Department of Management Studies Sait Bangalore

Department of management studies sait Bangalore
Table 2.2 Calculation of Return,

Standard Deviation and Beta of
ACC
02-01-12
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
Closing
Price
984.15
1001.9
1007.8
5
51014.1
998.85
994
969.35
982.2
990.15
987.25
980.15
988.3
1004.4
51000.4
5992.5
1009.9
51006.2
1022.1
1025.4
1021.1
1021.8
1023.6
51036.8
1033.4
1037.8
Total
R
1.8086673
0.5888517
78
39
0.6201319
-1.503796
64
47
-0.4855583
-2.4798792
92
1.3256305
76
0.8094074
77
53
-0.2928849
16
-0.719169
41
0.8315053
82
1.6341191
-0.3982278
95
86
-0.7946424
11.7581863
K
98
-0.371305
51
1.5802027
43
0.3228646
-0.4193485
9
0.0685535
47
21
0.1810530
1.2846187
44
-0.3279320
66
99
0.4257789
5.4468269
82
15
R-Ra
(R-Ra)2
1.581716
0.361900
257
618
0.393180
-1.73074
843
7591
-0.71250
-2.70683
9513
1.098679
0397
0.582456
456
332
-0.51983
6037
-0.94612
0531
0.604554
261
1.407168
-0.62517
074
9007
-1.02159
1.0.5982
3532
566
-1.02365
53123527
1.353251
7622
0.095913
-0.64629
569
-0.1583
9668
976
-0.04589
1.057667
8077
-0.55488
645
322
0.198827
861
2.501826
0.130972
317
057
0.154591
2.995487
175
223
0.507669
7.326930
806
1.207096
796
0.339255
547
378
0.270229
506
0.895144
059
0.365485
854
1.980121
0.390848
987
791
1.043653
2.344681
344
473
0.357910
997
1.831289
952
0.009199
0.417703
413
0.025089
261
8
0.002106
1.118660
634
0.307895
848
388
0.039532
26.56338
518
313
Calculation of Return and Standard deviation, Beta and

Alpha of ACC Limited
Return =
PI-P0/P0*100
Where,
P=Today'sprice
P2 = yesterday's
price Ra = Total of
return/n Where, Ra =
Average return
Ra =
5.446826915/2
4
Ra=0.2269511
21
S.D =
V(R-Ra)2/n-l
=
V26.5633824-1
= 1.074676557
Beta (p) = nl (Rrn*R)-(IRm)*(2:R)/n2Rm2-(XRm)2
=
24(19.96342478)-3.755482701*5.446826915/24*48.
22612887-(3.7554827)2
= 0.401169706
Alpha (a) = Ra-p*Rm
= 0.226951121
-(0.401169706*0.156478445) =
0.164176709
Table2.4 Calculation of Return, Standard deviation,

Beta and Alpha of Grasim Cement
DATE
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
26-01-2012
27-01-2012
28-01-2012
30-01-2012
31-01-2012
01-02-2012
02-02-2012
Closing
Price
2292.85
2326.7
2324.95
2274.95
2242.85
2248.9
2255.15
2293.5
2283.6
2300.2
2300.65
2293.45
2312.45
2322.2
2352.1
2380.45
2381.5
2436.2
2438
2435.05
2434.95
2451.95
2460.1
2434.75
2479.1
Total
R
1.476328
587
-0.075213
822
-2.150583
884
-1.411020
022
0.269746
082
0.2779136
47
1.700552
07
-0.431654
676
0.726922
403
0.0195635
16
-0.312955
034
0.8284462
27
0.4216307
38
1.287572
13
1.2053058
97
0.0441093
07
2.296871
72
0.0738855
59
-0.12100
082
-0.004106
692
0.6981662
87
0.3323885
07
-1.030445
917
1.8,21542
253
7.9439640
61
R-Ra
(R-Ra)2
1.145330 1.3117810
084
01
-0.406212
0.1650084
325
53
-2.481582 6.158251
387
141
-1.742018
3.0346285
525
43
-0.061252 0.0037518
421
59
-0.053084
0.0028180
856
02
1.369553 1.875676
567
972
-0.762653
0.5816398
179
72
0.39592 0.1567557
39
35
-0.311434
0.0969917
987
51
-0.643953 0.4146761
537
58
0.497447 0.2474542
724
38
0.090632 0.0082142
235
02
0.956573 0.9150331
627
04
0.874307
0.7644134
394
19
-0.286889
0.0823054
196
11
1.965873 3.8646575
217
03
-0.25711
0.066107
2944
066
-0.451999
0.2043033
323
88
-0.335105 0.112295
195
492
0.367167 0.134812
784
181
0.001390
1.93211E
004
-06
-1.36144 1.853530
442
908
1.490543 2.221720
75
67
24.27682
9
Table 2.5 Calculation of Beta and Alpha

DATE
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
26-01-2012
27-01-2012
28-01-2012
30-01-2012
31-01-2012
01-02-2012
02-02-2012
R
1.476328
587
-0.075213
822
-2.150583
884
-1.411020
022
0.269746
082
0.277913
647
1.700552
07
-0.431654
676
0.726922
403
0.019563
516
-0.31295
5034
0.828446
227
0.421630
738
1.287572
13
1.205305
897
0.044109
307
2.296871
72
0.073885
559
-0.12100
082
-0.00410
6692
0.698166
287
0.332388
507
-1.03044
5917
1.821542
253
7.943964
061
Rm
1.092700
977
-0.895154
568
-0.582352
081
-3.212042
631
0.776217
531
0.560002
263
3.544742
887
0.251706
716
0.046060
475
-1.36492
891
1.055252
007
0.184755
832
-0.66172
4824
-0.89090
7105
1.580218
347
-1.47970
7132
1.128512
84
-1.17035
4645
-1.33935
5384
-0.16655
191
0.915233
701
1.226483
925
0.769125
496
2.387548
892
3.755482
701
Rm*R
1.6131856
89
0.0673279
961.25239
7
4.5322564
64
0.2093816
38
0.1556322
71
6.0280198
54
-0.108650
381
0.0334823
91
-0.026702
809
-0.330246
428
0.1530602
72
-0.279003
526
-1.147107
159
1.904646
492
-0.065268
856
2.592049
228
-0.086472
307
0.16206
31
0.000683
977
0.638985
315
0.4076691
61
-0.792542
227
4.349021
188
21.26386
834
R2
Rm2
2.179546 1.193995
097
425
0.005657 0.801301
119
701
4.625011
0.339133
042
946
1.990977 10.31721
502
786
0.072762
0.602513
949
655
0.077235 0.313602
995
535
2.891877 12.56520
343
213
0.186325 0.063356
759
271
0.528416 0.002121
18
567
0.000382
1.863030
731
929
0.097940 1.113556
853
798
0.686323 0.034134
151
717
0.177772 0.437879
479
743
1.657841 0.793715
99
47
1.452762
2.497090
305
024
0.001945
2.189533
631
196
5.275619 1.273541
698
23
0.005459 1.369729
076
995
0.014641 1.793872
198
845
1.68649E 0.027739
-05
539
0.487436
0.837652
164
727
0.11048 1.504262
212
818
1.061818
0.591554
788
029
3.318016
5.700389
179
712
26.90626 48.22612
922
887
Return, Standard deviation, Beta and Alpha of Grasim

Cements
Ra = Total of
return/n Where, Ra =
Average return
Ra7.9439640614
= 0.330998503
S.D
=V(R-Ra)2/-l
=V
(24.276829)24
-l=1.02738225
8
Beta (P) = nl (Rm*R)-(IRm)*(IR)/n2;Rni2-(XRm)2
= 24(21.26386834) - 3.755482701 *7.943964061
/24*48.22612887-(3.755482701)2 = 0.42026552
Alpha(a) = Ra-P*Rm
=
0.330998503-(0.42026552*0.1
56478445) = 0.265236007
Table 2.6 Calculation of Return, Standard deviation,

Beta and Alpha of India Cements
Date
DATE
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
26-01-2012
27-01-2012
28-01-2012
30-01-2012
31-01-2012
01-02-2012
Closing
Price
92.9
93.75
93.6
93.4
87.35
87.75
85.4
88
90.25
90.4
91.35
91.4
93.45
93.1
91
92.5
90.2
91.75
92.7
91.65
91.4
92
92.5
93.3
94.4
Total
R-Ra
(R-Ra)2
0.914962
325
-0.166552
42
-0.213675
214
-6.47751
606
0.457927
876
-2.678062
678
3.044496
487
2.556818
182
0.166204
986
1.050884
956
0.054734
537
2.242888
403
-0.374531
835
-2.255639
098
1.648351
648
-2.48648
6486
1.718403
548
1.035422
343
-1.13268
6084
-0.27277
6869
0.656455
142
0.543478
261
0.864864
865
1.178992
497
2.083511
733
0.828149
336
-0.246812
989
-0.300488
203
-6.564329
049
0.371114
887
-2.764875
667
2.957683
498
2.470005
193
0.079391
997
0.964071
967
-0.032078
452
2.156075
414
-0.461344
824
-2.342452
087
1.561538
659
-2.573299
475
1.631590
559
0.948609
354
-1.21949
9073
-0.35958
9858
0.569642
153
0.456665
272
0.778051
876
1.092179
508
0.685831
323
0.060916
652
0.090293
16
43.09041
586
0.137726
26
7.644537
454
8.747891
675
6.100925
653
0.006303
089
0.929434
757
0.001029
027
4.648661
189
0.212839
047
5.487081
779
2.438402
985
6.621870
191
2.662087
751
0.899859
707
1.487177
989
0.129304
866
0.324492
183
0.208543
171
0.605364
722
1.192856
078
94.41384
657
Return, Standard deviation, Beta, and Alpha, of India

Cements
Ra = Total of return/n
Where, Ra = Average
return
Ra =
2.083511733/
24 =
0.086812989
S.D = All(R-Ra)2/n-l =
A/94.41384657/24-1
= 2.026067583
Beta (P) = n (Rm*R)-(XRm)*(IR)/nXRm2-(XRm)2

= 24(46.98899873)
-3.755482701*2.083511733724*48.22612887-(3.75548
2701)2
= 0.979522797
Alpha (a) = Ra-p*Rm
= 0.086812989 (0.979522797*0.156478445) =
-0.066461215
Table 2.8 Summary statement of Return, SD, Beta and

Alpha of Cement Sector
SD
Company
Ra
P
a
ACC
0.226951 1.074676 0.401169 0.1641767
121
557
706 0.2652360
09
GRASIM 0.330998
1.027382
0.420265
503
258
52
07
INDIACEM 0.086812
2.026067
0.979522
-0.066461
ENT
989
583
797
215
Figure 2.1 Graph showing

C
5
0
Risk,
SD, Beta & Alpha of Cement Sector
INFERENCE
Grasim is giving more returns when compared to

ACC and India Cements.
Grasim's risk is less when compared to other two

stocks.
By taking both risk and return, Grasim is

performing well as return is moderate and risk is
less when compared to other stocks.
IT SECTOR
Calculation of Return, Standard deviation, Beta and Alpha of
IT Sector
Table 2.9 Calculation of return, standard deviation, beta and
alpha of Infosys
DATE
Closing
R
R-Ra
(R-Ra)
2
02-01-2012
Price
3100.3
03-01-2012
3165.25 2.094958 1.995067 3.98029
04-01-2012
3141.8
-0.73927
-0.83916
0.7042056
552
021
242
05-01-2012
53078.8 -2.00677
8098
9629
66
-2.10667
4.4380626
06-01-2012
3008.8 -2.27361
-2.37350 5.6335242
9445
0976
02
07-01-2012
4627
14
3007.3 3096
-0.04985 -0.14974
0.022423
09-01-2012
3762
5293
653
2997.1 -0.33917
-0.43906 0.192779
10-01-2012
3082.4 4675
2.846084 6206
2.746193 7.541576
133
11-01-2012
548
017
089
3026.1 -1.82649
-1.92639
3.710979
12-01-2012
3062.2 8832
1.192954 0363
1.093063 1.194786
831
13-01-2012
3042.7 -0.63679
-0.73668
0.542710
628
097
934
16-01-2012
3116.3 7074
2.418904 8605
2.319012 5.37782
101
17-01-2012
3095.5 -0.66745
-0.76734
0.588825
263
732
005
18-01-2012
3090.2
-0.16960 9735
-0.26949 0.072626
8204
615
19-01-2012
53053.9 -1.17628
1034
2565
242
-1.27617 1.6286143
20-01-2012
79
3100.8 0236
1.535741 1767
1.435849 2.0616642
23-01-2012
183
652
24
3030.1
-2.27844
-2.37833
5.6564811
24-01-2012
0.02475
-0.07514 0.0056460
53030.9 4272
5803
94
25-01-2012
125
0281
62
2978.7 -1.72226
-1.82215 3.3202388
26-01-2012
0715
2246
06
2941.1 -1.26229
-1.36218
1.8555538
27-01-2012
68
2922.3 5632
-0.63921 7163
-0.73910 0.5462808
28-01-2012
2943.0
0.710057
0.610165 0.3723020
662
8151
58
30-01-2012
5
147
79
2993.3
1.709111 616
1.609219 2.5895882
31-01-2012
0.21580 0.0465732
53002.8 0.315699
296
765
52
01-02-2012
801
827
09
3163.0
5.33668
5.236794
27.42401
02-02-2012
5Total
576
229
38
2.397396
79.507569
734
28

DATE
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
26-01-2012
27-01-2012
28-01-2012
30-01-2012
31-01-2012
01-02-2012
R
2.094958
552
-0.73927
8098
-2.00677
9445
-2.27361
3096
-0.04985
3762
-0.33917
4675
2.846084
548
-1.82649
8832
1.192954
628
-0.63679
7074
2.418904
263
-0.66745
8204
-0.16960
1034
-1.17628
0236
1.535741
183
-2.27844
4272
0.02475
125
-1.72226
0715
-1.26229
5632
-0.63921
662
0.710057
147
1.709111
296
0.315699
801
5.33668
576
2.397396
734
Rm
1.092700
977
-0.89515
4568
-0.58235
2081
-3.21204
2631
0.776217
531
0.560002
263
3.544742
887
0.251706
716
0.046060
475
-1.36492
891
1.055252
007
0.184755
832
-0.66172
4824
-0.89090
7105
1.580218
347
-1.47970
7132
1.12851
284
-1.17035
4645
-1.33935
5384
-0.16655
191
0.915233
701
1.226483
925
0.769125
496
2.387548
892
3.755482
701
Rm*R
R2
Rm2
2.289163 4.388851 1.19399
257
5425
0.661768 335
0.546532 0.80130
166
106
1701
1.168652 4.027163
0.33913
186
741
3946
7.302942
5.16931 10.3172
191
651
1786
-0.03869
0.002485
0.60251
7364
398
3655
-0.18993
0.11503 0.31360
8586
946
2535
10.08863 8.100197
12.5652
796
254
0213
-0.45974
3.336097
0.06335
2023
6271
0.054948 983
1.42314 0.00212
057
0744
1567
0.869182 0.405510
1.86303
736
513
0929
2.552553
5.851097 1.11355
578
834
6798
-0.12331
0.44550
0.03413
6796
4717
0.112229 0454
0.028764 0.43787
214
9743
1.04795 511
1.38363 0.79371
642
5194
547
2.426806
2.358500
2.49709
394
0024
3.371430 981
5.19130 2.18953
239
3196
0.027932 8301
0.00061 1.27354
103
2624
123
2.015655
2.96618 1.369729
828
197
995
1.690662 1.59339
1.793872
451
0263
845
0.106462
0.40859
0.027739
749
539
0.649868 7887
0.50418 0.837652
231
1152
727
2.096197
2.92106
1.504262
531
1422
818
0.242812 0.09966
0.591554
766
029
12.74159 6364
28.4802 5.700389
817
149
712
50.70576
79.7470 48.22612
546
489
887
Return, Standard deviation, Beta and Alpha of Infosys

Where, Ra = Average
return
Ra
=2.3973967340
/24
=0.099891531
S.D =
VS(R-Ra)2/n-l
=
V79.50756928
/24-l =
1.859260831
Beta (P) = n (Rm*R)-(Rm)*(2:R)/nRm2-(2:Rm)2
= 24(50.70576546) -3.755482701
*2.397396734/24*48.22612887-(3.755482701)2
= 1.056512045
Alpha (a) = Ra-p*Rm
= 0.099891531
-(1.056512045*0.156478445) =
-0.06542983
Table 2.11 Calculation of Return, Standard deviation, Beta

and Alpha of Tech Mahindra
DATE
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
26-01-2012
27-01-2012
28-01-2012
30-01-2012
31-01-2012
01-02-2012
02-02-2012
Closing
Price
660.3
677.4
683.65
683.45
654.8
641.65
645.25
675.95
685.5
685.25
678.6
743.05
733.95
728.3
730.4
738.2
734.85
739.1
732.75
704.85
709.45
710.65
710.7
735.7
736.65
Total
R-Ra
(R-Ra)2
2.098049
0.430963
561
-0.520937
03
115
-4.68364
-2.49992
9604
0.069371
9172
4.266163
155
417
0.921144
-0.52815
013
2109
-1.46213
112
9.005812
463
-1.71636
-1.26148
4433
9587
-0.20333
0.576225
9663
-0.94548
617
8935
0.086666
-1.35083
944
5403
-4.29925
6586
0.160938
-0.32253
746
7267
-0.48464
6567
3.025976
-0.36255
267
3658
4.401811
0.185729
961
0.271375
133
477
21.93657
6.249645
361
0.004812
865
18.20015
357
03
0.848506
0.278944
294
65
2.137827
413
81.10465
812
2.945906
1.591355
866
977
0.041347
0.332035
019
0.893949
961
327
0.007511
1.824756
159
286
18.48360
719
0.025901
0.104030
28
288
0.234882
295
9.156532
0.131445
371
171.3932
155
964
R
2.589731
0.922645
94
-0.029254
409
736
-4.191967
-2.008246
225
0.561053
793
4.757845
534
796
1.412826
-0.03646
392
973
-0.970448
741
9.497494
842
-1.224682
-0.769807
054
208
0.288342
1.067907
716
-0.453806
996
556
0.578349
-0.85915
323
3024
-3.80757
4207
0.652621
0.169145
125
112
0.007035
812
3.517658
0.129128
646
11.80037
721
709

DATE
Rm
Rm*R
R2
Rm2
0.922645409
1.092700977
2.829802621 6.706711521
1.193995425
-0.029254736
-0.895154568
-0.825910253 0.851274551
0.801301701
-4.191967225
-0.582352081
0.017036556 0.00085584
0.339133946
-2.008246793
-3.212042631
10.31721786
0.561053534
0.776217531
13.4647774 17.57258922
3
-1.558836367 4.033055182
0.602513655
07-01-12
4.757845796
0.560002263
0.314191249 0.314781068
0.313602535
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
1.412826392
3.544742887
12.56520213
-0.03646973
0.251706716
16.8653400 22.63709662
4
0.355617891 1.996078414
0.063356271
-0.970448741
0.046060475
-0.001679813 0.001330041
0.002121567
9.497494842
-1.36492891
1.863030929
-1.224682054
1.055252007
16-01-12
-0.769807208
0.184755832
1.32459354 0.941770759
2
10.0222504 90.20240827
9
-0.226267152 1.499846133
0.034134717
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
0.288342716"
-0.661724824
0.509400539 0.592603137
0.437879743
1.067907996
-0.890907105
-0.256886574 0.083141522
0.79371547
-0.453806556
1.580218347
1.687527808
1.140427488
2.497090024
0.578349323
-1.479707132
0.671500797
0.20594039
2.189533196
-0.859153024
1.12851284
24-01-12
25-01-12
-3.807574207
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
1.113556798
0.652674637 0.334487939
1.27354123
-1.170354645
1.005513732
0.738143919
1.369729995
0.652621125
-1.339355384
5.099695014
14.49762134
1.793872845
27-01-12
0.169145112
-0.16655191
-0.108695295 0.425914333
0.027739539
30-01-12
31-01-12
0.007035812
0.915233701
0.154807307 0.028610069
0.837652727
3.517658646
1.226483925
0.00862931
4.95027E-05
1.504262818
01-02-12
0.129128721
0.769125496
0.591554029
02-02-12
11.80037709
2.387548892
2.70552095 12.37392235
1
0.308301135 0.016674227
3.755482701
55.01890561
48.22612887
TOTAL
177.1953338
5.700389712
Return, Standard deviation, Beta and Alpha of Tech

Mahindra
Ra = Total of
return/n Where, Ra
= Average return
Ra=
11.80037709/24 =
0.491682379
S.D =
VX(R-Ra)2/n-l =
Vl
71.3932964/24-1
= 2.72981363
Beta (p) = nl (Rm*R)-(XRm)*(R)/nIRm2-(XRm)2
=
24(55.01890561)-3.755482701*11.80037709/24*48.2
2612887-(3.755482701)2
= 1.116165011
Alpha (a) = Ra-p*Rm
= 0.491682379-(1.116165011*0.156478445)
= 0.317738357
Table 2.13 Calculation of Return, Standard deviation, Beta and

Alpha of Wipro
DATE
CL PRICE
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
398.40
416.70
417.90
414.35
405.50
406.55
402.40
403.35
401.45
391.00
401.00
407.30
414.70
403.50
404.10
413.30
415.90
418.90
418.65
417.85
409.65
413.25
411.60
425.85
TOTAL
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
R
4.240813497
-1.385655692
-1.798561151
-2.209249084
1.381247805
1.189239118
1.198083067
0.191678881
-0.652712131
1.3253285
0.391280045
0.434298441
0.853753188
-1.20932277
91.546850657
-3.03561643
80.678119349
-0.437808711
-0.800541211
-1.363946351
0.115233925
0.506445672
0.698579936
3.696121915
5.553660445
R-Ra
4.009410978
-1.617058211
-2.02996367
-2.440651603
1.149845286
0.957836599
0.966680548
-0.039723638
-0.88411465
1.093925981
0.159877526
0.202895922
0.622350669
-1.440725298
1.315448138
-3.267018957
0.44671683
-0.66921123
-1.03194373
-1.59534887
-0.116168594
0.275043153
0.467177417
3.464719396
(R-Ra)2
16.07537639
2.614877259
4.120752502
5.956780248
1.322144182
0.91745095
0.934471282
0.001577967
0.781658715
1.196674052
0.025560823
0.041166755
0.387320355
2.075689385
1.730403803
10.67341287
0.199555926
0.447843671
1.064907862
2.545138018
0.013495142
0.075648736
0.218254739
12.00428049
65.42444212
Page 55
Dei
Return, Standard deviation, Beta and Alpha of Wipro

Where, Ra = Average
return Ra=
5.553660445/24 =
0.231402519
S.D =
All(R-Ra)2/n-l =
A|65.42444212/
24-1 =
1.686576699
Beta (p) = n (Rm*R)-(IRm)*(IR)/nXRm2-(XRm)2
= 24(38.81952403)
-3.755482701*5.553660445/24*48.22612887-(3.
755482701)2
= 0.796635376
Alpha (a) = Ra-(3*Rm
= 0.231402519 (0.796635376*0.156478445) =
0.106746254
Table 2.15 Summary statement of Return, SD, Beta and Alpha

of IT Sector
LTD
Company
Ra
SD
a
P
0.099891 1.8592608 1.056512 -0.065429
INFOSYS
531
31
045
83
TECHNOLOGIE
TECH S
MAHINDRA
0.491682 2.7298136 1.116165 0.3177383
LTD
379 1.6865766
3
011 0.1067462
57
WIPRO
0.231402
0.796635
519
99
376
54
Figure 2.2 Graph showing Risk, SD, Beta & Alpha of IT
Sector
INFERENCE
All the 3 stocks have high risk when compared to its return.
Investor who concentrates on minimum return with less risk
can invest in Wipro stocks.
Investor who is ready to take high risk at present they can go
for Mahindra because even though it has high risk the
return is also more.
BANKING SECTOR Calculation of Return, Standard

deviation, Beta and Alpha of Banking Sector
and Alpha of ICICI Bank
Closing
R
R-Ra
(R-Ra)2
02-01-12
Price
1026.2
03-01-12
1037.6
1.115766 0.831307 0.6910725
04-01-12
-1.30117
1.693068
51027.1 -1.01672
907
724
32
05-01-12
1006.1 0474
-2.04459 9657
-2.32905 5.4244774
5
06-01-12
0751
03
951.35 1568
-5.44180 -5.72626
32.790101
07-01-12
986.25 499
3.66847 4173
3.384011 11.451536
37
09-01-12
970.85 -1.56147
-1.84592
3.4074553
112
937
79
10-01-12
1026.2 0215
5.701189 9398
5.416730 29.340969
44
11-01-12
679
496
27
1019.5 -0.64802
-0.93248
0.8695208
12-01-12
5
1828
1011
36
1016.3
-0.31386 -0.59832
0.3579905
13-01-12
51010.1 -0.61002
396
3143
83
-0.89448 0.8001038
16-01-12
1.034499 5257
0.750040 0.5625609
51020.6 6074
74
17-01-12
827
644
67
1035.2
1.435430
1.15097 1.3247341
18-01-12
5
139
0956
42
1014.5
-1.99951
-2.28397
5.2165473
19-01-12
-0.75402 -1.03848
1.0784574
51006.9 7025
6208
18
20-01-12
1019.1 888
1.21163
0.927180 0.8596636
8063
57
23-01-12
996.6
-2.20783
-2.49228
6.21150755
9686
503
85
24-01-12
9622
1027.4 0439
3.09552
2.811065 7.902089818
25-01-12
1011.8
-1.51832
-1.80278
3.25002020
5
4784
601
5
27-01-12
51002.5 -0.91910
2059
1242
-1.20356 1.44857538
30-01-12
51003.6 8564
7747
2
0.104732 -0.17972
0.03230152
31-01-12
1004.1 931
0.05480
-0.22965 0.052742096
6252
01-02-12
3.37535 11.3930051
51040.9 3.659811
271
6473
5
02-02-12
2598
1053.1 781
1.17206
0.88760 0.787839896
03-02-12
2638
3455
1091.1 3.60839
3.32393 11.04854444
Total
4265
5082
6.82702
137.9948863
0392
1

DATE
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
R
1.115766
-1.01672
907
-2.04459
0474
-5.44180
1568
3.668471
499
-1.56147
12
5.701189
0215
679
-0.64802
1828
-0.31386
396
-0.61002
1.034499
6074
1.435430
827
-1.99951
139
-0.75402
7025
1.211639
888
686
-2.20783
0439
3.095524
784
-1.51832
2059
-0.91910
8564
0.104732
0.05480
931
3.659811
271
781
1.172062
638
3.608394
265
6.827020
392
Rm
1.092700
-0.89515
977
-0.58235
4568
-3.21204
2081
0.776217
2631
0.560002
531
3.544742
263
887
0.251706
716
0.046060
475
-1.36492
1.055252
891
0.184755
007
-0.66172
832
-0.89090
4824
1.580218
7105
347
-1.47970
7132
1.12851
284
-1.17035
4645
-1.33935
5384
-0.16655
0.915233
191
1.226483
701
925
0.769125
496
2.387548
892
3.755482
701
Rm*R
R2
Rm2
1.219199 1.244935 1.1939954
0.910121
1.03372 0.8013017
589
791
25
1.190672 0522
4.18035 0.3391339
977
01
17.47930
29.6132
10.31721
154
468
46
2.847531
13.4576 0.6025136
962
4155
786
-0.87442
2.43818
0.3136025
595
8036
55
20.20925 9232
32.5035 12.56520
6854
35
156
6376
213
-0.16311
0.41993 0.063356
1446
229
271
-0.01445 0.09851
0.0021215
6723
0585
67
0.832642 0.37213
1.8630309
1.091658 1811
1.07018 1.1135567
224
29
0.26520 2.06045
0.0341347
019
9892
98
1.323130
3.99806
409
9684
17.
0.671769
0.56855 0.793715
051
8333
0.4378797
1.914655 9552
1.46807 2.4970900
687
47
43
262
0729
24
3.266942
4.87451
2.1895331
447
5247
96
3.493339
9.58227 1.273541
465
3688
23
1.776975 2.30530
1.3697299
274
1875
95
1.231013
0.84476 1.7938728
004
0552
45
-0.01744
0.01096
0.0277395
0.050157
0.00300 0.8376527
347
8987
39
4.488700
13.3942 1.5042628
287
3337
27
318
18
0.901463 2227
1.37373 0.5915540
258
0827
29
8.615217 13.0205
5.7003897
729
12
72.70951 0917
139.936 48.226128
612
8947
87
Return, Standard deviation, Beta and Alpha of ICICI Bank

Where, Ra = Average
return Ra =
6.827020392/24 =
0.284459183
S.D =
V2(R-Ra)2/n-l
= Vl
37.9948861/24
-1 =
2.449444357
Beta (P) = n (Rm*R)-(IRm)*(IR)/nIRm2-(XRm)2
= 24(72.70951612) -3.755482701
*6.827020392/24*48.22612887-(3.755482701)2
= 1.503852336
Alpha (a) = Ra-p*Rm
= 0.284459183 (1.503852336*0.156478445) =
0.049138707

Alpha of HDFC BANK
DATE
Closing
02-01-12 Price
2176.1
03-01-12
__
2201.7
04-01-12
2138.4
05-01-12
52114.1
06-01-12
203971
07-01-12
2042.1
09-01-12
2052.2
5
10-01-12
52139
11-01-12
2193.1
12-01-12
2218.2
5
13-01-12
52173.1
16-01-12
52206.5
17-01-12
2206.0
18-01-12
52208.4
19-01-12
2186.3
20-01-12
52214.7
23-01-12
2184.6
5
24-01-12
5
2183.7
25-01-12
52181.5
27-01-12
2149.3
30-01-12
2154.4
31-01-12
52151.6
01-02-12
2164.2
02-02-12
2192.8
R-Ra
1.176416 0.994916
-2.87278
-1.32154
525v
824^
-1.138675 -3.054279
-1.32017
01W
209
1491
-2.601579
825
-2.78307
-0.823175 -1.004674
869
957
0.494576 875
0.313077
174
794
093
4.227067
4.045568
852
2.531556 151
2.350057
1.144472 0.962972
802
101
-2.03313
-2.21463
562
861
1.534638 3928
1.353138
4227
-0.02039
-0.201893
658
957
0.106525
-0.07497
429
991
-0.99846
-1.17996
237
4464
0424
1.298968 0125
1.11746
-1.35906
-1.54056
601
89
9872
9573
-0.04119 -0.22269
653
6231
-0.10303
-0.28453
3772
-1.47604 3473
-1.65754
859
8291
0.239612
0.058113
-0.13228
-0.31378
897
196
4342
0.585610 4043
0.404111
1.321504 007
1.140004
708
482
781
2265.0 3.294874
3.113374
4.355992 433
5Total 134
83
(R-Ra)2
0.989859
9.328625
487
1.742861
252
792
7.733331
1.009371
89
0.098017
604
266
16.36662
167
5.522768
0.927316
379
4.904603
732
1.830985
437
0.040761
037
0.005621
183
1.392305
17
896
1.248736
2.373354
742
611
0.049593
611
0.080959
297
2.747466
338
0.003377
0.098460
144
425
0.163305
1.299610
706
901
9.693100
69.66321
357
593
R2
Rm2
Rm
Date
1.176416525
1.092700977
1.285471486
1.38395584
1.193995425
21-Feb-11
-2.872780124
-0.895154568
2.571582251
8.252865641
0.801301701
22-Feb-ll
-1.138675209
-0.582352081
0.663109878
1.296581232
0.339133946
23-Feb-ll
-2.601579869
-3.212042631
8.356385447
6.768217815
10.31721786
24-Feb-l 1
-0.823175174
0.776217531
-0.638963001
0.677617367
0.602513655
25-Feb-ll
0.494576794
0.560002263
0.276964124
0.244606205
0.313602535
28-Feb-ll
4.227067852
3.544742887
14.9838687
17.86810263
12.56520213
1-Mar-11
2.531556802
0.251706716
0.637209849
6.408779842
0.063356271
3-Mar-ll
1.144472562
0.046060475
0.05271495
1.309817445
0.002121567
4-Mar-ll
-2.033134227
-1.36492891
2.775083684
4.133634785
1.863030929
7-Mar-ll
1.534638658
1.055252007
1.619430524
2.355115811
1.113556798
8-Mar-ll
-0.02039429
0.184755832
-0.003767964
0.000415927
0.034134717
9-Mar-ll
0.106525237
-0.661724824
-0.070490394
0.011347626
0.437879743
10-Mar-ll
-0.998460424
-0.890907105
0.889535486
0.996923218
0.79371547
11-Mar-11
1.298968601
1.580218347
2.052654015
1.687319426
2.497090024
14-Mar-ll
-1.359069872
-1.479707132
2.011025382
1.847070917
2.189533196
15-Mar-ll
-0.04119653
1.12851284
-0.046490813
0.001697154
1.27354123
16-Mar-ll
-0.103033772
-1.170354645
0.120586054
0.010615958
1.369729995
17-Mar-ll
-1.47604859
-1.339355384
1.976953626
2.17871944
1.793872845
18-Mar-ll
0.239612897
-0.16655191
-0.039907986
0.05741434
0.027739539
21-Mar-11
-0.132284342
0.915233701
-0.121071088
0.017499147
0.837652727
22-Mar-ll
0.585610708
1.226483925
0.71824212
0.342939901
1.504262818
23-Mar-ll
1.321504482
0.769125496
1.01640279
1.746374096
0.591554029
24-Mar-l 1
3.294874134
2.387548892
7.866673088
10.85619556
5.700389712
25-Mar-ll
4.35599283
3.755482701
48.95320221
70.45382732
48.2261
Total
Rm*R
28
87
Return, Standard deviation, Beta and Alpha of HDFC

Bank
Where, Ra = Average
return Ra =
4.35599283/24 =
0.181499701
S.D =
V}:(R-Ra)2/n-l
=
A/69.66321593
/24-1 =
1.740354985
Beta (P) = nl (Rm*R)-(XRm)*(IR)/nXRm2-(XRm)2
= 24(48.95320221) 3.755482701*4.35599283/24*48.22612887-(3.755
482701)2
= 1.013289813
Alpha (a) = Ra-p*Rm
= 0.181499701
-(1.013289813*0.156478445) =
0.022941686

and Alpha of Bank of Baroda
DATE
Closing
02-01-12 Price
900.4
03-01-12
902.2
04-01-12
881.65
05-01-12
880.9
06-01-12
838.8
07-01-12
870.05
09-01-12
870.75
10-01-12
891.65
11-01-12
887.5
12-01-12
883.25
13-01-12
895.15
16-01-12
912.4
17-01-12
909.9
18-01-12
909.35
19-01-12
892
20-01-12
905.05
23-01-12
899
24-01-12
911.55
25-01-12
905.15
27-01-12
895.6
30-01-12
890.7
31-01-12
894.9
01-02-12
899.1
02-02-12
903.3
R-Ra
(R-Ra)2
0.059752
-2.417924
517
-0.225226
096
-4.919361
405
3.585401
722
-0.05970
69
2.260071
3488
053
-0.60558
-0.61903
7894
1873
1.207138
1.786892
281
698
-0.41416
-0.20060
1264
4837
-2.04811
4866
1.322845
85
-0.80862
1.255836
9989
-0.84225
917
9451
-1.19523
2379
-0.68727
7884
0.331380
605
0.329167
0.326975
548
166
2.577653
831
0.003570
5.846356
363
0.050726
935
24.20011
933
12.85510
975
0.003564
528
5.107921
506
165
0.366736
0.383200
698
46
1.457182
3.192985
829
515
0.171529
0.040242
553
301
4.194774
506
1.749921
144
0.653882
1.577126
459
0.709400
361
983
1.428580
439
0.472350
889
0.109813
105
0.108351
0.106912
274
759
6.644299
71.43465
275
548
0.199911
-2.27776
151
-0.085067
5462
-4.77920
771
3.725560
3088
0.080455
324
2.400229
146
687
-0.46542
-0.47887
926
3239
1.347296
1.927051
915
332
-0.27400
-0.06044
263
6203
-1.90795
6232
1.463004
484
-0.66847
1.395995
1355
-0.70210
551
0817
-1.05507
3745
-0.54711
925
0.471539
239
0.469326
0.46713
182
38
927.85 2.717812
Total 465
3.363807
223

02-01-12
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
03-02-12
R
0.199911
-2.27776
151
-0.08506
5462
-4.77920
7771
3088
3.725560
0.080455
324
2.400229
146
-0.46542
687
926
-0.47887
1.347296
3239
1.927051
915
332
-0.27400
-0.06044
263
-1.90795
6203
1.463004
6232
-0.66847
484
1.395995
1355
551
-0.70210
0817
-1.05507
3745
-0.54711
925
0.471539
239
0.469326
0.46713
182
38
2.717812
3.363807
465
223
Rm
1.092700
-0.89515
977
-0.58235
4568
-3.21204
2081
2631
0.776217
0.560002
531
3.544742
263
0.251706
887
716
0.046060
-1.36492
475
1.055252
891
007
0.184755
-0.66172
832
-0.89090
4824
1.580218
7105
-1.47970
347
1.12851
7132
284
-1.17035
4645
-1.33935
5384
-0.16655
191
0.915233
701
1.226483
0.769125
925
496
2.387548
3.755482
892
701
Rm*R
0.218443
2.038952
11
0.049539
158
15.35100
393
406
2.891845
0.045055
236
8.508197
064
-0.11715
11
1671
-0.02205
-1.83896
7129
2.033524
451
786
-0.05062
0.039998
3584
1.699811
753
2.311866
763
0.989141
527
1.575398
832
904
0.821706
952
1.413118
701
0.091123
756
0.431568
603
0.575621
0.359284
018
516
6.488910
45.90531
139
549
R2
0.03996
5.18821
4468
0.00723
55
22.8407
6526
8216
13.8797
0.00647
9973
5.76110
3031
0.21662
255
4396
0.22931
1.81520
9579
3.71352
8977
6836
0.07507
0.00365
7441
3.64029
3743
2.14038
6983
0.44685
212
1.94880
3952
3578
0.49294
5557
1.11318
0607
0.29933
9474
0.22234
9254
0.22026
0.21821
7065
3987
7.38650
71.9061
4595
2211
Rm2
1.1939954
0.8013017
25
0.3391339
01
10.31721
46
786
0.6025136
0.3136025
55
12.56520
35
0.0633562
213
71
0.0021215
1.863030
67
1.113556
929
798
0.034134
0.437879
717
0.793715
743
2.4970900
47
2.1895331
24
1.273541
96
23
1.3697299
95
1.7938728
45
0.0277395
39
0.8376527
27
1.5042628
0.5915540
18
29
5.7003897
48.226128
12
87
Where, Ra = Average
return Ra =
3.363807223/24 =
0.140158634
S.D = ^(R-Ra)2/n-l
= A|7
1.43465548/24-1 =
1.762343493
Beta (p) = nl (Rm*R)-(IRm)*(i:R)/nIRm2-(IRm)2
=
24(45.90531549)-3.755482701*3.363807223/24
*48.22612887(3.7 5 5482701)2
= 0.952569335
Alpha(a)=Ra-(3*Rm
= 0.140158634 (0.952569335*0.156478445)
= -0.008897934
Page 66
Page 66
FMCG SECTOR
Calculation of Return, Standard deviation, Beta and Alpha of
FMCG Sector
Alpha of ITC
Date
Closing
R
R-Ra
(R-Ra)2
02-01-12
Price
155.75
02-01-12
158.2
1.573033
1.005087
1.01020
03-01-12
156.7
-0.948166
-1.516113
2.298600
708
086
005
04-01-12
155.6
-0.701978 -1.269924
1.612709
877
499
143
05-01-12
302
150.65
-3.181233 924
-3.749180 314
14.05635
06-01-12
156.3
3.750414
3.182468 10.12810
933
555
484
07-01-12
869
247
414
169
8.125399
7.557453 57.11509
09-01-12
173.6
2.7218934
2.153946
4.639487
872
25
963
10-01-12
173.55
-0.028801
-0.596748
0.356108
91
869
115
11-01-12
843
465
731
172.4
-0.662633
-1.230579
1.514326
12-01-12
172.65
0.145011
-0.422935 0.178874
247
869
814
13-01-12
171.95
-0.405444
-0.973391 0.947490
601
021
032
16-01-12
171.75
-0.116312
-0.684259
0.468211
541
163
356
17-01-12
171.3
-0.262008 504
-0.829955 068
0.68882
882
18-01-12
734
356
5892
171.35
0.029188
-0.538758 0.290260
19-01-12
558
064
251
173.45
1.225561
0.657615 0.43245
20-01-12
716
094
7612
170.1
-1.931392
-2.499338
6.24669
23-01-12
332
954
171.2
0.646678
0.078731 5207
0.00619
24-01-12
424
802
8697
168.05
-1.839953
-2.407899
5.79798
25-01-12
167.95
-0.059506
-0.627452
0.39369
271
893
1895
27-01-12
167.9
-0.029770
-0.59771
0.35726
099
721
6918
30-01-12
765
7387
6075
170.05
1.280524
0.71257 0.50776
31-01-12
171.95
1.117318
0.549371
0.30180
122
75
6693
01-02-12
436
814
939
173
0.610642
0.042696 0.00182
02-02-12
629
007
2949
177.45
2.572254
2.004307
4.01724
Total
335
713
9409
13.63071
113.367
893
5972
02-01-2012
03-01-2012
04-01-2012
05-01-2012
06-01-2012
07-01-2012
09-01-2012
10-01-2012
11-01-2012
12-01-2012
13-01-2012
16-01-2012
17-01-2012
18-01-2012
19-01-2012
20-01-2012
23-01-2012
24-01-2012
25-01-2012
27-01-2012
30-01-2012
31-01-2012
01-02-2012
02-02-2012
03-02-2012
R
1.573033
708
-0.94816
-0.70197
6877
8302
-3.18123
3.750414
3933
869
8.125399
2.721893
872
-0.02880
491
-0.66263
1843
3247
0.145011
-0.40544
601
4541
-0.11631
-0.26200
2882
0.029188
8734
1.225561
558
716
-1.93139
0.646678
2332
424
-1.83995
3271
-0.05950
6099
-0.02977
1.280524
0765
1.117318
122
436
0.610642
2.572254
629
335
13.63071
893
Rm
1.092700
977
-0.89515
-0.58235
4568
2081
-3.21204
0.776217
2631
531
0.560002
3.544742
263
0.251706
887
0.046060
716
475
-1.36492
1.055252
891
007
0.184755
-0.66172
832
-0.89090
4824
1.580218
7105
347
-1.47970
1.12851
7132
284
-1.17035
4645
-1.33935
5384
-0.16655
0.915233
191
1.226483
701
925
0.769125
2.387548
496
892
3.755482
701
Rm*R
Rm2
R2
1.718855 2.474435 1.19399
47
047
5425
0.848755
0.899020
0.80130
0.408798 427
0.492773 0.33913
911
1701
525
3946
10.21825 536
10.12024 10.3172
2.91113 934
14.06561 0.60251
901
1786
777
169
3655
4.550242
66.02212
0.31360
9.648412 308
7.408704 12.5652
316
2535
-0.00724
0.000829
0.06335
591
176
0213
-0.03052
0.43908 0.00212
9617
546
6271
1202
282
1567
-0.19793 0.02102
1.863030
-0.42784
0.16438 1.113556
0526
8364
929
6166
798
-0.02148 5276
0.01352 0.03413
0.173377 0.06864
0.43787
9483
8687
4717
-0.02600
0.00085 0.79371
683
8577
9743
1.936655 1972
1.50200 2.49709
4294
547
109
152
0024
2.857895
3.73027
2.189533
0.729784 0.41819
1.27354
008
634
196
905
2984
123
2.153397
3.38542
1.369729
857
995
0.079699 8039
0.00354 1.793872
814
845
0.004958 0976
0.00088 0.027739
1.171978 6298
1.63974 0.837652
378
539
1.370373
1.24840
1.504262
831
2027
727
101
0487
818
0.469660
0.37288 0.591554
6.141382
6.61649
5.700389
815
442
029
987
712
46.6825 2364
121.109 48.22612
848
118
887
Return, Standard deviation, Beta and Alpha of ITC

Where, Ra = Average
return Ra=
13.63071893/24 =
0.567946622
S.D =
V(R-Ra)2/n-l
= Vl
13.3675972/24
-1 =
2.220140979
Beta (p) = n (Rm*R)-(XRm)*(R)/nRrn2-(IRm)2
= 24(46.6825848) - 3.755482701 *
13.63071893/24*48.22612887-(3.755482701)2
= 0.935161534
Alpha (a) = Ra-p*Rm
= 0.567946622 (0.935161534*0.156478445) =
0.421613999

and Alpha of P&G
DATE
Closing
02-01-12 Price
1596.6
03-01-12
51567.1
04-01-12
1560.3
05-01-12
1568.2
06-01-12
51522.9
07-01-12
1563.2
09-01-12
1648.1
10-01-12
51725.1
11-01-12
5
1701.5
12-01-12
1697.3
5
13-01-12
51686.6
16-01-12
1688.7
17-01-12
51653.4
18-01-12
51786.7
19-01-12
1804
20-01-12
1772.8
23-01-12
1760.1
24-01-12
1763.1
25-01-12
1759.6
27-01-12
1767
30-01-12
1736.8
31-01-12
1747.3
5
01-02-12
51775.9
02-02-12
1787.7
5
-1.85075
-0.43392
0008
0.50951
2532
74
-2.89175
2.646266
8329
5.434365
991
4.671904
404
863
-1.36799
-0.24683
6986
-0.63334
3769
0.127475
0207
-2.09030
394
8.058907
3479
0.968265
134
517
-1.72949
-0.71638
0022
0866
0.170444
861
-0.19851
0.420550
3981
-1.70628
125
0.604542
1834
707
1.636764
0.664433
243
51783.2 -0.25450
12
Total 9859
11.79335
589
R-Ra
(R-Ra)2
-2.34213 5.485619
-0.92531
0.856202
9837
015
0.018127 0.000328
2361
966
571
609
-3.38314
11.44569
2.154877 4.643495
8158
146
4.942975 582
24.43300
162
4.180515 754
17.47670
575
034
595
-1.85938
3.457319
-0.73822
0.544974
6815
327
-1.12473
1.265017
3598
081
-0.36391 0.132433
0036
653
-2.58169
6.665140
4435
716
7.567517 336
57.26731
3308
0.476875
0.227410
305
815
688
422
-2.22087
4.932307
-1.20777 313
1.458710
9851
0695
053
-0.32094
0.103005
4968
672
-0.68990 0.475967
-0.07083
0.005018
381
267
-2.19767
4.829760
9704
264
0.113152 737
0.012803
1663
878
1.145374 574
1.311882
0.173043
0.029943
414
548
291
981
-0.74589
0.556366
9688
344
147.616
4306

Date
02-01-12
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
R
-1.85075
-0.43392
0008
0.50951
2532
-2.89175
74
8329
2.646266
991
5.434365
4.671904
404
-1.36799
863
-0.24683
6986
-0.63334
3769
0.127475
0207
-2.09030
394
3479
8.058907
134
0.968265
-1.72949
517
0022
-0.71638
0.170444
0866
861
-0.19851
3981
0.420550
125
-1.70628
1834
0.604542
1.636764
707
243
0.66443
-0.25450
312
11.79335
9859
589
Rm
1.092700
-0.89515
977
-0.58235
4568
-3.21204
2081
2631
0.776217
531
0.560002
3.544742
263
0.251706
887
0.046060
716
-1.36492
475
1.055252
891
0.184755
007
832
-0.66172
4824
-0.89090
1.580218
7105
347
-1.47970
1.12851
7132
284
-1.17035
4645
-1.33935
5384
-0.16655
191
0.915233
1.226483
701
925
0.769125
2.387548
496
3.755482
892
701
Rm*R
-2.02231
0.388427
6342
-0.29671
737
9.288451
8518
031
2.054078
83
3.043256
16.56070
924
-0.34433
153
-0.01136
4029
0.864464
9281
0.134518
358
-0.38619
665
5758
-5.33277
8905
-0.86263
-2.73297
4629
1864
1.060033
0.192349
877
214
0.23233
176
-0.56326
6074
0.284184
498
0.553297
2.007465
859
033
0.511032
-0.60765
453
24.01435
4732
364
Rm2
R2
3.42527 1.193995
0.18828 0.8013017
5592
425
0.259607 0.3391339
8764
01
8.36226 10.31721
981
46
6233
786
7.00272
0.6025136
8988
55
29.5323
0.3136025
21.8266
12.56520
2734
35
1.87141 0.063356
9505
213
0.06092 0.002121
5754
271
0.40111
1.8630309
691
567
0.01624
1.1135567
9818
29
4.36936
0.0341347
9976
98
8634
17
64.9459 0.437879
8419
743
0.93753
0.793715
2.99113
2.4970900
8111
47
5736
24
0.51320 2.1895331
0.02905
1.273541
1545
96
1451
23
0.03940 1.3697299
7801
95
0.17686
1.7938728
2408
45
2.91139
0.0277395
7697
39
0.36547 0.8376527
2.67899
1.5042628
1885
27
7187
18
0.44147 0.5915540
0.06477
5.7003897
1371
29
153.411 48.226128
5268
12
5657
87
Return, Standard deviation, Beta and Alpha of P&G

Where, Ra = Average
return Ra=
11.79335589/24 =
0.491389829
S.D =
Vl(R-Ra)2/n-l =
Vl47.6164306/2
4-1 =
2.53339805
Beta (p) = n (Rm*R)-(Rm)*(R)/nXRm2-(IRm)2
=
24(24.01435364)-3.755482701*11.79335589/24*48.
22612887-(3.755482701)2
= 0.465358028
Alpha (a) = Ra-p*Rm
= 0.491389829 (0.465358028*0.156478445) =
0.418571328

and Alpha of Agro Tech Food Limited (ATFL)
02-01-12 Closing
02-01-12 Price
300.75
03-01-12
308.5
04-01-12
316.65
05-01-12
320
06-01-12
303.75
07-01-12
306.05
09-01-12
300.1
10-01-12
306.2
11-01-12
307.6
12-01-12
319.45
13-01-12
312.75
16-01-12
309.1
17-01-12
310.85
18-01-12
315
19-01-12
327.45
20-01-12
316.3
23-01-12
322.3
24-01-12
339.15
25-01-12
330.3
27-01-12
333.65
30-01-12
333.15
31-01-12
340.1
01-02-12
341.35
02-02-12
357.8
349.5
Total
R
2.576891
106
2.641815
1.057950
235
-5.0781
418
0.757201
25
-1.94412
646
2.032655
6777
781
0.457217
3.852405
505
722
-2.09735
-1.16706
4829
6347
0.566159
1.335049
819
059
3.952380
952
-3.40510
1.896933
0015
5.228048
291
-2.60946
402
4839
1.014229
488
-0.14985
7635
2.086147
381
0.367538
959
4.819100
63
-2.31973
1694
15.87089
826
R-Ra
(R-Ra)2
1.915603 3.669537
678
45
1.980527
3.922490
0.396662 394
0.157341
807
-5.73941
32.94085
99
528
0.095914 0.009199
2428
502
-2.60541
6.788183
218
537
1.371368 178
1.880651
4205
353
161
-0.204069
0.041644
3.191118 534
10.18323
923
294
596
-2.75864
7.61010
-1.82835 3.342877
2257
71
3775
526
-0.09512
0.009049
0.673761 262
0.453954
7609
631
735
3.291093
10.83129
524
659
-4.06638
16.53550
1.235645 684
1.526820
7443
4.566760
20.85530
863
699
-3.27075
10.69782
974
579
2267
039
0.352942 0.124568
06
098
-0.81114
0.657956
5063
1.424859 314
2.030225
953
886
-0.29374
0.086288
8469
4.157813 163
17.28741
202
062
-2.98101
8.886475
9122
004
160.5288
018

DATE
02-01-12
03-01-12
04-01-12
05-01-12
06-01-12
07-01-12
09-01-12
10-01-12
11-01-12
12-01-12
13-01-12
16-01-12
17-01-12
18-01-12
19-01-12
20-01-12
23-01-12
24-01-12
25-01-12
27-01-12
30-01-12
31-01-12
01-02-12
02-02-12
R
2.576891
2.641815
106
1.057950
235
418
-5.0781
0.757201
25
646
-1.94412
2.032655
6777
0.457217
781
505
3.852405
-2.09735
722
-1.16706
4829
6347
0.566159
1.335049
819
059
3.952380
-3.40510
952
1.896933
0015
5.228048
291
-2.60946
402
4839
1.014229
488
-0.14985
7635
2.086147
381
0.367538
959
4.81910
-2.31973
063
15.87089
1694
826
Rm
1.092700
-0.89515
977
-0.58235
4568
2081
-3.21204
0.776217
2631
531
0.560002
3.544742
263
0.251706
887
716
0.046060
-1.36492
475
1.055252
891
007
0.184755
-0.66172
832
4824
-0.89090
1.580218
7105
-1.47970
347
1.12851
7132
-1.17035
284
4645
-1.33935
5384
-0.16655
191
0.915233
701
1.226483
925
0.769125
2.387548
496
3.755482
892
701
Rm*R
2.815771
-2.36483
429
-0.61609
2975
9628
16.31115
0.587753
399
192
-1.08871
7.205242
5395
0.115084
121
717
0.177443
2.862740
637
-1.23154
241
9105
0.104601
-0.88343
328
5104
-3.52120
-5.38080
4272
-2.80690
1517
5.89991
572
3.053999
975
295
-1.35841
3725
0.024959
075
1.909312
388
0.450780
625
3.706493
-5.53847
162
20.43482
2836
467
R2
6.64036
6.97918
7772
1.11925
7736
9087
25.7873
0.57335
5352
4333
3.77962
4.13168
8925
0.20904
9524
7847
14.8410
4.39889
2985
1.36204
7279
3858
0.32053
1.78235
6941
599
15.6213
11.5947
1519
3.59835
0611
27.3324
5911
6.80930
9009
6746
1.02866
1454
0.02245
7311
4.35201
0895
0.13508
4886
23.2237
5.38115
3088
171.024
5132
0273
Rm2
1.193995
0.8013017
425
0.3391339
01
46
10.31721
0.602513
786
655
0.313602
12.56520
535
0.063356
213
271
0.002121
1.8630309
567
1.1135567
29
98
0.0341347
0.4378797
17
43
0.793715
2.4970900
47
2.1895331
24
1.273541
96
1.3697299
23
95
1.7938728
45
0.0277395
39
0.8376527
27
1.5042628
18
0.5915540
5.7003897
29
48.226128
12
87
Return, Standard deviation, Beta and Alpha of Agro Tech

Food Ltd
Where, Ra = Average
return Ra=
15.87089826/24 =
0.661287428
S.D =
Vl(R-Ra)2/n-l =
Vl60.5288018/2
4-l =
2.641876818
Beta (P) = n (Rm*R)-(Rm)*(XR)/nIRm2-(IRm)2
= 24(20.43482467) - 3.755482701
*15.87089826/24*48.22612887-(3.755482701)2
= 0.376825045
Alpha (a) = Ra-p*Rm
= 0.661287428 (0.376825045*0.156478445) =
0.432424831
SD
Company
Ra
P
a
ITC
0.5679466 2.220140 0.935161 0.421613
22
979
534
999
P&G
0.4913898
2.533398
0.465358
0.418571
29
05
028
328
2.641876
0.376825
0.432424
AGRO TECH 0.6612874
28
818
045
831
FOOD
LTD(ATFL)
Table 2.29 Summary statement of Return, SD, Beta and
Alpha of FMCG Sector
Figure 2.4 Graph showing Risk, SD, Beta & Alpha of

FMCG Sector.
INFERENCE
ATFL return is more when compared to the stocks of

other two companies and even risk is more in these
companies stocks.
Investors who want more return with less risk can go
for ITC because both risk and return is neither high nor
low.
If the investor is risk taker, he can invest in ATFL since it
is yielding
more return with more risk.
Table 2.30 Summary Statement of Return, Standard

deviation, Beta and Alpha
Company
Ra Bangalore
SD
Department of Management
Studies, SalT,
e 78
ACC
0.226951
121
Grasim
0.330998
503
India Cement 0.086812
989
ICICI
0.284459
183
Bank of
0.140158
Baroda
634
HDFC
0.181499
701
Infosys 0.099891
Technologies 531
Ltd
Wipro
0.231402
519
Tech
0.491682
Mahindra
379
ITC
0.567946
622
P&G
0.491389
829
Agro Tech
0.661287
Food Ltd
428
1.074676
557
1.027382
258
2.026067
583
2.449444
357
1.762343
493
1.740354
985
1.859260
831
1.686576
699
2.729813
63
2.220140
979
2.533398
05
2.641876
818
0.401169
706
0.420265
52
0.979522
797
1.503852
336
0.952569
335
1.013289
813
1.056512
045
0.164176709
Pag
0.796635
376
1.116165
011
0.935161
534
0.465358
028
0.376825
045
0.265236007
-0.066461215
0.049138707
-0.008897934
0.022941686
-0.06542983
0.106746254
0.317738357
0.421613999
0.418571328
0.432424831
GRAP SHOWING BETA, SD, RISK & ALPHA OF ALL
SECTOPRS
INFERENCE
Compared to all the companies ATFL, P&G, ITC, Tech
Mahindra is yielding more returns than other companies.
Tech Mahindra, ATFL, P&G, ICICI has more standard

deviation that means it signifies more risk associated
with this stock.
Negative Alpha in India Cements, Bank of Baroda, and
Infosys Technologies Ltd is not a good sign. Alpha
indicates that individual return is independent of the
market return.
ATFL, P&G, Tech Mahindra yields good return with high
risk compared to all the other securities.
When compared to the other sectors FMCG sector is

doing well from the return point of view.
Table 2.31 Construction of Portfolio

P
oei2
Ra
Ri-Rf
Ri-Rf/p
(Bet
(unsystem (excess
(mean
(exce
a)
atic
return)
ss
return
Risk) 0.42862439
retur 0.4011697 1.1549297
to beta)
ACC
0.2269511 0.1719511
Grasim
0.3309985
0.275998
0.420265
0.65672411
21
21n)
06 1.0555143
02
1
0.031812
0.9795227
4.1049498
0.0324780
03
503
52
04
8
ICICI
0.2844591
0.229459
1.5038523
5.9997776
0.1525809
89
989
97
51
49
BankofBarod 0.1401586
0.085158
0.9525693
3.1058545
0.08939888
83
183
36
58
27
HDFC
0.1814997
0.126499
1.0132898
3.0288354
0.12484059
a
34
634
35
87
2
Infosys
0.0998915
0.044891
1.0565120
0.04249031
01
701
13 3.4568508
74
3
Technologies
31
45 2.8445409
38
6
Ltd Wipro
0.2314025 531
0.176402 0.7966353
0.22143445
Tech
0.4916823 519
0.436682 1.1161650
0.3912346
19
76 7.4518824
62
3
ITC
0.5679466
0.512946
0.9351615
4.9290259
0.54851125
Mahindra
79
379
11
55
07
P&G
0.4913898
0.436389
0.4653580
6.4181056
0.93775072
22
622
34
67
Agro Tech
0.6612874
0.606287
0.3768250
6.9795131
1.60893612
29
829
28
8
7
Food Ltd
28
428
45
21
6
Where Rf=0.055
After calculating excess return to beta, arrange excess return to
beta in the descending order. And then calculate the cut-off
point using following formula:Company
Table 2.32 Calculation of Cut-Off point to Construct Portfolio

Cumulative
(Ri-Rf)*p
ceP
P2/ceP
Cumulative
p2/oeP
Ci
Agro
1.608936126 0.032733557
Tech
Food
Ltd
P&G 0.937750727 0.031641347
0.032733557
0.020344845
0.020344845
0.065057531
0.064374904
0.033741746
0.054086591
0.119903429
Grasim 0.656724118 0.109892072
0.174266977
0.167333694
0.221420285
0.24745983
0.54851125 0.097319015
0.271585991
0.177423917
0.398844202
0.308043838
ACC 0.428624391 0.059727948
0.331313939
0.13934799
0.538192192
0.324500975
Tech 0.391234607 0.065407579

Mahindr
a
Wipro 0.221434453 0.04940287
0.396721518
0.167182499
0.705374691
0.333890728
0.446124388
0.223103809
0.9284785
0.316112969
ICICI 0.152580927 0.057514253
0.503638641
0.37694261
1.30542111
0.281641789
HDFC 0.124840593 0.042320179
0.545958819
0.338993733
1.644414843
0.256653929
0.089398882 0.026118255
0.572077075
0.29215416
1.936569003
0.236456846
0.042490316 0.01372013
0.585797205
0.322900164
2.259469167
0.213617456
Compan
y
Ri-Rf/p
(Ri-Rf)*P
cep
ITC
Bank
of
Baro
da
Infosys
Technologies
Ltd
In
dia
Cem
ent
0.03247 0.00759121 0.5933884

8049
3
18
0.2337 2.4932028 0.199390

3365
17
879
The highest Ci value is taken as the cut-off point. The stocks that have
high excess return to beta than the cut-off Ci and all the stocks ranked
below cut-off low excess return to beta. Here the cut-off rate is
0.333890728; hence first 6 stocks are selected.
After percentage of funds to be invested in each security

can be estimated by using following formula:Y.2.
Table 2.33 Proportion of Investments to be made in each
Company Security
Company
Agro Tech Food
Ltd
P&G
Grasim
ITC
ACC
Tech Mahindra
X(proportion of
investment)
0.212877388
0.135396008
0.397491034
0.125917481
0.101757438
0.026560652
X(proportion of investment)
Tech
Mahindra
3%
Figure 2.6 Pie chart showing the proportion of investment in

selected securities
Table 2.30 Summary Statement of

Return, Standard deviation, Beta
and Alpha
Company
ACC
Ra
0.226951
121
Grasim
0.330998
503
989
ICICI
0.284459
183
Bank of
0.140158
Baroda
634
HDFC
0.181499
701
Infosys 0.099891
Technologies 531
Ltd
Wipro
0.231402
519
Tech
0.491682
Mahindra
379
ITC
0.567946
622
P&G
0.491389
829
Agro Tech
0.661287
Food Ltd
428
SD
1.074676
557
1.027382
258
2.026067
583
2.449444
357
1.762343
493
1.740354
985
1.859260
831
0.401169
706
0.420265
52
0.979522
797
1.503852
336
0.952569
335
1.013289
813
1.056512
045
0.164176709
1.686576
699
2.729813
63
2.220140
979
2.533398
05
2.641876
818
0.796635
376
1.116165
011
0.935161
534
0.465358
028
0.376825
045
0.265236007
-0.066461215
0.049138707
-0.008897934
0.022941686
-0.06542983
0.106746254
0.317738357
0.421613999
0.418571328
0.432424831

Department of Management Studies Sait Bangalore

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Table 2.2 Calculation of Return,