0124
ITC 2.44 0.7 3.7508 5.00107 44.663 0.062984 0.0125
KOTAKBAN 2.27 0.8 3.9208 4.66762 55.670 0.05916 0.0126
LT 7.03 1.1 0.8392 0.73614 104.17 0.00918 0.0124
LUPIN 1.39 0.6 4.8008 7.27394 34.152 0.092777 0.0127
M&M 7.22 0.9 1.0292 1.05020 76.785 0.01314 0.0125
MARUTI 2.92 1.2 3.2708 2.59587 128.08 0.032176 0.0124
NTPC 8.24 0.6 2.0492 3.10484 34.182 0.03957 0.0127
ONGC 11.7 0.5 5.5992 9.65379 25.949 0.12515 0.0129
POWERGRID 0.4 0.6 5.7908 9.49311 28.471 0.122878 0.0129
RELIANCE 20.4 0.8 14.289 17.4258 52.965 0.22122 0.0127
SBIN 20.4 1.4 14.269 9.70693 169.15 0.12401 0.0127
SUNPHARM 9.87 0.8 3.6792 4.48682 52.935 0.05699 0.0127
TATAMOTO 7.72 0.4 1.5292 3.18583 17.913 0.04097 0.0128
TATASTEEL 6.7 1.7 0.5092 0.29952 233.21 0.00371 0.0123
TCS 7.85 1.7 1.6592 0.96465 238.69 0.01196 0.0123
TECHM 5.29 0.7 0.9008 1.20107 44.153 0.015301 0.0127
ULTRACEMC 2.67 1.3 3.5208 2.56993 150.76 0.031993 0.0124
UPL 14.1 1.3 7.9992 6.06 139.72 0.07557 0.0124
VEDL 5.6 1.7 0.5908 0.33379 252.69 0.004138 0.0124
WIPRO 4.92 0.4 1.2708 3.177 12.078 0.042084 0.0132
YESBANK 10.2 1.5 16.400 10.79 185.04 0.134717 0.0124
ZEEL 4.19 1.2 2.0008 1.62667 120.83 0.020366 0.0125
RANKED TABLE

1 BOSCHLT 3.500 0.043619 0.04361969 0.012 0.0124 0.174
2 RELIANCE 17.42 0.221222 0.17760249 0.012 0.0251 1.133
3 SBIN 9.706 0.124005 0.30160761 0.012 0.0379 1.898
4 ONGC 9.653 0.125150 0.42675840 0.012 0.0508 2.670
5 BHARTIAR 29.42 0.387913 0.81467222 0.013 0.0640 4.912
6 BPCL 8.158 0.102276 0.91694913 0.012 0.0766 5.554
7 UPL 2.569 0.031993 0.88495606 0.012 0.0890 5.444
8 HCLTECH 19.00 0.259131 0.6258245 0.013 0.1027 4.072
9 ADANIPOR 4.673 0.057866 0.6836912 0.012 0.1150 4.465
10 SUNPHAR 4.486 0.056992 0.74068405 0.012 0.1277 4.854

11 TATAMOT 0.299 0.003711 0.74439589 0.012 0.1401 4.944

12 NTPC 3.104 0.039566 0.78396262 0.012 0.1529 5.237
13 AUROPHA 2.904 0.036153 0.82011579 0.012 0.1653 5.508
14 HINDALC 2.764 0.034310 0.85442677 0.012 0.1777 5.770
15 INDUSIND 8.155 0.101723 0.75270335 0.012 0.1902 5.271
16 COALINDI 0.478 0.005991 0.7467122 0.012 0.2027 5.307
17 M&M 1.050 0.013135 0.75984776 0.012 0.2152 5.450
18 TCS 204 0.040974
3.185 523 0.800822433 0.012 51 0.2281
71 5.751
913
19 LT 0.736 0.009183 0.81000620 0.012 0.2406 5.872
20 TATASTEE 0.964 0.011956 0.82196223 0.012 0.2530 6.009
21 VEDL 0.333 0.004138 0.81782404 0.012 0.2654 6.055
22 AMBUJAC 0.403 0.005012 0.81281134 0.012 0.2778 6.096
23 DRREDDY 3.624 0.046927 0.76588371 0.012 0.2907 5.906
24 HINDPETR 0.973 0.012136 0.75374676 0.012 0.3032 5.908
25 HINDUNIL 1.099 0.013945 0.73980141 0.012 0.3159 5.901
26 TECHM 1.201 0.015301 0.72450035 0.012 0.3286 5.887
27 ZEEL 1.626 0.020366 0.70413427 0.012 0.3411 5.843
28 BAJAJ 1.735 0.021693 0.68244058 0.012 0.3536 5.791
AUTO
29 ASIANPAI 1.7969 0.022457689 0.659982586 0.0125 0.3661 78 5.736
905
30 INFY 5.001 0.062983 0.59699870 0.012 0.3787 5.454
31 GAIL 5.737 0.072807 0.66980587 0.012 0.3914 5.932
32 INFRATEL 6.471 0.085636 0.75544256 0.013 0.4046 6.485
33 ULTRACE 6.06 0.075567 0.83101030 0.012 0.4171 6.977
34 MARUTI 2.595 0.032176 0.79883385 0.012 0.4295 6.866
35 ICICIBANK 1.603 0.020176 0.81901071 0.012 0.4421 7.049
36 AXISBANK 3.044 0.038695 0.78031497 0.012 0.4548 6.904
37 WIPRO 3.177 0.042083 0.73823138 0.013 0.4680 6.743
38 CIPLA 1.270 0.016324 0.75455628 0.012 0.4809 6.906
39 EICHERM 2.281 0.028311 0.72624527 0.012 0.4933 6.817
40 HEROMOT 4.068 0.050613 0.67563172 0.012 0.5057 6.604
41 BAJFINAN 4.497 0.055810 0.61982122 0.012 0.5182 6.361
42 KOTAKBA 4.667 0.059159 0.56066132 0.012 0.5308 6.101
43 ITC 2.871 0.035638 0.52502331 0.012 0.5432 5.971
44 LUPIN 7.273 0.092777 0.43224622 0.012 0.5560 5.524
45 IOC 2.000 0.025013 0.40723308 0.012 0.5685 5.454
46 IBULHSGF 2.562 0.032022 0.37521035 0.012 0.5810 5.345
47 HDFCBAN 8.376 0.106078 0.26913225 0.012 0.5937 4.823
48 POWERGR 9.493 0.122877 0.14625425 0.012 0.6066 4.208
49 YESBANK 10.79 0.134717 0.01153705 0.012 0.6191 3.525
50 HDFC 8.180 0.101738 0.09020140 0.012 0.6315 3.026
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=5.44477

BOSCHLTD, RELIANCE, SBIN,ONGC, BHARTIARTL,BCPL,UPL.

NOVEMBER
01-11-2017
Sr. Security Symbol Beta Volatilit Monthly Residual

1 ADANIPORTS 1.62 1.53 7.52 211.5190544
2 AMBUJACEM 1.13 1.09 6.75 102.568742
3 ASIANPAINT 0.83 1.24 2.89 54.684902
4 AUROPHARMA 1.17 2.15 8.84 108.977302
5 AXISBANK 1.17 1.49 2.34 109.637302
6 BAJAJ AUTO 0.79 0.97 1.49 49.694438
7 BAJFINANCE 1.5 1.32 4.08 181.335
8 BPCL 1.15 1.13 6.97 106.23055
9 BHARTIARTL 0.9 2.32 0.15 63.4358
10 INFRATEL 0.82 2.07 13.22 52.515432
11 BOSCHLTD 1.02 1.8 3.23 82.659672
12 CIPLA 0.72 1.97 4.25 40.113712
13 COALINDIA 0.77 1.26 3.72 46.871622
14 DRREDDY 0.59 1.67 5.93 26.588758
15 EICHERMOT 0.89 1.14 7.1 63.162678
16 GAIL 0.84 1.3 0.69 55.980608
17 HCLTECH 0.25 1.28 0.91 3.79375
18 HDFCBANK 0.72 0.5 2.5 41.583712
19 HEROMOTOCO 0.93 0.88 5.62 69.332582
20 HINDALCO 1.95 1.5 10.08 307.18695
21 HINDPETRO 1.41 1.4 6.81 159.993958
22 HINDUNILVR 0.8 0.98 2.83 50.9752
23 HDFC 0.99 1.27 1.86 78.294518
24 ITC 1.19 0.95 3.63 114.008998
25 ICICIBANK 1.48 1.57 2.48 176.246672
26 IBULHSGFIN 1.11 1.47 3.07 98.551878
27 IOC 1.01 0.89 5.29 81.921718
28 INDUSINDBK 1.02 1.27 2.14 83.189672
29 INFY 0.74 1.39 5.88 43.064168
30 KOTAKBANK 0.86 0.88 2.41 59.160728
31 LT 1.25 1.28 0.47 125.56375
32 LUPIN 0.8 3.67 20.46 48.2852
33 M&M 0.93 1.1 4.59 69.112582
34 MARUTI 1.08 0.77 4.72 93.918352
35 NTPC 0.66 1.21 0.06 34.152008
36 ONGC 0.71 1.68 5.47 39.242838
37 POWERGRID 0.59 1.09 2.74 27.168758

38 RELIANCE 1 1.4 2.05 79.78

39 SBIN 1.71 2.35 4.76 235.028438
40 SUNPHARMA 1.02 1.85 2.34 82.609672
41 TCS 0.33 1.02 0.5 7.820502
42 TATAMOTORS 1.66 1.84 5.66 221.859608
43 TATASTEEL 1.61 1.07 1.37 209.356678
44 TECHM 0.57 1.94 1.49 24.435382
45 UPL 1.06 1.58 8.5 89.633848
46 ULTRACEMCO 1.1 1.15 4.48 97.0778
47 VEDL 1.92 1.84 10.97 297.421952
48 WIPRO 0.46 0.82 0.73 16.357688
49 YESBANK 1.28 1.29 2.34 131.715312
50 ZEEL 1.04 1.4 4.84 86.404288
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda,
SUNPHARMA, HINDALCO, etc..
consideration.
Securities have to be ranked from the highest return to beta to the lowest.
ADANIPORT 7.5 1.6 13.710 8.4634 211.51 0.10500943 0.0124
AMBUJACEM 6.7 1.1 12.940 11.452 102.56 0.14256881 0.0124
ASIANPAINT 2.8 0.8 9.0808 10.940 54.684 0.13782714 0.0126
AUROPHAR 8.8 1.1 15.030 12.846 108.97 0.16137338 0.0125
AXISBANK 2.34 1.1 3.8508 3.2912 109.63 0.04109400 0.0124
BAJAJ AUTO 1.49 0.7 4.7008 5.9503 49.694 0.07472932 0.0125
BAJFINANCE 4.08 1.5 10.270 6.8472 181.33 0.08495988 0.0124
BHARTIART 6.97 1.1 13.160 11.444 106.23 0.14247238 0.0124
BOSCHLTD 0.15 0.9 6.3408 7.0453 63.435 0.08996055 0.0127
BPCL 13.2 0.8 19.410 23.671 52.515 0.30308911 0.0128
CIPLA 23.23 1.02 9.42088 9.23607 82.6594 0.116250359 0.0125
COALINDIA 4.25 0.7 10.440 14.501 40.113 0.18740165 0.0129
DRREDDY 3.72 0.7 9.9108 12.871 46.871 0.16281314 0.0126
EICHERMOT 5.93 0.5 12.120 20.543 26.588 0.26895848 0.0130
GAIL 7.1 0.8 13.290 14.933 63.162 0.18727534 0.0125
HCLTECH 0.69 0.8 5.5008 6.5485 55.980 0.08254058 0.0126
HDFC 0.91 0.2 7.1008 28.403 3.7937 0.46792751 0.0164
HDFCBANK 2.5 0.7 3.6908 5.1261 41.583 0.06390425 0.0124
HEROMOTO 5.62 0.9 11.810 12.699 69.332 0.15842542 0.0124
HINDALCO 10.0 1.9 16.270 8.344 307.18 0.10328583 0.0123

HINDPETRO 6.81 1.4 13.000 9.2204 159.99 0.11457387 0.0124

HINDUNILVR 2.83 0.8 3.3608 4.201 50.975 0.05274407 0.0125
IBULHSGFIN 1.86 0.9 8.0508 8.1321 78.294 0.10179885 0.0125
ICICIBANK 3.63 1.1 9.8208 8.2527 114.00 0.10250727 0.0124
INDUSINDBK 2.48 1.4 3.7108 2.5073 176.24 0.03116078 0.0124
INFRATEL 3.07 1.1 9.2608 8.3430 98.551 0.10430534 0.0125
INFY 5.2 1.0 11.480 11.367 81.921 0.14154498 0.0124
IOC 2.14 1.0 4.0508 3.9713 83.189 0.04966741 0.0125
ITC 5.88 0.7 0.3108 0.42 43.064 0.00534068 0.0127
KOTAKBAN 2.4 0.8 8.6008 10.000 59.160 0.12502699 0.0125
LT 0.4 1.2 6.6608 5.3286 125.56 0.06630894 0.0124
LUPIN 20.4 0.8 6.6508 33.313 48.285 0.44155641 0.0132
M&M 4.59 0.9 1.6008 1.7212 69.112 0.02154085 0.0125
MARUTI 4.72 1.0 1.4708 1.3618 93.918 0.01691324 0.0124
NTPC 0.0 0.6 6.2508 9.4709 34.152 0.12079898 0.0127
ONGC 5.4 0.7 11.660 16.423 39.242 0.21097271 0.0128
POWERGRID 2.7 0.5 8.9308 15.136 27.168 0.19394232 0.0128
RELIANCE 2.0 1 8.2408 8.2408 79.78 0.10329405 0.0125
SBIN 4.76 1.7 1.4308 0.8367 235.02 0.01041009 0.0124
SUNPHARMA 2.3 1.0 8.5308 8.3635 82.609 0.10533168 0.0125
TATAMOTOR 0.5 0.3 5.6908 17.244 7.8205 0.24013343 0.0139
TATASTEEL 5.6 1.6 11.850 7.1390 221.86 0.08867016 0.0124
TCS 1.3 1.6 7.5608 4.6961 209.35 0.05814425 0.0123
TECHM 1.49 0.5 4.7008 8.2470 24.435 0.10965476 0.0133
ULTRACEMC 8.5 1.0 14.690 13.859 89.633 0.17373178 0.0125
UPL 4.4 1.1 10.670 9.7007 97.077 0.12091209 0.0124
VEDL 10.9 1.9 17.160 8.9379 297.42 0.11078111 0.0123
WIPRO 0.7 0.4 6.9208 15.045 16.357 0.19462212 0.0129
YESBANK 2.3 1.2 8.5308 6.6646 131.71 0.08290170 0.0124
ZEEL 4.844 1.08 1.3508 1.29889 86.4045 0.016258825 0.01254
RANKED TABLE
1 ITC 9.820 βi
0.102507 0.1025072 0.01242 0.012 0.094
2 SBIN 1.430 0.010410 0.1129173 0.01244 0.024 0.092
3 ZEEL 1.350 0.016258 0.1291761 0.01251 0.037 0.096
4 MARUTI 1.470 0.016913 0.1460894 0.01241 0.049 0.101
5 M&M 1.600 0.021540 0.1676302 0.01251 0.062 0.110
6 INDUSIND 4.050 0.049667 0.2172977 0.01250 0.074 0.149
7 AXISBAN 3.850 0.041094 0.2583917 0.01248 0.087 0.179
8 IOC 11.48 0.141544 0.3999366 0.01245 0.099 0.315
9 HINDUNIL 3.360 0.052744 0.4526807 0.01255 0.112 0.357
10 TCS 5.690 0.240133 0.6928142 0.01392 0.126 0.594
11 HDFC 8.050 0.101798 0.7946130 0.01251 0.138 0.688
12 LT 6.660 0.066308 0.8609220 0.01244 0.151 0.745
13 BAJAJ 4.700 0.074729 0.9356513 0.01255 0.163 0.810

14 HCLTECH 7.100 0.467927 1.4035788 0.01647 0.180 1.284

15 YESBANK 8.530 0.082901 1.4864805 0.01243 0.192 1.358
16 BAJFINAN 10.27 0.084959 1.5714404 0.01240 0.205 1.434
17 BOSCHLT 9.420 0.116250 1.6876907 0.01258 0.217 1.543
18 TATASTE 7.560 0.058144 1.7458350 0.01238 0.230 1.591
19 IBULHSGF 9.260 0.104305 1.8501403 0.01250 0.242 1.687
IN
20 RELIANCE 8.2408 0.103294
349 1.9534344 89 2045 0.255
0.01253 55 1.78397
21 TECHM 4.700 0.109654 2.0630892 0.01329 0.268 1.884
22 ICICIBAN 3.7108 0.031160 762 2.0942499 09 6293 0.280
0.01242 38 1.904
444
23 INFRATEL 19.41 0.303089 2.3973391 0.01280 0.293 2.208
24 HINDALC 16.27 0.103285 2.5006249 0.01237 0.305 2.304
25 SUNPHAR 8.530 0.105331 2.6059566 0.01259 0.318 2.401
26 ADANIPO 13.71 0.105009 2.7109660 0.01240 0.330 2.498
27 VEDL 17.16 0.110781 2.8217471 0.01239 0.343 2.602
28 HINDPETR 13.00 0.114573 2.9363210 0.01242 0.355 2.709
29 CIPLA 10.44 0.187401 3.1237227 0.01292 0.368 2.892
30 NTPC 6.250 0.120798 3.2445216 0.01275 0.381 3.006
31 UPL 14.69 0.173731 3.4182534 0.01253 0.394 3.175
32 KOTAKBA 8.600 0.125026 3.5432804 0.01250 0.406 3.293
33 ASIANPAI 9.080 0.137827 3.6811076 0.01259 0.419 3.425
34 INFY 0.310 0.005340 3.6864482 0.01271 0.431 3.417
35 BHARTIA 6.340 0.089960 3.7764088 0.01276 0.444 3.498
36 AMBUJAC 12.94 0.142568 3.9189776 0.01244 0.457 3.635
37 HEROMOT 11.81 0.158425 4.0774031 0.01247 0.469 3.788
38 AUROPHA 15.03 0.161373 4.2387764 0.01256 0.482 3.944
39 DRREDDY 12.12 0.268958 4.5077349 0.01309 0.495 4.213
40 ULTRACE 10.67 0.120912 4.6286470 0.01246 0.507 4.327
41 COALINDI 9.910 0.162813 4.7914602 0.01264 0.520 4.484
42 GAIL 5.500 0.082540 4.8740007 0.01260 0.532 4.558
43 WIPRO 6.920 0.194622 5.0686229 0.01293 0.545 4.748
44 POWERGR 8.930 0.193942 5.2625652 0.01281 0.558 4.939
45 ONGC 11.66 0.210972 5.4735379 0.01284 0.571 5.147
46 TATAMOT 11.85 0.088670 5.5622081 0.01242 0.583 5.227
47 EICHERM 13.29 0.187275 5.7494834 0.01254 0.596 5.410
48 BPCL 13.16 0.142472 5.8919558 0.01244 0.608 5.547
49 HDFCBAN 3.690 0.063904 5.9558600 0.01246 0.621 5.601
50 LUPIN 26.65 0.441556 6.3974165 0.01325 0.634 6.050
σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=0.094591

ITC.
DECEMBER
01-12-2017
Sr. Security Symbol Bet Volatilit Monthl Residual

1 ADANIPORTS 1.5 1.09 1.92 191.3
2 AMBUJACEM 1.0 1.01 3.64 88.5
3 ASIANPAINT 0.7 1.11 1.02 47.0
4 AUROPHARM 1.1 1.35 0.71 109.8
5 AXISBANK 1.1 1.04 5.33 113.9
6 BAJAJ AUTO 0.8 1.29 0.85 61.6
7 BAJFINANCE 1.4 1.36 1.72 169.2
8 BPCL 1.1 1.47 2.75 107.8
9 BHARTIARTL 1.0 1.95 6.69 82.5
10 INFRATEL 0.9 1.72 1.29 65.5
11 BOSCHLTD 0.9 1.36 0.83 71.9
12 CIPLA 0.6 1.42 1.26 37.2
13 COALINDIA 0.7 1.23 4.66 43.2
14 DRREDDY 0.5 1.28 5.7 23.3
15 EICHERMOT 1.0 1.58 1.33 89.6
16 GAIL 0.9 2.13 6.67 74.3
17 HCLTECH 0.2 1.11 5.01 3.2
18 HDFCBANK 0.7 0.88 1.01 42.4
19 HEROMOTOC 0.9 1.6 4.17 73.2
20 HINDALCO 1.9 1.68 13.77 316.6
21 HINDPETRO 1.3 1.8 0.46 152.8
22 HINDUNILVR 0.8 0.89 7.5 52.4
23 HDFC 1 0.89 2.07 80.3
24 ITC 1.1 1.16 2.81 108.1
25 ICICIBANK 1.5 1.15 2.1 196.4
26 IBULHSGFIN 1.1 1 0.77 112.0
27 IOC 1.0 1.4 1.26 84.7
28 INDUSINDBK 0.9 0.69 0.79 71.0
29 INFY 0.6 0.9 6.76 37.7
30 KOTAKBANK 0.7 0.64 0.99 48.7
31 LT 1.3 1.06 3.43 142.5
32 LUPIN 0.7 0.64 8.24 39.1
33 M&M 0.9 1.62 6.8 70.1
34 MARUTI 1.0 1.51 13.15 91.4
35 NTPC 0.7 1.01 2.29 42.3
36 ONGC 0.6 1.2 8.05 36.3
37 POWERGRID 0.5 0.7 2.77 23.9
38 RELIANCE 0.9 0.75 0.05 72.5

39 SBIN 1.7 1.21 3.26 244.6

40 SUNPHARMA 1.0 1.88 5.78 80.9
41 TCS 0.3 1.3 2.43 6.0
42 TATAMOTOR 1.6 1.33 6.85 225.1
43 TATASTEEL 1.5 1.3 5.51 198.8
44 TECHM 0.5 1.67 3.03 22.9
45 UPL 1.05 2.04 4.29 85.8
46 ULTRACEMC 1.1 1.13 2.78 100.7
47 VEDL 1.9 1.83 11.66 303.7
48 WIPRO 0.4 1.12 7.66 12.5
49 YESBANK 1.2 1.34 2.69 115.6
50 ZEEL 0.9 0.79 2.4 74.0
values are greater than 1 are highly sensitive and also we can observe that the
like ACC Ltd, Adani Ports, Ambuja Cements Ltd, Bank of Baroda, YESBANK,
ULTRACEMCO,etc..
consideration.
ADANIPORT 1.92 1.5 4.270 2.7732 91.3 0.0343807 0.012
AMBUJACE 3.64 1.0 2.550 2.4293 8.49 0.0302671 0.012
ASIANPAIN 1.02 0.7 5.170 6.7153 47.02 0.0846770 0.012
AUROPHAR 0.71 1.1 6.900 5.8981 109.77 0.0735532 0.012
AXISBANK 5.33 1.1 0.860 0.7233 13.91 0.0089926 0.012
BAJAJ 0.85 0.8 5.340 6.0690 61.57 0.0763343 0.012
BAJFINANC 1.72 1.4 4.470 3.0833 169.21 0.0383113 0.012
BHARTIART 6.69 1.0 0.499 0.4894 07.76 0.0047249 0.009
BOSCHLTD 0.83 0.9 7.020 7.3903 2.509 0.0808359 0.010
BPCL 2.75 1.1 3.440 2.9662 5.50 0.0609314 0.020
CIPLA 1.26 0.6 4.930 7.1460 1.90 0.0473159 0.006
COALINDIA 4.66 0.7 10.85 14.663 7.22 0.2156762 0.014
DRREDDY 5.7 0.5 0.490 0.8923 3.22 0.0062451 0.007
EICHERMOT 1.33 1.0 4.860 4.5856 3.27 0.2213537 0.048
GAIL 6.67 0.9 0.479 0.4940 9.63 0.0051858 0.010
HCLTECH 5.01 0.2 1.180 5.1339 4.252356 0.0036575 0.000
HDFC 2.07 1 4.120 4.1208 3.18 1.2940474 0.314
HDFCBANK 1.01 0.7 5.180 7.0969 2.38 0.0892379 0.012

HEROMOTO 4.17 0.9 2.020 2.105 0.16 0.0264966 0.012

HINDALCO 13.7 1.9 7.579 3.8278 4.64 0.0474031 0.012
HINDPETRO 0.46 1.3 5.730 4.1527 8.24 0.0517574 0.012
HINDUNILV 7.5 0.8 1.309 1.6162 2.37 0.0202483 0.012
IBULHSGFI 0.77 1.1 6.960 5.8989 901 0.1023008 0.017
ICICIBANK 2.1 1.5 4.090 2.6223 5.94 0.0590478 0.022
INDUSINDB 0.79 0.9 6.980 7.4263 96.4 0.0334094 0.004
INFRATEL 1.29 0.9 7.480 8.2206 12.012 0.0607624 0.007
INFY 6.76 0.6 0.5698 0.82496 9.68 0.0046356 39
0.005
IOC 1.26 1.0 7.450 7.2337 1.04 0.1080270 0.014
ITC 2.81 1.1 3.380 2.9144 7.74 0.1038872 0.035
KOTAKBAN 0.99 0.7 5.200 6.6676 8.74 0.0832128 0.012
LT 3.43 1.3 2.760 2.0757 42.5 0.0257603 0.012
LUPIN 8.24 0.7 2.049 2.9274 39.1 0.0366505 0.012
M&M 6.8 0.9 0.609 0.6480 636 0.0081677 0.012
MARUTI 13.1 1.0 6.959 6.5039 649 0.0814403 0.012
NTPC 2.29 0.7 8.480 11.617 529 0.1465291 0.012
ONGC 8.05 0.6 1.859 2.7341 824 0.0347918 0.012
COALINDIA 2.77 0.58 8.9602 18
16.292 025 76
0.2065827 73
0.012
RELIANCE 0.05 0.9 6.240 6.5692 2.51 0.0817590 0.012
SBIN 3.26 1.7 9.450 5.4314 44.5 0.0672377 0.012
SUNPHARM 5.78 1.0 0.410 0.4067 0.93 0.0051266 0.012
TATAMOTO 6.85 1.6 0.659 0.3947 2.09 0.1832876 0.464
TATASTEEL 5.51 1.5 0.680 0.4336 8.09 0.0047489 0.010
TCS 2.43 0.3 3.760 12.536 2.85 0.0056752 0.000
TECHM 3.03 0.5 3.160 5.7469 2.88 0.0759575 0.013
ULTRACEM 2.78 1.1 3.410 3.0453 5.76 0.0445417 0.014
UPL 4.29 1.0 1.900 1.8276 00.7 0.0196304 0.010
VEDL 11.6 1.9 5.469 2.8191 3.69 0.0349366 0.012
WIPRO 7.66 0.4 1.469 3.5834 2.52 0.0480882 0.013
YESBANK 2.69 1.2 3.500 2.9173 115. 0.0363532 0.012
ZEEL 2.4 0.9 3.790 3.9487 4.02 0.0491609 0.012
RANKED TABLE
1 MARUTI 6.503 0.081440 0.0814403 0.01252 0.012 0.037
2 HINDALC 3.827 0.047403 0.1288435 0.01238 0.024 0.456
3 WIPRO 3.583 0.048088 0.1769318 0.01341 0.025 0.602

4 LUPIN 2.927 0.036650 0.2135823 0.01251 0.025 0.711

5 VEDL 2.819 0.034936 0.2485190 0.01239 0.063 0.925
6 ONGC 2.734 0.034791 0.2833109 0.01272 0.075 1.067
7 HINDUNIL 1.616 0.020248 0.3035592 0.01252 0.088 1.164
8 INFY 0.824 0.004635 0.3081949 0.00561 0.094 1.194
9 M&M 0.648 0.008167 0.3163626 0.01260 0.106 1.256
10 GAIL 0.494 0.005185 0.3215484 0.01049 0.117 1.303
11 BHARTIA 0.489 0.004724 0.3262733 0.00965 0.126 1.345
12 TATAMOT 0.394 0.183287 0.5095610 0.46433 0.591 3.269
13 SUNPHAR 0.406 0.005126 0.5044344 0.01260 0.603 3.291
14 TATASTE 0.433 0.004748 0.4996854 0.01095 0.614 3.309
15 AXISBAN 0.723 0.008992 0.4906928 0.01243 0.627 3.320
16 DRREDDY 0.892 0.006245 0.4844477 0.00699 0.634 3.322
17 UPL 1.827 0.019630 0.4648172 0.01074 0.644 3.295
18 LT 69
2.075 0.025760 0.43905698 0567
0.01240 93
0.657 939
3.256
19 HEROMO 79
2.105 0.026496 0.41256025 0.012589 0.992 3.214
20 AMBUJAC 2.429 0.030267 0.3822931 0.01245 0.238 3.162
21 ICICIBAN 2.622 0.059047 0.3232453 0.02251 0.704 3.053
22 ADANIPO 2.773 0.034380 0.2888646 0.01239 0.717 2.988
23 ITC 2.914 0.103887 0.1849773 0.03564 0.752 2.785
24 YESBANK 2.917 0.036353 0.1486240 0.01246 0.765 2.714
25 BPCL 2.966 0.060931 0.0876926 0.02054 0.785 2.594
26 ULTRACE 3.045 0.044541 0.0431509 0.01462 0.800 2.505
27 BAJFINAN 3.083 0.038311 0.0048395 0.01242 0.813 2.428
28 ZEEL 3.948 0.049160 0.0443213 0.01244 0.825 2.319
29 HDFC 4.120 0.089237 0.1335593 0.31402 1.139 2.987
30 HINDPET 4.152 0.051757 0.1853167 0.01246 1.151 2.870
31 EICHERM 4.585 0.221353 0.4066705 0.04827 1.200 2.356
32 HCLTECH 5.133 0.003657 0.4103281 0.00071 1.200 2.348
33 SBIN 5.431 0.067237 0.4775659 0.01237 1.213 2.185
34 TECHM 5.746 0.075957 0.5535235 0.01321 1.226 1.998
35 AUROPHA 5.898 0.073553 0.6270767 0.01247 1.238 1.817
36 IBULHSGF 5.898 0.102300 0.7293775 0.01734 1.256 1.565
37 BAJAJ 6.069 0.076334 0.8057118 0.01257 1.268 1.375
38 RELIANC 6.569 0.081759 0.8874709 0.01244 1.281 1.169
39 KOTAKBA 6.667 0.083212 0.9706837 0.01248 1.293 0.959
40 ASIANPAI 6.715 0.084677 1.0553608 0.01260 1.306 0.745
41 HDFCBAN 7.096 0.089237 1.1445988 0.01257 1.319 0.518
42 CIPLA 7.146 0.047315 1.1919147 0.00662 1.325 0.397
43 IOC 7.233 0.108027 1.2999418 0.01493 1.340 0.120
44 BOSCHLT 7.390 0.080835 1.3807778 0.01093 1.351 0.086
45 INDUSIND 7.426 0.033409 1.4141872 0.00449 1.356 0.172
46 INFRATEL 8.220 0.060762 1.4749497 0.00739 1.363 0.331
47 NTPC 11.61 0.146529 1.6214788 0.01261 1.376 0.729
48 TCS 12.53 0.005675 1.6271540 0.00045 1.376 0.744
49 COALINDI 14.66 0.215676 1.8428302 0.01470 1.391 1.341
50 COALINDI 16.29 0.206582 2.0494129 0.01267 1.403 1.917

σ 2 m N ∑ i=1( Ri−Rf ) β i
C*=
σ 2m N ∑i=1 β i 2
C*=3.322342
CHAPTER-5
FINDINGS, SUGGESTIONS AND CONCLUSION
Findings
1. Beta values are greater than 1 are highly sensitive in month of Jan and also

we can examine that the highly sensitive securities have high return along
with highest Beta. For e.g Securities like Adani Ports and Special
Economic Zone Ltd., Aurobindo Pharma Ltd, Axis Bank Ltd, Bharti Airtel
Ltd. According to highest C*, the optimal portfolio has following
securities.TCS, TECHM, HCLTECH, COALINDIA, HDFC,
IBULHSGFIN, INFY, KOTAKBANK, YESBANK, ICICIBANK,LT,IOC,
HDFCBANK, INDUSINDBK, ADANIPORTS,AXISBANK.
2. Beta values are greater than 1 are highly sensitive in month of Feb and also
we can scrutinize that the highly sensitive securities have highest return
along with high Beta. For e.g Securities like ACC Ltd, Adani Ports,
Ambuja Cements Ltd, Bank of Baroda, yesbank etc. According to highest
C*, the optimal portfolio has following
securities.RELIANCE,BHEL,TCS,GAIL,TECHM,INFY,HDFCBANK,
GRASIM,AXISBANK, SUNPHARMA,WIPRO,M&M, ASIANPAINT.
3. Beta values are greater than 1 are highly sensitive in month of March and
also we can detect that the highly sensitive securities have high return
along with highest Beta. For e.g Securities like ACC Ltd, Adani Ports,
Ambuja Cements Ltd, Bank of Baroda, zeel etc.According to highest C*,
the optimal portfolio has following securities.GAIL,IOC,ACC,BCPL.
4. Beta values are greater than 1 are highly sensitive in month of April and
also we can view that the highly sensitive securities have high return along
with highest Beta. For e.g Securities like ACC Ltd, Adani Ports, Ambuja
Cements Ltd, Bank of Baroda, TECHM ,etc.. According to highest C*, the
optimal portfolio has following securities.GAIL,IOC,ACC,BCPL,
INFRATEL, LT, GRASIM, MARUTI,BANKBARODA,
ULTRACEMCO,HDFCBANK,YESBANK,RELIANCE, POWERGRID.
5. Beta values are greater than 1 are highly sensitive in month of May and
also we can examine that the highly sensitive securities have high return
Ambuja Cements Ltd, Bank of Baroda,etc. According to highest C*, the
optimal portfolio has following securities.HINDUNILVR,TCS,MARUTI,
IBULHSGFIN,ICICIBANK, HEROMOTOCO,ITC,WIPRO, TATASTEEL
EICHERMOT,KOTAKBANK,INFY, HCLTECH,M&M,HDFCBANK.
6. Beta values are greater than 1 are highly sensitive in month of June and

also we can detect that the highly sensitive securities have high return
Ambuja Cements Ltd, Bank of Baroda,yesbank,vedletc According to
highest C*, the optimal portfolio has following securities.
AUROPHARMA,SUN PHARMA,CIPLA,TATASTEEL,VEDL .
7. Beta values are greater than 1 are highly sensitive and in month of July
also we can view that the highly sensitive securities have high return along
Cements Ltd, Bank of Baroda TATASTEEL, SBIN. According to highest
C*, the optimal portfolio has following securities are
RELIANCE,YESBANK,ZEEL,SBIN,BCPL,
HINDPETRO,BOSCHLTD,IOC,IBULHSGFIN,HCLTECH,WIPRO,ADANIPO
RTS,ITC, ONGC.
8. Beta values are greater than 1 are highly sensitive in month of Aug and
also we can scrutinize that the highly sensitive securities have high return
Ambuja Cements Ltd, Bank of Baroda, zeel,yesbank M&M,LT,etc..
According to highest C*,the optimal portfolio has following
securities.EICHERMOT,DRREDDY,HCLTECH.
9. Beta values are greater than 1 are highly sensitive and in month of Sep also
we can view that the highly sensitive securities have high return along with
highest Beta. For e.g Securities like ACC Ltd, Adani Ports, Ambuja
Cements Ltd, Bank of Baroda, UPL, TATAMOTORS, SBIN etc.
According to highest C*, the optimal portfolio has following
securities.EICHERMOT, DRREDDY,HCLTECH, BAJAJ
AUTO,ONGC,TECHM,TATASTEEL,BAJFINANCE,BCPL,SUNPHAR
MA,MARUTI,VEDL,TCS,HINDALCO,AXISBANK,LUPIN,IOC,YESB
ANK,KOTAKBANK, ZEEL.
10. Beta values are greater than 1 are highly sensitive in month of Oct and also
we can examine that the highly sensitive securities have high return along
Cements Ltd, Bank of Baroda, VEDL, UPL, MARUTI,etc. According to
highest C*, the optimal portfolio has following securities.BOSCHLTD,

RELIANCE, SBIN,ONGC, BHARTIARTL,BCPL,UPL.

11. Beta values are greater than 1 are highly sensitive and in month of Nov also
we can detect that the highly sensitive securities have high return along
Cements Ltd, Bank of Baroda, SUNPHARMA, HINDALCO, etc.
According to highest C*, the optimal portfolio has following
securities.ITC.
12. Beta values are greater than 1 are highly sensitive in month of Dec and also
we can detect that the highly sensitive securities have high return along
Cements Ltd, Bank of Baroda, YESBANK, ULTRACEMCO,etc.
According to highest C*, the optimal portfolio has following securities.
Maruti, Hindalco, Wipro, Lupin, Vedel, Ongc, Hindunlivr, Infy, M&M,
Gail, Bharatiartl, Tatamotors, Sunpharma, Tatasteel, Axisbank, Drreddy.
SUGGESTIONS:
1. In the month of January the cut off point was 9.48022 in the year 2017 the
companies which gives higher returns are: TCS, TECHM, HCLTECH,
COALINDIA, HDFC, IBULHSGFIN, INFY, KOTAKBANK, YESBANK,
ICICIBANK,LT,IOC, HDFCBANK, INDUSINDBK,
ADANIPORTS,AXISBANK.
2. In the month of February the cut off point was 3.209567 in the year 2017
the companies which gives higher returns are: RELIANCE,
BHEL,TCS,GAIL,
TECHM,INFY,HDFCBANK,GRASIM,AXISBANK,SUNPHARMA,WIP
RO,M&M, ASIANPAINT.
3. In the month of March the cut off point was 1.113255 in the year 2017 the
companies which gives higher returns are: GAIL,IOC,ACC,BCPL.
4. In the month of April the cut off point was 0.988693 in the year 2017 the
companies which gives higher returns are: GAIL,IOC,ACC,BCPL,
INFRATEL, LT, GRASIM,
MARUTI,BANKBARODA,ULTRACEMCO,HDFCBANK,YESBANK,R
ELIANCE, POWERGRID.

5. In the month of May the cut off point was 3.423034 in the year 2017 the
companies which gives higher returns are: HINDUNILVR,TCS,MARUTI,
IBULHSGFIN,ICICIBANK,
HEROMOTOCO,ITC,WIPRO,TATASTEEL,EICHERMOT,KOTAKBAN
K,INFY, HCLTECH,M&M,HDFCBANK
6. In the month of June the cut off point was 0.361033 in the year 2017 the
companies which gives higher returns are:
AUROPHARMA,SUNPHARMA,CIPLA,TATASTEEL,VEDL.
7. In the month of July the cut off point was 8.80842 in the year 2017 the
RELIANCE,YESBANK,ZEEL,SBIN,BCPL,
HINDPETRO,BOSCHLTD,IOC,IBULHSGFIN,HCLTECH,WIPRO,ADA
NIPORTS,ITC,ONGC.
8. In the month of August the cut off point was 0.78866 in the year 2017 the
EICHERMOT,DRREDDY,HCLTECH.
9. In the month of September the cut off point was 2.666663 in the year 2017
the companies which gives higher returns are: EICHERMOT,
DRREDDY,HCLTECH,
BAJAJAUTO,ONGC,TECHM,TATASTEEL,BAJFINANCE,BCPL,SUNP
HARM,
MARUTI, VEDL,TCS, HINDALCO,AXISBANK, LUPIN,IOC,
YESBANK,KOTAKBANK,ZEEL.
10. In the month of October the cut off point was 5.44477 in the year 2017 the
companies which gives higher returns are:BOSCHLTD, RELIANCE,
SBIN,ONGC, BHARTIARTL,BCPL,UPL.
11. In the month of November the cut off point was 0.094591 in the year 2017
the companies which give higher returns are: ITC.
12. In the month of December the cut off point was 3.322342 in the year 2017
the companies which give higher returns are: Maruti, Hindalco, Wipro,
Lupin, Vedel, Ongc, Hindunlivr, Infy, M&M, Gail, Bharatiartl, Tatamotors,
Sunpharma, Tatasteel, Axisbank, Drreddy
Conclusion:

From the study it is found that only sixteen stocks out of 50 stocks were selected in
the optimum portfolio. They are TCS, TECHM, HCLTECH, COALINDIA,
HDFC, IBULHSGFIN, INFY, KOTAKBANK, YESBANK, ICICIBANK, LT,
IOC, HDFCBANK, INDUSINDBK, ADANIPORTS, AXISBANK because the cut
off point of 9.48022 in January is giving higher return by comparing rest
companies in the year 2017.
Bibliography
References:
 J. Francis Mary & G. Rathika, “The Single Index Model And The
Construction Of Optimal Portfolio With Cnxpharma Scrip” – (ICAM 2015)
 OPTIMAL PORTFOLIO CONSTRUCTION USING SHARPE’S SINGLE
INDEX MODEL - A STUDY OF SELECTED STOCKS FROM BSE Dr.
R. Nalini*

 SHARPE’S SINGLE INDEX MODEL AND ITS APPLICATION TO

CONSTRUCT OPTIMAL PORTFOLIO: AN EMPIRICAL STUDY
Niranjan Mandal
 Construction of Optimal Portfolio Using Sharpe Index Model & Camp for
BSE Top 15 Securities Chintan A. Shah
 Construction of Optimal Portfolio Using Sharpe’s Single Index Model: An
Empirical Study on Nifty 50 Stocks Tanuj Nandan1 , Nivedita
Srivastava2,*
 Optimum Portfolio Construction Using Sharpe Index Model With
Reference to Infrastructure sector and Pharmaceutical Sector M
Sathyapriya
 OPTIMUM PORTFOLIO CONSTRUCTION USING SINGLE INDEX
MODEL- LAXMI KANTA GIRI Dr. GAYADHAR PARHI
 Selecting an Optimal Portfolio for Investment in Stocks in India: A Sectoral
Approach-Dr Kavitha Lal, Dr S.R. Subba Rao.
 CONSTRUCTION OF OPTIMAL PORTFOLIO OF EQUITY, USING
SHARPE’S SINGLE INDEX MODEL: A CASE STUDY OF IT SECTOR
Pratibha Jenifer Andrad
 \A study on optimal portfolio construction using sharpes single index
model with special preference to selected sectors listed in NSE 1 Dr.
Poornima S, 2 Aruna P Remesh
Websites:
www.NSE.com
www.Moneycontrol.com
www.Kotak.com

Sandhya 3br16mba54

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Sandhya 3br16mba54

Uploaded by

Copyright:

Available Formats

STUDY OF OPTIMAL PORTFOLIO OF SHARPE’S SINGLE INDEX MODEL OF NIFTY50 STOCKS

Portfolio is an accumulation of or a mix together of individual resources or

The security examination and portfolio administration is generally concerned

1.2 INDUSTRY PROFILE

DMS-BITM, BALLARI. Page 1

BSE inside expressions of popularity.. is comprehended by name as

1.2.3 Stock market impact of the Indian economy

DMS-BITM, BALLARI. Page 2

 It create employment opportunities

1.2.4 Post independent

DMS-BITM, BALLARI. Page 3

1.2.5 Present scenario

1.2.6 National stock exchange

NSE joined in 1992 by modern improvement bank of India and given

DMS-BITM, BALLARI. Page 4

1.3 COMPANY PROFILE

INTRODUCTION OF KOTAK SECURITIES LTD.

Initially settled in 1994, Kotak Securities is an auxiliary of Kotak Mahindra Bank,

Company process in excess of 400000 exchanges every day which is significantly

DMS-BITM, BALLARI. Page 5

National Stock Exchange of India (NSE). Company activities integrate stock

Promoters are the universal population who believe the possibility of an

Chairman: Mr. Uday Kotak.

Managing Director: Mr. Narayan S.A.

Directors: Mr. C. Jayaram

Mrs. Falguni Nayar.

Mr. Vikram Sud.

Executive Director & Chief operating Officer: Mr. D. Kannan

DMS-BITM, BALLARI. Page 6

1.5 Vision, Mission & Quality Policy

To positively contribute towards economic, environmental and social well-being of

Create a lasting value for communities by:

 Whistle Blower Policy

1.6 Products and services:

DMS-BITM, BALLARI. Page 7

Kotak Mahindra International

Kotak Private Equity

Kotak Realty Fund

Main areas of business Kotak Securities are:

• Institutional broking business

• Private client group

• Client money management

• Retail distribution of financial products

 Institutional broking business:

 Private client group:

 Client money management:

This division provides professional portfolio management services to high net

DMS-BITM, BALLARI. Page 8

 Retail distribution of financial products:

Kotak Securities is a depository participant with national securities depository

Kotak Securities online broking service Kotaksecurities.com offers services for

1.7 SWOT ANALYSIS:

DMS-BITM, BALLARI. Page 9

 STRENGTH: Kotak Securities ltd is one of the largest players in the

DMS-BITM, BALLARI. Page 10

 Continuous follow ups of clients and customers.

 Karvey stock broking ltd

DMS-BITM, BALLARI. Page 11

1.9 FINANCIAL STATEMENT:

DMS-BITM, BALLARI. Page 12

Ratios: 31st March 2017

Sl. No Formula Amount Ratio