Professional Documents
Culture Documents
ON
CONTENTS
2
CHAPTER NO.
DESCRIPTION
1.
INTRODUCTION TO TOPIC
2.
REVIEW OF LITERATURE
RESEARCH METHODOLOGY
a. Data sources
b. Research design
c. Data collection
d. Need of study
e. Objectives of study
f. Scope of study
g. Limitations of study
CHAPTER -1
INTRODUCTION
STATEMENT OF PROBLEM
The problem undertaken to study in the present project work is to calculate returns and
risk associated with different stocks listed on NSE Stock Exchange. Returns and Risk are
calculated to study the price movements in the stock market. After doing this project one
can make decisions regarding the investment in which company one can expect
INTRODUCTION
Investment is the employment of funds with the aim of achieving additional income or
growth in value. The essential quality of an investment is that it involves waiting for a
reward. It involves the commitment of resources which have been saved or put away
from current consumption in the hope that some benefits will accrue in future. The term
Investment does not appear to be as simple as it has been defined. Investment has been
further categorized by financial experts and economists. It has also often been confused
with the term speculation. The following discussion will give an explanation of the
various ways in which investment is related or differentiated from the financial and
economic sense and how speculation differs from investment. However, it must be
clearly established that investment involves long-term commitment.
RETURNS:
A major purpose of investment is to set a return of income on the funds invested. On a
bond an investor expects to receive interest. On a stock, dividends may be anticipated.
The investor may expect capital gains from some investments and rental income from
house property.
RISK:
In the investing world, the dictionary definition of risk is the chance that an
investments actual return will be different than expected. Technically, this is measured
in statistics by Standard Deviation. Risk means you have the possibility of losing some,
or even all, of our original investment.
2.
corporate and the investor. They cannot be avoided by the investor. It is sub-divided
into.
a)
Market risk
b)
c)
technological changes, consumer preferences, labour problems etc. The magnitude and
nature differs from firm to firm, industry to industry.
It can be classified into 2 types
1)
Business risk
Internal risk
Fluctuations in sales
Personal management
2)
Financial risk
It is associated with the capital structure of the company.
RETURNS
6
Estimated Yield
Cash Income
b)
Actual Yield
--------------------Amount Invested
The yield that is calculated is for a particular period to find out the return on the amount
that is invested. For example, the annual yield on the Unit Trust Certificate is the
dividend income divided by the amount invested.
7
measures that total return per rupee of the original investment, and (b) through this
method, comparisons can be drawn of any assets expected return. An asset can be
compared with other both historically and for future periods.
The holding period yield can be used for any asset. For example, returns from savings
accounts, stocks money, real estate and bonds can be compared through this measure.
The formula for the holding period yield is:
Income payments received during the year in Rs. + Capital change for the period in Rs.
Price in rupees of original investment at the beginning of period
A look at this formula shows that the Holding Period Yield (HPY) considers
everything the investor receives over the specified period during which the asset is held
relative to what was originally invested in the assets. It also considers all income
payments; and positive and negative capital changes during the period. These are then
measured relative to the original investment in rupees. The HPY also measures past
receipts of payments as well as for an unknown future. It is useful for comparing any
time period, it can be used on both Bond and Stocks.
Measure of Dispersion
Dispersion methods help to assess risk in receiving a reward or return on investment.
The greater the potential dispersion, the greater the risk. One of the simplest methods in
calculating dispersion is range. The range, however, has limited importance. It is useful
when there are small samples. It loses its effectiveness when the number of values in a
sample increases. The best and most effective method to find out how the data scattered
around a frequency distribution is to use the standard deviation method. This method is
related to the mean deviation and implies in this case the means as a point of reference
from which deviation occurs. The standard deviation is based on mean and it cannot
show any result without first finding out the mean. The standard deviation is recognized
by the following symbol. The standard deviation is also related to variance. Variance
is the square of standard deviation. In other words, standard deviation is the square root
of the variance. This relationship shows that they have similar statistical characteristics.
Therefore, standard deviation and variance are considered equivalent to each other as
measures of risk. For a security analyst they help in depicting dispersion of HPYs around
HPY.
There are 22 stock exchanges in India, the first being the Bombay Stock Exchange
(BSE), which began formal trading in 1875, making it one of the oldest in Asia. Over the
last few years, there has been a rapid change in the Indian securities market, especially in
the secondary market. Advanced technology and online-based transactions have
modernized the stock exchanges. In terms of the number of companies listed and total
market capitalization, the Indian equity market is considered large relative to the
countrys stage of economic development. The number of listed companies increased
from 5,968 in March 1990 to about 10,000 by May 1998 and market capitalization has
grown almost 11 times during the same period.
The debt market, however, is almost non-existent in India even though there has
been a large volume of Government bonds traded. Banks and financial institutions have
been holding a substantial part of these bonds as statutory liquidity requirement. The
portfolio restrictions on financial institutions statutory liquidity requirement are still in
place. A primary auction market for Government securities has been created and a
primary dealer system was introduced in 1995. There are six authorized primary dealers.
Currently, there are 31 mutual funds, out of which 21 are in the private sector. Mutual
funds were opened to the private sector in 1992. Earlier, in 1987, banks were allowed to
enter this business, breaking the monopoly of the Unit Trust of India (UTI), which
maintains a dominant position. Before 1992, many factors obstructed the expansion of
equity trading. Fresh capital issues were controlled through the Capital Issues Control
Act. Trading practices were not transparent, and there was a large amount of insider
trading. Recognizing the importance of increasing investor protection, several measures
were enacted to improve the fairness of the capital market. The Securities and Exchange
Board of India (SEBI) was established in 1988. Despite the rules it set, problems
continued to exist, including those relating to disclosure criteria, lack of Brokers, capital
adequacy, and poor regulation of merchant bankers and underwriters. There have been
significant reforms in the regulation of the securities market since 1992 in conjunction
with overall economic and financial reforms. In 1992, the SEBI Act was enacted giving
SEBI statutory status as an apex regulatory body. And a series of reforms was introduced
to improve investor protection, automation of stock trading, integration of national
markets, and efficiency of market operations. India has seen a tremendous change in the
secondary market for equity. Its equity market will most likely be comparable with the
worlds most advanced secondary markets within a year or two. The key ingredients that
underlie market quality in Indias equity market are:
No counterparty risk.
10
Among the processes that have already started and are soon to be fully
implemented are electronic settlement trade and exchange-traded derivatives.
Before 1995, markets in India used open outcry, a trading process in which traders
shouted and hand signaled from within a pit. One major policy initiated by SEBI from
1993 involved the shift of all exchanges to screen-based trading, motivated primarily by
the need for greater transparency. The first exchange to be based on an open electronic
limit order book was the National Stock Exchange (NSE), which started trading debt
instruments in June 1994 and equity in November 1994. In March 1995, BSE shifted
from open outcry to a limit order book market. Currently, 17 of Indias stock exchanges
have adopted open electronic limit order. Before 1994, Indias stock markets were
dominated by BSE in other parts of the country.
Recent Developments and Policy Issues.
Financial industry did not have equal access to markets and was unable to
participate in forming prices, compared with market participants in Mumbai (Bombay).
As a result, the prices in markets outside Mumbai were often different from prices in
Mumbai. These pricing errors limited order flow to these markets.
Explicit nationwide connectivity and implicit movement toward one national
market has changed this situation. NSE has established satellite communications which
give all trading members of NSE equal access to the market. Similarly, BSE and the
Delhi Stock Exchange are both expanding the number of trading terminals located all
over the country. The arbitrages are eliminating pricing discrepancies between markets.
The Indian capital market still faces many challenges if it is to promote more efficient
allocation and mobilization of capital in the economy.
Firstly, market infrastructure has to be improved as it hinders the efficient flow of
information and effective corporate governance. Accounting standards will have to adapt
to internationally accept accounting practices. The court system and legal mechanism
should be enhanced to better protect small shareholders rights and their capacity to
monitor corporate activities.
11
PRIMARY MARKET
Since 1991/92, the primary market has grown fast as a result of the removal of
investment restrictions in the overall economy and a repeal of the restrictions imposed by
the Capital Issues Control Act. In 1991/92, Rs62.15 billion was raised in the primary
market. This figure rose to Rs276.21 billion in 1994/95. Since 1995/1996, however,
smaller amounts have been raised due to the overall downtrend in the market and tighter
entry barriers introduced by SEBI for investor protection .SEBI has taken several
measures to improve the integrity of the secondary market. Legislative and regulatory
changes have facilitated the corporatization of stockbrokers. Capital adequacy norms
have been prescribed and are being enforced. A mark-to-market margin and intraday
trading limit have also been imposed. Further, the stock exchanges have put in place
circuit breakers, which are applied in times of excessive volatility. The disclosure of short
sales and long purchases is now required at the end of the day to reduce price volatility
and further enhance the integrity of the secondary market.
MARK-TO-MARKET MARGIN AND INTRADAY LIMIT
Under the current clearing and settlement system, if an Indian investor buys and
subsequently sells the same number of shares of stock during a settlement period, or sells
and subsequently buys, it is not necessary to take or deliver the shares. The difference
between the selling and buying prices can be paid or received. In other words, the
squaring-off of the trading position during the same settlement period results in non
delivery of the shares that the investor traded.
Thus, possible at a relatively low cost. FIIs and domestic institutional investors are,
however, not permitted to trade without delivery, since no delivery transactions are
limited only to individual investors. One of SEBIs primary concerns is the risk of
settlement chaos that may be caused by an increasing number of no delivery transactions
as the stock market becomes excessively speculative.
Accordingly, SEBI has introduced a daily mark-to-market margin and intraday
trading limit. The daily mark-to-market margin is a margin on a brokers daily position.
14
The intraday trading limit is the limit to a brokers intraday trading volume. Every broker
is subject to these requirements.
Each stock exchange may take any other measures to ensure the safety of the
market. BSE and NSE impose on members a more stringent daily margin, including one
based on concentration of business. A daily mark-to-market margin is 100 percent of the
notional loss of the stockbroker for every stock, calculated as the difference between
buying or selling price and the closing price of that stock at the end of that day. However,
there is a threshold limit of 25 percent of the base minimum capital plus additional capital
kept with the stock exchange or Rs1 million, whichever is lower. Until the notional loss
exceeds the threshold limit, the margin is not payable.
This margin is payable by a stockbroker to the stock exchange in cash or as a bank
guarantee from a scheduled commercial bank, on a net basis. It will be released on the
pay-in day for the settlement period. The margin money is held by the exchange for 6-12
days. This cost the broker about 0.4-1.2 percent of the notional loss, assuming that the
brokers funding cost is about 24-36 percent (Endo 1998).
Thus, speculative trading without the delivery of shares is no longer
cost-free. Each brokers trading volume during a day is not allowed to exceed the
intraday trading limit. This limit is 33.3 times the base minimum capital deposited with
the exchange on a gross basis, i.e., purchase plus sale. In the event of brokers wishing to
exceed this limit, they have to deposit additional capital with the exchange and this
cannot be withdrawn for six months.
15
INDUSTRY PROFILE
Stock exchange is an organized market place where securities are traded. These securities
are issued by the government, semi-government bodies, public sector undertakings and
companies for borrowing funds and raising resources. Securities are defined as any
monetary claims (promissory notes or I.O.U) and also include shares, debentures, bonds
and etc., if these securities are marketable as in the case of the government stock, they are
transferable by endorsement and alike movable property. They are tradable on the stock
exchange. So, are the case shares of companies.
Under the Securities Contract Regulation Act of 1956, securities trading is
regulated by the Central Government and such trading can take place only in stock
exchanges recognized by the government under this Act. As referred to earlier there are at
present 23 such recognized stock exchanges in India. Of these, major stock exchanges,
like Bombay Stock Exchange, National Stock Exchange, Inter-Connected Stock
Exchange, Calcutta, Delhi, Chennai, Hyderabad and Bangalore etc. are permanently
recognized while a few are temporarily recognized. The above act has also laid down that
trading in approved contract should be done through registered members of the exchange.
As per the rules made under the above act, trading in securities permitted to be traded
would be in the normal trading hours (10 A.M to 3.30 P.M) on working days in the
trading ring, as specified for trading purpose.Contracts approved to be traded are the
following:
Spot delivery deals are for deliveries of shares on the same day or the next day as
Hand deliveries deals for delivering shares within a period of 7 to 14 days from
Delivery through clearing for delivering shares with in a period of two months
from the date of the contract, which is now reduce to 15 days.(Reduced to 2 days in
demat trading)
Special Delivery deals for delivering of shares for specified longer periods as may
Except in those deals meant for delivery on spot basis, all the rest are to be put
through by the registered brokers of a stock exchange. The securities contracts
(Regulation) rules of 1957 laid down the condition for such trading, the trading hours,
rules of trading, settlement of disputes, etc. as between the members and of the members
with reference to their clients.
HISTORY OF STOCK EXCHANGES IN INDIA
The origin of the Stock Exchanges in India can be traced back to the later half of 19th
century. After the American Civil War (1860-61) due to the share mania of the public, the
number of brokers dealing in shares increased. The brokers organized an informal
association in Mumbai named The Native Stock and Share Brokers Association in
1875.later evolved as Bombay stock exchange. Increased activity in trade and commerce
during the First World War and Second World War resulted in an increase in the stock
trading. The Growth of Stock Exchanges suffered a set after the end of World War.
Worldwide depression affected those most of the Stock Exchanges in the early stages had
a speculative nature of working without technical strength.
After independence,
government took keen interest to regulate the speculative nature of stock exchange
working. In that direction, securities and Contract Regulation Act 1956 was passed, this
gave powers to Central Government to regulate the stock exchanges. Further to develop
secondary markets in the country, stock exchanges established at Mumbai, Chennai,
Delhi, Hyderabad, Ahmedabad and Indore.
trading took place in all Stock Exchanges. In the floor trading system, the trade takes
place through open outcry system during the official trading hours. Trading posts are
assigned for different securities whereby and sell activities of securities took place. This
system needs a face to face contact among the traders and restricts the trading
volume. The speed of the new information reflected on the prices was rather than the
investors. The Setting up of NSE and OTCEI (Over the counter exchange of India with
the screen based trading facility resulted in more and more Sock exchanges turning
towards the computer based trading. BSE introduced the screen based trading system in
1995, which known as BOLT (Bombay on line Trading. System)
Madras Stock
17
Fixation of Prices: Price is determined by the transactions that flow from investors
demand and the suppliers preferences. Usually the traded prices are made known to the
public. This helps the investors to make the better decision.
Ensures safe and fair dealings: The rules, regulations and bylaws of the Stock
Exchanges provide a measure of safety to the investors. Transactions are conducted
under competitive conditions enabling the investors to get a fair deal.
securities, investors are willing to subscribe to the initial public offering (IPO). This
stimulates the capital formation.
Performance Inducer: The prices of stocks reflect the performance of the traded
companies. This makes the corporate more concerned with its public image and tries to
maintain good performance.
18
Self-regulating organization:
The Stock Exchanges monitor the integrity of the members, brokers, listed companies
and clients.
practices. It settles the disputes between member brokers, investors and brokers.
Takeovers are also monitored by the SEBI has the multi pronged duty
to promote the healthy growth of the capital market and protect the
investors.
20
Six members of the Stock Exchange are elected by the members of the Stock
Exchange.
One third of the elected members retire at annual general meeting (AGM). The retired
member can offer himself for election if he is not elected for two consecutive years. If a
member serves in the governing body for two years consecutively, he should refrain
offering himself for another two years.
The members of the governing body elect the president and vice-president. It needs to
approval from the Central Government or the Board. The office tenure for the president
and vice-president is on year. They can offer themselves for re-election, if they have not
held for two consecutive years. In that case they can offer themselves for re-election after
a gap of one-year period.
21
Outdated settlement system that are inadequate to cater to the growing volume,
leading to delays.
Lack of single market due to the inability of various stock exchanges to function
To establish a nationwide trading facility for equities, debt and hybrid instruments
appropriate
communication network.
Promoters of NSE: IDBI, ICICI, IFCI, LIC, GIC, SBI, Bank of Baroda. Canara Bank,
Corporation Bank, Indian Bank, Oriental Bank of Commerce. Union Bank of India,
Punjab National Bank, Infrastructure Leasing and Financial Services, Stock Holding
Corporation of India and SBE capital market are the promoters of NSE.
22
MEMBERSHIP
Membership is based on factors such as capital adequacy, corporate structure, track
record, education, experience etc. Admission is a two-stage process with applicants
requiring going through a written examination followed by an interview. A committee
consisting of experienced people from the industry to assess the applicants capability to
operate as an exchange member, interviews candidates. The exchange admits members
separately to Wholesale Debt Market (WDM) segment and the capital market segment.
Only corporate members are admitted on the debt market segment whereas individuals
and firms are also eligible on the capital market segment. Eligibility criteria for trading
membership on the segment of WDM are as follows.
The persons eligible to become trading members are bodies corporate, companies
other
The whole-time directors should possess at least two years experience in any
The applicant must be engaged solely in the business of securities and must not be
23
capitalization, trading volumes and turnover on stock exchanges, and investor population.
The market has witnessed fundamental institutional changes resulting in drastic reduction
in transaction costs and significant improvements in efficiency, transparency and safety.
Dependence on Securities Market
Three main sets of entities depend on securities market- the corporate, the government &
households. While the corporate and governments raise resources from the securities
market to meet their obligations, the households invest their savings in securities.
Primary Market & Secondary Market
The securities market comprises two segments- primary market (new issues, offer for
sale) & secondary market (trading of stocks). There are two major types of issuers who
issue securities. The corporate entities issue mainly debt and equity instruments (shares,
debentures, etc.), while the governments (central and state governments) issue debt
securities (dated Securities, treasury bills). The two major exchanges, namely the NSE
and the BSE provide trading of securities.
Laws governing capital market
The four main legislations governing the securities market are:
a)
The SEBI Act, 1992 which establishes SEBI to protect investors and develop and
The Companies Act, 1956, which sets out the code of conduct for the corporate
sector in relation to issue, allotment and transfer of securities, and disclosures to be made
in public issues.
c)
The Securities Contracts (Regulation) Act, 1956, read with the Securities
The Depositories Act, 1996 which provides for electronic maintenance and
the securities laws are framed by government and regulations by SEBI. All these are
administered by SEBI. The powers under the Companies Act relating to issue and transfer
of securities and non-payment of dividend are administered by SEBI in case of listed
public companies and public companies proposing to get their securities listed
Nifty 50
The 50 stocks that were most favored by institutional investors in the 1960s and 1970s.
Companies in this group were usually characterized by consistent earnings growth and
high P/E ratios. The Nifty-50 stocks got their notoriety in the bull markets of the 1960s
and early 1970s. They became known as "one-decision" stocks because investors were
told. They could buy and hold forever.
Examples of Nifty-50 stocks included General Electric, Coca-Cola, and IBM. However,
part of this list included companies that have been troubled in the last decade, such as
Xerox and Polaroid.
Nifty Junior
The CNX Nifty Junior is an index for companies on the National Stock Exchange of
India. It consists of 50 companies representing approximately 10% of the traded value of
all stocks on the National Stock Exchange of India. The CNX Nifty Junior is owned and
operated by India Index Services and Products Ltd. It is quoted using the symbol
NSMIDCP.
The CNX Nifty Junior and the S&P CNX Nifty represent the 100 most liquid
commodities traded on the National Stock Exchange of India. Together, they form a
disjoint set; that is to say, no one company can be listed on both indices simultaneously.
Equity
25
26
A type of security that signifies ownership in a corporation and represents a claim on part
of the corporations assets and earnings. There are two main types of stock: common and
preferred. Common stock usually entitles the owner to vote at shareholders' meetings and
to receive dividends. Preferred stock generally does not have voting rights, but has a
higher claim on assets and earnings than the common shares. For example, owners of
preferred stock receive dividends before common shareholders and have priority in the
event
that
company
goes. Bankrupt
and
is
liquidated.
Also
known
as
"shares" or "equity".
A holder of stock (a shareholder) has a claim to a part of the corporation's assets and
earnings. In other words, a shareholder is an owner of a company. Ownership is
determined by the number of shares a person owns relative to the number of outstanding
shares. For example, if a company has 1,000 shares of stock outstanding and one person
owns 100 shares, that person would own and have. Claim to 10% of the companys assets
Stocks are the foundation of nearly every portfolio. Historically, they have outperformed
most other investments over the long run.
Shareholder
Any person, company, or other institution that owns at least 1 share in a company. A
shareholder may also be referred to as a stockholder.
Shareholders are the owners of a company. They have the potential to profit if the
company does well, but that comes with the potential to lose if the company does poorly.
Share
A unit of ownership interest in a corporation or financial asset. While owning shares in
a business does not mean that the shareholder has direct control over the business's dayto-day operations, being a shareholder does entitle the possessor to an equal distribution
in any profits, if any are declared in the form of dividends. The two main types of shares
are common shares and preferred shares.
In the past, shareholders received a physical paper stock certificate that indicated that
they owned "x" shares in a company. Today, brokerages have electronic records that show
27
ownership details. Owning a paperless share makes conducting trades a simpler and
more streamlined process, which is a far cry from the days were stock certificates needed
to be taken to a. Brokerage before a trade could be conducted. While shares
are often used to refer to the stock of a corporation, shares can also represent ownership
of other classes of financial assets, such as mutual funds.
Risk- Risk is defined as uncertainty in outcomes
The chance that an investment's actual return will be different than expected. This
includes the possibility of losing some or all of the original investment. It is usually
measured by calculating the standard deviation of the historical returns or average
returns of a specific investment. A fundamental idea in finance is the relationship between
risk and return. The greater the amount of risk that an investor is willing to take on, the
greater the potential return. The reason for this is that investors need to. be compensated
for taking on additional risk
Stock Option
A privilege, sold by one party to another, that gives the buyer the right, but not the
obligation, to buy (call) or sell (put) a stock at an agreed-upon price within a. certain
period or on a specific date. In the U.K., it is known as a "share option. American
options can be exercised anytime between the date of purchase and the expiration date.
European options may only be redeemed at the expiration date. Most exchange-traded
stock options are American.
Security
An instrument representing ownership (stocks), a debt agreement (bonds), or the rights to
ownership (derivatives).A security is essentially a contract that can be assigned a value
Andrade.
Examples of a security include a note, stock, preferred share, bond, debenture, option,
future, swap, right, warrant, or virtually any other financial asset.
Closing Price
28
The final price at which a security is traded on a given trading day. The closing price
represents the most up-to-date valuation of a security until trading commences again on
the next trading day.
CHAPTER-3
REVIEW
OF
LITERATURE
29
REVIEW OF LITERATURE
Dunn and Theisen (1983) rank the annual performance of 201 institutional portfolios
for the period 1973 through 1982 without controlling for fund risk. They found no
evidence that funds performed within the same quartile over the ten-year period. They
also found that ranks of individual managers based on 5-year compound returns revealed
no consistency.
Grinblatt and Titman (1992) analyze performance of 279 funds over the period of 1975
to 1984 using a benchmark technique and find evidence that performance differences
between funds persists over time.
Hendricks, Patel, and Zeckhauser (1993) study 165 no-load growth-oriented funds
over the period 1974 to 1988 and obtain similar results. In a study of 728 mutual fund
returns over the period 1976 to 1988.
Volkman and Wohar (1995) extend this analysis to examine factors that impact
performance persistence. Their data consists of 322 funds over the period 1980 to 1989,
and shows performance persistence is negatively related to size and negatively related to
levels of management fees.
Bauman and Miller (1995) studied the persistence of pension and investment fund
performance by type of investment organization and investment style. They employed a
quartile ranking technique because they noted that "investors pay particular attention to
consultants' and financial periodicals' investment performance rankings of mutual funds
and pension funds" (Bauman & Miller, 1995, p. 79). They found that portfolios managed
by investment advisors showed more consistent performance (measured by quartile
rankings) over market cycles and that funds managed by banks and insurance companies
showed the least consistency. They suggest that this result may be caused by a higher
turnover in the decision-making structure in these less consistent funds. This study
controls for the effects of turnover of key decision makers by restricting the sample to
those funds with the same manager for the entire period of study.
30
Kahn and Rudd 1995 study of 300 equity funds and 195 bond funds between 1983 and
1993, only the bond funds show evidence of persistence.
Car hart (1997) shows that expenses and common factors in stock returns such as beta,
market capitalization, one-year return momentum, and whether the portfolio is value or
growth oriented "almost completely" explain short term persistence in risk-adjusted
returns. He concludes that his evidence does not "support the existence of skilled or
informed mutual fund portfolio managers".
Detzel and Weigand (1998) use a regression residual technique to control for the effects
of investment style, size and expense ratios. They find, after controlling for these
variables, no evidence of performance persistence.
Mishra (2002) measured mutual fund performance using lower partial moment. In this
paper, measures of evaluating portfolio performance based on lower partial moment are
developed. Risk from the lower partial moment is measured by taking into account only
those states in which return is below a pre-specified target rate like risk-free rate.
Jack L. Treynor has suggested a new predictor of mutual fund performance, one that
differs from virtually all those used previously by incorporating the volatility of a fund's
return in a simple yet meaningful manner.
S.Narayan Rao evaluated performance of Indian mutual funds in a bear market through
relative performance index, risk-return analysis, Treynors ratio, Sharpes ratio, Sharpes
measure , Jensens measure, and Famas measure. The study used 269 open-ended
schemes (out of total schemes of 433) for computing relative performance index. Then
after excluding funds whose returns are less than risk-free returns, 58 schemes are finally
used for further analysis. The results of performance measures suggest that most of
mutual fund schemes in the sample of 58 were able to satisfy investors expectations by
giving excess returns over expected returns based on both premium for systematic risk
and total risk.
31
CHAPTER-4
RESEARCH
METHODOLOGY
32
RESEARCH METHODOLOGY
Research project has a specified framework for collecting the data in an effect manner.
Such framework is called Research Design. The research process consisted of
following steps:
Developing the Research Plan:
It is very important to researching anything to know about its main sources where we get
the main information regarding the research plan. The development of research plan has
following steps:
Data Sources:
There are two types of data were taken into consideration i.e. Secondary data and primary
data. The secondary data has been used to make the analysis because lack of sufficient
time and resources to collect the primary data.
Secondary Data:
Secondary data is that data which is already existed. This is indirect collection of data
from sources containing past or recent past information like:Annual reports,
Balance sheet,
Books,
Newspapers and Magazines
and Other companys publications.
Research Design-:Research
33
34
The main objective of this project is to analyze the price fluctuations of various
companies.
2.
To observe the relation between Returns and Risk in the yearly fluctuations in
prices.
LIMITATIONS
This project analysis report may not be applicable in all equity markets.
Project took only 15 companies of NSE for equity analysis. It will not applicable
to total NSES Nifty Index.
The accuracy of the study is based on the accuracy of the data presented in the
NSE listings.
35
Detailed study of topic was not possible due to limited size of the project. The
time taken for the study is limited.
CHAPTER-5
DATA ANALYSIS
&
INTERPRETATION
36
Start
January
454
February
471.05
End
Returns
485.15 0.068612335
367.2
-0.22046492
Avg.Ret
Deviation
Variance
-0.27503292 0.075643106
March
370
426.7 0.153243243
April
426.15
487 0.142790097
May
490
650.95 0.328469388
June
666
778.4 0.168768769
July
780
700.6
0.054568
August
695
758.7 0.091654676
September
764.95
784.45 0.025491862
0.054568
-0.02907614 0.000845422
October
785.1
769.55
-0.01980639
0.054568
-0.07437439
November
745.35
741.05
-0.0057691
0.054568
-0.0603371 0.003640566
December
749.4
767.1 0.023618895
0.054568
-0.0309491 0.000957847
Total
Standard Deviation
-0.10179487
0.654813979
0.054568 0.273901388
0.07502197
-0.15636287 0.024449348
0.00553155
0.218224232
0.134853
37
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
225.2
0.0611
9
0.0318
44
0.0037441
4
0.0010140
54
17823.4
19445.2
2
288.425
0.2807
5
0.0788208
12
19135.9
6
381.525
0.2350
7
0.0710
23
0.0552577
99
0.0050441
99
18503.2
8
18845.8
7
434.075
0.1377
37
0.0189714
03
18197.2
522.425
0.2035
36
0.0414270
07
16676.7
5
604.95
0.1036
03
0.0492
59
0.0107336
62
0.0024264
02
16453.7
6
17705.0
1
616.025
0.0183
07
0.0003351
57
16123.4
6
655.625
0.0642
83
0.0041323
18
15454.9
2
1.134
223
0.221906
953
194364
.83
232.475
218.25
356.225
576.55
Sum
Sensex
18327.7
6
=nXY(x)
(y)/nx2(x)2
y
0.027518
9
0.090993
86
0.015904
2
0.033062
4
0.018515
1
0.034419
7
0.083554
1
0.013371
3
0.076046
45
0.089327
8
0.041463
8
0.15306
68
y2
0.000757
29
0.008279
883
0.000252
942
0.001093
12
0.000342
809
0.001184
719
0.006981
281
0.000178
792
0.005783
062
0.007979
46
0.001719
247
0.034552
606
xy
0.0016
84
0.0028
98
0.0044
7
0.0077
7
0.0013
15
0.0047
4
0.0170
1
0.0013
9
0.0037
46
0.0016
4
0.0026
7
0.030
03
1.613265
8
38
From the analysis we find that the value of beta is -.6132658 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 6%
39
Start
End
Avg.Ret
February
629.7
March
632.7
625.75
-0.01098467
April
626.4
752.75 0.201708174
May
765.35
820.15 0.071601228
June
870
802.15
-0.07798851
-0.0495
-0.02848851 0.000811595
July
803.15
410.1
-0.48938554
-0.0495
-0.43988554 0.193499292
638.5 0.013974909
-0.0495
Variance
715
September
-0.11335664
Deviation
January
August
633.95
Returns
-0.06385664 0.004077671
418
424.6 0.015789474
418.65
418.75 0.000238863
October
426
292.85
November
292
299.55 0.025856164
December
304.9
329.75 0.081502132
Total
-0.31255869
-0.26305869 0.069199872
-0.5936031
0.380448759
Standard Deviation
0.1780563
CALCULATION OF BETA
Price of
Share
674.475
Retur
n (x)
X2
Sense
x
18327.
76
y2
xy
40
629.225
0.0598
6
0.0076
9
689.575
0.0959
12
0.0091
99
19135.
96
0.1496
21
0.0546
52
0.2744
4
0.0223
86
0.0029
87
18503.
28
18845.
87
0.0753
16
18197.
2
0.3055
0.0061
7
0.1415
7
0.1770
9
0.0933
31
16676.
75
3.81E05
16453.
76
0.0200
42
17705.
01
0.0313
6
16123.
46
0.0728
59
0.599
27
0.0053
08
15454.
92
0.263
611
19436
4.8
634.1
792.75
836.075
606.625
421.3
418.7
359.425
295.775
317.325
Sum
0.0035
83
17823.
4
0.0275
2
0.0007
57
5.91E05
19445.
22
0.0909
94
0.0082
8
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.0002
53
0.0760
46
0.0893
3
0.0414
6
0.153
07
0.0057
83
=nXY-(x)(y)/nx2(x)2
0.0010
93
0.0003
43
0.0016473
2
0.0006995
66
0.0015253
95
0.0049468
28
0.0010118
78
0.0011
85
0.0094460
54
0.0069
81
0.0255259
13
0.0001
79
8.25194E05
0.0107658
3
0.0079
79
0.0017
19
0.0158189
22
0.0030210
29
0.034
553
0.032573
957
0.0030
1
From the analysis we find that the value of beta is -0.00301. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
41
This also indicate that if sensex is increase by 10% then stock is decreased
by around 0.03%
Start
End
Returns
Avg.Ret
Deviation
Variance
January
1372
1320.8
-0.03731778
0.049991
-0.08730878 0.007622824
February
1315
1403.85
0.06756654
0.049991
March
1385
1510.55 0.090649819
April
1520
1655.7 0.089276316
May
1703.65
2178.15 0.278519649
June
2134.6
2204.05
0.03253537
0.049991
-0.01745563 0.000304699
July
2229
2230.3 0.000583221
0.049991
-0.04940778 0.002441129
August
2250
2309.5 0.026444444
0.049991
-0.02354656
September
2319
2328.85
0.00424752
0.049991
-0.04574348 0.002092466
October
2301
2217.8
-0.03615819
0.049991
-0.08614919 0.007421683
0.049991
-0.03469654
0.01757554
0.0003089
0.049991 0.040658819
0.00165314
0.00055444
November
2209.95
2243.75 0.015294464
December
2249.75
2403.3 0.068252028
0.599893395
0.077705274
Total
Standard Deviation
0.00120385
0.08047
42
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
1447.775
0.0096
74
0.0649
91
9.36E05
0.0042
24
17823.
4
19445.
22
1587.85
0.0967
52
0.0093
61
19135.
96
2169.325
0.2223
45
0.1176
9
0.0494
37
0.0138
51
18503.
28
18845.
87
2229.65
0.0278
08
0.0007
73
18197.
2
2279.75
0.0224
7
0.0005
05
16676.
75
0.0003
75
16453.
76
0.0007
71
17705.
01
2226.85
0.0193
77
0.0277
7
0.0144
1
0.0002
08
16123.
46
2326.525
Sum
0.0447
61
0.583
0.0020
04
0.081
15454.
92
19436
1346.4
1359.425
1940.9
2323.925
2259.4
Sense
x
18327.
76
y2
0.0275
2
0.0909
94
0.0007
57
0.0082
8
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.0002
53
0.0760
46
0.0893
3
0.0414
6
-
0.0057
83
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0079
79
0.0017
19
0.034
xy
0.0002662
16
0.0059137
56
0.0015387
58
0.0073512
4
0.0021790
46
0.0009571
51
0.0018774
51
0.0002590
98
0.0021114
7
0.0012868
99
0.0018559
42
43
695
602
4.8
0.153
07
553
0.006837
624
0.4152
5
=nXY-(x)(y)/nx2(x)2
From the analysis we find that the value of beta is -0.41525. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 4%
CIPLA RETURNS FOR THE YEAR 2011
Std.
Month
Start
End
Returns
191.95 0.026470588
Avg.Ret
Deviation
Variance
January
187
February
192
March
188
220.05 0.170478723
April
218.5
240.75 0.101830664
May
243.05
222.8
-0.08331619
0.05324
-0.13655619 0.018647593
June
225
253.35
0.126
0.05324
0.07276 0.005294018
July
253.35
275.05
0.08565226
0.05324
0.03241226 0.001050555
August
277
270.85
-0.02220217
0.05324
-0.07544217
September
271
279.9 0.032841328
0.05324
-0.02039867 0.000416106
October
283
287.1 0.014487633
0.05324
-0.03875237 0.001501746
November
284.2
320 0.125967628
December
315.1
335.05 0.063313234
191.5
-0.00260417
0.05324
-0.02676941 0.000716601
0.05324
-0.05584417 0.003118571
0.00569152
0.00010147
44
Total
0.638919535
0.057933459
Standard Deviation
0.0694823
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
204.025
0.0120
07
0.0640
16
0.0001
44
0.0040
98
17823.
4
19445.
22
229.625
0.1254
75
0.0157
44
19135.
96
239.175
0.0143
71
0.0268
33
0.0002
07
0.0007
2
18503.
28
18845.
87
264.2
0.1046
31
0.0109
48
18197.
2
273.925
0.0368
09
0.0013
55
16676.
75
285.05
0.0055
67
0.0348
52
3.1E05
0.0012
15
16453.
76
17705.
01
302.1
325.075
0.0598
14
0.0760
0.0035
78
0.0057
16123.
46
15454.
189.475
191.75
232.925
275.45
Sense
x
18327.
76
y2
0.0275
2
0.0909
94
0.0007
57
0.0082
8
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.0760
46
0.0893
3
-
0.0002
53
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0057
83
0.0079
79
0.0017
xy
0.0003304
16
0.0058250
31
0.0019955
72
0.0004751
48
0.0004968
09
0.0036013
55
0.0030755
61
-7.4441E05
0.0026503
75
0.0053430
6
45
Sum
51
84
92
0.560
425
0.043
822
19436
4.8
=nXY-(x)(y)/nx2(x)2
0.0414
6
0.153
07
19
0.034
553
0.0031533
63
0.009076
7
0.4135
8
From the analysis we find that the value of beta is -0.41358. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 4%
46
Start
End
Returns
Avg.Ret
Deviation
Variance
January
116.5
116.1
-0.00343348
0.1141
-0.11753348 0.013814118
February
111.15
100.2
-0.09851552
0.1141
-0.21261552 0.045205359
-0.07277347 0.005295978
March
98
102.05 0.041326531
0.1141
April
100.55
129.85 0.291397315
May
130.55
June
166.9
0.27843738
0.1141
0.16433738 0.027006775
172
185.95 0.081104651
0.1141
-0.03299535 0.001088693
July
186
241 0.295698925
August
242
300 0.239669421
0.1141 0.125569421
September
299
340.8 0.139799331
October
342
306.25
-0.10453216
0.01576768
-0.21863216 0.047800023
November
302.5
337.1 0.114380165
December
339.95
371.8 0.093690249
0.1141
Total
-0.02040975 0.000416558
1.369022808
0.221468225
Standard Deviation
0.1358517
CALCULATION OF BETA
Price of
Share
Return
(x)
X2
Sensex
y2
xy
47
116.3
18327.7
6
- 0.00834
0.02751891 0.00075 0.0025140
105.675 0.09136
6 17823.4
1
7
88
- 0.00285 19445.2 0.09099386
0.0048650
100.025 0.05347
9
2
2 0.00828
6
0.15171 0.02301 19135.9 0.01590416 0.00025 0.0024128
115.2
2
7
6
6
3
5
0.29101
18503.2
- 0.00109 0.0096216
148.725
6 0.08469
8 0.03306236
3
6
0.20339
18845.8 0.01851509 0.00034 0.0037658
178.975
6 0.04137
7
6
3
88
0.19290 0.03721
0.03441974 0.00118 0.0066397
213.5
4
2 18197.2
3
5
1
0.26932 0.07253 16676.7 0.08355406 0.00698 0.0225028
271
1
4
5
3
1
5
0.18044
16453.7
- 0.00017 0.0024127
319.9
3 0.03256
6 0.01337131
9
6
0.01320 0.00017 17705.0 0.07604644 0.00578 0.0010043
324.125
7
4
1
8
3
65
- 0.00017 16123.4 0.08932782 0.00797 0.0011919
319.8 0.01334
8
6
3
9
56
0.11280 0.01272 15454.9 0.04146380 0.00171 0.0046773
355.875
5
5
2
5
9
2
Sum
48
76
=nXY-(x)(y)/nx2(x)2
92
2.06482694
1
From the analysis we find that the value of beta is -2.064826941. and beta is
here negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 20.6%
49
Start
End
Returns
Avg.Ret
Deviation
Variance
January
1116
1306.65 0.170833333
February
1292
1231.25
-0.04702012
0.1459
-0.19292012 0.037218174
March
1218
1323.9 0.086945813
0.1459
-0.05895419 0.003475596
April
1331.15
1509.25 0.133794088
0.1459
-0.01210591 0.000146553
May
1520.1
1605.1 0.055917374
0.1459
-0.08998263 0.008096873
June
1615.35
1776.5 0.099761662
0.1459
-0.04613834 0.002128746
July
1770.55
2064.35 0.165937138
2064
2131.15 0.032533915
0.1459
-0.11336609 0.012851869
2139.95
2306.4 0.077782191
0.1459
-0.06811781 0.004640036
2206.2
-0.05313305
0.1459
-0.19903305 0.039614154
August
September
October
2330
November
2203
2379.35 0.080049932
0.1459
-0.06585007 0.004336231
December
2427
2601.1 0.071734652
0.1459
-0.07416535 0.005500499
Total
0.875136926
0.11903189
Standard Deviation
0.09959580
CALCULATION OF BETA
Price of
Share
1211.325
Retur
n (x)
X2
Sense
x
18327.
y2
xy
50
76
1270.95
0.0415
25
0.0073
91
0.0017
24
5.46E05
17823.
4
19445.
22
1420.2
0.1174
32
0.0137
9
19135.
96
1695.925
0.1002
68
0.0853
23
0.0100
54
0.0072
8
18503.
28
18845.
87
1917.45
0.1306
22
0.0170
62
18197.
2
2097.575
0.0939
4
0.0088
25
16676.
75
2268.1
0.0598
79
0.0202
08
0.0035
85
0.0004
08
16453.
76
17705.
01
2291.175
0.0101
74
0.0001
04
16123.
46
2514.05
0.0972
75
0.0094
63
15454.
92
0.764
035
0.072
349
19436
4.8
1261.625
1562.6
2223.175
Sum
0.027518
911
0.090993
862
0.015904
166
0.033062
36
0.018515
096
0.034419
743
0.083554
063
0.013371
31
0.076046
448
0.089327
823
0.041463
805
0.153066
776
=nXY-(x)(y)/nx2-(x)2
0.0007
57
0.0082
8
0.0002
53
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0057
83
0.0079
79
0.0017
19
0.034
553
0.001142
72
0.000672
559
0.001867
66
0.003315
08
0.001579
755
0.004495
97
0.007849
06
0.000800
66
0.001536
715
0.000908
8
0.004033
41
0.020624
32
0.8098
5
From the analysis we find that the value of beta is -0.80985 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
51
This also indicate that if sensex is increase by 10% then stock is decreased
by around 8%
Std.
Month
Start
End
Returns
Avg.Ret
Deviation
Variance
-0.0228813
0.000523554
0.11799 -0.06137983
0.003767484
January
276
302.25 0.095108696
February
295
311.7 0.056610169
March
305
383.65 0.257868852
April
384.85
487.95 0.267896583
May
501
668.9 0.335129741
June
674
691.25 0.025593472
0.11799 -0.09239653
July
698.7
859.05 0.229497638
August
876.65
863.65 -0.01482918
0.11799 -0.13281918
0.017640934
September
865.05
883.2 0.020981446
0.11799 -0.09700855
0.00941066
October
892
921.95 0.033576233
0.11799 -0.08441377
0.007125684
November
930
1029.35 0.106827957
0.11799
-0.01116204
0.000124591
December
1079
1080.85 0.001714551
0.11799
-0.11627545
0.01351998
Total
Standard Deviation
1.415976159
0.11799
0.008537118
0.162271703
0.11628689
52
CALCULATION OF BETA
0.1171
88
0.0137
33
16676.
75
906.975
0.0045
68
0.0375
8
2.09E05
0.0014
12
16453.
76
17705.
01
979.675
0.0801
57
0.0064
25
16123.
46
1079.925
0.1023
3
0.0104
71
15454.
92
1.441
884
0.287
87
19436
4.8
870.15
874.125
Sum
0.0835
5
0.0133
7
0.0760
46
0.0893
3
0.0414
6
0.153
07
=nXY-(x)(y)/nx2(x)2
0.006981
281
0.0097
9
0.000178
792
0.005783
062
-6.1E05
0.0028
58
0.0071
6
0.0042
4
0.024
73
0.007979
46
0.001719
247
0.034552
606
2.345281
405
53
From the analysis we find that the value of beta is 2.345281405 and beta is
here positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 23.5%
Start
January
667
February
End
Avg.Ret
Deviation
Variance
-0.01806597
0.63876 0.620694033
0.385261083
650.3
691 0.062586499
0.63876 0.701346499
0.491886911
March
664.05
780.2 0.174911528
0.63876 0.813671528
0.662061355
April
780
864.75 0.108653846
0.63876 0.747413846
0.558627457
May
898.7
1169.25 0.301045955
0.63876 0.939805955
0.883235234
June
1171.1
-0.08692682
0.63876 0.551833179
0.304519858
July
1065.2
1164.05 0.092799474
0.63876 0.731559474
0.535179264
1165
1185.5 0.017596567
0.63876 0.656356567
0.430803942
August
654.95
Returns
1069.3
September
1175.55
1172
-0.00301986
0.63876 0.635740137
0.404165522
October
1175.45
1131.8
-0.03713471
0.63876 0.601625286
0.361952984
November
1144.9
1199.75 0.047908114
0.63876 0.686668114
0.471513099
December
1204
0.63876 0.617165316
0.380893027
1178
-0.02159468
54
Total
0.63876
5.870099736
Standard Deviation
0.69941045
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
722.125
0.0146
37
0.0767
54
0.0002
14
0.0058
91
17823.
4
19445.
22
822.375
0.1388
26
0.0192
73
19135.
96
0.2573
04
0.0833
92
0.0049
8
0.0662
05
0.0069
54
18503.
28
18845.
87
2.48E05
18197.
2
0.0543
9
0.0012
6
0.0171
7
0.0029
58
16676.
75
1.58E06
16453.
76
0.0002
95
17705.
01
0.0162
1
0.0159
3
0.0002
63
0.0002
54
16123.
46
15454.
92
660.975
670.65
1033.975
1120.2
1114.625
1175.25
1173.775
1153.625
1172.325
1191
Sense
x
18327.
76
y
0.0275
2
0.0909
94
y2
0.000757
29
0.008279
883
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.000252
942
0.0760
46
0.0893
3
0.0414
0.005783
062
0.001093
12
0.000342
809
0.001184
719
0.006981
281
0.000178
792
0.007979
46
0.001719
247
xy
0.0004
0.0069
84
0.0022
1
0.0085
1
0.0015
44
0.0001
71
0.0045
4
1.68E05
0.0013
1
0.0014
5
0.0006
55
Sum
0.634
045
0.102
333
19436
4.8
6
0.153
07
=nXY-(x)(y)/nx2(x)2
0.034552
606
6
0.010
36
0.515070
534
From the analysis we find that the value of beta is 0.515070534 and beta is
here positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 5%
56
Start
January
1240
February
1290
End
Returns
Avg.Ret
1323.6 0.067419355
1266.05
Deviation
Variance
-0.01856589
0.00723
-0.02579589 0.000665428
March
1228.7
1524.75 0.240945715
April
1523
1806.25 0.185981615
0.00723 0.178751615
0.03195214
May
1851
2271.9
0.2273906
0.00723
0.04847069
June
2330
2023.4
-0.13158798
0.00723
-0.13881798 0.019270432
July
2029.9
1955.4
-0.03670132
0.00723
-0.04393132
August
1968.9
2005.1 0.018385901
September
2024.8
2201.65
0.08734196
0.00723
0.08011196 0.006417926
October
2199.9
1931.15
-0.12216464
0.00723
-0.12939464 0.016742974
November
1920.05
1063.5
-0.44610817
0.00723
-0.45333817
December
1075
0.2201606
0.00192996
0.2055155
1090.55 0.014465116
0.086802254
0.389387646
Total
Standard Deviation
0.180136
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
Sense
x
y2
xy
57
18327.
76
1281.8
1376.725
0.0029
5
0.0772
29
8.67E06
0.0059
64
17823.
4
19445.
22
1664.625
0.2091
19
0.0437
31
19135.
96
0.2383
87
0.0559
07
0.0845
5
0.0028
4
0.0568
28
0.0031
26
18503.
28
18845.
87
0.0071
49
18197.
2
8.04E06
16676.
75
0.0635
25
0.0225
7
0.2777
7
0.2741
7
0.020
68
0.0040
35
16453.
76
0.0005
1
17705.
01
0.0771
59
16123.
46
0.0751
69
15454.
92
0.273
688
19436
4.8
1278.025
2061.45
2176.7
1992.65
1987
2113.225
2065.525
1491.775
1082.775
Sum
0.027518
911
0.090993
862
0.015904
166
0.033062
36
0.018515
096
0.034419
743
0.083554
063
0.013371
31
0.076046
448
0.089327
823
0.041463
805
0.153066
776
=nXY-(x)(y)/nx2-(x)2
0.0007
57
0.0082
8
0.0010
93
0.0003
43
8.10453E05
0.007027
323
0.003325
87
0.007881
64
0.001035
128
0.0011
85
0.002910
348
0.0069
81
0.0057
83
0.000236
911
0.000849
42
0.001716
53
0.0079
79
0.024812
984
0.0017
19
0.011368
133
0.034
553
0.033698
414
0.0002
53
0.0001
79
0.0332
71
58
From the analysis we find that the value of beta is 0.033271 and beta is here
positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 0.3%
59
Start
End
Returns
Avg.Ret
Deviation
Variance
January
175
53.85
-0.69228571
0.04825
-0.74053571 0.548393144
February
55
41.35
-0.24818182
0.04825
-0.29643182 0.087871823
March
42.5
38.45
-0.09529412
0.04825
-0.14354412 0.020604914
April
38.95
46.8 0.201540436
May
47.25
53.35 0.129100529
June
54.4
71 0.305147059
July
71.25
August
0.46877193
0.04825
0.42052193 0.176838693
122.3 0.175961538
122.9
119.1
-0.03091945
0.04825
-0.07916945 0.006267801
119
102.2
-0.14117647
0.04825
-0.18942647 0.035882388
November
100.5
90.15
-0.10298507
0.04825
-0.15123507 0.022872048
December
91
September
104
104.65
October
98.15 0.078571429
0.048250279
1.011991302
Total
Standard Deviation
0.29040077
CALCULATION OF BETA
Price of
Retur
X2
Sense
y2
xy
60
Share
n (x)
x
18327.
76
114.425
40.475
0.5789
8
0.1598
3
42.875
0.0592
96
0.0035
16
19135.
96
62.7
0.1731
78
0.2465
21
0.0299
91
0.0607
73
18503.
28
18845.
87
87.95
0.4027
11
0.1621
76
18197.
2
113.15
0.2865
26
0.0820
97
16676.
75
0.0693
77
0.0859
5
0.1381
1
0.0078
7
0.0048
13
16453.
76
0.0073
87
17705.
01
0.0190
74
16123.
46
6.19E05
15454.
92
0.266
865
0.730
657
19436
4.8
48.175
50.3
121
110.6
95.325
94.575
Sum
0.3352
2
17823.
4
0.0255
47
19445.
22
0.027518
911
0.090993
862
0.015904
166
0.033062
36
0.018515
096
0.034419
743
0.083554
063
0.013371
31
0.0082
8
0.076046
448
0.089327
823
0.041463
805
0.153066
776
0.0057
83
0.015932
951
0.014543
91
0.000943
05
0.005725
67
0.004564
358
0.013861
22
0.023940
45
0.000927
66
0.006536
22
0.0079
79
0.012337
093
0.0017
19
0.000326
23
0.033317
55
=nXY-(x)(y)/nx2-(x)2
0.0007
57
0.0002
53
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.034
553
-0.435
From the analysis we find that the value of beta is -.435 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
61
This also indicate that if sensex is increase by 10% then stock is decreased
by around 4%
62
Start
End
Returns
January
1329
1151
-0.13393529
0.0464 -0.18033529
0.032520817
February
1139
1025.3
-0.09982441
0.0464 -0.14622441
0.021381577
March
1014.7
1067.1
0.051640879
0.0464 0.005240879
2.74668E-05
April
1076.15
1278.6
0.188124332
May
1325.25
1868.85
0.410186757
June
2039.7
1745.3
-0.14433495
0.0464 -0.19073495
0.036379822
July
1731
1811.65
0.046591566
0.0464 0.000191566
3.66974E-08
August
1820
1742.9
-0.04236264
0.0464 -0.08876264
0.007878806
September
1761
2194.95
0.246422487
October
2191.55
2191.05
-0.00022815
0.0464 -0.04662815
0.002174184
November
2187
2239.55
0.024028349
0.0464 -0.02237165
0.000500491
December
2246
2269
0.010240427
0.0464 -0.03615957
0.001307515
Total
Avg.Ret
Deviation
0.556549363
Variance
0.294606301
Standard Deviation
0.15668607
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
Sense
x
y2
xy
63
18327.
76
1240
0.016204
879
17823.
4
0.0275
2
0.0007
57
1040.9
0.1273
0.0381
2
0.001453
025
19445.
22
0.0909
94
0.0082
8
1177.375
0.1311
12
0.017190
487
19135.
96
0.0002
53
0.127056
409
0.034224
015
18503.
28
18845.
87
1771.325
0.3564
5
0.1849
97
0.0640
3
0.004099
721
18197.
2
1781.45
0.0057
16
3.26733E05
16676.
75
2191.3
0.1103
17
0.1078
5
0.012169
937
0.011631
666
16453.
76
17705.
01
2213.275
0.0100
28
0.000100
567
16123.
46
2257.5
0.0199
82
0.000399
268
15454.
92
0.697
007
0.224562
648
19436
4.8
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.0760
46
0.0893
3
0.0414
6
0.153
07
1082.15
1597.05
1892.5
1977.975
Sum
=nXY-(x)(y)/nx2-(x)2
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0057
83
0.0079
79
0.0017
19
0.034
553
0.003503
113
0.003468
555
0.002085
235
0.011785
069
0.003425
243
0.002203
864
0.000477
6
0.001475
089
0.008201
625
0.000895
806
0.000828
517
0.003682
026
0.5241
4
From the analysis we find that the value of beta is -0.52414. and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
64
This also indicate that if sensex is increase by 10% then stock is decreased
by around 5%
Start
End
January
160.95
149.65
0.047939242
February
148.05
149.3
0.019683834
March
146.1
180.3
April
182
243.8
0.33956044
May
250.2
336.85
June
348.6
290.75
July
292.3
421.55
August
423
489.7
September
491.4
591.15
October
594.8
567.25
November
563.5
663.15
December
682.8
791.55
0.15927065
Total
Standard Deviation
Returns
1.784906154
Avg.Ret
0.14874218
0.14874218
Deviation
0.19081826
0.01052847
Variance
0.036411608
0.099030861
7.99421E-05
0.038048509
0.000110849
0.37746648
0.17735709
65
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
155.3
Sense
x
18327.
76
163.2
0.0426
6
0.0976
96
0.0018
2
0.0095
45
17823.
4
19445.
22
212.9
0.3045
34
0.0927
41
19135.
96
319.675
0.3786
99
0.0890
9
0.1434
13
0.0079
37
18503.
28
18845.
87
356.925
0.1165
25
0.0135
78
18197.
2
456.35
0.2785
6
0.0775
96
16676.
75
581.025
0.1860
96
0.0734
38
0.0346
32
0.0053
93
16453.
76
17705.
01
613.325
0.0555
91
0.0030
9
16123.
46
737.175
0.2019
32
0.0407
77
15454.
92
1.739
502
0.430
521
19436
4.8
148.675
293.525
541.275
Sum
=nXY-(x)(y)/nx2(x)2
Y
0.027518
911
0.090993
862
0.015904
166
0.033062
36
0.018515
096
0.034419
743
0.083554
063
0.013371
31
0.076046
448
0.089327
823
0.041463
805
0.153066
776
y2
xy
0.0007
57
0.0082
8
0.001173
939
0.008889
765
0.004843
36
0.012520
68
0.001649
501
0.004010
75
0.023274
81
0.002488
35
0.005584
677
0.004965
86
0.008372
87
0.043178
8
0.0002
53
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0057
83
0.0079
79
0.0017
19
0.034
553
3.490411
82
66
From the analysis we find that the value of beta is -3.49041182 and beta is
here negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 35%
67
Start
End
Returns
Avg.Ret
Variance
0.03419
-0.03278516
0.001074867
January
605.05
February
606
579.85
-0.04315182
0.03419
-0.07734182
0.005981756
March
571
584.55 0.023730298
0.03419
-0.0104597
0.000109405
April
593.5
678.5 0.143218197
0.03419 0.109028197
0.011887148
May
695
693.15
-0.00266187
0.03419
-0.03685187
0.00135806
June
704
721.15 0.024360795
0.03419
-0.0098292
9.66133E-05
July
730
850.95 0.165684932
0.03419 0.131494932
0.017290917
August
855
944.85 0.105087719
0.03419 0.070897719
0.005026487
September
605.9 0.001404843
Deviation
950.55
897
-0.05633581
0.03419
-0.09052581
0.008194921
October
901
856.65
-0.04922309
0.03419
-0.08341309
0.006957743
November
854
904.8 0.059484778
0.03419 0.025294778
0.000639826
December
906
941.05 0.038686534
0.03419 0.004496534
2.02188E-05
Total
0.410285519
0.058637962
Standard Deviation
0.069903482
CALCULATION OF BETA
Price of
Share
605.475
592.925
Retur
n (x)
-
X2
0.0004
Sense
x
18327.
76
17823.
y2
-
0.000757
xy
0.0005
68
0.0207
3
0.0255
5
0.1007
75
0.0006
53
0.0101
56
19445.
22
19135.
96
712.575
0.0913
13
0.0266
54
0.0083
38
0.0007
1
18503.
28
18845.
87
790.475
0.1093
22
0.0119
51
18197.
2
899.925
0.1384
61
0.0191
71
16676.
75
0.0007
02
16453.
76
878.825
0.0265
02
0.0486
6
0.0023
68
17705.
01
879.4
0.0006
54
4.28E07
16123.
46
923.525
0.0501
76
0.0025
18
15454.
92
0.448
919
0.056
997
19436
4.8
577.775
636
694.075
923.775
Sum
=nXY-(x)(y)/nx2(x)2
0.0275
2
29
0.0909
94
0.0159
0.0330
6
0.0185
15
0.0344
2
0.0835
5
0.0133
7
0.008279
883
0.000252
942
0.000178
792
7
0.0023
3
0.0016
0.0030
2
0.0004
94
0.0037
6
0.0115
7
0.0003
5
0.0760
46
0.0893
3
0.0414
6
0.153
07
0.005783
062
0.0037
0.007979
46
-5.8E05
0.0020
8
0.027
41
0.001093
12
0.000342
809
0.001184
719
0.006981
281
0.001719
247
0.034552
606
0.5026
6
From the analysis we find that the value of beta is -0.50266 and beta is here
negative it shows that the return of sensex and return of stock have the
negative relationship.
69
This also indicate that if sensex is increase by 10% then stock is decreased
by around 5%
Start
End
Returns
January
233.4
231.55
-0.00792631
0.10074 -0.10866631
0.011808366
February
229
207.5
-0.09388646
0.10074 -0.19462646
0.03787946
March
204.5
245.9
0.202444988
April
246
330.85
0.344918699
May
330.2
382.25
0.157631738
0.10074 0.056891738
June
385.1
377.95
-0.01856661
0.10074
July
378
490.15
0.296693122
August
494.9
549.95
0.111234593
September
551
602.1
0.092740472
0.10074 -0.00799953
6.39925E-05
October
604
605.9
0.003145695
0.10074
-0.0975943
0.009524648
November
603
629.05
0.043200663
0.10074 -0.05753934
0.003310775
December
631.25
680
0.077227723
0.10074 -0.02351228
0.000552827
Total
Standard Deviation
1.208858317
Avg.Ret
Deviation
-0.11930661
Variance
0.00323667
0.014234066
0.18908571
0.1255275
70
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
232.475
Sense
x
18327.
76
225.2
0.0611
9
0.0318
44
0.0037
44
0.0010
14
17823.
4
19445.
22
288.425
0.2807
5
0.0788
21
19135.
96
381.525
0.2350
7
0.0710
23
0.0552
58
0.0050
44
18503.
28
18845.
87
434.075
0.1377
37
0.0189
71
18197.
2
522.425
0.2035
36
0.0414
27
16676.
75
604.95
0.1036
03
0.0492
59
0.0107
34
0.0024
26
16453.
76
17705.
01
616.025
0.0183
07
0.0003
35
16123.
46
655.625
0.0642
83
0.0041
32
15454.
92
1.134
223
0.221
907
19436
4.8
218.25
356.225
576.55
Sum
y
0.027518
911
0.090993
862
0.015904
166
0.033062
36
0.018515
096
0.034419
743
0.083554
063
0.013371
31
0.076046
448
0.089327
823
0.041463
805
0.153066
776
y2
xy
0.0007
57
0.0082
8
0.001683
865
0.002897
628
0.004465
1
0.007771
96
0.001314
989
0.004740
86
0.017006
28
0.001385
31
0.003745
936
0.001635
35
0.002665
42
0.030027
88
0.0002
53
0.0010
93
0.0003
43
0.0011
85
0.0069
81
0.0001
79
0.0057
83
0.0079
79
0.0017
19
0.034
553
71
=nXY-(x)(y)/nx2(x)2
1.616768
146
From the analysis we find that the value of beta is 1.616768146 and beta is
here positive it shows that the return of sensex and return of stock have the
positive relationship.
This also indicate that if sensex is increased by 10% then stock is increased
by around 16%
Start
End
Returns
Avg.Ret
Deviation
Variance
January
141.9
110.35
-0.22233968
0.051322
-0.27366168
0.074890713
February
109.8
106.85
-0.02686703
0.051322
-0.07818903
0.006113525
March
106.5
106.35
-0.00140845
0.051322
-0.05273045
0.0027805
April
106.25
113
0.063529412
0.051322 0.012207412
0.000149021
May
116.7
168.3
0.442159383
0.051322 0.390837383
0.15275386
June
175
177.25
0.012857143
0.051322
-0.03846486
0.001479545
July
178.1
185.95
0.044076362
0.051322
-0.00724564
5.24993E-05
August
187.8
210.6
0.121405751
0.051322 0.070083751
0.004911732
September
217
238.75
0.100230415
0.051322 0.048908415
0.002392033
October
238.1
231.55
-0.02750945
0.051322
-0.07883145
0.006214397
November
230
254.25
0.105434783
0.051322 0.054112783
0.002928193
December
256
257.1
0.004296875
0.051322
0.002211362
-0.04702512
72
Total
0.615865515
0.256877381
Standard Deviation
0.14630943
CALCULATION OF BETA
Price of
Share
Retur
n (x)
X2
225.2
0.0611
9
0.0318
44
0.0037441
4
0.0010140
54
17823.4
19445.2
2
288.425
0.2807
5
0.0788208
12
19135.9
6
381.525
0.2350
7
0.0710
23
0.0552577
99
0.0050441
99
18503.2
8
18845.8
7
434.075
0.1377
37
0.0189714
03
18197.2
522.425
0.2035
36
0.0414270
07
16676.7
5
0.1036
03
0.0492
59
0.0183
07
0.0107336
62
0.0024264
02
0.0003351
57
16453.7
6
17705.0
1
16123.4
6
232.475
218.25
356.225
576.55
604.95
616.025
Sensex
18327.7
6
y
0.027518
9
0.090993
86
0.015904
2
0.033062
4
0.018515
1
0.034419
7
0.083554
1
0.013371
3
0.076046
45
0.089327
y2
0.000757
29
0.008279
883
0.000252
942
0.001093
12
0.000342
809
0.001184
719
0.006981
281
0.000178
792
0.005783
062
0.007979
46
xy
0.0016
84
0.0028
98
0.0044
7
0.0077
7
0.0013
15
0.0047
4
0.0170
1
0.0013
9
0.0037
46
0.0016
73
655.625
Sum
0.0642
83
0.0041323
18
15454.9
2
1.134
223
0.221906
953
194364
.83
8
0.041463
8
0.15306
68
0.001719
247
0.034552
606
4
0.0026
7
0.030
03
1.613265
8
=nXY-(x)
(y)/nx2-(x)2
From the analysis we find that the value of beta is -1.6132658 and beta is
here negative it shows that the return of sensex and return of stock have the
negative relationship.
This also indicate that if sensex is increase by 10% then stock is decreased
by around 16%
TABLE-1
SELECTED COMPANIES AVG RISK & AVG RETURN FOR THE
YEAR 2007
S.No.
Avg.Returns
Avg.Risk
ABB
0.046
0.077
BHARATI AIRTEL
0.050
0.108
74
BHEL
0.024
0.114
CIPLA
-0.037
0.264
HCLTECH
0.003
0.069
INFOSYS
0.023
0.063
M&M
0.020
0.055
ONGC
-0.001
0.086
REL
0.006
0.157
10
SATYAM
0.013
0.085
11
SBI
0.010
0.107
12
TATA MOTORS
0.012
0.077
13
TATA TEA
0.019
0.077
14
WIPRO
-0.034
0.202
15
ZEEL
0.016
0.065
GRAPH-1
INTERPRETRATION:
75
CIPLA and WIPRO are in loss and risk is more, ABB is showing less risk compare to
other companies.
TABLE-2
SELECTED COMPANIES AVG. RISK & AVG. RETURNS
FOR THE YEAR 2008
S.No.
Avg.Returns
Avg.Risk
ABB
0.055
0.089
BHARATI AIRTEL
0.006
0.093
BHEL
0.049
0.113
CIPLA
0.049
0.128
HCLTECH
0.037
0.096
INFOSYS
0.029
0.077
M&M
0.044
0.110
76
ONGC
0.030
0.080
REL
0.004
0.087
10
SATYAM
0.048
0.048
11
SBI
0.030
0.096
12
TATA MOTORS
0.008
0.100
13
TATA TEA
0.051
0.088
14
WIPRO
-0.045
0.199
15
ZEEL
-0.011
0.108
GRAPH-2
INTERPRETATION:
WIPRO and ZEEL are in loss and risk is more, ABB earned more returns than other
companies and risk is less compare to other companies in the year 2008.
77
TABLE-3
SELECTED COMPANIES AVG. RISK & AVG. RETURN
FOR THE YEAR 2009
S.No.
Avg.Returns
Avg.Risk
ABB
0.057
0.150
BHARATI AIRTEL
0.004
0.054
BHEL
0.035
0.108
CIPLA
-0.010
0.208
HCLTECH
0.018
0.089
INFOSYS
0.022
0.177
M&M
0.047
0.059
ONGC
-0.009
0.113
REL
-0.006
0.073
10
SATYAM
-0.022
0.150
78
11
SBI
-0.024
0.189
12
TATA MOTORS
0.091
0.264
13
TATA TEA
-0.017
0.073
14
WIPRO
0.029
0.084
15
ZEEL
0.053
0.139
GRAPH-3
INTERPRETATION:
SATYAM, SBI earned more, loss risk is more. CIPLA, ONGC and TATA TEA also
earned loss and risk is high. TATA MOTORS returns are high compare to other
companies in the year 2009.
79
TABLE-4
SELECTED COMPANIES AVG. RISK & AVG. RETURN
FOR THE YEAR 2010
S.No.
Avg.Returns
Avg.Risk
ABB
-0.028
0.239
BHARATI AIRTEL
0.050
0.044
BHEL
0.043
0.191
CIPLA
-0.014
0.072
HCLTECH
-0.032
0.171
INFOSYS
-0.021
0.065
M&M
-0.003
0.066
ONGC
0.035
0.102
REL
0.128
0.177
10
SATYAM
-0.010
0.089
11
SBI
0.062
0.108
12
TATA MOTORS
-0.005
0.075
13
TATA TEA
0.025
0.126
14
WIPRO
-0.015
0.057
15
ZEEL
0.027
0.123
80
GRAPH-4
INTERPRETATION:
ABB, HCL earned more loss CIPLA, INFOSYS, SATYAM, WIPRO, M&M also earned
loss risk is high. AIRTEL earned high returns and risk is less compare to other companies
in the year 2010
81
TABLE-5
Avg.Returns
Avg.Risk
ABB
0.055
0.13485
BHARATI AIRTEL
-0.050
0.17806
BHEL
0.050
0.08047
CIPLA
0.053
0.06948
HCLTECH
0.114
0.13585
INFOSYS
0.146
0.09959
M&M
0.118
0.11629
ONGC
0.639
0.69941
REL
0.007
0.18014
10
SATYAM
0.048
0.29041
11
SBI
0.046
0.15669
12
TATA MOTORS
0.149
0.17736
13
TATA TEA
0.034
0.06990
14
WIPRO
0.101
0.12553
15
ZEEL
0.051
0.14631
82
GRAPH-5
INTERPRETATION:
ABB, Dr.REDDYS and INFOSYS are in huge losses. NALCO earned high returns and
risk is less compare to other companies in the year 2011.
83
CHAPTER-6
FINDINGS
&
SUGGESTIONS
84
FINDINGS-:
After the data is analyzed the following facts have been observed.
2007: From risk-return analysis of 2007, it is found that risk of all companies are higher
than their returns, but in comparison returns of ABB and BHARTHI AIRTEL has higher,
where as CIPLA and WIPRO has negative returns.
2008: From the analysis, the risk of all companies is higher than their returns excluding
satyam (Mahindra Satyam). In comparison returns of ABB and TATA TEA is higher,
WIPRO continued its negative returns along with ZEEL.
2009: From the analysis, the M&M is performing better than other companies. In this
year most of the companies has negative returns. Satyam in particular has negative
returns and higher risk, this is due to BANKRUPTCY.
2010: From the analysis, BHARATI AIRTEL is performing better followed by
RELIANCE industries. In this year total software industry is not doing well because of
financial crisis in USA, followed by high inflation rate. In this year TELECOM industry
is performing better when compared to other industries.
2011: From the analysis, total software industry having started recovering, so their stocks
were going along with their risk. This year was good as all the companies are doing well.
TATA Motors is also another stock which is performing well due to launch of TATA
NANO.
85
SUGGESTIONS-:
After observing the facts found out after the analysis and interpretations the following
suggestions are made to the investors.
When there is more risk, the return will also be highs but this does not hold in all
situations especially in the case of economic crisis.
The sentiments and emotions sometimes play a vital role in causing fluctuations
in the stock markets. Therefore it is not advisable to invest at the time of crisis.
When markets are sliding down steeply, the investors will not be protected against
the risk of investment. Therefore it is not advisable to invest when the markets
are very volatile.
Always it is felt that market position never stays for a long time. In this opinion
Bullish and Bearish markets end after some time. Therefore one can invest the
time of Bearish and soon after they reach bullish trend they can sell them off.
86
BIBLIOGRAPHY
87
BIBLIOGRAPHY
Puthi Sing.,Investing Management, 3rd edition, New Delhi, Vikas Publication
House Pvt. Ltd.
Maheshwari, S.N, Advanced Accounting, 4th edition Sultan Chand & Sons
Publication, New Delhi, 2004,(tools of financial analysis)
http://www.NSEindia.com
http://www.Investopedia.com
http://www. Glossary reuters.com
http://www. Capitalmarket.com
http://www. Answers.com
88
89