Beta, R2, Volatility and Returns of SENSEX scrips for one year period June-11 - May-12
Scrip code
Company
Beta Values
Co-efficient of Determination 2 (R )
Avg. Daily Volatility (%)
Returns (1 year) (%)
Weightage (%) in SENSEX as on 31/05/2012
7.1
Free-float Adj.Factor as on 31/05/2012
500010
HOUSING DEVE
0.93
0.56
1.57
-4.79
1
500087
CIPLA LTD.
0.42
0.14
1.42
-5.41
1.19
0.65
500103
BHEL
1.18
0.39
2.4
-45.7
1.33
0.35
500112
STATE BANK O
1.28
0.52
2.24
-11.76
4.05
0.4
500180
HDFC BANK LT
0.91
0.55
1.56
5.88
6.98
0.8
500182
HEROMOTOCO
0.57
0.14
1.89
-1.3
1.35
0.5
500209
INFOSYS LTD
0.99
0.4
1.97
-13.23
8.75
0.85
500312
ONG CORP LTD
0.56
0.19
1.64
-9.91
3.99
0.25
500325
RELIANCE
1.24
0.6
2.01
-25.43
9.34
0.55
500400
TATA POWER
0.97
0.32
2.18
-24.94
1.14
0.7
500440
HINDALCO IN
1.57
0.5
2.82
-40.85
1.15
0.7
500470
TATA STL
1.43
0.57
2.4
-30.81
2.01
0.7
500510
LARSEN & TOU
1.25
0.51
2.22
-30.32
4.75
0.9
500520
MAHINDRA & M
0.92
0.36
1.95
-3.54
2.2
0.75
500570
TATA MOTORS
1.54
0.48
2.81
8.02
3.23
0.7
500696
HIND UNI LT
0.31
0.08
1.37
37.67
3.39
0.5
500875
I T C LTD
0.52
0.22
1.37
18.75
9.26
0.7
500900
STERLITE IN
1.65
0.6
2.68
-45.73
1.05
0.45
507685
WIPRO LTD.
0.78
0.3
1.8
-8.6
1.85
0.25
524715
SUN PHARMACE
0.48
0.16
1.55
20.55
1.73
0.4
532155
GAIL INDIA
0.54
0.19
1.55
-28.72
1.2
0.4
532174
ICICI BANK L
1.52
0.7
2.29
-27.72
6.64
1
532286
JINDAL STEEL
1.42
0.49
2.55
-32.65
1.36
0.45
532454
BHARTI ARTL
0.84
0.28
2.02
-20.8
2.95
0.35
532500
MARUTISUZUK
0.65
0.17
2
-11.41
1.17
0.5
532540
TCS LTD.
0.94
0.34
2.03
6
5.37
0.3
532555
NTPC LTD
0.76
0.35
1.61
-15.94
1.78
0.2
532868
DLF LIMITED
1.53
0.44
2.92
-21.83
0.58
0.25
532977
BAJAJ AUTO
0.68
0.23
1.77
13.03
1.61
0.5
533278
COAL INDIA
0.65
0.17
1.99
-22.43
1.49
0.1
SENSEX
1
1.26
-12.84%
Beta = Co-variance(SENSEX, Stock)/ Variance(SENSEX) 2 2 R = (Correlation) Average Daily Volatility = One standard deviation of daily returns of individual stock price for last one year Returns = % variation in the stock price over last one year
doc_231627356.docx
Scrip code
Company
Beta Values
Co-efficient of Determination 2 (R )
Avg. Daily Volatility (%)
Returns (1 year) (%)
Weightage (%) in SENSEX as on 31/05/2012
7.1
Free-float Adj.Factor as on 31/05/2012
500010
HOUSING DEVE
0.93
0.56
1.57
-4.79
1
500087
CIPLA LTD.
0.42
0.14
1.42
-5.41
1.19
0.65
500103
BHEL
1.18
0.39
2.4
-45.7
1.33
0.35
500112
STATE BANK O
1.28
0.52
2.24
-11.76
4.05
0.4
500180
HDFC BANK LT
0.91
0.55
1.56
5.88
6.98
0.8
500182
HEROMOTOCO
0.57
0.14
1.89
-1.3
1.35
0.5
500209
INFOSYS LTD
0.99
0.4
1.97
-13.23
8.75
0.85
500312
ONG CORP LTD
0.56
0.19
1.64
-9.91
3.99
0.25
500325
RELIANCE
1.24
0.6
2.01
-25.43
9.34
0.55
500400
TATA POWER
0.97
0.32
2.18
-24.94
1.14
0.7
500440
HINDALCO IN
1.57
0.5
2.82
-40.85
1.15
0.7
500470
TATA STL
1.43
0.57
2.4
-30.81
2.01
0.7
500510
LARSEN & TOU
1.25
0.51
2.22
-30.32
4.75
0.9
500520
MAHINDRA & M
0.92
0.36
1.95
-3.54
2.2
0.75
500570
TATA MOTORS
1.54
0.48
2.81
8.02
3.23
0.7
500696
HIND UNI LT
0.31
0.08
1.37
37.67
3.39
0.5
500875
I T C LTD
0.52
0.22
1.37
18.75
9.26
0.7
500900
STERLITE IN
1.65
0.6
2.68
-45.73
1.05
0.45
507685
WIPRO LTD.
0.78
0.3
1.8
-8.6
1.85
0.25
524715
SUN PHARMACE
0.48
0.16
1.55
20.55
1.73
0.4
532155
GAIL INDIA
0.54
0.19
1.55
-28.72
1.2
0.4
532174
ICICI BANK L
1.52
0.7
2.29
-27.72
6.64
1
532286
JINDAL STEEL
1.42
0.49
2.55
-32.65
1.36
0.45
532454
BHARTI ARTL
0.84
0.28
2.02
-20.8
2.95
0.35
532500
MARUTISUZUK
0.65
0.17
2
-11.41
1.17
0.5
532540
TCS LTD.
0.94
0.34
2.03
6
5.37
0.3
532555
NTPC LTD
0.76
0.35
1.61
-15.94
1.78
0.2
532868
DLF LIMITED
1.53
0.44
2.92
-21.83
0.58
0.25
532977
BAJAJ AUTO
0.68
0.23
1.77
13.03
1.61
0.5
533278
COAL INDIA
0.65
0.17
1.99
-22.43
1.49
0.1
SENSEX
1
1.26
-12.84%
Beta = Co-variance(SENSEX, Stock)/ Variance(SENSEX) 2 2 R = (Correlation) Average Daily Volatility = One standard deviation of daily returns of individual stock price for last one year Returns = % variation in the stock price over last one year
doc_231627356.docx