Professional Documents
Culture Documents
Equities and Portfolio Management
Equities and Portfolio Management
A Project Report On
CERTIFICATE
This is to certify that Ms/Mr. POONAM YADAV has worked and duly
completed her/his Project Work for the degree of Bachelor in Commerce
(Bachelor of Banking & Insurance ) under the Faculty of Commerce in the subject
of ______________________and her/his project is entitled, EQUITIES AND
PORTFOLIO MANAGEMENT” under my supervision. I further certify that
the entire work has been done by the learner under my guidance and that no part
of it has been submitted previously for any Degree or Diploma of any
University .It is her/his own work and facts reported by her/his personal
findings and investigations.
I the undersigned POONAM YADAV here by, declare that the work embodied
in this project work titled “EQUITIES AND PORTFOLIO MANAGEMENT
forms my own contribution to the research work carried out under the guidance
of MS. ARSHIYA SHAIKH is a result of my own research work and has not
been previously submitted to any other University for any other Degree/
Diploma to this or any other University .Wherever reference has been made to
previous works of others, it has been clearly indicated as such and included in
the bibliography. I, here by further declare that all information of this document
has been obtained and presented in accordance with academic rules and ethical
conduct.
POONAM YADAV
(STUDENT NAME)
(PROJECT GUIDESIGNATURE)
Acknowledgement
To list who all have helped me is difficult because they are so numerous and the
depth is so enormous .I would like to acknowledge the following as being
idealistic channels and fresh dimensions in the completion of this project .I take
this opportunity to thank the University of Mumbai for giving me chance to do
this project .I would like to thank OUR MANAGEMENT for providing the
necessary facilities required for completion of this project.
I take this opportunity to thank our PRINCIPAL PROF. DR. ADIL AHMED
SIDDIQUI, for his moral support and guidance.
Lastly, I would like to thank each and every person who directly or indirectly
helped me in the completion of the project especially my Parents and Peers who
supported me throughout my project.
INTRODUCTION
I 1
NEED & SCOPE 2
OBJECTIVES 2
METHODOLGY 3
LIMITATIONS 4
SOURCE 4
TOOLS AND TECHNIQUES 4
LITERATURE REVIEW
II 6
INTRODUCTION TO INVESTMENT 7
EQUITY SHARES 9
PORTFOLIO 10
RISK 11
PHASES OF PORTFOLIO MANAGEMENT 12
5
NEED FOR THE STUDY:
6
• The purpose of the study is to know the fluctuations in the share price of
sample companies.
• The purpose of the study is to help the unknown investors for investing in
securities.
• To update the portfolio reviewed and adjusted from time to time in tune with
market condition.
• To analyse the risk and return on securities.
• To test portfolio strategies before taking decisions.
7
The data provided by the firm was been analyzes by using Markowitz model
determines an efficient asset of portfolio return i.e.,
1. Return
2. Standard deviation
3. Coefficient of correlation Secondary Data:
The data that is used in this project is of secondary nature. The data is to be
collected from secondary sources such as various websites, journals, newspapers, books,
etc., the analysis used in this project has been done using selective technical tools. In
Equity market, risk is analyzed and trading decisions are taken on basis of technical
analysis.It is collecting share prices of selected companies for a period of five years.
LIMITATIONS:
• The companies are selected on the basis of the performance
• Expand or contract the size of the portfolio reflect the changes in investor risk
disposition.
SOURCE :
NCE, The standards set by NSE in terms of market practices and technologies have
become industry benchmarks and are being emulated by other market participants. NSE is
more than a mere market facilitator. It's that force which is guiding the industry towards
new horizons and greater opportunities.
8
The following statistical techniques were used for measuring the performance of the
company’s funds.
1.Rate of Return (ROR)
N2-N1
ROR =
N1
Where, N1 is Close period at period1
3. Beta
n Σxy – Σx * Σy
Beta =
n Σx2 – (Σx)2
4.Alpha
5.Coefficient of Correlation
n Σxy – Σx * Σy
Coefficient of Correlation =
[(n Σy2 – (Σy) 2) (n Σx2 – (Σx) 2)] ½
6.Coefficient of Correlation
9
10
INTRODUCTION TO INVESTMENT
Investment may be defined as an activity that commits funds in any financial
form in the present with an expectation of receiving additional return in the
future. The expectations bring with it a probability that the quantum of return
may vary from a minimum to a maximum. This possibility of variation in the
actual return is known as investment risk. Thus every investment involves a
return and risk.
11
Investment avenues
There are a large number of investment avenues for savers in India.
Some of them are marketable and liquid, while others are non-marketable.
Some of them are highly risky while some others are almost risk less.
Investment avenues can be broadly categorized under the following heads:
Corporate securities
• Equity shares.
• Preference shares.
• Debentures/Bonds.
• Derivatives.
• Others.
Corporate Securities
Joint stock companies in the private sector issue corporate securities. These
include equity shares, preference shares, and debentures. Equity shares have
variable dividend and hence belong to the high risk-high return category;
preference shares and debentures have fixed returns with lower risk.
12
Equity shares
Stock Exchange:
In a stock exchange a person who wishes to sell his security is called a
seller, and a person who is willing to buy the particular stock is called as the
buyer. The rate of stock depends on the simple law of demand and supply. If
the demand of shares of company x is greater than its supply then its price of its
security increases.
In Online Exchange the trading is done on a computer network. The
sellers and buyers log on to the network and propose their bids. The system
is designed in such ways that at any given instance, the buyers/sellers are
bidding at the best prices.
13
The transaction cycle for purchasing and selling shares online is
depicted below:
Transaction Cycle
Member/ Member/
Broking Broking
firm. Stock Exchange firm.
PORTFOLIO
A portfolio is an appropriate mix of or collection of investments held by an institution or
a private individual. It is a collection of securities, since it is rarely desirable to invest the
entire funds of an individual or an institution in a single security.
• Portfolio analysis considers the determination of future risk and return in holding
various blends of individual securities.
• Portfolio expected return is a weighted average of the expected return of
individual securities but portfolio variance, in short contrast, can be something
less than a weighted average of security variances.
14
• As a result an investor can sometimes reduce portfolio risk by adding security
with greater individual risk than any other security in the portfolio. This is
because risk depends greatly on the co-variance among return of individual
securities.
• Since portfolios expected return is a weighted average of the expected return of its
securities, the contribution of each security to the portfolio’s expected returns
depends on its expected returns and its proportionate share of the initial
portfolio’s market value.
RISK
The total risk of an individual security comprises two components, the market related risk
called systematic risk also known as undiversifiable risk and the unique risk of that
particular security called unsystematic risk or diversifiable risk.
Types of risk
Systematic risk (market) Unsystematic risk (company risk)
Examples: Examples:
15
PHASES OF PORTFOLIO MANAGEMENT
1. Security analysis
2. Portfolio analysis
3. Portfolio selection
4. Portfolio revision
5. Portfolio evaluation
SECURITY ANALYSIS
PORTFOLIO ANALYSIS
PORTFOLIO SELECTION
16
optimal portfolio has to be selected for investment. Harry Markowitz portfolio
theory provides both the conceptual framework and analytical tools for
determining the optimal portfolio in a disciplined and objective way.
PORTFOLIO REVISION
Having constructed the optimal portfolio, the investor has to constantly monitor
the portfolio to ensure that it continues to be optimal. Portfolio revision is as
important as portfolio analysis and selection.
PORTFOLIO EVALUATION
17
18
ICICI Securities Limited
ICICI Securities Ltd is a premier Indian Investment Bank, with a dominant position in its
core segments of its operations - Corporate Finance including Equity Capital Markets
Advisory Services, Institutional Equities, Retail and Financial Product Distribution.
ICICI Securities Limited assists global institutional investors to make the right decisions
through insightful research coverage and a client focused Sales and Dealing team.
ICICI Securities has the largest reach to the retail segment through its two pioneering
braWinning is a habit that is assiduously cultivated at ICICI Securities Limited (I-Sec).
Be it deals, mandates or awards, we manage them all in our quite and efficient way.
19
For us winning awards is a matter of pride and honour. Each new award is a
manifestation of our hard work and commitment to our clients
Since inception, I-Sec's expertise has been time and again widely recognized by both
domestic and international agencies.
I-Sec PD has been recognized as the ‘Best Domestic Bond House in India’ by Asiamoney
for 2002, 2003, 2004, 2005 and 2007. I-Sec PD has been awarded the prestigious ‘Best
Bond House’ by Financeasia.com for the years - 2001, nds – ICICIdirect.com and
ICICIdirect2004, 2005, 2006 and 2007. These awards are a strong testimony of our
capabilities and continuing dominant position in the market. The equities team was
adjudged the ‘Best Indian Brokerage House-2003’ by Asiamoney. The Corporate Finance
group also was awarded a runner-up Best Merchant Banker by Outlook Money in 2007.
ICICI Securities (I-Sec) topped the Prime Database League Tables 2007 for money raised
through IPOs/FPOs.
The Corporate Finance team regularly ranks highest among the leading capital markets
league tables and recently topped the Prime Database League tables for funds mobilized
through equity instruments in the first half of CY 07.
ICICI Securities Inc., the step-down wholly owned US subsidiary of the company is a
member of the National Association of Securities Dealers, Inc. (NASD). As a result of
this membership, ICICI Securities Inc. can engage in permitted activities in the U.S.
securities markets. These activities include Dealing in Securities and Corporate Advisory
Services in the United States and providing research and investment advice to US
investors.
20
ICICI Securities Inc. is also registered with the Financial Services Authority, UK (FSA)
and the Monetary Authority of Singapore (MAS) to carry out Corporate Advisory
Services and Dealing in Securities.
21
22
MODELS
Some of the financial models used in the process of Valuation, stock selection, and
management of portfolios include:
The basic portfolio model, developed by Harry Markowitz, derived the expected rate of
return for a portfolio of assets and an expected risk measure. Markowitz showed that the
variance of the rate of return was meaning full measure of risk under a reasonable set of
assumptions and derives the formulas for computing the variance of the portfolio. This
portfolio variance formulation indicated the importance of diversification for reducing
risk, and showed how to properly diversify.
Based on his research, for building up the efficient set of portfolio, as laid down by
Markowitz, we need to look into these important parameters.
23
1. Expected return
2. Variability of returns as measured by standard deviation from the mean.
3. Covariance or variance of one asset return to other asset returns.
WHERE
24
WHERE
XX= proportion of total portfolio invested in security X
Arithmetic return
Where
• ROIArith = + 1.00 = + 100% when the final value is twice the initial value
• ROIArith> 0 when the investment is profitable
• ROIArith< 0 when the investment is at a loss
• ROIArith = − 1.00 = − 100% when investment can no longer be recovered
STANDARD DEVIATION
25
COVARIANCE
The beta coefficient is a key parameter in the capital asset pricing model(CAPM). It
measures the part of the asset's statistical variancethat cannot be mitigated by the
diversificationprovided by the portfolio of many risky assets, because it is correlatedwith
the return of the other assets that are in the portfolio.
For example, if every stock in the New York Stock Exchangewas uncorrelated with every
other stock, then every stock would have a Beta of zero, and it would be possible to
create a portfolio that was nearly risk free, simply by diversifying it sufficiently so that
the variations in the individual stocks' prices averaged out. In reality, investments tend to
be correlated, more so within an industry, or when considering a single asset class (such
as equities). This correlated risk, measured by Beta, is what actually creates almost all of
the risk in a diversified portfolio.
Where
ra measures the rate of return of the asset, rp measures the rate of return
26
In the CAPM formulation, the portfolio is the market portfolio that contains all risky
assets, and so the rp terms in the formula are replaced by rm, the rate of return of the
market.
The beta movement should be distinguished from the actual returns of the stocks. For
example, a sector may be performing well and may have good prospects, but the fact that
its movement does not correlate well with the broader market index may decrease its
beta.
Beta is a measure of risk and not to be confused with the attractiveness of the investment.
The Security Market Line (SML) is the graphical representation of the Capital Asset
Pricing Model. It displays the expected rate of return for an overall market as a function
of systematic (non-diversifiable) risk (beta).
The x-axis represents the risk (beta), and the y-axis represents the expected return. The
market risk premium is determined from the slope of the SML.
The securities market line can be regarded as representing a single-factor model of the
asset price, where Beta is exposure to changes in value of the Market. The equation of the
SML is thus:
IMPLICATIONS FOR
INVESTORS FROM THE
MEASUREMENT OF
PORTFOLIO
RISK
If the investor conservative and
interested in low variability
27
of portfolio returns from the expected return (actual realizable return not from expected),
he should:
28
ICICI BANK
Business Profile
ICICI Bank was promoted in 1994 by ICICI Ltd., an Indian
development financial instituition. The two entities subsequently merged to
become the largest comercial bank in the private sector.
A new generation bank, ICICI Bank started with all the latest
technologies to hit the Indian banking industry in the second half of the
ninties. All its branches are fully computerised with the state-of-the-art
technology and systems, networked through VSAT technology. The bank is
connected to the SWIFT International network.
In 2005, it expanded its network to 562 branches and 1,910 ATMs. It
continued to expand its electronic channels, namely internet banking, mobile
banking, call centres and ATMs, and migrate customer transaction volumes
to these channels. Over 70% of customer induced transactions take place
through these electronic channels.
It has acquired a small Russian banking entity, Investitsionno-
Kreditny Bank (IKB), which will help boost its corporate business and
deposit franchise overseas. The bank has also built several strategic alliances
with banks like Wells Fargo in USA, Lloyds TSB in UK and DBS in
Singapore.
ICICI has entered into strategic alliance with Prudential plc. of UK for
its mutual find buisness. The duo have been fairly aggressive through their
companies, Prudential ICICI Asset Management Company Limited and
Prudential ICICI Trust Limited.
29
The bank is also keen to offer its services to the Indian agricultural
sector. Over 2,000 Internet kiosks and 70 agri-desks have been established in
locations with large agricultural markets.
Recent Developments
ICICI Bank launched `Mutual Fund Sweep Account` - an automatic
sweeping facility which allows current account holders to park their
shortterm surpluses into liquid mutual funds and earn higher returns.
Initially, ICICI Bank current account customers will have the facility to
invest their account surpluses in the liquid fund schemes of Prudential ICICI
Asset Management Company and GIC Mutual Fund.
The bank is in the process of the reverse merger of ICICI with ICICI
Bank. The merger of two wholly-owned subsidiaries of ICICI, ICICI
Personal Financial Services Limited and ICICI Capital Services Limited,
with ICICI Bank is also underway.
30
2004
Open High Low Last Close Total Traded Turnover in
Series Date Price Price Price Price Price Quantity Lacs
EQ Jan 297.9 305.5 297 301.8 302.75 1475607 4463.332617
EQ Feb 295 303 280 297 295.3 2199927 6450.500538
EQ Mar 273.7 283.05 271.1 281.35 281.7 1446826 4009.055571
EQ Apr 298.7 302.95 296.5 301.55 300.95 1287142 3854.740634
EQ May 314.5 319.3 310.5 315 314.8 2427306 7634.389072
EQ Jun 229 239.5 229 238.8 236.75 645001 1525.128864
EQ Jul 245.6 248.8 242.1 247.95 247.8 1708651 4209.053305
EQ Aug 267 277 267 275.65 275.9 1158676 3166.630872
EQ Sep 273 273 268.1 270.5 270.9 382950 1037.416655
EQ Oct 289 294 287.5 290.1 289.3 770631 2236.878429
EQ Nov 299.1 300.8 295.6 296.25 296.3 336132 998.595491
EQ Dec 340.1 342.8 334 339 339.75 836789 2840.424768
ICICI-2004
400
350 339.75
302.75
281.7 314.8 289.3
300 275.9
295.3 300.95 236.75 296.3
250 270.9
200 247.8
SHARE VALUE
Close Price
150
100
50
0
n
ov
ct
ar
l
ay
n
g
e
r
b
p
Ju
Ap
Ju
Ja
Au
at
Fe
Se
O
M
N
M
D
MONTHS
2005
31
Prev Open High Low Last Close Total Traded Turnover in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ Jan 371.35 375 375 370.15 373.5 371.35 412258 1537.493731
EQ Feb 360.9 363 368 358.15 360.5 361.8 504522 1826.499843
EQ Mar 380.9 381.5 382 369.05 373.9 372.25 388748 1452.231185
EQ Apr 392.8 393 407.45 393 407 406.05 922987 3705.56233
EQ May 359.95 368 373.95 357.55 360.45 360.35 716359 2597.986122
EQ Jun 392.05 393.95 401 393 401 399.4 278070 1105.869992
EQ Jul 425.75 427 429.25 419.2 419.55 421.25 431571 1832.331435
EQ Aug 534.45 532.5 549.9 525 535.8 538.4 1459516 7794.022609
EQ Sep 481.8 482.25 495.25 481.2 484 483.85 521027 2542.511994
EQ Oct 601.7 604.4 614 587.65 589 593.4 566954 3421.112911
EQ Nov 498.6 501 510 493.7 496 498.65 122530 614.5857475
EQ Dec 538.05 540 544.8 537 539 540.55 799196 4318.477188
ICICI-2005
700
593.4
600 538.4 54 0.55
500
498.65
371.35 372.25 360.35 421.25 483.85
400
406.05 399.4
SHARE PRICE
Apr
Oct
Nov
Mar
Aug
Sep
Dec
May
Feb
MONTHS
32
33
2008
34
Prev Open High Low Last Close Total Traded Turnover in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ Jan 1187.40 1190 1131 1147 1147 1169.06 5525805 64600.06
EQ Feb 1105.85 1100 1045.45 1077.65 1088.50 1079.42 3665904 39570.53
EQ Mar 835.50 848.85 765 769 769.40 785.02 5048217 39629.35
EQ Apr 902.50 918 872 881 879.60 886.81 4446390 39431.01
EQ May 796.25 795.25 778.2 786.55 788.6 787.09 6852195 53932.8
EQ Jun 652.15 664.8 611.35 635 630.2 626.79 6725234 42153.09
EQ Jul 636.1 638 621.15 633 637.3 632.02 5333027 33705.611
EQ Aug 632.55 644.5 642.65 670.65 671.9 671.55 8633379 57977.632
EQ Sep 493.3 485.9 460.05 540 535.55 517.95 21452818 111113.883
EQ Oct 345.35 370.55 363 399.5 398.75 384.89 14134982 54403.601
EQ Nov 350.85 340 316.35 354 351.65 348.13 12329653 42923.30
EQ Dec 458.6 472.8 444 447.6 448.1 452.42 7794740 35264.774
S&P R= T=
Prev CNX ROR ROR XAvg(X YAvg
Years Month Close NIFTY (X) (Y) X*X Y*Y X*Y ) (Y) R^2 T^2
2003 Jan 140.5 1154.67 0.0208 0.0255 0.0004 0.00000 0.00053 0.0448 0.00000 0.00201
- - -
Feb 149.9 1178.72 0.0798 0.0627 0.0064 0.0039 0.00501 0.0970 0.0821 0.00940 0.00673
- - -
Mar 149.3 1084.64 0.0430 0.0040 0.0018 0.0000 0.00017 0.0602 0.0153 0.00362 2.4E-04
35
- - -
Apr 133.75 1038 0.0812 0.1163 0.0066 0.0135 0.00944 0.0641 0.0969 0.00410 0.00939
- - -
May 121.15 1122.32 0.1336 0.1040 0.0178 0.0108 0.01389 0.1164 0.0847 0.01355 0.00717
Jun 137.95 1272.21 0.0516 0.1218 0.0027 0.0148 0.00628 0.0344 0.1411 0.00119 0.01992
July 150.15 1337.86 0.1497 0.0813 0.0224 0.0066 0.01216 0.1325 0.1006 0.01755 0.01012
Aug 159.15 1538.08 0.0469 0.0566 0.0022 0.0032 0.00265 0.0297 0.0759 0.00088 0.00576
Sep 179.7 1610.21 0.0993 0.1144 0.0099 0.0131 0.01135 0.0821 0.1337 0.00674 0.01788
Oct 204.5 1770.08 0.0384 0.1213 0.0015 0.0147 0.00465 0.0212 0.1406 4.5E-04 2.0E-02
Nov 247 1837.98 0.1643 0.1721 0.0270 0.0296 0.02827 0.1471 0.1914 0.02164 0.03664
- - -
Dec 250.1 2139.93 0.0362 0.0124 0.0013 0.0002 0.00045 0.0534 0.0317 0.00285 0.00101
- - -
2004 Jan 295.45 2062.42 0.0049 0.1535 2.4E-05 0.0236 0.00075 0.0220 0.1728 0.00048 0.02987
- - -
Feb 295.05 2052.4 0.0157 0.0014 0.0002 0.0000 0.00002 0.0328 0.0180 0.00108 0.00032
- - - -
Mar 270.95 2020.25 0.0138 0.0889 0.0002 0.0079 0.00123 0.0033 0.0696 0.00001 0.00484
- - -
Apr 296.3 2048.22 0.1709 0.0856 0.0292 0.0073 0.01462 0.1881 0.1049 0.03537 0.01100
May 315 1698.16 0.0175 0.0594 0.0003 0.0035 0.00104 0.0004 0.0787 0.00000 6.2E-03
- - -
Jun 230.4 1727.93 0.0872 0.3672 0.0076 0.1348 0.03202 0.0700 0.3478 0.00491 0.12099
-
July 244.5 1878.62 0.0018 0.0577 3.4E-06 0.0033 0.00011 0.0153 0.0770 0.00023 5.9E-03
Aug 267.5 1882.09 0.0736 0.0860 0.0054 0.0074 0.00633 0.0564 0.1053 0.00319 0.01109
Sep 269.8 2020.62 0.0241 0.0085 0.00058 0.0001 0.00021 0.0070 0.0279 4.9E-05 7.8E-04
Oct 286.25 2069.39 0.0965 0.0575 0.0093 0.0033 0.00554 0.0793 0.0768 0.00629 0.00590
Nov 299.05 2268.99 0.0661 0.0428 0.0044 0.0018 0.00283 0.0489 0.0622 0.00239 0.00386
- - -
Dec 339.75 2418.88 0.0104 0.1198 0.00011 0.0144 0.00124 0.0275 0.1391 0.00076 0.01936
2005 Jan 371.35 2393.76 0.0226 0.0851 0.0005 0.0072 0.00193 0.0055 0.1044 0.00003 0.01091
- -
Feb 360.9 2447.94 0.0320 0.0290 0.0010 0.0008 0.00093 -0.0491 -0.0096 0.00241 0.00009
- -
Mar 380.9 2369.69 0.0653 0.0525 0.0043 0.0028 0.00343 -0.0825 0.0719 0.00680 0.00516
Apr 392.8 2214.96 0.0988 0.0303 0.0098 0.0009 0.00299 0.0816 0.0496 0.00666 0.00246
- -
May 359.95 2433.73 0.0683 0.0913 0.0047 0.0083 0.00623 0.0511 -0.0719 0.00261 0.00517
36
Jun 392.05 2599.93 0.0428 0.0819 0.0018 0.0067 0.00351 0.0256 0.1012 0.00066 0.01025
July 425.75 2711.24 0.0335 0.0792 0.0011 0.0063 0.00265 0.0163 0.0985 2.7E-04 0.00970
Aug 534.45 2801.99 0.0943 0.2034 0.0089 0.0414 0.01917 0.0771 0.2227 0.00595 0.04961
- -
Sep 481.8 3066.15 0.0881 0.1093 0.0078 0.0119 0.00963 -0.1053 -0.0899 0.01109 0.00809
Oct 601.7 2795.89 0.1187 0.1993 0.0141 0.0397 0.02366 0.1016 0.2186 0.01031 0.04779
- -
Nov 498.6 3127.8 0.0721 0.2068 0.0052 0.0428 0.01491 0.0550 -0.1874 0.00302 0.03513
Dec 538.05 3353.37 0.0586 0.0733 0.0034 0.0054 0.00430 0.0414 0.0927 0.00172 0.00859
2006 Jan 585.05 3549.92 0.0252 0.0803 0.0006 0.0065 0.00203 0.0081 0.0997 0.00006 0.00994
Feb 609.25 3639.43 0.1070 0.0397 0.0114 0.0016 0.00425 0.0898 0.0591 0.00807 0.00349
Mar 615.25 4028.82 0.0459 0.0098 0.0021 0.0001 0.00045 0.0288 0.0291 0.00083 0.00085
- -
Apr 589.05 4213.88 0.1356 0.0445 0.0184 0.0020 0.00603 -0.1528 -0.0251 0.02335 0.00063
May 591.75 3642.31 0.0218 0.0046 0.00048 0.0000 0.00010 0.0046 0.0239 0.00002 0.00057
- -
Jun 537.5 3721.71 0.0064 0.1009 4.1E-05 0.0102 0.00064 -0.0108 -0.0816 0.00012 0.00666
0.1017 0.00891
July 487.9 3745.46 0.0876 0.0077 0.0103 0.0704 -0.0823 0.00496 0.00678
Aug 553.85 4073.55 0.0529 0.1191 0.0028 0.0142 0.00630 0.0357 0.1384 0.00128 0.01916
Sep 597.45 4288.97 0.0437 0.0730 0.0019 0.0053 0.00319 0.0266 0.0923 0.00071 0.00852
Oct 699.6 4476.5 0.0564 0.1460 0.0032 0.0213 0.00824 0.0393 0.1654 0.00154 0.02734
Nov 777.15 4729.13 0.0062 0.0998 3.8E-05 0.0100 0.00062 -0.0110 0.1191 0.00012 0.01419
1.55E-
Dec 872.45 4758.45 0.0296 0.1092 0.0009 0.0119 0.00324 0.0125 0.1286 04 1.7E-02
- -
2007 Jan 891.5 4899.39 0.0806 0.0214 0.0065 0.0005 0.00172 -0.0977 0.0407 0.00955 0.00166
Feb 941.1 4504.73 0.0225 0.0527 0.0005 0.0028 0.00118 0.0053 0.0721 0.00003 0.00519
- -
Mar 829.5 4605.89 0.0713 0.1345 0.0051 0.0181 0.00960 0.0542 -0.1152 0.00293 0.01327
Apr 853.35 4934.46 0.0510 0.0279 0.0026 0.0008 0.00142 0.0338 0.0473 0.00114 0.00224
May 865.85 5185.95 0.0073 0.0144 0.0001 0.0002 0.00011 -0.0099 0.0338 0.00010 0.00114
Jun 919.15 5223.82 0.0497 0.0580 0.0025 0.0034 0.00288 0.0325 0.0773 0.00106 6.0E-03
- -
July 955.45 5483.25 0.0131 0.0380 0.0002 0.0014 0.00050 -0.0303 0.0573 0.00092 0.00329
- -
Aug 927.45 5411.29 0.1262 0.0302 0.0159 0.0009 0.00381 0.1090 -0.0108 0.01189 0.00012
- -
Sep 888.4 6094.11 0.1754 0.0440 0.0308 0.0019 0.00771 0.1583 -0.0246 0.02505 0.00061
- -
Oct 1062.4 7163.3 0.0231 0.1638 0.0005 0.0268 0.00379 -0.0403 0.1831 0.00162 0.03354
Nov 1254.05 6997.6 0.0663 0.1528 0.0044 0.0234 0.01013 0.0491 0.1722 0.00241 0.02964
- -
1.0000 0.0642
Dec 1178.4 7461.48 1.0000 0.0041 0.06420 -1.0172 -0.0448 1.03462 0.00201
29854.3 1.0298 1.8159 1.3385 3.2975 1.0126384 1.835249 1.32080 3.36814
SUM 29854.3 1.0298 1.0298 1.259 1.3385 3.29750 0.82536 1.0126 1.7856 1.32080 3.18849
37
- -
AVERAGE 0.0172 0.4896 0.0193
1. Beta
Σxy 0.825
Σx 1.03
Σy 1.216
Σx2 1.339
38
n 60
Σy2 3.298
β 0.6085
2 Alpha
Avg(X) -0.4896
-
Avg(Y) 0.02026
β 0.906
α 0.2776
3 Coef.Correlation
0.045
Coef of
4 Determination
0.002053
Standard
5 Devition 6 Variance
39
STATE BANK OF INDIA
The Bank is actively involved since 1973 in non-profit activity called Community
Services Banking. All our branches and administrative offices throughout the country
sponsor and participate in large number of welfare activities and social causes. Our
business is more than banking because we touch the lives of people anywhere in many
ways.
40
2004
Prev Open High Low Last Price Close Total Traded Turnover in Lacs
Series Date Close Price Price Price Price Quantity
SBI 2004
700
618.3
619.05
600 600.25
541
564.65 567.3
500 469.3 478.85
450.7
468.65
442.9 442.3
400
300
200
100
41
2005
Prev Open Price High Low Last Close Total Traded Quantity
Series Date Close Price Price Price Price Turnover in Lacs
SBI-2005
1000
945.35
900
913.35
800 789.95
838.85
706.25 799.6
695.6
700 655.75 660.2
670.1
600 634.05
589.35
500
400
300
200
100
0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
42
Prev Open High Last Close Turnover in
Series Date Close Price Price Low Price Price Price Total Traded Quantity Lacs
SBI-2006
1600
1362.65
1400
1200
1113.8
983.35 1033.35
1000 904.9
931.25
881.2 961.7 818.75
800 811.75
869.25
742.6
600
400
200
0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
43
Turnover
Prev Open High Low Last Close Total Traded in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ JAN 1245.6 1250 1260 1243 1253 1253.55 408144 5112.3453
EQ FEB 1140.45 1158 1230 1135.7 1203.1 1203 2491197 29698.604
EQ MAR 1041.85 1042 1061 1016 1051 1055.65 1108823 11522.978
EQ APR 994.45 979.4 979.4 922.35 937 930.5 1133049 10583.44
EQ MAY 1353.65 1364 1385 1356 1380 1378.9 1908666 26147.129
EQ JUN 1525.8 1530 1551 1523.35 1528 1530.75 1746382 26860.939
EQ JUL 1623.85 1610 1610 1540.2 1550.2 1548.05 2715856 42709.452
EQ AUG 1600.35 1619 1623 1602.35 1606.1 1606.65 901942 14539.915
EQ SEP 1945.85 1952 1965 1882.6 1905 1894.6 1919363 36639.177
EQ OCT 2068.2 2167 2167 2052.5 2073.9 2075.35 2143188 45181.497
EQ NOV 2302.4 2330 2345.9 2307.9 2324 2324.75 955082 22217.635
EQ DEC 2302.4 2330 2345.9 2307.9 2324 2324.75 955082 22217.64
SBI2007
2500 2324.75
2324.75
2075.35
1894.6
2000
1606.65
1530.75
1500
1253.55 1378.9 1548.05
1203
1055.65
1000
930.5
500
0
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
Turnover
Prev Open High Low Last Close Total Traded in
Series Date Close Price Price Price Price Price Quantity Lacs
EQ JAN 2,223.95 2,155.00 2,247.70 2,136.00 2,165.00 2,167.35 1159043 25,347.44
44
EQ FEB 2,039.10 2,010.00 2,135.00 1,945.00 2,088.80 2,111.65 2401205 48,660.48
EQ MAR 1,677.80 1,674.00 1,695.00 1,590.00 1,608.00 1,600.25 1036121 16,712.89
45
S&P
CNX ROR R=X- T=Y-
years Month NIFTY (X) PRICE ROR(Y) X*X Y*Y X*Y Avg(X) Avg(Y) R^2 T^2
2003 Jan 1154.67 0.0208 284.55 0.0197 0.00043 0.00039 0.00041 0.0037 -0.0052 0.00001 0.00003
- -
Feb 1178.72 0.0798 290.15 0.0014 0.00637 0.00000 0.00011 -0.0970 -0.0235 0.00940 0.00055
-
Mar 1084.64 0.0430 290.55 -0.0587 0.00185 0.00344 0.00252 -0.0602 -0.0835 0.00362 0.00698
Apr 1038 0.0812 273.5 0.0294 0.00660 0.00087 0.00239 0.0641 0.0046 0.00410 0.00002
May 1122.32 0.1336 281.55 0.2270 0.01784 0.05151 0.03031 0.1164 0.2021 0.01355 0.04085
Jun 1272.21 0.0516 345.45 0.1073 0.00266 0.01150 0.00553 0.0344 0.0824 0.00119 0.00679
July 1337.86 0.1497 382.5 0.0941 0.02240 0.00886 0.01409 0.1325 0.0693 0.01755 0.00480
Aug 1538.08 0.0469 418.5 0.0468 0.00220 0.00219 0.00220 0.0297 0.0220 0.00088 0.00048
Sep 1610.21 0.0993 438.1 0.0180 0.00986 0.00033 0.00179 0.0821 -0.0068 0.00674 0.00005
Oct 1770.08 0.0384 446 0.0670 0.00147 0.00449 0.00257 0.0212 0.0422 0.00045 0.00178
-
Nov 1837.98 0.1643 475.9 -0.0116 0.02699 0.00013 0.00190 0.1471 -0.0364 0.02164 0.00133
- -
Dec 2139.93 0.0362 470.4 0.2004 0.00131 0.04014 0.00726 -0.0534 0.1755 0.00285 0.03080
-
2004 Jan 2062.42 564.65 0.0047 2.4E-05 2.2E-05 -2.3E-05 -0.0220 -0.0202 4.8E-04 4.1E-04
46
0.0049
- -
Feb 2052.4 0.0157 567.3 0.0581 0.00025 0.00337 0.00091 -0.0328 0.0332 0.00108 0.00110
Mar 2020.25 0.0138 600.25 0.0301 0.00019 0.00090 0.00042 -0.0033 0.0052 0.00001 0.00003
- -
Apr 2048.22 0.1709 618.3 0.0012 0.02921 0.00000 0.00021 -0.1881 -0.0236 0.03537 0.00056
-
May 1698.16 0.0175 619.05 -0.2419 0.00031 0.05852 0.00424 0.0004 -0.2668 0.00000 0.07116
-
Jun 1727.93 0.0872 469.3 -0.0563 0.00761 0.00316 0.00491 0.0700 -0.0811 0.00491 0.00658
July 1878.62 0.0018 442.9 -0.0014 3.4E-06 0.00000 -2.5E-06 -0.0153 -0.0262 2.3E-04 0.00069
Aug 1882.09 0.0736 442.3 0.0190 0.00542 0.00036 0.00140 0.0564 -0.0059 0.00319 0.00003
Sep 2020.62 0.0241 450.7 0.0625 0.00058 0.00390 0.00151 0.0070 0.0376 0.00005 0.00141
-
Oct 2069.39 0.0965 478.85 -0.0213 0.00930 0.00045 0.00205 0.0793 -0.0462 0.00629 0.00213
Nov 2268.99 0.0661 468.65 0.1544 0.00436 0.02383 0.01020 0.0489 0.1295 0.00239 0.01678
- -
Dec 2418.88 0.0104 541 0.2121 0.00011 0.04499 0.00220 -0.0275 0.1873 0.00076 0.03506
-
2005 Jan 2393.76 0.0226 655.75 0.0331 0.00051 0.00110 -0.00075 0.0055 -0.0579 0.00003 0.00336
Feb 2447.94 -0.0320 634.05 0.0971 0.00102 0.00942 -0.00310 -0.0491 0.0722 0.00241 0.00522
-
Mar 2369.69 -0.0653 695.6 0.0367 0.00426 0.00134 0.00239 -0.0825 -0.0615 0.00680 0.00378
-
Apr 2214.96 0.0988 670.1 0.1205 0.00976 0.01452 -0.01190 0.0816 -0.1454 0.00666 0.02113
May 2433.73 0.0683 589.35 0.1202 0.00466 0.01445 0.00821 0.0511 0.0954 0.00261 0.00909
Jun 2599.93 0.0428 660.2 0.0698 0.00183 0.00487 0.00299 0.0256 0.0449 0.00066 0.00202
July 2711.24 0.0335 706.25 0.1185 0.00112 0.01405 0.00397 0.0163 0.0937 0.00027 0.00877
Aug 2801.99 0.0943 789.95 0.0122 0.00889 0.00015 0.00115 0.0771 -0.0126 0.00595 0.00016
Sep 3066.15 -0.0881 799.6 0.1823 0.00777 0.03323 -0.01607 -0.1053 0.1574 0.01109 0.02478
-
Oct 2795.89 0.1187 945.35 0.1127 0.01409 0.01269 -0.01337 0.1016 -0.1375 0.01031 0.01891
Nov 3127.8 0.0721 838.85 0.0888 0.00520 0.00789 0.00640 0.0550 0.0640 0.00302 0.00409
-
Dec 3353.37 0.0586 913.35 0.0093 0.00344 0.00009 -0.00054 0.0414 -0.0341 0.00172 0.00116
904.9 -
2006 Jan 3549.92 0.0252 869.25 0.0394 0.00064 0.00155 -0.00099 0.0081 -0.0642 0.00006 0.00413
Feb 3639.43 0.1070 0.0137 0.01145 0.00019 0.00147 0.0898 -0.0111 0.00807 0.00012
47
Mar 4028.82 0.0459 881.2 0.1159 0.00211 0.01344 0.00532 0.0288 0.0911 0.00083 0.00829
983.35 -
Apr 4213.88 -0.1356 0.0220 0.01840 0.00048 0.00299 -0.1528 -0.0469 0.02335 0.00220
961.7 -
May 3642.31 0.0218 0.1486 0.00048 0.02209 -0.00324 0.0046 -0.1735 0.00002 0.03010
818.75 -
Jun 3721.71 0.0064 742.6 0.0930 4.1E-05 0.00865 -5.9E-04 -0.0108 -0.1179 1.2E-04 0.01389
July 3745.46 0.0876 0.0931 0.00767 0.00867 0.00816 0.0704 0.0683 0.00496 0.00466
811.75
Aug 4073.55 0.0529 931.25 0.1472 0.00280 0.02167 0.00778 0.0357 0.1224 0.00128 0.01497
Sep 4288.97 0.0437 1033.35 0.1096 0.00191 0.01202 0.00479 0.0266 0.0848 0.00071 0.00719
Oct 4476.5 0.0564 1113.8 0.0779 0.00318 0.00606 0.00439 0.0393 0.0530 0.00154 0.00281
Nov 4729.13 0.0062 1362.65 0.2234 3.8E-05 5.0E-02 1.4E-03 -0.0110 0.1986 1.2E-04 3.9E-02
-
1253.55
Dec 4758.45 0.0296 0.0801 0.00088 0.00641 -0.00237 0.0125 -0.1049 0.00016 0.01101
1203 -
2007 Jan 4899.39 -0.0806 0.0403 0.00649 0.00163 0.00325 -0.0977 -0.0652 0.00955 0.00425
1055.65 -
Feb 4504.73 0.0225 930.5 0.1225 0.00050 0.01500 -0.00275 0.0053 -0.1473 0.00003 0.02171
-
1378.9
Mar 4605.89 0.0713 0.1186 0.00509 0.01405 -0.00846 0.0542 -0.1434 0.00293 0.02056
Apr 4934.46 0.0510 1530.75 0.4819 0.00260 0.23222 0.02456 0.0338 0.4570 0.00114 0.20888
1548.05
May 5185.95 0.0073 0.1101 5.3E-05 1.2E-02 8.0E-04 -0.0099 0.0853 9.7E-05 7.3E-03
1606.65
Jun 5223.82 0.0497 0.0113 0.00247 0.00013 0.00056 0.0325 -0.0136 0.00106 0.00018
1894.6
July 5483.25 -0.0131 2075.35 0.0379 0.00017 0.00143 -0.00050 -0.0303 0.0130 0.00092 0.00017
Aug 5411.29 0.1262 2324.75 0.1792 0.01592 0.03212 0.02262 0.1090 0.1544 0.01189 0.02383
Sep 6094.11 0.1754 0.0954 0.03078 0.00910 0.01674 0.1583 0.0706 0.02505 0.00498
2324.75
Oct 7163.3 -0.0231 0.1202 0.00054 0.01444 -0.00278 -0.0403 0.0953 0.00162 0.00909
Nov 6997.6 0.0663 0.0000 0.00439 0.00000 0.00000 0.0491 -0.0249 0.00241 0.00062
-
Dec 7461.48 -1.0000 1.0000 1.00000 1.00000 1.00000 -1.0172 -1.0249 1.03462 1.05032
1.4911 1.33849 2.223455 1.11404 0.0000 1.466273324 0.00000 2.14996
SUM 1.0298 1.4911 1.3385 2.2235 1.1140 0.0000 1.4422 0.30697 2.08004
AVERAGE 0.0172 0.0249 1.32082 1.82353
1 Beta
Σxy 1.114
Σx 1.0298
Σy 1.4911
Σx2 1.3385
n 60
Σy2 2.2235
48
β 0.824
2 Alpha
Avg(X) 0.0172
Avg(Y) 0.0249
β 0.824
α 0.0107272
3 Coef.Correlation
0.64047
Coef of
4 Determination
0.4102
Standard
5 Devition
SDx 0.07152
SDy 0.18619
6 Variance
Vx 0.005115
Vy 0.03466
49
BETA VALUES
50
BETA VALUE
0.9
0.8
0.7
0.6
0.5
0.4 0.824
0.3 0.6085
0.2
0.1
0
ICICI BANK SBI BANK
51
Conclusions
• Average rate of return of the 2 different companies are lesser than that of its
market returns. So, the returns are better than the market returns.
• Since standard deviation of SBI equity and ICICI equity is less than its market,
• Lower the beta and higher the funds performance is the better equity for
investment. One might expect the best performance by funds with low
• Since Beta (0.6085) of ICICI Bank is less than that of markets beta , the fund
reacts less than the market reaction. Also beta indicates that the funds returns
market returns. This also means that the mutual fund fluctuates 4% less than the
market index.
• Considering only the rate of return, all the equities outperformed the market.
52
BIBLIOGRAPHY
53
WWW.NSEINDIA.COM
www.google.co.in
Security Analysis And Protfolio Management
---Donald D.Fischer
---Ronald J.Jordan
54
55