A STUDY ON

EQUITIES AND PORTFOLIO MANAGEMENT

WITH REFERENCE TO
ICICI Securities Ltd
&
SBI Capital Markets (SBICAPS)

CONTENTS
SL.NO

PARTICULARS

INTRODUCTION

PROFILE OF INDUSTRY
&
COMPANIES

RESEARCH METHODOLOGY
NEED OF THE STUDY
OBJECTIVE OF THE STUDY
SCOPE OF THE STUDY
LIMITATIONS OF THE STUDY
METHODOLOGY OF THE STUDY

DATA ANALYSIS & INTERPRETATION

FINDINGS, SUGGESTIONS
&
BIBLIOGRAPHY

CHAPTER 1
INTRODUCTION

INTRODUCTION TO INVESTMENT
Investment may be defined as an activity that commits funds in any financial
form in the present with an expectation of receiving additional return in the
future. The expectations bring with it a probability that the quantum of
return may vary from a minimum to a maximum. This possibility of
variation in the actual return is known as investment risk. Thus every
investment involves a return and risk.
Investment is an activity that is undertaken by those who have
savings. Savings can be defined as the excess of income over expenditure.
An investor earns/expects to earn additional monetary value from the mode
of investment that could be in the form of financial assets.
The three important characteristics of any financial asset are:
Return-the potential return possible from an asset.
Risk-the variability in returns of the asset form the chances of its
value going down/up.
Liquidity-the ease with which an asset can be converted into cash.
Investors tend to look at these three characteristics while deciding on
their individual preference pattern of investments. Each financial asset will
have a certain level of each of these characteristics.

Investment avenues
There are a large number of investment avenues for savers in India.
Some of them are marketable and liquid, while others are non-marketable.
Some of them are highly risky while some others are almost risk less.
Investment avenues can be broadly categorized under the following heads:
Corporate securities
Equity shares.
Preference shares.
Debentures/Bonds.
Derivatives.
Others.
Corporate Securities
Joint stock companies in the private sector issue corporate securities. These
include equity shares, preference shares, and debentures. Equity shares have
variable dividend and hence belong to the high risk-high return category;
preference shares and debentures have fixed returns with lower risk.
The classification of corporate securities that can be chosen as investment
avenues can be depicted as shown below:

Equity
Shares

Preference
shares

Bonds

Warrants

Derivatives

Equity shares
By investing in shares, investors basically buy the ownership right to
the company. When the company makes profits, shareholders receive their
share of the profits in the form of dividends. In addition, when company
performs well and the future expectation from the company is very high, the
price of the companys shares goes up in the market. This allows
shareholders to sell shares at a profit, leading to capital gains.

Investors can invest in shares either through primary market offerings

or in the secondary market.
The primary market has shown abnormal returns to investors who
subscribed for the public issue and were allotted shares.

Stock Exchange:
In a stock exchange a person who wishes to sell his security is called a
seller, and a person who is willing to buy the particular stock is called as the
buyer. The rate of stock depends on the simple law of demand and supply. If
the demand of shares of company x is greater than its supply then its price of
its security increases.
In Online Exchange the trading is done on a computer network. The
sellers and buyers log on to the network and propose their bids. The system
is designed in such ways that at any given instance, the buyers/sellers are
bidding at the best prices.
The transaction cycle for purchasing and selling shares online is
depicted below:

Transaction Cycle

Client

Member/
Broking
firm.

Stock Exchange

Member/
Broking
firm.

Client

(BSE / NSE)

PORTFOLIO
A portfolio is an appropriate mix of or collection of investments held by an institution or
a private individual. It is a collection of securities, since it is rarely desirable to invest the
entire funds of an individual or an institution in a single security.
Portfolio analysis considers the determination of future risk and return in holding
various blends of individual securities.

Portfolio expected return is a weighted average of the expected return of

individual securities but portfolio variance, in short contrast, can be something
less than a weighted average of security variances.
As a result an investor can sometimes reduce portfolio risk by adding security
with greater individual risk than any other security in the portfolio. This is
because risk depends greatly on the co-variance among return of individual
securities.
Since portfolios expected return is a weighted average of the expected return of its
securities, the contribution of each security to the portfolios expected returns
depends on its expected returns and its proportionate share of the initial portfolios
market value.

RISK
Risk is a concept that denotes a potential negative impact to an asset or some
characteristic of value that may arise from some present process or future event. In
everyday usage, risk is often used synonymously with the probability of a known loss.
Risk is uncertainty of the income / capital appreciation or loss of the both.
The total risk of an individual security comprises two components, the market related risk
called systematic risk also known as undiversifiable risk and the unique risk of that
particular security called unsystematic risk or diversifiable risk.
Types of risk
Systematic risk (market)
Examples:
Interest rate risk
Market risk
Inflation risk
Demand
Government policy

Unsystematic risk (company risk)

Examples:

Labor troubles
Liquidity problems
Raw materials risks
Financial risks
Management problems

International factors

PHASES OF PORTFOLIO MANAGEMENT

Five phases can be identified in this process:
1.
2.
3.
4.
5.

Security analysis
Portfolio analysis
Portfolio selection
Portfolio revision
Portfolio evaluation

SECURITY ANALYSIS
An examination and evaluation of the various factors affecting the value of a
security. Security Analysis stands for the proposition that a well-disciplined
investor can determine a rough value for a company from all of its financial
statements, make purchases when the market inevitably under-prices
some of them, earn a satisfactory return, and never be in real danger of
permanent loss.
PORTFOLIO ANALYSIS
Analysis phase of portfolio management consists of identifying the range of
possible portfolios that can be constituted from a given set of securities
and calculating their return and risk for further analysis.
PORTFOLIO SELECTION
The proper goal of portfolio construction is to generate a portfolio that provides
the highest returns at a given level of risk. A portfolio having this
characteristic is known as an efficient portfolio. The inputs from portfolio
analysis can be used to identify the set of efficient portfolios. From this set
of efficient portfolios, the optimal portfolio has to be selected for
investment. Harry Markowitz portfolio theory provides both the conceptual
framework and analytical tools for determining the optimal portfolio in a
disciplined and objective way.
PORTFOLIO REVISION
Having constructed the optimal portfolio, the investor has to constantly monitor
the portfolio to ensure that it continues to be optimal. Portfolio revision is
as important as portfolio analysis and selection.

PORTFOLIO EVALUATION
It is the process, which is concerned with assessing the performance of the
portfolio over a selected period of time in terms of returns and risk. This
involves quantitative measurement of actual return realized and the risk
born by the portfolio over the period of investment. It provides a feedback
mechanism for improving the entire portfolio management process.

CHAPTER 2
PROFILE OF INDUSTRY
&
COMPANIES

10

INDUSTRY PROFILE:
An investment bank is a financial institution that assists individuals, corporations, and
governments in raising financial capital byunderwriting or acting as the client's agent in
the issuance of securities. An investment bank may also assist companies involved
inmergers and acquisitions (M&A) and provide ancillary services such as market making,
trading
of derivatives and equity
securities,
and
FICC
services
(fixed
income instruments, currencies, and commodities).
Unlike commercial banks and retail banks, investment banks do not take deposits. From the
passage of GlassSteagall Act in 1933 until its repeal in 1999 by the GrammLeachBliley
Act, the United States maintained a separation between investment banking and commercial
banks. Other industrialized countries, including G7 countries, have historically not maintained
such a separation. As part of the DoddFrank Wall Street Reform and Consumer Protection
Act of 2010 (Dodd-Frank Act of 2010), the Volcker Rule asserts full institutional separation of
investment banking services from commercial banking.
The two main lines of business in investment banking are called the sell side and the buy
side. The "sell side" involves trading securities for cash or for other securities (e.g. facilitating
transactions, market-making), or the promotion of securities (e.g. underwriting, research,
etc.). The "buy side" involves the provision of advice to institutions that buy investment
services. Private equity funds, mutual funds, life insurance companies, unit trusts, and hedge
funds are the most common types of buy-side entities.
An investment bank can also be split into private and public functions with a Chinese
wall separating the two to prevent information from crossing. The private areas of the bank
deal with private insider information that may not be publicly disclosed, while the public
areas, such as stock analysis, deal with public information.
An advisor who provides investment banking services in the United States must be a
licensed broker-dealer and subject to U.S. Securities and Exchange Commission (SEC)
andFinancial Industry Regulatory Authority (FINRA) regulation.
There are various trade associations throughout the world which represent the industry
in lobbying, facilitate industry standards, and publish statistics. The International Council of
Securities Associations (ICSA) is a global group of trade associations.
In the United States, the Securities Industry and Financial Markets Association (SIFMA) is
likely the most significant; however, several of the large investment banks are members of
[12]
the American Bankers Association Securities Association (ABASA),
while small
investment banks are members of the National Investment Banking Association (NIBA).
In Europe, the European Forum of Securities Associations was formed in 2007 by various
[13]
European trade associations.
Several European trade associations (principally the

11

London Investment Banking Association and the European SIFMA affiliate) combined in
2009 to form Association for Financial Markets in Europe (AFME).
In the securities industry in China (particularly mainland China), the Securities Association of
China is a self-regulatory organization whose members are largely investment banks.

Global size and revenue mix[edit]

Global investment banking revenue increased for the fifth year running in 2007, to a record
US$84 billion, which was up 22% on the previous year and more than double the level in
[14]
2003.
Subsequent to their exposure to United States sub-prime securities investments,
many investment banks have experienced losses. As of late 2012, global revenues for
investment banks were estimated at $240 billion, down about a third from 2009, as
[15]
companies pursued less deals and traded less.
Differences in total revenue are likely due
to different ways of classifying investment banking revenue, such as subtracting proprietary
trading revenue.
In terms of total revenue, SEC filings of the major independent investment banks in the
United States show that investment banking (defined as M&A advisory services and security
underwriting) only made up about 15-20% of total revenue for these banks from 1996 to
2006, with the majority of revenue (60+% in some years) brought in by "trading" which
includes brokerage commissions and proprietary trading; the proprietary trading is estimated
[2]
to provide a significant portion of this revenue.
The United States generated 46% of global revenue in 2009, down from 56% in 1999.
Europe (with Middle East and Africa) generated about a third while Asian countries
[14]:8
generated the remaining 21%.
The industry is heavily concentrated in a small number of
major financial centers, including City of London, New York City, Frankfurt, Hong
Kong and Tokyo.
According to estimates published by the International Financial Services London, for the
decade prior to the financial crisis in 2008, M&A was a primary source of investment banking
revenue, often accounting for 40% of such revenue, but dropped during and after the
[14]:9
financial crisis.
Equity underwriting revenue ranged from 30% to 38% and fixed-income
underwriting accounted for the remaining revenue.

[14]:9

Revenues have been affected by the introduction of new products with higher margins;
however, these innovations are often copied quickly by competing banks, pushing down
trading margins. For example, brokerages commissions for bond and equity trading is a
commodity business but structuring and trading derivatives has higher margins because
each over-the-counter contract has to be uniquely structured and could involve complex payoff and risk profiles. One growth area is private investment in public equity (PIPEs, otherwise
known as Regulation D or Regulation S). Such transactions are privately negotiated between
companies and accredited investors.
Banks also earned revenue by securitizing debt, particularly mortgage debt prior to the
financial crisis. Investment banks have become concerned that lenders are securitizing inhouse, driving the investment banks to pursue vertical integration by becoming lenders,
which is allowed in the United States since the repeal of the Glass-Steagall Act in 1999

12

PROFILE OF COMPANIES:

ICICI Securities Limited

ICICI Securities Ltd is a premier Indian Investment Bank, with a dominant position in its
core segments of its operations - Corporate Finance including Equity Capital Markets
Advisory Services, Institutional Equities, Retail and Financial Product Distribution.
ICICI Securities Limited assists global institutional investors to make the right decisions
through insightful research coverage and a client focused Sales and Dealing team.
ICICI Securities has the largest reach to the retail segment through its two pioneering bra
Winning is a habit that is assiduously cultivated at ICICI Securities Limited (I-Sec). Be it
deals, mandates or awards, we manage them all in our quite and efficient way.

13

For us winning awards is a matter of pride and honour. Each new award is a
manifestation of our hard work and commitment to our clients
Since inception, I-Sec's expertise has been time and again widely recognized by both
domestic and international agencies.
I-Sec PD has been recognized as the Best Domestic Bond House in India by Asiamoney
for 2002, 2003, 2004, 2005 and 2007. I-Sec PD has been awarded the prestigious Best
Bond House by Financeasia.com for the years - 2001, nds ICICIdirect.com and
ICICIdirect2004, 2005, 2006 and 2007. These awards are a strong testimony of our
capabilities and continuing dominant position in the market. The equities team was
adjudged the Best Indian Brokerage House-2003 by Asiamoney. The Corporate Finance
group also was awarded a runner-up Best Merchant Banker by Outlook Money in 2007.
ICICI Securities (I-Sec) topped the Prime Database League Tables 2007 for money raised
through IPOs/FPOs.
With a full-service portfolio, a roster of blue-chip clients and performance second to
none, we have a formidable reputation within the industry. Today ICICI Securities is
among the leading Financial Institutions both on the institutional as well as retail side.
The Corporate Finance team regularly ranks highest among the leading capital markets
league tables and recently topped the Prime Database League tables for funds mobilized
through equity instruments in the first half of CY 07.
Headquartered in Mumbai, I-Sec operates out of several locations in India.
ICICI Securities Inc., the step-down wholly owned US subsidiary of the company is a
member of the National Association of Securities Dealers, Inc. (NASD). As a result of
this membership, ICICI Securities Inc. can engage in permitted activities in the U.S.
securities markets. These activities include Dealing in Securities and Corporate Advisory
Services in the United States and providing research and investment advice to US
investors.
ICICI Securities Inc. is also registered with the Financial Services Authority, UK (FSA)
and the Monetary Authority of Singapore (MAS) to carry out Corporate Advisory
Services and Dealing in Securities.

14

ICICI Securities
A subsidiary of ICICI Bank - the largest and most recognized private bank in India
ICICI Securities Ltd is premier Indian Investment Bank, with a dominant position in its
core segments of its operations - Corporate Finance including Equity Capital Markets
Advisory Services, Institutional Equities, Retail and Financial Product Distribution With
a full-service portfolio, a roster of blue-chip clients and performance second to none, we
have a formidable reputation within the industry. I

15

SBI Capital Markets (SBICAPS)

SBI Capital Markets (SBICAPS) is an investment bank founded in August

1986. It is a wholly owned subsidiary and the investment banking arm
of State Bank of India (SBI).[2] Headquartered in Mumbai, SBICAP has 5
regional offices across India (Ahmedabad, Chennai, Hyderabad, Kolkata
and New Delhi), 2 branch offices (Pune and Guwahati) and 5 subsidiaries SBICAP Securities Limited, SBICAP Trustee Company Limited, SBICAP
Ventures Limited, SBICAP (UK) Limited and SBICAP (Singapore) Limited.
SBICAP also offers services in the areas of Equity Broking & Research,
Security Agency & Debenture Trusteeship and Private Equity Investment &
Asset Management through its wholly owned subsidiaries SBICAP
Securities Limited, SBICAP Trustee Co. Ltd and SBICAP Ventures Limited,
respectively.

16

In January 1997 the Asian Development Bank acquired a 13.84% equity

stake in SBICAPS. This share was repurchased by State Bank of India in
March 2010.[3] In January 2006 SBICAP and the international investment
banking group CLSA announced a two-year partnership to work on large
joint deals in equity capital and mergers & acquisitions.[4] In September
2006 SBI Caps announced that it had set up a $100 million venture fund in
partnership with the venture capital division of SBI Holdings of Japan.[5]
Air India ran into serious financial difficulties, and in July 2009 SBICAPS
was asked by Civil aviation minister Praful Patel to prepare a road map to
bring the carrier back into profitability.[6] SBI Capital was appointed the
mandated firm to restructure Kingfisher Airlines loans during the Kingfisher
Airlines financial crisis, starting in 2010. In February 2012 SBSCAP and
other bank lenders were insisting that commissions paid to promoters be
reversed before they would consider providing further funding to the stilltroubled airline.[7]
In October 2006 R Sridharan was appointed managing director and CEO
of SBI Capital.[8] In July 2009 SBICAPS announced that S. Vishvanathan
had replaced A.P. Verma as MD & CEO. Vishvanathan had joined SBI in
1976, had helped set up SBI's New York branch, and had been chief
general manager of SBIs North Eastern operations.[9]

17

Awards

IFR Asia Best high yield

bond, 2014 for Tata Steels
US$1.5bn dual-tranche bond
issue

Asiamoney - Regional
Capital Markets Awards for Best High Yield Bond for Tata Steel
US$1.5bn dual tranche senior bond

Best high yield bond/ Best new bond for Tata Steel US$1.5 bn 5.5year and 10-year bonds at The Asset Triple A Regional Awards 2014

"Deal of the Year" Award for 2014 from M&A International

IFR Asia India Loan House of the Year in 2013 for the 5th
consecutive year

Thomson Reuters PFI - Industry Deal of the Year Award for 2013
(Asia-Pacific) for Tata Steels 6 MTPA Green field integrated steel plant
in Odisha.

Euromoney Project Finance Asia Pacific Mining & Metals Deal of the
Year 2013 for project finance of Tata Kalinganagar (Tata Steel Odisha)

BusinessWorld-Grant Thornton's 'Top INR Bonds & Loan deal-maker

of the year' award for maximum issues in 2013

Thomson Reuters- PFI African Oil & Gas Deal of the Year in 2012
for Bharat Petro Resources (BPCL) Mozambique

Business World Awards Deal of the Year in 2012 for Videocon

18

CHAPTER 3
RESEARCH METHODOLOGY

19

NEED FOR THE STUDY:

The purpose of the study is to know the fluctuations in the share price of
sample companies.
The purpose of the study is to help the unknown investors for investing in
securities.
To update the portfolio reviewed and adjusted from time to time in tune with
market condition.
To analyse the risk and return on securities.
To test portfolio strategies before taking decisions.

20

OBJECTIVES OF THE STUDY

The objectives of Equities and investment /portfolio management can be categorised as
follows:
To observe the rate of fluctuations of selected companies.
The amount of risk involved in the securities of the sample companies.
To make comparative study of risk and return of the sample companies.

21

SCOPE OF THE STUDY

The study covers all the information related to the Equity fund and the Portfolio
management it also covers the investor risk in the investment in various securities.
Identification of the investors objectives, constraints and preferences.
Strategies are to be developed and implemented in tune with investment policy
formulated.
To reduce the future risk in advance.
To earn maximum profit in the securities.
Review and monitoring of the performance of the portfolio.
Finally the evaluation of the portfolio.

22

LIMITATIONS OF THE STUDY:

The companies are selected on the basis of the performance

Expand or contract the size of the portfolio reflect the changes in investor risk
disposition.

23

METHODOLOGY OF THE STUDY

Primary Data:
The data provided by the firm was been analyzes by using Markowitz model
determines an efficient asset of portfolio return i.e.,
1. Return
2. Standard deviation
3. Coefficient of correlation
Secondary Data:
The data that is used in this project is of secondary nature. The data is to
be collected from secondary sources such as various websites, journals, newspapers,
books, etc., the analysis used in this project has been done using selective technical tools.
In Equity market, risk is analyzed and trading decisions are taken on basis of technical
analysis.It is collecting share prices of selected companies for a period of five years.

PERIOD OF THE STUDY:

The study of Equity value and portfolio management for a period of five years
(2003-2007).

SOURCE :
NCE, The standards set by NSE in terms of market practices and technologies have
become industry benchmarks and are being emulated by other market participants. NSE
is more than a mere market facilitator. It's that force which is guiding the industry
towards new horizons and greater opportunities.

TOOLS & TECHNIQUES:

The following statistical techniques were used for measuring the performance of the
companys funds.
1. Rate of Return (ROR)
N2-N1
ROR
=
N1
Where, N1 is Close period at period1
N2 is Close period at period
2. Standard Deviation (SD)
[R-AVG(R)]
SD

=
N
Where, R is rate of return

24

N is total number of months

3. Beta
n xy x * y
Beta

=
n x2 (x)2

4. Alpha
Alpha

Avg (y) (beta*Avg (x))

5. Coefficient of Correlation
n xy x * y
Coefficient of Correlation

=
[(n y2 (y) 2) (n x2 (x) 2)]

6. Coefficient of determination
Coefficient of determination =

(Coefficient of Correlation) 2

25

CHAPTER -4
DATA ANALYSIS
&
INTERPRETATION

26

MODELS
Some of the financial models used in the process of Valuation, stock selection, and
management of portfolios include:

Maximizing return, given an acceptable level of risk.

Modern portfolio theorya model proposed by Harry Markowitz among others.
The single-index model of portfolio variance.
Capital asset pricing model.
Arbitrage pricing theory.
The Jensen Index.
The Treynor Index.
The Sharpe Diagonal (or Index) model.
Value at risk model.

MARKOWITZ: PORTFOLIO SELECTION MODEL

The basic portfolio model, developed by Harry Markowitz, derived the expected rate of
return for a portfolio of assets and an expected risk measure. Markowitz showed that the
variance of the rate of return was meaning full measure of risk under a reasonable set of
assumptions and derives the formulas for computing the variance of the portfolio. This
portfolio variance formulation indicated the importance of diversification for reducing
risk, and showed how to properly diversify.
PARAMETERS OF MARKOWITZ: THE MEAN VARIANCE CRITERION

Based on his research, for building up the efficient set of portfolio, as laid down by
Markowitz, we need to look into these important parameters.
1. Expected return
2. Variability of returns as measured by standard deviation from the mean.
3. Covariance or variance of one asset return to other asset returns.
ASSUMPTIONS OF MARKOWWITZ MODEL:
1. Investors consider each investment alternative as being represented by a
probability distribution of expected returns over some holding period.
2. Investors maximize one period expected utility and possess utility curves that
demonstrate diminishing marginal utility of wealth.
3. Individuals estimate risk on the basis of the variability of expected returns.
27

4. Investors base decisions solely on expected return and risk; i.e, their utility curves
are a function of expected return and variance (or standard deviation) of returns
only.
5. For a given risk level, investors prefer higher returns to lower returns. Similarly,
for a given level of expected return, investors prefer less risk to more risk.

EXPECTED RISK CALCULATION:

PORTFOLIORISK = SQRT [((XX2*SDX2)+(XY2*SDY2)+(2*XX*XY*(rXY*SDX2*SDY2)))]

WHERE
Xx, Xy = proportion of total portfolio invested in security X& Y respectively
sdx, sdy = standard deviation of stock X & stock Y respectively

rxy = correlation coefficient of x & y

EXPECTED RETURN OF A PORTFOLIO CALCULATION:
PORTFOLIO RETURN =[(XX*RX)+(XY*RY)]

WHERE
XX = proportion

of total portfolio invested in security X

XY = proportion

of total portfolio invested in security Y

RX = expected

return to security X

RY = expected

return to security Y

FORMULAS USED IN MARKOWITZ MODEL

Arithmetic return

Where

Vi is the initial investment value and

Vf is the final investment value

28

This return has the following characteristics:

ROIArith = + 1.00 = + 100% when the final value is twice the initial value
ROIArith > 0 when the investment is profitable
ROIArith < 0 when the investment is at a loss
ROIArith = 1.00 = 100% when investment can no longer be recovered

STANDARD DEVIATION
= Square root ((mean return -expected return)^2/N)

29

COVARIANCE
COV (X, Y)=1/N[(RX-RX)(RY-RY)
BETA:
The Beta coefficient, in terms of finance and investing, is a measure of a stock (or
portfolio)s volatility in relation to the rest of the market. Beta is calculated for individual
companies using regression analysis.
The beta coefficient is a key parameter in the capital asset pricing model (CAPM). It
measures the part of the asset's statistical variance that cannot be mitigated by the
diversification provided by the portfolio of many risky assets, because it is correlated
with the return of the other assets that are in the portfolio.
For example, if every stock in the New York Stock Exchange was uncorrelated with
every other stock, then every stock would have a Beta of zero, and it would be possible to
create a portfolio that was nearly risk free, simply by diversifying it sufficiently so that
the variations in the individual stocks' prices averaged out. In reality, investments tend to
be correlated, more so within an industry, or when considering a single asset class (such
as equities). This correlated risk, measured by Beta, is what actually creates almost all of
the risk in a diversified portfolio.
The formula for the Beta of an asset within a portfolio is

Where
ra measures the rate of return of the asset,
rp measures the rate of return of the portfolio of which the asset is a part
And Cov (ra, rp) is the covariance between the rates of return.
In the CAPM formulation, the portfolio is the market portfolio that contains all risky
assets, and so the rp terms in the formula are replaced by rm, the rate of return of the
market.
The beta movement should be distinguished from the actual returns of the stocks. For
example, a sector may be performing well and may have good prospects, but the fact that
its movement does not correlate well with the broader market index may decrease its
beta. Beta is a measure of risk and not to be confused with the attractiveness of the
investment.
30

THE SECURITY MARKET LINE

The Security Market Line (SML) is the graphical representation of the Capital Asset
Pricing Model. It displays the expected rate of return for an overall market as a function
of systematic (non-diversifiable) risk (beta).
The x-axis represents the risk (beta), and the y-axis represents the expected return. The
market risk premium is determined from the slope of the SML.
The securities market line can be regarded as representing a single-factor model of the
asset price, where Beta is exposure to changes in value of the Market. The equation of the
SML is thus:

IMPLICATIONS FOR INVESTORS FROM THE MEASUREMENT OF PORTFOLIO

RISK
If the investor conservative and interested in low variability of portfolio returns from the
expected return (actual realizable return not from expected), he should:
1. Invest his funds in securities with low standard deviations, and
2. Ensure that the securities chosen for his portfolio have relatively low coefficients
of correlation with one another.
Theoretically, if it is possible, he should include some securities with negative
coefficients of correlation with other securities in the portfolio.

31

ICICI BANK
Business Profile
ICICI Bank was promoted in 1994 by ICICI Ltd., an Indian
development financial instituition. The two entities subsequently merged to
become the largest comercial bank in the private sector.
A new generation bank, ICICI Bank started with all the latest
technologies to hit the Indian banking industry in the second half of the
ninties. All its branches are fully computerised with the state-of-the-art
technology and systems, networked through VSAT technology. The bank is
connected to the SWIFT International network.
In 2005, it expanded its network to 562 branches and 1,910 ATMs. It
continued to expand its electronic channels, namely internet banking, mobile
banking, call centres and ATMs, and migrate customer transaction volumes
to these channels. Over 70% of customer induced transactions take place
through these electronic channels.
It has acquired a small Russian banking entity, InvestitsionnoKreditny Bank (IKB), which will help boost its corporate business and
deposit franchise overseas. The bank has also built several strategic alliances
with banks like Wells Fargo in USA, Lloyds TSB in UK and DBS in
Singapore.
ICICI has entered into strategic alliance with Prudential plc. of UK for
its mutual find buisness. The duo have been fairly aggressive through their
companies, Prudential ICICI Asset Management Company Limited and
Prudential ICICI Trust Limited.
The bank is also keen to offer its services to the Indian agricultural
sector. Over 2,000 Internet kiosks and 70 agri-desks have been established in
locations with large agricultural markets.
Recent Developments
ICICI Bank launched `Mutual Fund Sweep Account` - an automatic
sweeping facility which allows current account holders to park their shortterm surpluses into liquid mutual funds and earn higher returns. Initially,
ICICI Bank current account customers will have the facility to invest their
account surpluses in the liquid fund schemes of Prudential ICICI Asset
Management Company and GIC Mutual Fund.

32

The bank is in the process of the reverse merger of ICICI with ICICI
Bank. The merger of two wholly-owned subsidiaries of ICICI, ICICI
Personal Financial Services Limited and ICICI Capital Services Limited,
with ICICI Bank is also underway.
ICRA has assigned an A1+ rating, indicating highest safety in the
short-term, to the Rs 500 crore certificates of deposit (CD) programme of
ICICI Bank Ltd (IBL). The rating agency said in its report that the rating
takes into consideration IBL`s strategic importance to its parent ICICI, IBL`s
comfortable profitability and capital adequacy, good control on asset quality.

33

2004
Open
Price

High
Price

Low
Price

Last
Price

Close
Price

Total Traded
Quantity

Turnover in
Lacs

Series

Date

EQ

Jan

297.9

305.5

297

301.8

302.75

1475607

4463.332617

EQ

Feb

295

303

280

297

295.3

2199927

6450.500538

EQ

Mar

273.7

283.05

271.1

281.35

281.7

1446826

4009.055571

EQ

Apr

298.7

302.95

296.5

301.55

300.95

1287142

3854.740634

EQ

May

314.5

319.3

310.5

315

314.8

2427306

7634.389072

EQ

Jun

229

239.5

229

238.8

236.75

645001

1525.128864

EQ

Jul

245.6

248.8

242.1

247.95

247.8

1708651

4209.053305

EQ

Aug

267

277

267

275.65

275.9

1158676

3166.630872

EQ

Sep

273

273

268.1

270.5

270.9

382950

1037.416655

EQ

Oct

289

294

287.5

290.1

289.3

770631

2236.878429

EQ

Nov

299.1

300.8

295.6

296.25

296.3

336132

998.595491

EQ

Dec

340.1

342.8

334

339

339.75

836789

2840.424768

34

2005
Series

Date

Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

EQ

Jan

371.35

375

375

370.15

373.5

371.35

412258

1537.493731

EQ

Feb

360.9

363

368

358.15

360.5

361.8

504522

1826.499843

EQ

Mar

380.9

381.5

382

369.05

373.9

372.25

388748

1452.231185

EQ

Apr

392.8

393

407.45

393

407

406.05

922987

3705.56233

EQ

May

359.95

368

373.95

357.55

360.45

360.35

716359

2597.986122

EQ

Jun

392.05

393.95

401

393

401

399.4

278070

1105.869992

EQ

Jul

425.75

427

429.25

419.2

419.55

421.25

431571

1832.331435

EQ

Aug

534.45

532.5

549.9

525

535.8

538.4

1459516

7794.022609

EQ

Sep

481.8

482.25

495.25

481.2

484

483.85

521027

2542.511994

EQ

Oct

601.7

604.4

614

587.65

589

593.4

566954

3421.112911

EQ

Nov

498.6

501

510

493.7

496

498.65

122530

614.5857475

EQ

Dec

538.05

540

544.8

537

539

540.55

799196

4318.477188

35

Close
Price

Total Traded
Quantity

Turnover in
Lacs

2006

Series Date

Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

EQ

Jan

585.05

587.7

609.9

587.7 593.95

EQ

Feb

609.25

619.9

619.9

588.6

EQ

Mar

615.25

600

620

EQ

Apr

589.05

599

EQ

May

591.75

EQ

Jun

537.5

542

EQ

Jul

487.9

499 518.35

EQ

Aug

553.85

554

554

541.9

EQ

Sep

597.45

594.9

611.9

588.5

609.5

EQ

Oct

699.6

700

708

691.5

EQ

Nov

777.15

784.9

EQ

Dec

872.45

883

Close
Price

Total Traded
Quantity

Turnover
in
Lacs

597

10240898

61395.27

590.2

871478

5208.205

560

614.4 616.55

1160638

7115.239

611.95

592

603.9

604

809778

4889.214

600.1 625.85

600.1

618.7 621.95

1621966

9981.174

551 531.15

592

532

534.3

791136

4277.888

485 488.45

489.1

490577

2401.659

550 549.65

636281

3488.624

609.6

1711581

10398.98

692.1 697.75

760505

5330.941

784.9 771.15 777.25 778.15

936459

7276.903

1236189

10872.02

884.5 865.65

36

876 878.15

2007
Prev
Close

Open
Price

High
Price

Last
Price

Close
Price

Total Traded
Quantity

Turnover in
Lacs

888

895.25

897.45

345636

3109.8611

957

942.35

952.9

952.55

811547

7710.4247

840

858.5

824

857

855.35

1081867

9106.0205

853.35

820.6

829.7

800.05

805.3

803.95

1829939

14810.493

May

865.85

898

898

864.65

866

869.9

2223603

19376.367

EQ

Jun

919.15

925

938.8

922.1

927.15

930.45

1233813

11489.425

EQ

Jul

955.45

981.5

981.5

945

952

950.2

644010

6119.6264

EQ

Aug

927.45

920

920

885.1

890

891

4669774

41808.275

EQ

Sep

888.4

890.1

911

890.1

910

907.9

2929146

26456.396

EQ

Oct

1062.4

1068

1068

1035

1058

1057.8

3191887

33560.268

EQ

Nov

1254.05

1270

1318

1240

1298

1298.3

5076881

65449.378

EQ

Dec

1178.4

1180

1188

1156.25

1163

1162

3538453

41222.945

Series

Date

EQ

Jan

891.5

892

906.5

EQ

Feb

941.1

951

EQ

Mar

829.5

EQ

Apr

EQ

Low
Price

37

2008

Series
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ
EQ

Date
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec

Prev
Close
1187.40
1105.85
835.50
902.50
796.25
652.15
636.1
632.55
493.3
345.35
350.85
458.6

Open
Price
1190
1100
848.85
918
795.25
664.8
638
644.5
485.9
370.55
340
472.8

High
Price
1131
1045.45
765
872
778.2
611.35
621.15
642.65
460.05
363
316.35
444

Low
Price
1147
1077.65
769
881
786.55
635
633
670.65
540
399.5
354
447.6

38

Last
Price
1147
1088.50
769.40
879.60
788.6
630.2
637.3
671.9
535.55
398.75
351.65
448.1

Close
Price
1169.06
1079.42
785.02
886.81
787.09
626.79
632.02
671.55
517.95
384.89
348.13
452.42

Total Traded
Quantity
5525805
3665904
5048217
4446390
6852195
6725234
5333027
8633379
21452818
14134982
12329653
7794740

Turnover in
Lacs
64600.06
39570.53
39629.35
39431.01
53932.8
42153.09
33705.611
57977.632
111113.883
54403.601
42923.30
35264.774

S&P
CNX
NIFTY

ROR
(Y)

X*X

Y*Y

X*Y

0.0255

0.0004

0.00000

0.0064

0.0039

0.00053
0.00501

0.0018

0.0000

0.0066

0.0135

T=
YAvg(Y)

R^2

T^2

0.0448

0.00000

0.00201

0.0821

0.00940

0.00673

0.00362

2.4E-04

0.00410

0.00939

Years

Month

2003

Jan

140.5

1154.67

Feb

149.9

1178.72

Mar

149.3

1084.64

0.0208
0.0798
0.0430

Apr

133.75

1038

0.0812

May

121.15

1122.32

0.1336

0.0627
0.0040
0.1163
0.1040

0.0178

0.0108

0.00017
0.00944
0.01389

0.1164

0.0153
0.0969
0.0847

0.01355

0.00717

Jun

137.95

1272.21

0.0516

0.1218

0.0027

0.0148

0.00628

0.0344

0.1411

0.00119

0.01992

July

150.15

1337.86

0.1497

0.0813

0.0224

0.0066

0.01216

0.1325

0.1006

0.01755

0.01012

Aug

159.15

1538.08

0.0469

0.0566

0.0022

0.0032

0.00265

0.0297

0.0759

0.00088

0.00576

Sep

179.7

1610.21

0.0993

0.1144

0.0099

0.0131

0.01135

0.0821

0.1337

0.00674

0.01788

Oct

204.5

1770.08

0.0384

0.1213

0.0015

0.0147

0.00465

0.0212

0.1406

4.5E-04

2.0E-02

Nov

247

1837.98

0.1721

0.0270

0.0296

0.03664

2139.93

0.0124

0.0013

0.0002

0.0317

0.00285

0.00101

Jan

295.45

2062.42

2.4E-05

0.0236

0.1728

0.00048

0.02987

Feb

295.05

2052.4

0.0002

0.0000

0.00032

270.95

2020.25

0.0002

0.0079

0.0180
0.0696

0.00108

Mar

0.1535
0.0014
0.0889

0.00001

0.00484

0.0856

0.0292

0.0073

0.1471
0.0534
0.0220
0.0328
0.0033
0.1881

0.02164

250.1

0.02827
0.00045
0.00075

0.1914

Dec

0.1643
0.0362
0.0049
0.0157

0.1049

0.03537

0.01100

0.0003

0.0035

0.0004

0.00000

6.2E-03

0.0076

0.1348

0.0787
0.3478

0.00491

0.12099

2004

ROR
(X)

R=
XAvg(X)

Prev
Close

0.00002
0.00123
0.01462

0.0970
0.0602
0.0641

Apr

296.3

2048.22

0.0138
0.1709

May

315

1698.16

0.0175

Jun

230.4

1727.93

0.0872

0.0594
0.3672

July

244.5

1878.62

0.0018

0.0577

3.4E-06

0.0033

0.00011

0.0700
0.0153

0.0770

0.00023

5.9E-03

Aug

267.5

1882.09

0.0736

0.0860

0.0054

0.0074

0.00633

0.0564

0.1053

0.00319

0.01109

Sep

269.8

2020.62

0.0241

0.0085

0.00058

0.0001

0.00021

0.0070

0.0279

4.9E-05

7.8E-04

Oct

286.25

2069.39

0.0965

0.0575

0.0093

0.0033

0.00554

0.0793

0.0768

0.00629

0.00590

Nov

299.05

2268.99

0.0428

0.0044

0.0018

0.00386

2418.88

0.1198

0.00011

0.0144

0.0489
0.0275

0.00239

339.75

0.00283
0.00124

0.0622

Dec

0.0661
0.0104

0.1391

0.00076

0.01936

39

0.00104
0.03202

2005

2006

2007

Jan

371.35

2393.76

0.0851
0.0290

0.0005

0.0072

0.00193

0.0055

0.1044

0.00003

0.01091

0.0010

0.0008

-0.0096

0.00241

0.00009

0.0525

0.0043

0.0028

0.00093
0.00343

-0.0491

2369.69

0.0226
0.0320
0.0653

Feb

360.9

2447.94

Mar

380.9

Apr

392.8

-0.0825

0.0719

0.00680

0.00516

2214.96

0.0988

0.0098

0.0009

0.0496

0.00666

0.00246

2433.73

0.0683

0.0047

0.0083

0.00299
0.00623

0.0816

359.95

0.0303
0.0913

May
Jun

0.0511

-0.0719

0.00261

0.00517

392.05

2599.93

0.0428

0.0819

0.0018

0.0067

0.00351

0.0256

0.1012

0.00066

0.01025

July

425.75

2711.24

0.0335

0.0792

0.0011

0.0063

0.00265

0.0163

0.0985

2.7E-04

0.00970

Aug

534.45

2801.99

0.0414

0.01917

0.0771

0.2227

0.00595

0.04961

481.8

3066.15

0.2034
0.1093

0.0089

Sep

0.0943
0.0881

0.0078

0.0119

0.00963

-0.1053

-0.0899

0.01109

0.00809

Oct

601.7

2795.89

0.1187

0.0141

0.0397

0.1016

0.2186

0.01031

0.04779

Nov

498.6

3127.8

0.0721

0.1993
0.2068

0.0052

0.0428

0.02366
0.01491

0.0550

-0.1874

0.00302

0.03513

Dec

538.05

3353.37

0.0586

0.0733

0.0034

0.0054

0.00430

0.0414

0.0927

0.00172

0.00859

Jan

585.05

3549.92

0.0252

0.0803

0.0006

0.0065

0.00203

0.0081

0.0997

0.00006

0.00994

Feb

609.25

3639.43

0.1070

0.0397

0.0114

0.0016

0.00425

0.0898

0.0591

0.00807

0.00349

Mar

615.25

4028.82

0.0098
0.0445

0.0021

0.0001

0.00045

0.0288

0.0291

0.00083

0.00085

0.0184

0.0020

0.00603

-0.1528

-0.0251

0.02335

0.00063

0.00048

0.0000

0.0046

0.0239

0.00002

0.00057

4.1E-05

0.0102

-0.0108

-0.0816

0.00012

0.00666

Apr

589.05

4213.88

0.0459
0.1356

May

591.75

3642.31

0.0218

Jun

537.5

3721.71

0.0064

July

487.9

3745.46

0.0876

0.0046
0.1009
0.1017

0.0077

0.0103

0.00010
0.00064
0.00891

0.0704

-0.0823

0.00496

0.00678

Aug

553.85

4073.55

0.0529

0.1191

0.0028

0.0142

0.00630

0.0357

0.1384

0.00128

0.01916

Sep

597.45

4288.97

0.0437

0.0730

0.0019

0.0053

0.00319

0.0266

0.0923

0.00071

0.00852

Oct

699.6

4476.5

0.0564

0.1460

0.0032

0.0213

0.00824

0.0393

0.1654

0.00154

0.02734

Nov

777.15

4729.13

0.0062

0.0998

3.8E-05

0.0100

0.00062

-0.0110

0.1191

0.01419

Dec

872.45

4758.45

0.1092

0.0009

0.0119

0.0125

0.1286

0.0214

0.0065

0.0005

0.00324
0.00172

0.00012
1.55E04

-0.0977

0.0407

0.00955

0.00166

0.0005

0.0028

0.0053

0.0721

0.00003

0.00519

0.0051

0.0181

0.00118
0.00960

0.0542

-0.1152

0.00293

0.01327

Jan

891.5

4899.39

0.0296
0.0806

Feb

941.1

4504.73

0.0225

Mar

829.5

4605.89

0.0713

0.0527
0.1345

1.7E-02

Apr

853.35

4934.46

0.0510

0.0279

0.0026

0.0008

0.00142

0.0338

0.0473

0.00114

0.00224

May

865.85

5185.95

0.0073

0.0144

0.0001

0.0002

0.00011

-0.0099

0.0338

0.00010

0.00114

Jun

919.15

5223.82

0.0580

0.0025

0.0034

0.0325

0.0773

0.00106

6.0E-03

July

955.45

5483.25

0.0497
0.0131

0.0002

0.0014

-0.0303

0.0573

0.00092

0.00329

Aug

927.45

5411.29

0.1262

0.0159

0.0009

0.1090

-0.0108

0.01189

0.00012

Sep

888.4

6094.11

0.0308

0.0019

0.1583

-0.0246

0.02505

0.00061

Oct

1062.4

7163.3

0.1754
0.0231

0.0380
0.0302
0.0440

-0.0403

0.1831

0.00162

0.03354

Nov

1254.05

6997.6

0.0491

0.1722

0.00241

0.02964

1178.4

7461.48

Dec

29854.3
SUM
AVERAGE

29854.3

1.0298
0.0172

0.1638

0.0005

0.0268

0.00288
0.00050
0.00381
0.00771
0.00379

0.0663
1.0000

0.1528
0.0642

0.0044

0.0234

0.01013

1.0000

0.0041

0.06420

1.0298

1.8159

1.3385

3.2975

1.0298
0.4896

1.259
0.0193

1.3385

3.29750

40

0.82536

-1.0172

-0.0448

1.03462

0.00201

1.0126384

1.835249

1.32080

3.36814

1.0126

1.7856

1.32080

3.18849

1.

Beta
xy
x
y
x2
n
y2

0.6085

Alpha

Avg(X)

-0.4896
0.02026

Avg(Y)

0.906

0.2776

0.825
1.03
1.216
1.339
60
3.298

Coef.Correlation

0.045

Coef of
Determination
0.002053

Standard
Devition
SDx
SDy

6
0.1483
0.2305

Variance
Vx
Vy

41

0.02199
0.05313

STATE BANK OF INDIA

The Bank is actively involved since 1973 in non-profit activity called Community
Services Banking. All our branches and administrative offices throughout the country
sponsor and participate in large number of welfare activities and social causes. Our
business is more than banking because we touch the lives of people anywhere in many
ways.
There commitment to nation-building is complete & comprehensive.

42

2004
Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

Close
Price

Total Traded
Quantity

Turnover in
Lacs

Series

Date

EQ

JAN

537.55

540.5

568.45

540.1

566.95

564.65

5941630

33075.88938

EQ

FEB

598.05

599.9

599.9

557.2

571

567.3

7381059

42362.68498

EQ

MAR

584.5

586.55

602.5

581.1

602

600.25

4005601

23676.23811

EQ

APR

605.85

607.5

621.35

606

616.7

618.3

4242657

26081.50684

EQ

MAY

642.25

635

635.8

605.45

618.5

619.05

4828665

29851.8291

EQ

JUN

465.15

470

482

466.55

468.4

469.3

5008010

23811.40687

EQ

JUL

430.6

434.8

444.35

434

441.9

442.9

6282161

27600.74098

EQ

AUG

442.1

443.1

444.9

436.4

443.1

442.3

2647037

11658.11253

EQ

SEP

442.85

447.5

452

443.15

450.9

450.7

3613238

16209.39575

EQ

OCT

468.1

467.5

481.2

462.7

478

478.85

1911963

9026.838506

EQ

NOV

447.4

448.5

471.5

447.55

471.5

468.65

3287171

15152.45108

EQ

DEC

529.7

530.2

544

520.95

544

541

4569314

24421.57067

43

44

2005
Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

Close
Price

Series

Date

EQ

JAN

652

654.5

662.9

650.1

657

655.75

2131452

13998.50891

EQ

FEB

643

640

646

631.2

634

634.05

2467277

15694.57473

EQ

MAR

714.65

711

716.9

692.65

695.5

695.6

5128658

36067.6012

EQ

APR

654.8

655

672.8

652.65

671.8

670.1

2785374

18473.09788

EQ

MAY

584.85

588

592.8

576.05

585.6

589.35

2738218

15989.79179

EQ

JUN

670.45

669.5

674.9

658.1

660.1

660.2

2072014

13802.17176

EQ

JUL

681.9

682

708.9

662.15

705

706.25

4867582

34202.39639

EQ

AUG

800.25

799

804.95

785.1

789.55

789.95

1980985

15663.99636

EQ

SEP

796.3

801

805.5

795.25

799

799.6

1168582

9357.570853

EQ

OCT

938.2

938

953

938

944

945.35

1607862

15210.2526

EQ

NOV

839.1

869.75

869.75

832.1

834.7

838.85

523113

4403.574651

EQ

DEC

896.65

903

915.4

891.25

913.5

913.35

2420620

21869.33291

Series

Date

EQ

JAN

Prev
Close
908.15

Open
Price
912.5

High
Price
917.75

Low Price
902.15

45

Last
Price
903.5

Close
Price
904.9

Total Traded Quantity

Total Traded Quantity

2004095

Turnover in Lacs

Turnover in
Lacs
18237.452

EQ

FEB

886.35

889

891.5

866

868.6

869.25

2223458

19522.791

EQ

MAR

877.5

878.1

888.05

873.2

880.15

881.2

1546930

13613.003

EQ

APR

968.5

970

990

964

988.9

983.35

1059091

10339.821

EQ

MAY

937.65

940

971

935.15

956

961.7

2610414

24914.285

EQ

JUN

832.65

840

846.15

814.1

817

818.75

1444939

12005.743

EQ

JUL

727.75

735

746.5

730.05

741.55

742.6

1418037

10441.331

EQ

AUG

810.25

802

819

794.4

818

811.75

1982509

15930.42

EQ

SEP

931.25

932

935.7

925.1

931.4

931.25

887349

8266.71

EQ

OCT

1028.65

1029

1037.8

1023.1

1030.1

1033.35

874932

9024.2621

EQ

NOV

1095.65

1256.3

1256.3

1089

1119

1113.8

1035588

11462.727

EQ

DEC

1317.05

1315

1370

1313.15

1366

1362.65

1612467

21785.692

46

Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

Close
Price

Total Traded
Quantity

Turnove
in
Lacs

Series

Date

EQ

JAN

1245.6

1250

1260

1243

1253

1253.55

408144

5112.34

EQ

FEB

1140.45

1158

1230

1135.7

1203.1

1203

2491197

29698.6

EQ

MAR

1041.85

1042

1061

1016

1051

1055.65

1108823

11522.9

EQ

APR

994.45

979.4

979.4

922.35

937

930.5

1133049

10583.

EQ

MAY

1353.65

1364

1385

1356

1380

1378.9

1908666

26147.1

EQ

JUN

1525.8

1530

1551

1523.35

1528

1530.75

1746382

26860.9

EQ

JUL

1623.85

1610

1610

1540.2

1550.2

1548.05

2715856

42709.4

EQ

AUG

1600.35

1619

1623

1602.35

1606.1

1606.65

901942

14539.9

EQ

SEP

1945.85

1952

1965

1882.6

1905

1894.6

1919363

36639.1

EQ

OCT

2068.2

2167

2167

2052.5

2073.9

2075.35

2143188

45181.4

EQ

NOV

2302.4

2330

2345.9

2307.9

2324

2324.75

955082

22217.6

EQ

DEC

2302.4

2330

2345.9

2307.9

2324

2324.75

955082

22217.

47

Series

Date

EQ

JAN

EQ

FEB

EQ

MAR

EQ

APR

EQ

MAY

EQ
EQ
EQ
EQ

Prev
Close

Open
Price

High
Price

Low
Price

Last
Price

Close
Price

2,223.95
2,039.10
1,677.80
1,795.55
1461.15

2,155.00
2,010.00
1,674.00
1,799.00
1465.05

2,247.70
2,135.00
1,695.00
1,821.00
1489

2,136.00
1,945.00
1,590.00
1,730.00
1435.35

2,165.00
2,088.80
1,608.00
1,781.00
1445

2,167.35
2,111.65
1,600.25
1,774.65
1445

1161.2

1194.95

1194.95

1101

1107

1111.6

1387.95

1390

1430.9

1343

1406

1309.35

1336

1409.8

1336

1405.45

1385

1485

1099.55

1149.95

1105
1291.7

Total Traded
Quantity

Turn
in
Lac

1159043
2401205
1036121
839999
867328

25,3
48,6
16,7
14,9
126

787863

894

1417.25

1885052

261

1404.55

1403.85

2661636

369

1355

1472

1463.35

2229762

322

1177

1065.5

1114

1109.7

4293292

480

1065

1109.9

1055

1085.05

1088.55

4321864

469

1308

1308

1270

1290

1288.8

2704078

347

JUN
JUL
AUG
SEP

EQ

OCT

EQ

NOV

EQ

DEC

48

years
2003

2004

Month
Jan

S&P
CNX
NIFTY
1154.67

Feb

1178.72

Mar
Apr
May
Jun
July
Aug
Sep
Oct

1084.64
1038
1122.32
1272.21
1337.86
1538.08
1610.21
1770.08

Nov

1837.98

Dec

2139.93

Jan

2062.42

Feb
Mar

2052.4
2020.25

Apr

2048.22

0.1643
0.0362
0.0049
0.0157
0.0138
0.1709

May

1698.16

Jun
July
Aug
Sep

ROR
(X)
0.0208
0.0798
0.0430
0.0812
0.1336
0.0516
0.1497
0.0469
0.0993
0.0384

PRICE
284.55

ROR(Y)
0.0197

X*X
0.00043

Y*Y
0.00039

X*Y
0.00041

R=XAvg(X)
0.0037

T=YAvg(Y)
-0.0052

R^2
0.00001

T^2
0.00003

290.15

0.0014

0.00637

0.00000

-0.00011

-0.0970

-0.0235

0.00940

0.00055

290.55
273.5
281.55
345.45
382.5
418.5
438.1
446

-0.0587
0.0294
0.2270
0.1073
0.0941
0.0468
0.0180
0.0670

0.00185
0.00660
0.01784
0.00266
0.02240
0.00220
0.00986
0.00147

0.00344
0.00087
0.05151
0.01150
0.00886
0.00219
0.00033
0.00449

-0.0602
0.0641
0.1164
0.0344
0.1325
0.0297
0.0821
0.0212

-0.0835
0.0046
0.2021
0.0824
0.0693
0.0220
-0.0068
0.0422

0.00362
0.00410
0.01355
0.00119
0.01755
0.00088
0.00674
0.00045

0.00698
0.00002
0.04085
0.00679
0.00480
0.00048
0.00005
0.00178

475.9

-0.0116

0.02699

0.00013

0.1471

-0.0364

0.02164

0.00133

470.4

0.2004

0.00131

0.04014

0.00252
0.00239
0.03031
0.00553
0.01409
0.00220
0.00179
0.00257
0.00190
0.00726

-0.0534

0.1755

0.00285

0.03080

564.65

0.0047

2.4E-05

2.2E-05

-0.0220

-0.0202

4.8E-04

4.1E-04

567.3
600.25

0.0581
0.0301

0.00025
0.00019

0.00337
0.00090

-0.0328
-0.0033

0.0332
0.0052

0.00108
0.00001

0.00110
0.00003

618.3

0.0012

0.02921

0.00000

-0.1881

-0.0236

0.03537

0.00056

0.0175

619.05

-0.2419

0.00031

0.05852

0.0004

-0.2668

0.00000

0.07116

1727.93
1878.62
1882.09
2020.62

0.0872
0.0018
0.0736
0.0241

469.3
442.9
442.3
450.7

-0.0563
-0.0014
0.0190
0.0625

0.00761
3.4E-06
0.00542
0.00058

0.00316
0.00000
0.00036
0.00390

0.0700
-0.0153
0.0564
0.0070

-0.0811
-0.0262
-0.0059
0.0376

0.00491
2.3E-04
0.00319
0.00005

0.00658
0.00069
0.00003
0.00141

Oct
Nov

2069.39
2268.99

478.85
468.65

-0.0213
0.1544

0.00930
0.00436

0.00045
0.02383

0.0793
0.0489

-0.0462
0.1295

0.00629
0.00239

0.00213
0.01678

Dec

2418.88

0.0965
0.0661
0.0104

541

0.2121

0.00011

0.04499

-2.3E-05
0.00091
0.00042
0.00021
0.00424
0.00491
-2.5E-06
0.00140
0.00151
0.00205
0.01020
0.00220

-0.0275

0.1873

0.00076

0.03506

2005

Jan

2393.76

0.0226

655.75

Feb

2447.94

-0.0320

634.05

Mar

2369.69

-0.0653

695.6

Apr

2214.96

0.0988

May

2433.73

0.0683

0.0331

0.00051

0.00110

-0.00075

0.0055

-0.0579

0.00003

0.003

0.00102

0.00942

-0.00310

-0.0491

0.0722

0.00241

0.005

0.00426

0.00134

0.00239

-0.0825

-0.0615

0.00680

0.003

670.1

0.0971
0.0367
0.1205

0.00976

0.01452

-0.01190

0.0816

-0.1454

0.00666

0.021

589.35

0.1202

0.00466

0.01445

0.00821

0.0511

0.0954

0.00261

0.009

49

Jun

2006

2007

2599.93

0.0428

660.2

July

2711.24

0.0335

706.25

Aug

2801.99

0.0943

789.95

Sep

3066.15

-0.0881

799.6

0.0698

0.00183

0.00487

0.00299

0.0256

0.0449

0.00066

0.002

0.1185

0.00112

0.01405

0.00397

0.0122

0.00889

0.00015

0.00115

0.0163

0.0937

0.00027

0.008

0.0771

-0.0126

0.00595

0.1823
0.1127

0.00777

0.03323

0.000

-0.01607

-0.1053

0.1574

0.01109

0.024

0.01409
0.00520

0.01269

-0.01337

0.1016

-0.1375

0.01031

0.018

0.00789

0.00640

0.0550

0.0640

0.00302

0.004

0.00344

0.00009

-0.00054

0.0414

-0.0341

0.00172

0.001

0.00064

0.00155

-0.00099

0.0081

-0.0642

0.00006

0.004

Oct

2795.89

0.1187

945.35

Nov

3127.8

0.0721

838.85

Dec

3353.37

0.0586

913.35

Jan

3549.92

0.0252

904.9

0.0888
0.0093
0.0394

Feb

3639.43

0.1070

869.25

0.0137

0.01145

0.00019

0.00147

0.0898

-0.0111

0.00807

0.000

Mar

4028.82

0.0459

881.2

0.00211

0.01344

0.00532

0.0288

0.0911

0.00083

0.008

Apr

4213.88

-0.1356

983.35

0.01840

0.00048

0.00299

-0.1528

-0.0469

0.02335

0.002

May

3642.31

0.0218

961.7

0.00048

0.02209

-0.00324

0.0046

-0.1735

0.00002

0.030

Jun

3721.71

0.0064

818.75

0.1159
0.0220
0.1486
0.0930

4.1E-05

0.00865

-5.9E-04

-0.0108

-0.1179

1.2E-04

0.013

July

3745.46

0.0876

742.6

0.0931

0.00767

0.00867

0.00816

0.0704

0.0683

0.00496

0.004

Aug

4073.55

0.0529

811.75

0.1472

0.00280

0.02167

0.00778

0.0357

0.1224

0.00128

0.014

Sep

4288.97

0.0437

931.25

0.1096

0.00191

0.01202

0.00479

0.0266

0.0848

0.00071

0.007

Oct

4476.5

0.0564

1033.35

0.0779

0.00318

0.00606

0.00439

0.0393

0.0530

0.00154

0.002

Nov

4729.13

0.0062

1113.8

3.8E-05

5.0E-02

1.4E-03

-0.0110

0.1986

1.2E-04

3.9E

Dec

4758.45

0.0296

1362.65

0.00088

0.00641

-0.00237

0.0125

-0.1049

0.00016

0.011

Jan

4899.39

-0.0806

1253.55

0.00649

0.00163

0.00325

-0.0977

-0.0652

0.00955

0.004

Feb

4504.73

0.0225

1203

0.00050

0.01500

-0.00275

0.0053

-0.1473

0.00003

0.021

Mar

4605.89

0.0713

1055.65

0.2234
0.0801
0.0403
0.1225
0.1186

0.00509

0.01405

-0.00846

0.0542

-0.1434

0.00293

0.020

Apr

4934.46

0.0510

930.5

0.4819

0.00260

0.23222

0.02456

0.0338

0.4570

0.00114

0.208

May

5185.95

0.0073

1378.9

0.1101

5.3E-05

1.2E-02

8.0E-04

-0.0099

0.0853

9.7E-05

7.3E

Jun

5223.82

0.0497

1530.75

0.0113

0.00247

0.00013

0.00056

0.0325

-0.0136

0.00106

0.000

July

5483.25

-0.0131

1548.05

0.0379

0.00017

0.00143

-0.00050

-0.0303

0.0130

0.00092

0.000

Aug

5411.29

0.1262

1606.65

0.1792

0.01592

0.03212

0.02262

0.1090

0.1544

0.01189

0.023

Sep

6094.11

0.1754

1894.6

0.0954

0.03078

0.00910

0.01674

0.1583

0.0706

0.02505

0.004

Oct

7163.3

-0.0231

2075.35

0.1202

0.00054

0.01444

-0.00278

-0.0403

0.0953

0.00162

0.009

Nov

6997.6

0.0663

2324.75

0.00439

0.00000

0.00000

0.0491

-0.0249

0.00241

0.000

Dec

7461.48

-1.0000

2324.75

0.0000
1.0000

1.00000

1.00000

1.00000

-1.0172

-1.0249

1.03462

1.050

1.4911

1.33849

2.223455

1.11404

0.0000

1.466273324

0.00000

2.149

SUM

1.0298

1.4911

1.3385

2.2235

1.1140

0.0000

1.4422

0.30697

2.080

AVERAGE

0.0172

0.0249

1.32082

1.823

Beta
xy
x

1.114
1.0298

1.4911

50

x2
n
y2

1.3385
60
2.2235

0.824

Alpha
Avg(X)
Avg(Y)

0.0172
0.0249

0.824

0.0107272

Coef.Correlation
0.64047

Coef of
Determination
0.4102

51

Standard
Devition

SDx
SDy
Variance
Vx
Vy

0.07152
0.18619
0.005115
0.03466

52

BETA VALUES

53

CONCLUSION ,SUGGESTIONS
&
BIBLIOGRAPHY

54

Conclusion and Suggestions

Average rate of return of the 2 different companies are lesser than that of its
market returns. So, the returns are better than the market returns.
Since standard deviation of SBI equity and ICICI equity is less than its market,
the risk is likely less compared to that of market.
Lower the beta and higher the funds performance is the better equity for
investment. One might expect the best performance by funds with low
diversification because they apparently are attempting to beat the market by
being unique in their selection or timing.
Since Beta (0.6085) of ICICI Bank is less than that of markets beta , the fund
reacts less than the market reaction. Also beta indicates that the funds returns
would increase or decease by 0.6% for every 1 % increase or decrease in the
market returns. This also means that the mutual fund fluctuates 4% less than the
market index.
Considering only the rate of return, all the equities outperformed the market.

55

BIBLIOGRAPHY
WWW.NSEINDIA.COM
www.google.co.in
Security Analysis And Protfolio Management
---Donald D.Fischer
---Ronald J.Jordan

56

57