comparative study between equity and derivative stocks of three selected companies

A COMPARATIVE STUDY ON THE EQUITY AND EQUITY

DERIVATIVE (FUTURE) STOCKS OF THREE SELECTED

COMPANIES– ITC, ACC AND ICICI BANK WITH REFERENCE

TO KOTAK SECURITIES LIMITED

KOTAK SECURITIES LIMITED

A COMPARATIVE STUDY ON THE EQUITY AND EQUITY

DERIVATIVE (FUTURE) STOCKS OF THREE SELECTED

COMPANIES– ITC, ACC AND ICICI BANK WITH REFERENCE

TO KOTAK SECURITIES LIMITED

A report submitted in partial fulfillment of the requirements of the

MBA program (The Class of 2011-2013)

THE ICFAI UNIVERSITY TRIPURA

TABLE OF CONTENTS

CONTENTS PAGE NO.

Acknowledgements 1

Abstract 2

Objectives 3

Chapter 1

1.1 Company profile 4-7

1.2 Introduction 8-9

1.3 3C Report 10-14

1.4 SWOT Analysis 15-16

1.5 Business Objectives 16

Chapter 2

2.1 Introduction 17-25

2.2 Importance of the Internship area 26-27

2.3 Description of assignments undertaken 27-30

2.4 Goals and Targets 31

2.5 Expected Learning from the Internship 32-33

Chapter 3

3.1 Strategy Implementations 34-35

3.2 Findings 36-45

3.3 Analysis of performance 46

3.4 Limitations 47

3.5 Conclusions 48

Chapter 4

4.1 Annexure 49-73

4.2 References 74

Acknowledgements

This project bears imprint of all those who have directly or indirectly helped and extended their

kind support in completing this project.

At the time of making this report I express my sincere gratitude to all of them.

I am grateful to Amit Kumar Saha (HR, Kotak securities Ltd.) for giving me a chance to work

with the Company.

I am extremely thankful and obliged to my Company guide Mr. Biswadeep Chakraborty for

providing streamed guidelines since inception till the completion of the project.

I am also thankful to my faculty guide Mr. Dhananjoy Datta for the effective guidelines and

helping attitude since inception till the completion of the project.

At this moment I also thank the almighty God for the blessing showed upon me, parents for their

support and care and also my friends for their valuable suggestions.

This project report is a collective effort of all and I sincerely remember and acknowledge all of

them for their excellent help and assistance throughout the project.

Date: 23-07-2012

Agartala Chandni Saha

Abstract

In the current economic scenario interest rates are falling and fluctuating in the stock market has

put investors in confusion. One finds it difficult to take decision on investment. This is primarily,

because of investments are risky in nature and investors have to consider various factors before

investing in any stock.

These factors include risk, return, and volatility of stocks. For comparing equity stocks with

equity derivative stocks easily three companies’ equity and equity derivative stocks are taken.

The main objective of comparing equity stocks with equity derivative stocks is to analyze the

performance of equity stocks with market index and compare them with equity derivatives by

using risk, return and beta as a parameter.

Primary and secondary data were taken for calculating risk, return and beta. Analysis has done

on percentage method for comparing equity stocks with equity derivative stocks. Compare to

equity stocks, equity derivative stocks are less risky and return also less. In terms of margin,

duration, expiry date of contracts and lot size equity stocks are more effective than equity

derivative stocks.

The study will guide the investor and give them information about pros and cons of investing in

equity stock and equity derivative stocks and also provide knowledge about how to measure the

risk and return of a particular stock.

Objectives

• To compare three selected company’s Equity and Equity Future stocks in respect to their

risk and return.

• To differentiate selected company’s Equity and Equity Future stocks in terms of types of

margin, duration, lot sizes, expiry date of contract.

• To provide information about pros and cons of investing in Equity and Equity Future

stocks of those selected companies.

Chapter 1

1.1 Company profile

History of Kotak Mahindra Group:

The Kotak Mahindra Group was born in 1985 as Kotak Capital Management Finance Limited. This

company was promoted by Uday Kotak, Sidney A. A. Pinto and Kotak &Company. Industrialists Harish

Mahindra and Anand Mahindra took a stake in 1986, and that's when the company changed its name to

Kotak Mahindra Finance Limited.

1986: Kotak Mahindra Finance Limited starts the activity of bill discounting.

1987: Enters the base and hire purchase market.

1990: Auto finance division was started.

1991: Investing banking was started.

1992: Enters funds syndication sector.

1995: Brokerage and distribution businesses incorporated into a separate company Kotak Securities.

1996: The auto finance business was hived off into a separate company- Kotak Mahindra Primus Limited,

for financing ford vehicles.

1998: Enters the mutual fund market with launch of Kotak Mahindra Company.

2000: Kotak Mahindra ties up with old mutual for the life4 insurance business. Kotak Securities launches

kotaksecurities.com- its online broking site.

2003: Kotak Mahindra finance Limited converts to bank.

Kotak Mahindra is one of India's leading financial conglomerates, offering complete financial solutions

that encompass every sphere of life. From commercial banking, to stock broking, to mutual funds, to life

insurance, to investment banking, the group caters to the financial needs of individuals and corporate. The

group has a net worth of around Rs. 3,200 crores, employs around 10,800 people in its various businesses

and has a distribution network of branches, franchisees, representative offices and satellite offices across

300 cities and towns in India and offices in New York, London, Dubai, Mauritius and Singapore.

The Group services around 2.6 million customer accounts. Kotak Mahindra is one of India's leading

financial conglomerates, offering complete financial solutions that encompass every sphere of life. From

commercial banking, to stock broking, to mutual funds, to life insurance, to investment banking, the

group caters to the financial needs of individuals and corporate. As on March 31, 2007, the group has a

net worth of over Rs.3,200 crore, and the AUM across the group is around Rs. 224 billion and employs

over 10,800 employees in its various businesses. With a presence in 300 cities in India and offices in New

York, London, Dubai, Mauritius and Singapore, it services a customer base of over around 2.6 million.

The group specializes in offering top class financial services, catering to every segment of the industry.

The various group companies include:

• Kotak Mahindra Capital Company Limited

• Kotak Mahindra Bank

• Kotak Securities Limited

• Kotak Mahindra Asset Management Company Limited

• Kotak Life

• Kotak Mahindra Wealth Management

The company has a full-fledged research division involved in Macro Economic studies, Sectoral

research and Company Specific Equity Research combined with a strong and well networked

sales force which helps deliver current and up to date market information and news.

History of Kotak Securities Limited:

Originally established in 1994, Kotak Securities is a subsidiary of Kotak Mahindra Bank, which

services more than 7.4 lakh customers. The firm has a wide network of more than 1400 branches,

franchisees representative offices, and satellite offices across 448 cities in India and offices in

New York, London, Dubai, Mauritius and Singapore.

They process more than 400000 trades a day which is much higher than some of the renowned

international brokers.

The company is a corporate member of both The Bombay Stock Exchange (BSE) and The

National Stock Exchange of India (NSE). Their operations include stock broking services for

trading in stock markets through branches & internet and distribution of various financial

products including investments in IPOs, Mutual Funds and Currency Derivatives. Currently,

Kotak Securities is one of the largest broking houses in India with substantial geographical reach

to Asia Pacific, Europe, Middle East and America.

Kotak Securities Limited has Rs. 1,202 crore of Assets Under Management (AUM) as of 31st

Dec, 2011. Kotak securities have 25% equity participation from Goldman Sachs.

Kotak securities have been the largest in IPO distribution and were ranked no.1 in the year 2003-

2004 as book running lead managers in IPO’s by prime database. The core strengths are the

expertise in equity research and wide retail distribution network. It has an outstanding research

division involved in macro – economic studies, industry and company specific equity research

with analysts specializing in particular economic sectors and large cap stocks. Kotak securities

manage assets over rupees 1200 crores under portfolio management services.

Organizational Structure of Kotak Securities Limited:

D. Kannan

Managing Director

Manoj Agarwal

Head-Internal Audit

Manish Kumar

Head-Human Resources

Trivikram Kamath

CFO & Head Operation

& IT

Jaimit Doshi

Head-Marketing

Sandeep Chordia

Head-Compliance

Hitesh Sindhwani

Head-Customer Service

& TPD

Devdas Puthran

Head-Online Direct

B.Gopkumar

Head-Retail Sales

Ashish Nanda

Head-Online Direct

Sanjay Tantia

Head-Proprietary Trading

Trivikram Kamath

CFO & Head Operation,

Finance & IT

Clifford Torres

Head-IT, Software

Mukul Rathi

Head-Risk Mgmt & Branch

Ops (Mah, Goa)

Shailesh Kumar

Head-Online Risk and

Operations

K. N. Srikrishnan

Head-PMS Ops, DP,

Primary Mkt & Branch Ops

(except Mah,Goa)

Kulin Thaker

Head-IT &

Networking

Girish Mhatre

Head-IT, Software E-

Broking

Mahesh Nirwan

Head-A/C opening &

sub broking Ops,

Settlements

Pradeep Kumar M.

Head- Legal

Vishwanath Eswar

Head- Treasury, Accounts

& Finance

1.2 Introduction of the present IP Company

Kotak Securities Ltd. (Agartala branch) was established on 10th August 2006. The main branch

of the company is in Mumbai. Kotak Securities Ltd., a 100% subsidiary of Kotak Mahindra

bank, is one of the oldest and largest stock brokers in the country. There are two important stock

exchanges in India viz. Bombay Stock Exchange (BSE) and National Stock Exchange (NSE).

Kotak Securities Ltd. mainly deals with NSE. NSE was established in 1994 and provides a

nationwide trading facility for equities, debts and hybrids. It is a ring less national computerized

exchange and it has two segments, the capital market segment and the wholesale debt market

segment. SEBI regulates the business in stock exchange and other securities market. Indices are

the statistical measure of change in securities market. Some of the indices in which Kotak

Securities Ltd.(Agartala) mainly deals with are Nifty, Bank Nifty, CNX IT, Sensex and sectoral

indices, such as Auto, FMCG, Metal, IT, Bank. Nifty is the most rigorously constructed stock

market index.

Some of the facts about Nifty are:

� It reflects the price movement of 50 stocks selected on market capitalization and

liquidity.

� It has a base value of 1000 points.

� The base period selected for Nifty index is close price on November 3, 1995.

� It is a value weighted index but uses the total market capitalization.

Kotak Securities Ltd. offers a diverse range of financial instruments like:

� Shares.

� Derivatives.

� Mutual funds.

� IPOs.

� Depository services.

� Primary debt.

Mainly used software by Kotak securities limited are as follows:

• BOSS: It is also called Back Office Support System. All the office related works and

information’s are recorded and audited by the operating system BOSS.

• CRPS: It stands for Centralized Receipts and Payments Systems by which all the

financial transactions of the company take place. Funds can be accepted from clients only

in the form of “A/c Payee Cheques” drawn in favor of “Kotak Securities Ltd.”. Cheques

received for pay in are captured in CRPS and deposited in bank with pay slip printed

from CRPS. DD is accepted only with bank letter giving details of source of funds. More

than one bank can be mapped/updated in CRPS for receipts.

• KRISP: It stands for Kotak human resource information system portal. It contains details

on organization, their various employee policies, all employee forms, information on the

organizational structure-key personnel and much more.

• TERMINAL: The Terminal is main area from which the total trading is take place. The

selling and buying of stock is done here through computer. The software name is ODIN

Client 10.0.0.2(Integrated). The computer keyboard is the main functional area.

More than 100 products are customized at client level and it provides payment gateway with

Banks, namely:

� Kotak Mahindra Bank.

� ICICI Bank.

� HDFC Bank.

� City Bank.

� Axis Bank.

Kotak Securities Limited offers stock broking services and distributes financial products in India.

The company offers secondary market broking services to foreign and Indian institutional

investors in Indian equities and derivatives, including local shares and global depository receipts.

It also provides professional portfolio management services to high net-worth individuals and

corporate. In addition, the company involves in the distribution and placement of a range of

financial products, which include company fixed deposits, mutual funds, initial public offerings,

private and secondary placement of debt and equity, insurance products, and small savings

schemes. Further, it offers depository services, including trading and settlement of

dematerialized shares. The company was founded in 1994 and is based in Mumbai, India. Kotak

Securities Limited operates as a subsidiary of Kotak Mahindra Bank Limited.

1.3 “3C” Report of the Company

1.3.1 Introduction of the company:

Kotak Securities Limited, a strategic joint venture between Kotak Mahindra Bank and Goldman

Sachs (holding 25% - one of the world’s leading investment banks and brokerage firms) is

India’s leading stock broking house with a market share of 5 - 6 %.Kotak Securities Limited is

one of the largest players in distribution of IPOs - it was ranked number One in 2003-04 as Book

Running Lead Manager in public equity offerings by PRIME Database. It has also won the Best

Equity House Award from Finance Asia – April 2004.The Company has a full-fledged Research

division involved in macroeconomic studies, sectoral research and Company specific equity

research combined with a strong and well networked sales force which helps deliver current and

up-to-date market information and news. The Company has 113 branches servicing around

100000 customers, through offices and a large franchisee network. It’s has an Online presence

through Kotak street.com, where we offer Internet Broking services and also online IPO and

Mutual Fund Investments. Kotak Securities Limited manages assets over Rs. 1700 crores

through its Portfolio Management Services (PMS) servicing high net worth clients with a large

investible surplus through its preferred client services in the mass affluent and wealth

management segments.

Kotak Securities Ltd is also a depository participant with National Securities Depository Limited

(NSDL) and Central Depository Services Limited (CDSL), providing dual benefit services

wherein the investors can use the brokerage services of the company for executing the

transactions and the depository services for settling them. Kotak Securities has 813 outlets

servicing more than 3, 15,000 customers and coverage of 277 Cities. Kotaksecurities.com, the

online division of Kotak Securities Limited offers Internet Broking services and also online IPO

and Mutual Fund Investments. Kotak Securities Limited manages assets around 2300 crores of

Assets Under Management (AUM) .The portfolio Management Services provides top class

service, catering to the high end of the market. Portfolio Management from Kotak Securities

comes as an answer to those who would like to grow exponentially on the crest of the

stock market, with the backing of an expert.

Main areas of business Kotak Securities are:

• Institutional broking business: This service primarily covers secondary market

broking. It caters to the needs of foreign and Indian institutional investors in Indian

equities Kotak Securities institutional business also incorporates a comprehensive

research cell with sector analysts who cover all the major areas of Indian economy.

• Private client group: Private client group is a special investment division for high net

worth individuals. Nonresident Indian investors trust corporate and banks the investments

product range at private client group is among the widest in the country and covers debt

and equity, mutual funds and specialized structured investment products.

• Client money management: This division provides professional portfolio

management services to high net worth individuals and corporate. Efficient fund

management is maintained at all times as well as complete accountability and

transparency. Its expertise in research and stock broking gives it the right perspectives

from which it provide its clients with investments advisory services that benefits the

clients.

• Retail distribution of financial products: Kotak Securities has a comprehensive

retail distribution network, comprising about 7000 agents, 13 branches and over 20

franchisees across India. This network is used for the distribution and placements of a

range of financial products that includes company fixed deposits, mutual funds, initial

public offerings, equity and small saving schemes.

• Depository services: Kotak Securities is a depository participant with national

securities depository limited for trading and settlement of dematerialized shares. Since it

is also in the broking business investors who use its depository services get dual benefit.

• Online trading: Kotak Securities online broking service kotaksecurities.com offer

services for retail investors who like to trade on net its unique product offering securities

as margins and its market watch facility with real time prices combined in an order

facility not offered by and other web site at present.

1.3.2 Customers of the company:

Kotak securities investing from customers perspective and make recommendations based on

customers’ needs. One of their important goals is to simplify investing for customer, along with

this they also provide long term values to their customers.

Kotak securities have a million reasons for customers to choose them. Listed below are a few:

• Stability: They are a subsidiary of Kotak Mahindra Bank and one of the oldest and

largest stock broking firms in the Industry. They have been the first and only NBFC to

receive the license to be converted into a bank.

• Innovators in the Industry: They have been the first in providing many products and

services which have now become industry standards. They are the first to provide Margin

Financing to the customers, first to enable investing in IPOs and Mutual Funds on the

phone, providing SMS alerts before execution of depository transactions launching of

Mobile application to track portfolio.

• Reliability: Their accolades are a testimony to their services and high standards.

They have been awarded as:

� Best Broker in India by Finance Asia for 2010 & 2009.

� UTI MF - CNBC TV18 Financial Advisor Awards - Best Performing Equity

Broker (National) for the year 2009.

� Best Brokerage Firm in India by Asia money in 2009, 2008, 2007 & 2006.

� Best Performing Equity Broker in India – CNBC Financial Advisor Awards

2008.

� Avaya Customer Responsiveness Awards (2007) in Financial Services Sector.

� The Leading Equity House in India' in Thomson Extel Surveys Awards for the

year 2007.

� Euro money Award (2006 & 2007) - Best Provider of Portfolio Management:

Equities.

• Value: Whether you are a customer with a small or large wallet size, you can expect

them to bring value to you in every form like:

� Quality Research

� Quick trade execution

� Low brokerages

� Accounts that suit your investment profile

� Risk Profiler

� Superior Customer Service

• Service: They believe in high standards of service and that's precisely what we offer. It's

an honor to be awarded the most customer responsive company award in the Financial

Institution sector by AVAYA Global Connect Award both in 2006 and 2007.

• Robust Technology: They have developed their own proprietary trading platform

which is robust and among the best in the industry. They have more than 150 technology

professionals constantly working on upgrading and speeding up all our systems.

• Centralized Risk Management System: Unlike many other players they have a

centralized risk management system. This allows them to offer the same levels of service

to customers across all locations.

• Exceptional Research: Unlike most other competitors they have their own in house

research team. There in house research team is among the best in the industry and they

have years of experience in the financial markets. They scan through the plethora of

stocks and find the scripts that have a high potential of providing you good returns. Their

investors get research Technical, Fundamental, Derivatives, Macro-economic and mutual

fund research.

• Large Presence: They are present in 448 cities with 1416 outlets all over the country.

Their employee strength extends about 3800.

1.3.3 Competitors of the company:

There are so many competitors of Kotak Securities Limited but the top competitors are showing

below:

Company Current price Book Value P/E Ratio Market Capital (Rs.

In Crores)

Dalal Street Investments

Ltd.

18,495.10 -198.71 0.00 416.14

Pilani Investment and

Industries Corporation

Ltd.

1,478.75 878.35 27.35 1,169.51

Industrial & Prudential

Investment Company Ltd.

1,475.00 415.74 17.34 85.81

Bajaj Auto Finance Ltd. 878.15 487.00 8.93 3,628.43

Bajaj Holdings &

Investment Ltd.

778.60 435.64 15.27 8,665.31

Shriram City Union

Finance Ltd.

744.25 314.84 11.39 3,902.00

Nalwa Sons Investments

Ltd.

710.00 607.31 22.38 364.67

Bajaj Finserv Ltd 689.90 99.88 130.36 9,981.72

Sundaram Finance Ltd. 670.35 321.84 10.48 3,723.92

Competitor Stock broking firms of Kotak Securities Limited, Agartala branch are following:

• Motilal Oswal

• Angel Stock Broking

• Share Khan

• Stock Holding

• Karvey Stock Broking

• Prabhudas Liladher

• Edeiweiss

1.4 SWOT analysis of the Company

Strengths:

• Kotak Securities Ltd. is one of the largest players in distribution of IPO’s.

• Its brokerage charges are almost half of those with ICICI Web trade.

• Highly co-operative and skilled staff.

• Sales oriented organization.

• Aggressiveness of sales force in selling products.

• The company has expertise in managing big business.

• Effective and wider distribution network

• It has 113 branches serving around 1, 00,000 people.

• It is currently managing assets worth Rs.1700 crores.

• Product designed for every area of personal.

• The office hours of the company for the customers are from 9am to 6pm.

• The company enjoys a very high brand loyalty and recall value among its customers.

• The company has a presence in all metros as well as in the most of the major cities in the

country.

Weaknesses:

• No presence in the rural and semi-urban segment.

• Lack in making follow-ups.

• Lack of corporate agents.

• Lack of customer services and promotional activities.

Opportunities:

• There is continuous growth in this sector.

• People have started turning towards the organization as they know that facilities are far

better than the others.

• Market is fully vacant to capture because the branch has recently setup its business.

Threats:

• Competition in the sector is increasing with the entry of lots of private giants with the

collaboration of foreign giants.

• Selling attitude for the company always has to be maintained in order to compete with

other companies.

• Continuous follows up of the clients and customers.

As other organizations like ICICI web trade, India Info line, etc. are there in the city so it

is a little bit difficult for them to capture the market.

1.5 Business Objectives of the Company

• Kotak believe that ethics of a company help to deliver value to all the stake holders and

lead to success.

• Kotak Securities adheres to strict ethical practices and compliance that comprise of

commitments towards customers, associates, stakes holders and employees.

• Strong Internal Control team ensures that every individual delivers based on policies set

by the company and there is no compromise on the quality.

• Centralized Risk Management division regularly monitors the position of customers'

portfolios to reduce the loss at the time of market volatility.

Chapter 2

2.1 Introduction

While discussing about stocks and shares one of the first things that come to mind is the stock

market. But not all companies’ shares are traded in a stock market. The capital stock or stock of a

business entity represents the original capital paid into or invested in the business by its founders.

It serves as a security for the creditors of a business since it cannot be withdrawn to the detriment

of the creditors. Stock is different from the property and the assets of a business which may

fluctuate in quantity and value. The stock of a business is divided into multiple shares.

Stock Market:

A stock market has two main functions. The first function is to provide companies with a way of

issuing shares to people who want to invest in the company. This can be illustrated by an

example: Suppose a company has a mining lease over an area with some rich ore deposits. It

wants to exploit these deposits, but it doesn’t have any equipment. To buy the equipment it needs

money. One way to raise money is through the stock market. The company issues a prospectus,

which is a sort of advertisement informing people about the prospects of the company and

inviting them to invest some money in it. When the company is established on the stock market,

interested investors can become part-owners of the company by buying shares. If the company

operates at a profit, shareholders benefit in two ways-through the issuing of dividends in the

form of cash or more shares, and through growth of in the value of the shares. On the other hand,

if the company does not operate at a profit, the shareholders will probably lose money. The

second function of the stock market related to the first, is to provide a venue for the buying and

selling of shares/stocks.

Types of Stock Market:

Primarily there are two types of stock markets – the primary market and the secondary market.

Basically the primary market is the place where the shares are issued for the first time. So when a

company is getting listed for the first time at the stock exchange and issuing shares – this process

is undertaken at the primary market. That means the process of the Initial Public Offering or IPO

and the debentures are controlled at the primary stock market. On the other hand the secondary

market is the stock market where existing stocks are bought and sold by the retail investors

through the brokers. It is the secondary market that controls the price of the stocks. Generally

when talk about investing or trading at the stock market it means trading at the secondary stock

market. It is the secondary market where people can invest and trade in the stocks to get the

profit from their stock market investment.

Now the Indian stock markets can be divided into further categories depending on various

aspects like the mode of operation and the diversification in services. First of the two largest

stock exchanges in India can be divided on the basis of operation. While the Bombay stock

exchange or BSE is a conventional stock exchange with a trading floor and operating through

mostly offline trades, the National Stock Exchange or NSE is a completely online stock

exchange and the first of its kind in the country. The trading is carried out at the National Stock

Exchange through the electronic limit order book or the LOB. With the immense popularity of

the process and online trading facility other exchanges started to take up the online route

including the BSE where people can trade online as well. But the BSE is still having the offline

trading facility.

Apart from these classifications there are also different types of stock market in India and the

classification is made on the type of instrument that is being traded at the market. Both the

Bombay Stock Exchange and the National Stock Exchange have these types of stock markets.

Equity market or the cash segment:

The first type of market is the equity market or the cash segment where stocks are traded. In this

type of trading the buyers of the stocks book a buying order with a bid price and the order are

executed through the broker at a negotiated ask price offered by the sellers at the market. In most

cases the deal is closed or the stocks are brought at the best available ask price. In this type of

trading the buyer pays the entire amount of the value of the stocks that is determined by

multiplying the number stocks with the current price of the stock. Once the buyer pays the entire

amount along with the brokerage and taxes of the transaction the stocks are deposited to the DP

account of the buyer.

Derivative Market:

A derivative instrument is a contract between two parties that specifies conditions (especially the

dates, resulting values of the underlying variables, and notional amounts) under which payments

are to be made between the parties. In the derivative market trading is done mainly through two

instruments – the Future contract and the Option contract. In both these types of contracts the

stocks are bought and sold in lot. The number of stocks for each lot depends on the valuation of

the stock and the valuation of the lot is determined by the number of the stocks in a lot multiplied

with the current market price of the stock. For trading in derivative market people have to buy

either the future contract or the option contract. In a future contract it is agreed that specific

amount of a commodity or financial asset would be bought or sold at a specified future date at an

agreed price. The commodity can be wool, wheat, gold etc. The financial assets can be stocks,

currency or even just a statistical number like the stock market index or interest rates.

Accordingly, the types of futures contracts may be:

• Commodity Futures

• Stock Futures or Stock Market Futures

• Currency Futures

• Index Futures

• Interest rate Futures

Equity future contract is an agreement between the buyer and the seller to buy and sell stocks at a

certain date in future at a price determined today. There are 3 future contracts available anytime

in the market. They are near month which is current month future contracts, middle month which

is next month future contract, and far month which is 2 months down futures contracts. For

example, there could be Feb, Mar, and Apr contracts available in the month of Feb. Equity

futures are traded on stock exchanges and are standardized instruments. Equity futures are settled

every day.

To understand the comparison between equity and equity future stocks, three companies’ equity

stocks and equity future stocks are selected. These three companies’ company profiles are shown

below:

Company Profile of ICICI Bank Ltd.

ICICI Bank Ltd is a major banking and financial services organization in India. The Bank is the

second largest bank in India and the largest private sector bank in India by market capitalization.

They are a publicly held banking company engaged in providing a wide range of banking and

financial services including commercial banking and treasury operations. The Bank and their

subsidiaries offers a wide range of banking and financial services including commercial banking,

retail banking, project and corporate finance, working capital finance, insurance, venture capital

and private equity, investment banking, broking and treasury products and services. They offer

through a variety of delivery channels and through their specialized subsidiaries in the areas of

investment banking, life and non-life insurance, venture capital and asset management. The Bank

has a network of 2,035 branches and about 5,518 ATMs in India and presence in 18 countries.

They have subsidiaries in the United Kingdom, Russia and Canada, branches in United States,

Singapore, Bahrain, Hong Kong, Sri Lanka, Qatar and Dubai International Finance Centre and

representative offices in United Arab Emirates, China, South Africa, Bangladesh, Thailand,

Malaysia and Indonesia. The Bank's equity shares are listed in India on Bombay Stock Exchange

and the National Stock Exchange of India Limited and their American Depositary Receipts

(ADRs) are listed on the New York Stock Exchange. The Banks is the first Indian Bank listed on

New York Stock Exchange. ICICI Bank Ltd was incorporated in the year 1994 as a part of the

ICICI group with the name ICICI Banking Corporation Ltd. The initial equity capital was 75.0%

by ICICI and 25.0% by SCICI Ltd, a diversified finance and shipping finance lender of which

ICICI owned 19.9% at December 1996. Pursuant to the merger of SCICI into ICICI, ICICI Bank

became a wholly-owned subsidiary of ICICI. In September 10, 1999, the name of the Bank was

changed from ICICI Banking Corporation Ltd to ICICI Bank Ltd In March 10, 2001, ICICI Bank

acquired Bank of Madura, an old private sector bank, in an all-stock merger. ICICI Ltd along

with their wholly owned retail finance subsidiaries, namely ICICI Capital Services Ltd and ICICI

Personal Financial Services Ltd amalgamated with the Bank with effect from May 3, 2002. In

May 2003, the bank acquired the entire paid-up capital of Transamerica Apple Distribution

Finance Pvt Ltd which primarily engaged in financing in the two-wheeler segment. In September

12, 2003, the Bank incorporated ICICI Bank Canada as a 100% subsidiary company. In August

2005, the Bank acquired additional 6% of the equity share capital of Prudential ICICI Asset

Management Company Ltd and Prudential ICICI Trust Ltd from Prudential Corporation

Holdings Ltd and thus these two companies became the subsidiaries of the Bank. During the year

2006-07, ICICI Bank Canada incorporated ICICI Health Management Inc as a subsidiary

company. In April 2007, Sangli Bank Ltd merged with the Bank with effect from April 19, 2007.

During the year 2007-08, the Bank increased their branches & extension counter from 755 Nos

to 1,262 Nos, including the addition of about 200 branches through the merger of Sangli Bank.

They increased their ATM network from 3,271 ATMs to 3,881 ATMs. They launched mobile

banking service enabling a wide range of banking transactions using the mobile phone. They also

received licenses for 580 additional branches from RBI. They increased their ATM network to

4,713 ATMs from 3,881 ATMs. During the year 2009-10, the Bank increased their branches &

extension counter from 1,419 Nos to 1,707 Nos. They also increased their ATM network from

4,713 ATMs to 5,219 ATMs. ICICI Wealth Management Inc., a subsidiary of ICICI Bank

Canada, has been dissolved effective December 31, 2009. In January 2010, the Bank and First

Data, a company engaged in electronic commerce and payment services, formed a merchant

acquiring alliance and a new entity named ICICI Merchant Services, 81% owned by First Data,

was formed, which acquired ICICI Bank's merchant acquiring operations for a total

consideration of Rs. 3,744 million. In May 2010, the Bank approved the scheme of

amalgamation of Bank of Rajasthan Ltd with the Bank through share-swap in a non-cash deal

that values the Bank of Rajasthan at about Rs. 3,000 crore. Each 118 shares of Bank of Rajasthan

will be converted into 25 shares of ICICI Bank Ltd. In August 2010, as per the scheme of

amalgamation, Bank of Rajasthan was amalgamated with the Bank with effect from the close of

business on 12 August 2010. The merger of Bank of Rajasthan added over 450 branches to the

network. Including these, their branch network increased from 1,707 branches at March 31, 2010

to 2,529 branches at March 31, 2011. They also increased their ATM network from 5,219 ATMs

at March 31, 2010 to 6,055 ATMs at March 31, 2011.

Company Profile of ITC Ltd.

ITC was incorporated on August 24, 1910 under the name of 'Imperial Tobacco Company of

India Limited'. In recognition of the Company's multi-business portfolio encompassing a wide

range of businesses, the full stops in the Company's name were removed effective September 18,

2001 and the Company was rechristened as 'ITC Limited'.

ITC is one of India's foremost private sector companies with a market capitalization of over US $

33 billion and a turnover of US $ 7 billion. ITC is rated among the World's Best Big Companies,

Asia's 'Fab 50' and the World's Most Reputable Companies by Forbes magazine and among

India's Most Valuable Companies by Business Today. ITC ranks among India's '10 Most

Valuable (Company) Brands', in a study conducted by Brand Finance and published by the

Economic Times. ITC also ranks among Asia's 50 best performing companies compiled by

Business Week.

ITC has a diversified presence in FMCG, Hotels, Paperboards & Specialty Papers, Packaging,

Agri-Business, and Information Technology. While ITC is an outstanding market leader in its

traditional businesses of Cigarettes, Hotels, Paperboards, Packaging and Agri-Exports, it is

rapidly gaining market share even in its nascent businesses of Packaged Foods & Confectionery,

Branded Apparel, Personal Care and Stationery.

ITC's diversified status originates from its corporate strategy aimed at creating multiple drivers

of growth anchored on its time-tested core competencies: unmatched distribution reach, superior

brand-building capabilities, effective supply chain management and acknowledged service skills

in hoteliering. Over time, the strategic forays into new businesses are expected to garner a

significant share of these emerging high-growth markets in India.

ITC's Agri-Business is one of India's largest exporters of agricultural products. ITC's wholly

owned Information Technology subsidiary, ITC Infotech India Ltd, provides IT services and

solutions to leading global customers. ITC Infotech has carved a niche for itself by addressing

customer challenges through innovative IT solutions.

ITC's production facilities and hotels have won numerous national and international awards for

quality, productivity, safety and environment management systems. ITC was the first company

in India to voluntarily seek a corporate governance rating.

ITC employs over 26,000 people at more than 60 locations across India. The Company

continuously endeavors to enhance its wealth generating capabilities in a globalizing

environment to consistently reward more than 4, 10, 000 shareholders, fulfill the aspirations of

its stakeholders and meet societal expectations. ITC Limited operates in five business segments:

Fast Moving Consumer Goods (FMCG), Hotels, Paperboards, Paper & Packaging and Agri

Business. The FMCG segment includes Cigarettes, which consists of cigarettes, cigars and

smoking mixtures, and others, which include branded packaged foods (staples, biscuits,

confectionery and snack foods), garments, educational and other stationery products, matches,

agarbattis and personal care products. The hotel segment includes hoteliering. The paperboards,

paper and packaging segment includes paperboards, paper, including specialty paper, and

packaging including flexible. The Agri business segment includes agri commodities, such as

soya, coffee and leaf tobacco. Its Agri Business markets agri commodities in the export and

domestic markets. Other includes information technology services, filter rods etc. In September

2011, it acquired Russell Credit Ltd. On March 26, 2012, it purchased entire share capital of

Technico Pty Ltd.

Company Profile of ACC Ltd.

ACC (ACC Limited) is India's foremost manufacturer of cement and concrete. ACC's operations

are spread throughout the country with 16 modern cement factories, more than 40 Ready mix

concrete plants, 21 sales offices, and several zonal offices. It has a workforce of about 9,000

persons and a countrywide distribution network of over 9,000 dealers. ACC has a unique track

record of innovative research, product development and specialized consultancy services. The

company's various manufacturing units are backed by a central technology support services

centre - the only one of its kind in the Indian cement industry.

ACC has rich experience in mining, being the largest user of limestone. As the largest cement

producer in India, it is one of the biggest customers of the domestic coal industry, of Indian

Railways, and a considerable user of the country’s road transport network services for inward

and outward movement of materials and products. Among the first companies in India to include

commitment to environmental protection as one of its corporate objectives, the company

installed sophisticated pollution control equipment as far back as 1966, long before pollution

control laws came into existence. Today each of its cement plants has state-of-the art pollution

control equipment and devices.

ACC plants, mines and townships visibly demonstrate successful endeavors in quarry

rehabilitation, water management techniques and ‘greening’ activities. The company actively

promotes the use of alternative fuels and raw materials and offers total solutions for waste

management including testing, suggestions for reuse, recycling and co-processing. ACC has

taken purposeful steps in knowledge building. The main beneficiaries are youth from remote and

backward areas of the country.

ACC has made significant contributions to the nation building process by way of quality

products, services and sharing expertise. Its commitment to sustainable development, its high

ethical standards in business dealings and its on-going efforts in community welfare programs

have won it acclaim as a responsible corporate citizen. ACC’s brand name is synonymous with

cement and enjoys a high level of equity in the Indian market. It is the only cement company that

figures in the list of Consumer Super Brands of India.

2.2 Importance of the Internship area

Saving the money is not enough. Each of us also needs to invest one’s savings intelligently in

order to have enough money available for funding the higher education of one’s children, for

buying a house etc. The stock market is one of the most important sources for companies as well

as for people to raise money.

This allows businesses to be publicly traded, or raise additional financial capital for expansion by

selling shares of ownership of the company in a public market. The liquidity that an exchange

affords the investors gives them the ability to quickly and easily sell securities. This is an

attractive feature of investing in stocks, compared to other less liquid investments such as real

estate. Some companies actively increase liquidity by trading in their own shares.

History has shown that the price of shares and other assets is an important part of the dynamics

of economic activity, and can influence or be an indicator of social mood. An economy where

the stock market is on the rise is considered to be an up-and-coming economy. In fact, the stock

market is often considered the primary indicator of a country's economic strength and

development.

Rising share prices, for instance, tend to be associated with increased business investment and

vice versa. Share prices also affect the wealth of households and their consumption. Therefore,

central banks tend to keep an eye on the control and behavior of the stock market and, in general,

on the smooth operation of financial system functions. Financial stability is the raison d'être of

central banks.

Exchanges also act as the clearinghouse for each transaction, meaning that they collect and

deliver the shares, and guarantee payment to the seller of a security. This eliminates the risk to an

individual buyer or seller that the counterparty could default on the transaction.

The smooth functioning of all these activities facilitates economic growth in that lower costs and

enterprise risks promote the production of goods and services as well as possibly employment. In

this way the financial system is assumed to contribute to increased prosperity.

A portion of the funds involved in saving and financing, flows directly to the financial markets

instead of being routed via the traditional bank lending and deposit operations. The general

public interest in investing in the stock market, either directly or through mutual funds, has been

an important component of this process.

Statistics show that in recent decades shares have made up an increasingly large proportion of

households' financial assets in many countries. The major part of this adjustment is that financial

portfolios have gone directly to shares but a good deal now takes the form of various kinds of

institutional investment for groups of individuals, e.g., pension funds, mutual funds, hedge funds,

insurance investment of premiums, etc.

2.3 Description of assignments undertaken

To understand the stock market, need to know about National Stock Exchange (NSE), stock

indices, the equity market and future market, their advantages and disadvantages, margins in the

stock market, participants.

National Stock Exchange (NSE): The National Stock Exchange is India's largest financial

market. Established in 1992, the NSE has developed into a sophisticated, electronic market,

which ranks third in the world for transacted volume. The NSE conducts transactions in the

wholesale debt, equity and derivative markets.

Index: An Index is used to give information about the price movements of products in the

financial, commodities or any other markets. Stock market indices are meant to capture the

overall behavior of the equity markets. The stock market index is created by selecting a group of

stocks that are representative of the whole market or a specified sector or segment of the market.

The blue chip index of NSE is S&P CNX Nifty.

Major Indices in India:

These are few popular indices in India.

• BSE-30 Sensex

• BSE-100

• BSE-200

• BSE-500

• S & P CNX Nifty

• S & P CNX Nifty Jr.

• S & P CNX Midcap

• S & P CNX 500

The advantages of equity stocks are:

• It is a permanent source of funds without any repayment liability.

• It does not involve obligatory dividend payment.

• It forms the basis of further long term financing in the form of borrowing related to the

credit worthiness of the firm. The shareholders with limited liability exercise control and

share other ownership rights in the income of the firm.

Investors or equity stockholders may enjoy the following advantages:

• Equity stockholders are the residual claimant of the profits after meeting all the fixed

commitments. The company may add to the profits by trading on equity. Thus equity

capital may get dividend at high in boom period.

• Equity stockholders have voting rights and elect competent persons as directors to control

and manage the affairs of the company.

The disadvantages of equity stocks are:

• The cost of equity capital is high, usually the highest. The rate of return required by

equity shareholders is generally higher, than the rate of return required by other investors.

• Equity shareholders are the last to be paid, for payment of divided during the life time of

the company and payment of capital at the event of liquidation of the company. As a

result, they are facing the maximum risk from investor's point of view.

• Whenever new equity shares are issued, it dilutes the existing shareholders' earnings per

share (EPS) if the profits don't increase immediately in proportion to the increase in the

number of equity shares.

• Whenever new equity shares are to be issued, these are first offered to the existing

shareholders because Companies Act gives them a pre-emptive right to retain their

proportionate ownership.

Disadvantages to investors:

• The dividend on equity shares is subject to availability of profits and intention of the

Board of Directors and hence the income is quite irregular and uncertain. They may get

no dividend even three are sufficient profits.

• During recession or depression periods, the profits of the company come down and

consequently the rate of dividend also comes down. Due to low rate of dividend and

certain other factors the market value of equity shares goes down resulting in a capital

loss to the investors.

• In case, the company goes into liquidation, equity shareholders are the worst suffers.

They are paid in the last only if any surplus is available after every other claim including

the claim of preference shareholders is settled. It is evident from the advantages and

disadvantages of equity share capital discussed above that the issue of equity share

capital is a must for a company, yet it should not solely depend on it. In order to make its

capital structure flexible, it should raise funds from other sources also.

The advantages of future stocks are:

• If price moves are favorable, the producer realizes the greatest return with this marketing

alternative.

• No premium charge is associated with futures market contracts.

• It is possible to open short as well as long positions. Position can be reversed easily.

• Lead to high liquidity.

Advantages of Investors:

• The commission charges for futures trading are relatively small as compared to other type

of investments.

• Futures contracts are highly leveraged financial instruments which permit achieving

greater gains using a limited amount of invested funds.

• It is possible to open short as well as long positions. Position can be reversed easily.

The disadvantages of future stocks are:

• Leverage can make trading in futures contracts highly risky for a particular strategy.

• Futures contract is standardized product and written for fixed amounts and terms.

• Lower commission costs can encourage a trader to take additional trades and lead to

over-trading.

Disadvantages of investors:

• Futures contract is standardized product and written for fixed amounts and terms.

• Lower commission costs can encourage a trader to take additional trades and lead to

over-trading.

• It offers only a partial hedge. It is subject to basis risk which is associated with imperfect

hedging using futures.

Margins in the stock market:

Margin is the money that an investor has borrowed from a broker in order to buy securities. An

investor who buys on margin can realize huge gains if the price of the security moves in a

favorable direction; however, he/she also takes on a great deal of risk because it may not move in

such a direction.

Stocks are classified into three categories on the basis of their liquidity and impact cost.

• The Stocks which have traded at least 80% of the days for the previous six months shall

constitute the Group I and Group II.

• Out of the scripts identified above, the scripts having mean impact cost of less than or

equal to 1% are categorized under Group I and the scripts where the impact cost is more

than 1, are categorized under Group II.

• The remaining stocks are classified into Group III.

Participants of the Market:

Long-Term Investor: An investor who intends to hold a security, portfolio, or investment

strategy for a term of longer than one year. The exact number of years varies according to the

usage. For example, a long term stock investor may outline investment goals for any time longer

than one year, while a long-term bond investor may hold a bond until it matures 10 or more years

later. Long-term investing involves more uncertainty than anything short-term because, generally

speaking, market trends are more easily predictable in the short term. Thus, while planning for

the long term is necessary, one's plan must be flexible to account for the uncertainty inherent in

it.

Hedgers: Farmers, manufacturers, importers and exporters can all be hedgers. A hedger wants to

secure the future price of a commodity and accomplishes this task by buying or selling in

the futures market. This helps protect them against price risks.

The holders of the long position in futures contracts (the buyers of the commodity), are trying to

secure as low a price as possible. The short holders of the contract (the sellers of the commodity)

will want to secure as high a price as possible. The futures contract, however, provides a definite

price certainty for both parties, which reduces the risks associated with price volatility. Hedging

by means of futures contracts can also be used as a means to lock in an acceptable price margin

between the cost of the raw material and the retail cost of the final product sold.

Speculators: Speculators are not trying to minimize risk but rather to benefit from the inherently

risky nature of the futures market. They aim to profit from the very price change that hedgers are

protecting themselves against. Hedgers want to minimize their risk no matter what they're

investing in, while speculators want to increase their risk and therefore maximize their profits.

In the futures market, a speculator buying a contract low in order to sell high in the future would

most likely be buying that contract from a hedger selling a contract low in anticipation of

declining prices in the future.

Arbitrators: A person who has been officially chosen to make a decision between two people or

groups who do not agree is known as Arbitrator. In commodity market Arbitrators are the person

who takes the advantage of a discrepancy between prices in two different markets. For example-

one could buy in the cash market and simultaneously sell in the future market. The person who

does this activity is called an arbitrageur.

2.4 Goal and Targets

Goal:

Compare the equity stocks and equity derivative (future) stocks of selected companies like ICICI

Bank, Associated Cement Companies (ACC), Indian Tobacco Company (ITC) with reference to

Kotak Securities Limited.

Targets:

• 04th

June to 08th

June: Gather knowledge about equity market and stocks, collecting

basic knowledge about Back office support system (BOSS) and centralized receipt

payment system (CRPS).

• 11th

June to 15th

June: Gather knowledge about advantages and disadvantages of equity

stocks, brief knowledge about terminal and observing the fluctuation of the equity and

future stocks of selected companies.

• 18th

June to 22nd

June: Introduction to derivative market and future stock and data

collection of selected equity and future stocks throughout the week.

• 25th

June to 29th

June: Gather knowledge about advantages and disadvantages of future

stocks, weekly data collection.

• 02nd

July to 06th

July: Collect the historical trading details of equity and future stocks of

selected companies throughout the week, analyzing and calculating risk and return.

• 09th

July to 13th

July: Compare equity and future stocks in terms of risk and return,

types of margin, duration, participants, expiry date of contract, etc.

• 16th

July to 20th

July: Interpretation of data and give recommendation and conclusion,

prepare the final report.

2.5 Expected Learning from the Internship

Most expected learning from this internship area is to understand the movement of the market. In

order to be successful in this field, as an investor needs to understand how the markets move and how to

interpret differences in the various market indexes and what they mean. All those movements are shown

in the Terminal as it is the main area from which the total trading is taken place.

Most traders are aware that market prices move because of buying and selling (i.e. trading), but

not many traders actually understand how buying and selling moves the market prices. This is

one of the most confusing aspects of trading (especially for new traders), but it is also one of the

most important.

The explanation of market price movement is composed of two parts. The first part explains how

buying volume and selling volume move the market price, and is quite easy to understand. The

second part explains how individual trades (as in individual transactions) are classified as either

buying or selling volume, and is the part that causes the most confusion for new traders.

Buying and Selling Volume

Every trade (as in every individual transaction) is either a buying trade or a selling trade. Buying

trades help move the market price upwards, and selling trades help move the market price

downwards. When there are more buying trades occurring in a market, the market price will

continue moving upwards. When they are more selling trades occurring in a market, the market

price will continue moving downwards.

Bid and Ask Volume

Every trade is classified as a buying trade or a selling trade based upon how the trade affects the

order book, and therefore the current market price.

The order book is composed of bid prices; ask prices, and the last price (i.e. the current market

price). The bid prices are the prices at which traders have placed limit orders to buy. The ask

prices are the prices at which traders have placed limit orders to sell. The last price is the most

recently traded price (i.e. the most recently filled order).

When a trader places a market order to buy, a trade will occur at the current ask price, because

the buy order is matched with the lowest available sell order. This causes the last price to change

to the ask price, as this is now the most recently traded price. As the ask price is always higher

than the bid price, the last price can only stay still or move up, and therefore this is classified as a

buying trade (i.e. buying volume).

Conversely, when a trader places a market order to sell, a trade will occur at the current bid

price, because the sell order is matched with the highest available buy order. This causes the last

price to change to the bid price, as this is now the most recently traded price. As the bid price is

always lower than the ask price, the last price can only stay still or move down, and therefore this

is classified as a selling trade (i.e. selling volume).

The software ODIN Client 10.0.0.2(Integrated) is used in terminal. The computer keyboard is

the main functional area. F1 is used to buy stocks, F2 is required to sell stocks, F3 is for order

booking, F5 is used to know the volume of particular stock, their opening, closing, high, low

prices, Alt F6 is used to the Net Client Position in a trading day, F8 is used to know the trading

details etc.

It is also learned that how to work in BOSS and CRPS. All the office related works and

information’s are recorded and audited by the operating system BOSS. It also helps to know

about the client’s demat account, his/her trading details, personal information. In CRPS all the

financial transactions of the company take place.

Chapter 3

3.1 Strategy Implementation

Details of resources:

For achieving objectives all the data/resources are collected through primary and secondary data

collection. The June month data of equity and future stocks of selected companies-ICICI Bank,

ITC, ACC are collected from the terminal screen of the computer after closing the market. This

data collection is called primary data collection. The previous two months i.e April and May

months data of equity and future stocks of selected companies-ICICI Bank, ITC, ACC are

collected from NSE website.

Planning efficiency:

For comparing the equity stocks and equity future contracts of the selected Companies, few

parameters are selected. The parameters are market returns, stock returns, standard deviations,

beta, expiry date, lot sizes, margin and duration. My plan to compare the equity stocks and equity

future contracts of the Companies includes –

1. Gathering basic knowledge about equity stocks and equity future contracts of the selected

Companies.

2. Observing the execution process of the terminal.

3. Observing the fluctuation of the selected equity stocks and equity future contracts.

4. Collecting the trading details of the selected equity stocks and equity future contracts.

5. Analyzing and comparing them based on the predetermined parameters.

Strategies applied:

To achieve the target I need to compare equity stocks and equity future contracts of the selected

companies on the basis of risk and return, types of margin, duration, expiry date of contract, lot

sizes. For this, I have applied few strategies. These are:

1. Calculation of Beta for comparing the risk and return of the selected stocks.

2. Descriptive statistics like tabular and graphical data representation (Column diagram) for

comparing the equity stocks and equity future contracts of the selected Companies.

Application of management tool:

To achieve the objectives the applied management tools for comparing equity and future stocks

of selected companies on the basis of risk and return, types of margin, duration, expiry date of

contracts, and lot sizes. For finding out the risk and return Beta (β) calculation is needed. To

calculate β the formula is:

• β � ��

� �

∑� ��

∑ ��

• Rs= Company Stock return

= �� !"��# �$� �� %&''

"��# �$� �� %

• Rm= Market index return

= ��′� (��) �� !"��# �$� (��) �� %&''

"��# �$� (��) �� %

• SD = Standard deviation =√ ∑ *�!*��

(

• σm2= Variance of market return

=

∑ *�!*��

(

• CoVsm= Covariance of stock and market return

= ∑� 01!01� 02!02��

3

3.2 Findings

1. S & P CNX Nifty

� Average Market index

� Variance of market index

� Standard deviation of market index is 1.00%.

2. Three selected companies’

Table1: Risk, Return and Beta of three selected companies’ EQ Stocks

Stocks

ICICI Bank

ITC Ltd

ACC Ltd

Graph 1: Risk, Return and Beta of three selected companies’ EQ Stocks

Analysis:

� Stock return for ICICI Bank

for ACC equity stock is

� ICICI Bank ltd has a risk factor of 1.85%, ITC has risk factor of 1.67% and ACC has

risk factor of 1.90%.

� Beta is 1.57 for ICICI Bank

1.85

-0.5

0

0.5

1

1.5

2

Risk (%)

Market index (S & P CNX Nifty) return is -0.0002 %.

Variance of market index is 1.01%.

Standard deviation of market index is 1.00%.

Three selected companies’ EQ Stocks

Risk, Return and Beta of three selected companies’ EQ Stocks

Risk (%) Return (%)

1.85 0.03

1.67 0.23

1.90 -0.09

Risk, Return and Beta of three selected companies’ EQ Stocks

Stock return for ICICI Bank equity stock is 0.03%, for ITC equity stock is 0.23% and

for ACC equity stock is -0.09%.

ltd has a risk factor of 1.85%, ITC has risk factor of 1.67% and ACC has

for ICICI Bank, 0.80 for ITC and 0.81 for ACC equity stock

0.03

1.571.67

0.23

0.8

1.9

-0.09

0.81

Risk (%) Return (%) Beta

ICICI Bank ITC Ltd ACC Ltd

Beta

1.57

0.80

0.81

stock is 0.23% and


equity stock.

0.81

Interpretation:

� Beta of ICICI Bank ltd is

market as a whole. Risk of the stock is 1.85% and rate of return is only 0.03%.

� Beta of ITC ltd is 0.80

a whole. Risk of the stock is 1.67

� Beta of ACC ltd is 0.81

as a whole. Risk of the stock is 1.90% and rate of return is only

Table 2: Average risk of selected equity stocks

Factor ICICI Bank

Risk (%) 1.85

Average Risk= 4.6

7 % = 1.81%

Graph 2: Average risk of selected equity stocks

Analysis:

� ACC has the highest risk factor of 1.90% with 0.81

� ITC has the lowest risk factor of 1.67% with 0.80

� On an average, equity stocks have

1.85

0

1

2

3

4

5

6

ICICI Bank

Beta of ICICI Bank ltd is 1.57 which is more than 1. It shows more vol


0.80 which is less than 1. It shows less volatility than the market as

whole. Risk of the stock is 1.67% and rate of return is only 0.23%.

0.81 which is less than 1. It shows less volatility than the market

as a whole. Risk of the stock is 1.90% and rate of return is only -0.09%.

Table 2: Average risk of selected equity stocks

ICICI Bank ITC ACC

1.85 1.67 1.90

% = 1.81%

Graph 2: Average risk of selected equity stocks

risk factor of 1.90% with 0.81 beta.

risk factor of 1.67% with 0.80 beta.

On an average, equity stocks have the risk factor of 1.81%.

1.67 1.9

5.42

ITC ACC Total

Risk (%)

which is more than 1. It shows more volatility than the


volatility than the market as

which is less than 1. It shows less volatility than the market

0.09%.

Total

5.42

Interpretation:

Risk is a major factor influence all type

risk factor is 1.81% and the risk factor of the market is 1.00%, it is showing equities are more

risky.

Table 3: Average return of selected equity stocks

Factor ICICI Bank

Return (%) 0.03

Average Risk= '.&8

7 % = 0.06%

Graph 3: Average return of selected equity stocks

Analysis:

� ITC has got the highest return of 0.23

� ACC has got the lowest

� On an average, equity stocks have

Interpretation:

Return is a major factor influencing factor to all type of investors. In the above selected

equity stocks average return is 0.17, compared to market return

stock returns are good and it will attract more and more customers.

0.03

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

0.2

0.25

ICICI Bank

Risk is a major factor influence all type of investors. In above selected equity stocks average


rage return of selected equity stocks

ICICI Bank ITC ACC

0.03 0.23 -0.09

% = 0.06%

Graph 3: Average return of selected equity stocks

ITC has got the highest return of 0.23%.

lowest return of -0.09%.

On an average, equity stocks have got the return of 0.17%.


equity stocks average return is 0.17, compared to market return of -0.0002%. Selected equity


0.03

0.23

-0.09

0.17

ICICI Bank ITC ACC Total

Return (%)

of investors. In above selected equity stocks average


Total

0.17


0.0002%. Selected equity

3. Three selected companies’ EQ

Table 4: Risk, Return and Beta of three selected companies’ EQ

Stocks

ICICI Bank

ITC Ltd

ACC Ltd

Graph 4: Risk, Return and Beta of three selected companies’ EQ

Analysis:

� Stock return for ICICI Bank

for ACC is -0.15%.

� ICICI Bank ltd has a risk factor of 1.72%, ITC has risk factor of 1.61

risk factor of 1.75%.

� Beta is 1.37 for ICICI Bank

Interpretation:

� Beta of ICICI Bank ltd is

the market as a whole. Risk of the stock is 1.72

� Beta of ITC ltd is 0.66

as a whole. Risk of the

1.72

-0.5

0

0.5

1

1.5

2

Risk (%)

Three selected companies’ EQ Future Stocks:

Risk, Return and Beta of three selected companies’ EQ Future Stocks

Risk (%) Return (%)

1.72 -0.05

1.61 0.17

1.75 -0.15

Risk, Return and Beta of three selected companies’ EQ future Stocks

Stock return for ICICI Bank equity derivative stock is -0.05%, for ITC

ltd has a risk factor of 1.72%, ITC has risk factor of 1.61

for ICICI Bank, 0.66 for ITC and 0.64 for ACC equity derivative

Beta of ICICI Bank ltd is 1.37% which is more than 1. It shows more volatility than

whole. Risk of the stock is 1.72% and rate of return is only

0.66% which is less than 1. It shows less volatility than the market

as a whole. Risk of the stock is 1.61% and rate of return is only 0.17%.

-0.05

1.37

1.61

0.17

0.66

1.75

-0.15

0.64

Risk (%) Return (%) Beta

ICICI Bank ITC Ltd ACC Ltd

Stocks

Beta

1.37

0.66

0.64

Stocks

%, for ITC is 0.17% and


derivative stock.

7% which is more than 1. It shows more volatility than

% and rate of return is only -0.05%.

% which is less than 1. It shows less volatility than the market

%.

0.64

� Beta of ACC ltd is 0.64

as a whole. Risk of the stock is 1.

Table 5: Average risk of selected equity

Factor ICICI Bank

Risk (%) 1.72

Average Risk= 4.'9

7 % = 1.69

Graph 5: Average risk of selected equity

Analysis:

� ACC has the highest risk factor of 1.

� ITC has the lowest risk factor of 1.61%

� On an average, equity stock

Interpretation:

Risk is a major factor influence all type of investors. In above selected equity

average risk factor is 1.69% and the risk factor of the market is 1.00%, it is showin

are more risky.

1.72

0

1

2

3

4

5

6

ICICI Bank

0.64% which is less than 1. It shows less volatility than the market

as a whole. Risk of the stock is 1.75% and rate of return is only -0.15

: Average risk of selected equity future stocks

ICICI Bank ITC ACC

72 1.61 1.75

= 1.69%

: Average risk of selected equity future stocks

ACC has the highest risk factor of 1.75 %.

s the lowest risk factor of 1.61%.

On an average, equity stocks have the risk factor of 1.69%.

Risk is a major factor influence all type of investors. In above selected equity

% and the risk factor of the market is 1.00%, it is showin

1.61 1.75

5.08

ITC ACC Total

Risk (%)

% which is less than 1. It shows less volatility than the market

0.15%.

Total

5.08

Risk is a major factor influence all type of investors. In above selected equity future stocks

% and the risk factor of the market is 1.00%, it is showing equities

Table 6: Average return of selected equity

Factor ICICI Bank

Return (%) -0.05

Average Risk= !'.'7

7 % = -0.01

Graph 6: Average return of selected equity

Analysis:

� ITC has got the highest return of

� ACC has got the lowest return of

� On an average, equity

Interpretation:


equity future stocks average return is 0.17

Selected equity future stock returns are good and it will attract more and more

-0.05

-0.2

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

0.2

ICICI Bank

: Average return of selected equity future stocks

ICICI Bank ITC ACC

05 0.17 -0.15

0.01%

: Average return of selected equity future stocks

ITC has got the highest return of 0.17%.

ACC has got the lowest return of -0.15%.

On an average, equity future stocks have got the return of -0.03%.


stocks average return is 0.17%, compared to market return of

stock returns are good and it will attract more and more

0.17

-0.15

-0.03ICICI Bank ITC ACC Total

Return (%)

Total

-0.03


, compared to market return of -0.0002%.


4. Comparison between selected companies’ equity and equity future stocks in terms

of risk factor:

Table 7: Risk comparison

Factor

Risk (%)

Graph 7: Risk comparison

Analysis:

� Equity stocks have the risk on an average of 1.81%.

� Equity future stocks have the risk on an average

Interpretation:

Equity stocks and equity derivative stocks are subjected to market risk. Based on the above

analysis equity future stocks have an average risk of 1.69% which is compared to equity

stocks risk of 1.81% is lower. Those who would like to take risk can go for

1.6

1.65

1.7

1.75

1.8

1.85

Comparison between selected companies’ equity and equity future stocks in terms

Equity Stock Equity future Stock

1.81

have the risk on an average of 1.81%.

stocks have the risk on an average of 1.69%.



stocks risk of 1.81% is lower. Those who would like to take risk can go for equity stocks.

1.81

1.69


Risk (%)

Comparison between selected companies’ equity and equity future stocks in terms

Equity future Stock

1.69



equity stocks.

Table 8: Return comparison

Factor

Return (%)

Graph 8: Return comparison

Analysis:

� Equity stocks have the

� Equity future stocks have the average

Interpretation:

Based on the above analysis equity future stocks have

compared to equity stocks return of 0.06

for equity stocks for getting higher return.

Table 9: Beta comparison

Stocks β of Equity stocks

ICICI Bank

ITC Ltd

ACC Ltd

Total

Average β of Equity stocks= 7.&9

7

Average β of Equity Future stocks

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

0.06

0.07


0.06

have the average return of 0.06%.

stocks have the average return of -0.01%.

Based on the above analysis equity future stocks have an average return of

return of 0.06% is lower. Those who would like to take risk can go

stocks for getting higher return.

β of Equity stocks β of Equity Future stocks

1.57 1.37

0.8 0.66

0.81 0.64

3.18 2.16

&9

7 = 1.06

Future stocks= .&:

7 = 0.72

0.06

-0.01Equity Stock Equity future Stock

Return (%)

Equity future Stock

-0.01

an average return of -0.01% which is

% is lower. Those who would like to take risk can go

Graph 9: Beta comparison

Analysis:

� ICICI Bank Equity stocks

� ACC Equity future stocks have the

� The average beta for equity stocks is 1.06

� The average beta for equity future stocks is 0.72

Interpretation:

Based on the above analysis equity future stocks have an average

compared to equity stocks beta

market as a whole and beta<1 shows less volatility than the market as a whole

has less systematic risk.

5. Types of margin:

It is found that the equity stocks are gett

and cash vs margin.

Stock margins are those margins which

value. For example-If one customer having stock value of 1 lac and he/she wants to buy

stocks up to 5 lacs then he/she will get the margin of 4 lacs from the company.

1.571.37

0

0.5

1

1.5

2

2.5

3

3.5

ICICI Bank

β

Equity stocks have the maximum beta of 1.57.

stocks have the minimum beta of 0.64.

beta for equity stocks is 1.06.

or equity future stocks is 0.72.

the above analysis equity future stocks have an average beta of

beta of 1.06 is lower. Beta>1 shows more volatility than the

market as a whole and beta<1 shows less volatility than the market as a whole

d that the equity stocks are getting two types of margin. They are-

Stock margins are those margins which are given to the customer on the basis of their stock

If one customer having stock value of 1 lac and he/she wants to buy


0.8 0.81

3.18

1.37

0.66 0.64

2.16

ICICI Bank ITC Ltd ACC Ltd Total

β of Equity stocks β of Equity Future stocks

of 0.72 which is

Beta>1 shows more volatility than the

market as a whole and beta<1 shows less volatility than the market as a whole or the stock

- stock vs margin

are given to the customer on the basis of their stock

If one customer having stock value of 1 lac and he/she wants to buy


Cash margins are those margins which are given to the customer on the basis of their cash.

That cash is deposited by the customer in the form of check. For example- If the customer

does not have any stock in his/her account but he/she submits the check of 1 lac to the

company then he/she can get the margin of 4 lacs as he/she wants to buy stocks of 5 lacs.

In case of future stock span margin is monitored and collected at the time of placing the buy /

sell order. For example- if a customer wants to buy one lot of ITC future stock then his/her

account should have that minimum margin. If the price of the stock is Rs 206/-, lot size 1000

and span % is 18% then in his/her account Rs {(1000×206) ×18/100} i.e Rs 37080/- should

be there.

6. Duration:

Generally equity stock is a long term stock and people invested in it for more than one year

and then only they get good return on equity. While in equity derivative stock investors are

investing for less than one year, generally for 2 months or 3 months.

7. Lot sizes:

In case of equity stock there is no fixed quantity to buy or sell the stock. But in case of equity

future stock lot sizes are fixed. For ICICI Bank lot size is 250, for ITC lot size is 1000 and

for ACC lot size is 250.

8. Expiry Date of contract:

It’s a last Thursday of any month in case of derivative stocks but no such things in case of

equity stocks. In this project the last Thursday is the 28th June which is the expiry date for

three months i.e April, May and June.

3.3 Analyses of performance

From the above findings the analyses of the performances are follows:

� According to the first objective equity stocks have the average risk factor of 1.81% which

is more than the average risk factor 1.69% of equity derivatives stocks that means equity

stocks are more risky than equity derivatives stocks.

The average stock return of equity stocks is 0.06% and the average stock return of equity

derivatives stocks is -0.01%. That means those who would like to take risk can go for

equity stocks for getting higher return.

Based on the above analysis equity future stocks have an average beta of 0.72 which is

lower as compared to equity stocks beta of 1.06. Equity stocks Beta>1 shows more

volatility than the market as a whole or the stocks carry more unavoidable risk and equity

derivative stocks beta<1 shows less volatility than the market as a whole or the stock has

less systematic risk.

� According to the second objective margin for equity stocks are less risky than equity

derivative stocks. It will be easily understand by an example- If a customer buys an

equity stock of ICICI bank at Rs 860.10 and after that the price fells up to Rs 856.95 then

the customer can wait for next price increase. But if the same case is happened in equity

derivative stock then the loss amount should immediately deduct from his/her account.

In terms of duration equity stocks are invested for more than one year and equity

derivative stocks are invested for maximum three months.

There is no fixed lot size for buying or selling equity stocks. Customers can buy/sell as

much they want. But in case of equity derivative stocks lot size is fixed and customers are

bound to buy/sell that amount of stock. The person who buys/sells ITC equity derivative

stocks, the minimum quantity of stock is 1000. In case of ICICI Bank and ACC the

minimum quantity is 250.

Expiry date for derivative stocks is the last Thursday of any month. No such limit is there

for equity stocks.

� The third objective of the study is to provide information about the pros and cons of

investing in equity and equity derivative stocks. There are many advantages of investing

in those stocks if it is made with a systematic plan of investment and vice versa.

3.4 Limitations

The limitations of the study are:

� Three companies are selected for comparison. If the numbers of selected companies are

more, then the comparison will become more effective and fruitful.

� The three months data will collect for calculating the risk and return of those selected

companies but the risk and return will calculate for more than one year then the value of

beta will be more affective.

3.5 Conclusions

It can be concluded that the findings of the research are quite eye-opening and thus the objective

of this study has been successfully achieved in comparing the equity stocks and equity

derivatives stocks of the selected Companies. These findings are significant in the aspect that it

gives an insight to the volatility of the stocks so that the investors can easily choose the right

stock for investment. This research work can also be used by the broking firms to enhance their

customer service as well as brand image. They can utilize these findings to understand the actual

need of their customers and predict their behavior. And further research work needs to be done in

this area to analyze the situation critically.

Chapter 4

4.1 Annexure

S&P CNX NIFTY:

Calculation of Market Return and Standard Deviation

Date

Script Value

Return(Rm) in %

(Rm-Rm)

(Rm-Rm)2

30-Mar-2012 5295.55

02-Apr-2012 5317.90 0.42 0.4202 0.176568

03-Apr-2012 5358.50 0.76 0.7602 0.577904

04-Apr-2012 5322.90 -0.66 -0.6598 0.435336

09-Apr-2012 5234.40 -1.66 -1.6598 2.754936

10-Apr-2012 5243.60 0.18 0.1802 0.032472

11-Apr-2012 5226.85 -0.32 -0.3198 0.102272

12-Apr-2012 5276.85 0.96 0.9602 0.921984

13-Apr-2012 5207.45 -1.32 -1.3198 1.741872

16-Apr-2012 5226.20 0.36 0.3602 0.129744

17-Apr-2012 5289.70 1.22 1.2202 1.488888

18-Apr-2012 5300.00 0.19 0.1902 0.036176

19-Apr-2012 5332.40 0.61 0.6102 0.372344

20-Apr-2012 5290.85 -0.78 -0.7798 0.608088

23-Apr-2012 5200.60 -1.71 -1.7098 2.923416

24-Apr-2012 5222.65 0.42 0.4202 0.176568

25-Apr-2012 5202.00 -0.39 -0.3898 0.151944

26-Apr-2012 5189.00 -0.25 -0.2498 0.0624

27-Apr-2012 5190.60 0.03 0.0302 0.000912

28-Apr-2012 5209.00 0.35 0.3502 0.12264

30-Apr-2012 5248.15 0.75 0.7502 0.5628

02-May-2012 5239.15 -0.17 -0.1698 0.028832

03-May-2012 5188.40 -0.97 -0.9698 0.940512

04-May-2012 5086.85 -1.96 -1.9598 3.840816

07-May-2012 5114.15 0.54 0.5402 0.291816

08-May-2012 4999.95 -2.23 -2.2298 4.972008

09-May-2012 4974.80 -0.50 -0.4998 0.2498

10-May-2012 4965.70 -0.18 -0.1798 0.032328

11-May-2012 4928.90 -0.74 -0.7398 0.547304

14-May-2012 4907.80 -0.43 -0.4298 0.184728

15-May-2012 4942.80 0.71 0.7102 0.504384

16-May-2012 4858.25 -1.71 -1.7098 2.923416

17-May-2012 4870.20 0.25 0.2502 0.0626

18-May-2012 4891.45 0.44 0.4402 0.193776

21-May-2012 4906.05 0.29 0.2902 0.084216

22-May-2012 4860.50 -0.93 -0.9298 0.864528

23-May-2012 4835.65 -0.51 -0.5098 0.259896

24-May-2012 4921.40 1.77 1.7702 3.133608

25-May-2012 4920.40 -0.02 -0.0198 0.000392

28-May-2012 4985.65 1.33 1.3302 1.769432

29-May-2012 4990.10 0.09 0.0902 0.008136

30-May-2012 4950.75 -0.79 -0.7898 0.623784

31-May-2012 4924.25 -0.54 -0.5398 0.291384

01-Jun-2012 4841.60 -1.68 -1.6798 2.821728

04-Jun-2012 4848.15 0.14 0.1402 0.019656

05-Jun-2012 4863.30 0.31 0.3102 0.096224

06-Jun-2012 4997.10 2.75 2.7502 7.5636

07-Jun-2012 5049.65 1.05 1.0502 1.10292

08-Jun-2012 5068.35 0.37 0.3702 0.137048

11-Jun-2012 5054.10 -0.28 -0.2798 0.078288

12-Jun-2012 5115.90 1.22 1.2202 1.488888

13-Jun-2012 5121.45 0.11 0.1102 0.012144

14-Jun-2012 5054.75 -1.30 -1.2998 1.68948

15-Jun-2012 5139.05 1.67 1.6702 2.789568

18-Jun-2012 5064.25 -1.46 -1.4598 2.131016

19-Jun-2012 5103.85 0.78 0.7802 0.608712

20-Jun-2012 5120.55 0.33 0.3302 0.109032

21-Jun-2012 5165.00 0.87 0.8702 0.757248

22-Jun-2012 5146.05 -0.37 -0.3698 0.136752

25-Jun-2012 5114.65 -0.61 -0.6098 0.371856

26-Jun-2012 5120.80 0.12 0.1202 0.014448

27-Jun-2012 5141.90 0.41 0.4102 0.168264

28-Jun-2012 5149.15 0.14 0.1402 0.019656

29-Jun-2012 5278.90 2.52 2.5202 6.351408

Total -0.01 63.6549

Where, Rm= Market index return

= ��′� (��) �� !"��# �$� (��) �� %&''

"��# �$� (��) �� %

Rm = ∑ *�

(, where n= number of trading days=63

= ; '.'&

:7 % = - 0.0002%

Variance (σm) = ∑ *�!*��

(=

:7.:46<

:7 =1.01%

Standard Deviation (SD) = √∑ *�!*��

(

=1.00%

In Case of Equity Stocks:

1. ICICI BANK LTD.

Calculation of Risk and Return

Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

30-Mar-2012 890.20

02-Apr-2012 890.45 0.03 0 0

03-Apr-2012 908.20 1.99 1.96 3.8416

04-Apr-2012 890.25 -1.97 -2 4

09-Apr-2012 867.05 -2.61 -2.64 6.9696

10-Apr-2012 863.80 -0.38 -0.41 0.1681

11-Apr-2012 864.70 0.11 0.08 0.0064

12-Apr-2012 879.35 1.69 1.66 2.7556

13-Apr-2012 865.00 -1.63 -1.66 2.7556

16-Apr-2012 873.60 0.99 0.96 0.9216

17-Apr-2012 885.45 1.36 1.33 1.7689

18-Apr-2012 881.25 -0.47 -0.5 0.25

19-Apr-2012 877.85 -0.39 -0.42 0.1764

20-Apr-2012 861.05 -1.91 -1.94 3.7636

23-Apr-2012 843.90 -1.99 -2.02 4.0804

24-Apr-2012 847.80 0.46 0.43 0.1849

25-Apr-2012 838.40 -1.11 -1.14 1.2996

26-Apr-2012 841.45 0.36 0.33 0.1089

27-Apr-2012 860.85 2.31 2.28 5.1984

28-Apr-2012 868.75 0.92 0.89 0.7921

30-Apr-2012 882.35 1.57 1.54 2.3716

02-May-2012 882.05 -0.03 -0.06 0.0036

03-May-2012 857.55 -2.78 -2.81 7.8961

04-May-2012 833.35 -2.82 -2.85 8.1225

07-May-2012 848.25 1.79 1.76 3.0976

08-May-2012 830.15 -2.13 -2.16 4.6656

09-May-2012 821.95 -0.99 -1.02 1.0404

10-May-2012 814.15 -0.95 -0.98 0.9604

11-May-2012 813.20 -0.12 -0.15 0.0225

14-May-2012 800.70 -1.54 -1.57 2.4649

15-May-2012 816.85 2.02 1.99 3.9601

16-May-2012 794.40 -2.75 -2.78 7.7284

17-May-2012 787.45 -0.88 -0.91 0.8281

18-May-2012 805.20 2.25 2.22 4.9284

21-May-2012 811.10 0.73 0.7 0.49

22-May-2012 800.80 -1.27 -1.3 1.69

23-May-2012 793.30 -0.94 -0.97 0.9409

24-May-2012 820.60 3.44 3.41 11.6281

25-May-2012 814.60 -0.73 -0.76 0.5776

28-May-2012 834.40 2.43 2.4 5.76

29-May-2012 838.70 0.52 0.49 0.2401

30-May-2012 817.25 -2.56 -2.59 6.7081

31-May-2012 783.25 -4.16 -4.19 17.5561

01-Jun-2012 781.70 -0.20 -0.23 0.0529

04-Jun-2012 788.85 0.92 0.89 0.7921

05-Jun-2012 792.05 0.41 0.38 0.1444

06-Jun-2012 808.40 2.06 2.03 4.1209

07-Jun-2012 830.05 2.68 2.65 7.0225

08-Jun-2012 829.15 -0.11 -0.14 0.0196

11-Jun-2012 826.75 -0.29 -0.32 0.1024

12-Jun-2012 839.05 1.49 1.46 2.1316

13-Jun-2012 849.35 1.23 1.2 1.44

14-Jun-2012 818.85 -3.59 -3.62 13.1044

15-Jun-2012 845.70 3.28 3.25 10.5625

18-Jun-2012 816.55 -3.45 -3.48 12.1104

19-Jun-2012 826.80 1.26 1.23 1.5129

20-Jun-2012 833.00 0.75 0.72 0.5184

21-Jun-2012 849.65 2.00 1.97 3.8809

22-Jun-2012 851.70 0.24 0.21 0.0441

25-Jun-2012 846.90 -0.56 -0.59 0.3481

26-Jun-2012 844.10 -0.33 -0.36 0.1296

27-Jun-2012 852.50 1.00 0.97 0.9409

28-Jun-2012 856.95 0.52 0.49 0.2401

29-Jun-2012 899.50 4.97 4.94 24.4036

Total 2.14 216.3451

Where, Rs= Company stock return

= �� =��> �� !"��# �$� �=��> �� %&''

"��# �$� �=��> �� %

Rs = ∑ *�

( where n= number of trading days= 63

= .&6

:7

= 0.03%

Standard Deviation (SD) =√ ∑ *�!*��

(

= √ (216.3451/63) = 1.85%

Calculation of Beta

β � CoVimσm2 �

∑BCRs;RsECRm;RmEFn

∑CRm;RmE2n

Where,

Rs= Company’s stock return

Rs= Company’s average stock return

Rm= Market index return

Rm= Average market index return

Date Return of

ICICI

BANK EQ

Stock(Rs)

(Rs-Rs)

Market

index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

02-Apr-2012 0.03 0 0.42 0.4202 0.176568 0

03-Apr-2012 1.99 1.96 0.76 0.7602 0.577904 1.5092

04-Apr-2012 -1.97 -2 -0.66 -0.6598 0.435336 1.3

09-Apr-2012 -2.61 -2.64 -1.66 -1.6598 2.754936 4.356

10-Apr-2012 -0.38 -0.41 0.18 0.1802 0.032472 -0.0779

11-Apr-2012 0.11 0.08 -0.32 -0.3198 0.102272 -0.0248

12-Apr-2012 1.69 1.66 0.96 0.9602 0.921984 1.6102

13-Apr-2012 -1.63 -1.66 -1.32 -1.3198 1.741872 2.1746

16-Apr-2012 0.99 0.96 0.36 0.3602 0.129744 0.3552

17-Apr-2012 1.36 1.33 1.22 1.2202 1.488888 1.6359

18-Apr-2012 -0.47 -0.5 0.19 0.1902 0.036176 -0.1

19-Apr-2012 -0.39 -0.42 0.61 0.6102 0.372344 -0.2604

20-Apr-2012 -1.91 -1.94 -0.78 -0.7798 0.608088 1.4938

23-Apr-2012 -1.99 -2.02 -1.71 -1.7098 2.923416 3.434

24-Apr-2012 0.46 0.43 0.42 0.4202 0.176568 0.1849

25-Apr-2012 -1.11 -1.14 -0.39 -0.3898 0.151944 0.4332

26-Apr-2012 0.36 0.33 -0.25 -0.2498 0.0624 -0.0792

27-Apr-2012 2.31 2.28 0.03 0.0302 0.000912 0.0912

28-Apr-2012 0.92 0.89 0.35 0.3502 0.12264 0.3204

30-Apr-2012 1.57 1.54 0.75 0.7502 0.5628 1.1704

02-May-2012 -0.03 -0.06 -0.17 -0.1698 0.028832 0.0096

03-May-2012 -2.78 -2.81 -0.97 -0.9698 0.940512 2.6976

04-May-2012 -2.82 -2.85 -1.96 -1.9598 3.840816 5.5575

07-May-2012 1.79 1.76 0.54 0.5402 0.291816 0.968

08-May-2012 -2.13 -2.16 -2.23 -2.2298 4.972008 4.7952

09-May-2012 -0.99 -1.02 -0.50 -0.4998 0.2498 0.4998

10-May-2012 -0.95 -0.98 -0.18 -0.1798 0.032328 0.1666

11-May-2012 -0.12 -0.15 -0.74 -0.7398 0.547304 0.1095

14-May-2012 -1.54 -1.57 -0.43 -0.4298 0.184728 0.6594

15-May-2012 2.02 1.99 0.71 0.7102 0.504384 1.4328

16-May-2012 -2.75 -2.78 -1.71 -1.7098 2.923416 4.726

17-May-2012 -0.88 -0.91 0.25 0.2502 0.0626 -0.2366

18-May-2012 2.25 2.22 0.44 0.4402 0.193776 0.999

21-May-2012 0.73 0.7 0.29 0.2902 0.084216 0.21

22-May-2012 -1.27 -1.3 -0.93 -0.9298 0.864528 1.196

23-May-2012 -0.94 -0.97 -0.51 -0.5098 0.259896 0.485

24-May-2012 3.44 3.41 1.77 1.7702 3.133608 6.0698

25-May-2012 -0.73 -0.76 -0.02 -0.0198 0.000392 0.0076

28-May-2012 2.43 2.4 1.33 1.3302 1.769432 3.216

29-May-2012 0.52 0.49 0.09 0.0902 0.008136 0.049

30-May-2012 -2.56 -2.59 -0.79 -0.7898 0.623784 2.0202

31-May-2012 -4.16 -4.19 -0.54 -0.5398 0.291384 2.2207

01-Jun-2012 -0.20 -0.23 -1.68 -1.6798 2.821728 0.3841

04-Jun-2012 0.92 0.89 0.14 0.1402 0.019656 0.1335

05-Jun-2012 0.41 0.38 0.31 0.3102 0.096224 0.1216

06-Jun-2012 2.06 2.03 2.75 2.7502 7.5636 5.6028

07-Jun-2012 2.68 2.65 1.05 1.0502 1.10292 2.809

08-Jun-2012 -0.11 -0.14 0.37 0.3702 0.137048 -0.0532

11-Jun-2012 -0.29 -0.32 -0.28 -0.2798 0.078288 0.0864

12-Jun-2012 1.49 1.46 1.22 1.2202 1.488888 1.7958

13-Jun-2012 1.23 1.2 0.11 0.1102 0.012144 0.144

14-Jun-2012 -3.59 -3.62 -1.30 -1.2998 1.68948 4.6698

15-Jun-2012 3.28 3.25 1.67 1.6702 2.789568 5.46

18-Jun-2012 -3.45 -3.48 -1.46 -1.4598 2.131016 5.046

19-Jun-2012 1.26 1.23 0.78 0.7802 0.608712 0.9717

20-Jun-2012 0.75 0.72 0.33 0.3302 0.109032 0.2448

21-Jun-2012 2.00 1.97 0.87 0.8702 0.757248 1.7336

22-Jun-2012 0.24 0.21 -0.37 -0.3698 0.136752 -0.0756

25-Jun-2012 -0.56 -0.59 -0.61 -0.6098 0.371856 0.354

26-Jun-2012 -0.33 -0.36 0.12 0.1202 0.014448 -0.0468

27-Jun-2012 1.00 0.97 0.41 0.4102 0.168264 0.4074

28-Jun-2012 0.52 0.49 0.14 0.1402 0.019656 0.0735

29-Jun-2012 4.97 4.94 2.52 2.5202 6.351408 12.4982

Total 2.14 -0.01 63.6549 99.7436



∑CRm;RmE2n

= <<.867:

:7.68:& = 1.57

2. ITC LTD.


Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

30-Mar-2012 226.90

02-Apr-2012 226.95 0.02 -0.21 0.0441

03-Apr-2012 227.10 0.07 -0.16 0.0256

04-Apr-2012 227.40 0.13 -0.1 0.01

09-Apr-2012 224.05 -1.47 -1.7 2.89

10-Apr-2012 229.35 2.37 2.14 4.5796

11-Apr-2012 229.75 0.17 -0.06 0.0036

12-Apr-2012 234.75 2.18 1.95 3.8025

13-Apr-2012 236.25 0.64 0.41 0.1681

16-Apr-2012 241.05 2.03 1.8 3.24

17-Apr-2012 246.20 2.14 1.91 3.6481

18-Apr-2012 241.75 -1.81 -2.04 4.1616

19-Apr-2012 244.05 0.95 0.72 0.5184

20-Apr-2012 245.20 0.47 0.24 0.0576

23-Apr-2012 244.75 -0.18 -0.41 0.1681

24-Apr-2012 245.05 0.12 -0.11 0.0121

25-Apr-2012 245.95 0.37 0.14 0.0196

26-Apr-2012 249.05 1.26 1.03 1.0609

27-Apr-2012 245.80 -1.31 -1.54 2.3716

28-Apr-2012 246.90 0.45 0.22 0.0484

30-Apr-2012 245.50 -0.57 -0.35 0.1225

02-May-2012 244.60 -0.37 -0.6 0.36

03-May-2012 241.70 -1.19 -1.42 2.0164

04-May-2012 238.15 -1.47 -1.7 2.89

07-May-2012 236.35 -0.76 -0.99 0.9801

08-May-2012 226.90 -4.00 -4.23 17.8929

09-May-2012 239.90 5.73 5.5 30.25

10-May-2012 239.25 -0.27 -0.5 0.25

11-May-2012 234.25 -2.09 -2.32 5.3824

14-May-2012 234.50 0.11 -0.12 0.0144

15-May-2012 230.85 -1.56 -1.79 3.2041

16-May-2012 227.30 -1.54 -1.77 3.1329

17-May-2012 234.75 3.28 3.05 9.3025

18-May-2012 239.55 2.05 1.82 3.1324

21-May-2012 234.85 -1.96 -2.19 4.7961

22-May-2012 232.75 -0.89 -1.12 1.2544

23-May-2012 231.70 -0.45 -0.68 0.4624

24-May-2012 233.35 0.71 0.48 0.2304

25-May-2012 231.85 -0.64 -0.87 0.7569

28-May-2012 235.05 1.38 1.15 1.3225

29-May-2012 230.90 -1.77 -2 4

30-May-2012 231.90 0.43 0.2 0.04

31-May-2012 229.35 -1.09 -1.32 1.7424

01-Jun-2012 233.85 1.96 1.73 2.9929

04-Jun-2012 230.10 -1.60 -1.83 3.3489

05-Jun-2012 225.90 -1.83 -2.06 4.2436

06-Jun-2012 234.55 3.83 3.6 12.96

07-Jun-2012 236.35 0.77 0.54 0.2916

08-Jun-2012 239.20 1.21 0.98 0.9604

11-Jun-2012 239.75 0.23 0 0

12-Jun-2012 243.05 1.38 1.15 1.3225

13-Jun-2012 244.05 0.41 0.18 0.0324

14-Jun-2012 244.70 0.27 0.04 0.0016

15-Jun-2012 248.00 1.35 1.12 1.2544

18-Jun-2012 243.20 -1.94 -2.17 4.7089

19-Jun-2012 249.40 2.55 2.32 5.3824

20-Jun-2012 246.05 -1.34 -1.57 2.4649

21-Jun-2012 251.40 2.17 1.94 3.7636

22-Jun-2012 250.50 -0.36 -0.59 0.3481

25-Jun-2012 250.05 -0.18 -0.41 0.1681

26-Jun-2012 247.05 -1.20 -1.43 2.0449

27-Jun-2012 247.80 0.40 0.17 0.0289

28-Jun-2012 251.30 1.41 1.18 1.3924

29-Jun-2012 258.90 3.02 2.79 7.7841

Total 14.18 175.8602

Rs = ∑ *�


= &6.&9

:7

= 0.23%


( = √ (175.8602/63) = 1.67%

Calculation of Beta

Date Return of

ITC Ltd.

EQ

Stock(Rs)

(Rs-Rs)

Market

index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

02-Apr-2012 0.02 -0.21 0.42 0.4202 0.176568 -0.08824

03-Apr-2012 0.07 -0.16 0.76 0.7602 0.577904 -0.12163

04-Apr-2012 0.13 -0.1 -0.66 -0.6598 0.435336 0.06598

09-Apr-2012 -1.47 -1.7 -1.66 -1.6598 2.754936 2.82166

10-Apr-2012 2.37 2.14 0.18 0.1802 0.032472 0.385628

11-Apr-2012 0.17 -0.06 -0.32 -0.3198 0.102272 0.019188

12-Apr-2012 2.18 1.95 0.96 0.9602 0.921984 1.87239

13-Apr-2012 0.64 0.41 -1.32 -1.3198 1.741872 -0.54112

16-Apr-2012 2.03 1.8 0.36 0.3602 0.129744 0.64836

17-Apr-2012 2.14 1.91 1.22 1.2202 1.488888 2.330582

18-Apr-2012 -1.81 -2.04 0.19 0.1902 0.036176 -0.38801

19-Apr-2012 0.95 0.72 0.61 0.6102 0.372344 0.439344

20-Apr-2012 0.47 0.24 -0.78 -0.7798 0.608088 -0.18715

23-Apr-2012 -0.18 -0.41 -1.71 -1.7098 2.923416 0.701018

24-Apr-2012 0.12 -0.11 0.42 0.4202 0.176568 -0.04622

25-Apr-2012 0.37 0.14 -0.39 -0.3898 0.151944 -0.05457

26-Apr-2012 1.26 1.03 -0.25 -0.2498 0.0624 -0.25729

27-Apr-2012 -1.31 -1.54 0.03 0.0302 0.000912 -0.04651

28-Apr-2012 0.45 0.22 0.35 0.3502 0.12264 0.077044

30-Apr-2012 -0.57 -0.35 0.75 0.7502 0.5628 -0.26257

02-May-2012 -0.37 -0.6 -0.17 -0.1698 0.028832 0.10188

03-May-2012 -1.19 -1.42 -0.97 -0.9698 0.940512 1.377116

04-May-2012 -1.47 -1.7 -1.96 -1.9598 3.840816 3.33166

07-May-2012 -0.76 -0.99 0.54 0.5402 0.291816 -0.5348

08-May-2012 -4.00 -4.23 -2.23 -2.2298 4.972008 9.432054

09-May-2012 5.73 5.5 -0.50 -0.4998 0.2498 -2.7489

10-May-2012 -0.27 -0.5 -0.18 -0.1798 0.032328 0.0899

11-May-2012 -2.09 -2.32 -0.74 -0.7398 0.547304 1.716336

14-May-2012 0.11 -0.12 -0.43 -0.4298 0.184728 0.051576

15-May-2012 -1.56 -1.79 0.71 0.7102 0.504384 -1.27126

16-May-2012 -1.54 -1.77 -1.71 -1.7098 2.923416 3.026346

17-May-2012 3.28 3.05 0.25 0.2502 0.0626 0.76311

18-May-2012 2.05 1.82 0.44 0.4402 0.193776 0.801164

21-May-2012 -1.96 -2.19 0.29 0.2902 0.084216 -0.63554

22-May-2012 -0.89 -1.12 -0.93 -0.9298 0.864528 1.041376

23-May-2012 -0.45 -0.68 -0.51 -0.5098 0.259896 0.346664

24-May-2012 0.71 0.48 1.77 1.7702 3.133608 0.849696

25-May-2012 -0.64 -0.87 -0.02 -0.0198 0.000392 0.017226

28-May-2012 1.38 1.15 1.33 1.3302 1.769432 1.52973

29-May-2012 -1.77 -2 0.09 0.0902 0.008136 -0.1804

30-May-2012 0.43 0.2 -0.79 -0.7898 0.623784 -0.15796

31-May-2012 -1.09 -1.32 -0.54 -0.5398 0.291384 0.712536

01-Jun-2012 1.96 1.73 -1.68 -1.6798 2.821728 -2.90605

04-Jun-2012 -1.60 -1.83 0.14 0.1402 0.019656 -0.25657

05-Jun-2012 -1.83 -2.06 0.31 0.3102 0.096224 -0.63901

06-Jun-2012 3.83 3.6 2.75 2.7502 7.5636 9.90072

07-Jun-2012 0.77 0.54 1.05 1.0502 1.10292 0.567108

08-Jun-2012 1.21 0.98 0.37 0.3702 0.137048 0.362796

11-Jun-2012 0.23 0 -0.28 -0.2798 0.078288 0

12-Jun-2012 1.38 1.15 1.22 1.2202 1.488888 1.40323

13-Jun-2012 0.41 0.18 0.11 0.1102 0.012144 0.019836

14-Jun-2012 0.27 0.04 -1.30 -1.2998 1.68948 -0.05199

15-Jun-2012 1.35 1.12 1.67 1.6702 2.789568 1.870624

18-Jun-2012 -1.94 -2.17 -1.46 -1.4598 2.131016 3.167766

19-Jun-2012 2.55 2.32 0.78 0.7802 0.608712 1.810064

20-Jun-2012 -1.34 -1.57 0.33 0.3302 0.109032 -0.51841

21-Jun-2012 2.17 1.94 0.87 0.8702 0.757248 1.688188

22-Jun-2012 -0.36 -0.59 -0.37 -0.3698 0.136752 0.218182

25-Jun-2012 -0.18 -0.41 -0.61 -0.6098 0.371856 0.250018

26-Jun-2012 -1.20 -1.43 0.12 0.1202 0.014448 -0.17189

27-Jun-2012 0.40 0.17 0.41 0.4102 0.168264 0.069734

28-Jun-2012 1.41 1.18 0.14 0.1402 0.019656 0.165436

29-Jun-2012 3.02 2.79 2.52 2.5202 6.351408 7.031358

Total 14.18 -0.01 63.6549 51.00853



∑CRm;RmE2n

= 4&.''947

:7.:46<

= 0.80

3. ACC LTD.


Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

30-Mar-2012 1359.45

02-Apr-2012 1342.00 -1.28 -1.19 1.4161

03-Apr-2012 1364.25 1.66 1.75 3.0625

04-Apr-2012 1344.70 -1.43 -1.34 1.7956

09-Apr-2012 1312.10 -2.42 -2.33 5.4289

10-Apr-2012 1300.05 -0.92 -0.83 0.6889

11-Apr-2012 1236.50 -4.89 -4.8 23.04

12-Apr-2012 1279.55 3.48 3.57 12.7449

13-Apr-2012 1258.75 -1.63 -1.54 2.3716

16-Apr-2012 1237.75 -1.67 -1.58 2.4964

17-Apr-2012 1254.70 1.37 1.46 2.1316

18-Apr-2012 1297.20 3.39 3.48 12.1104

19-Apr-2012 1247.60 -3.82 -3.73 13.9129

20-Apr-2012 1226.90 -1.66 -1.57 2.4649

23-Apr-2012 1243.45 1.35 1.44 2.0736

24-Apr-2012 1214.10 -2.36 -2.27 5.1529

25-Apr-2012 1194.70 -1.60 -1.51 2.2801

26-Apr-2012 1218.85 2.02 2.11 4.4521

27-Apr-2012 1195.05 -1.95 -1.86 3.4596

28-Apr-2012 1205.30 0.86 0.95 0.9025

30-Apr-2012 1237.15 2.64 2.73 7.4529

02-May-2012 1212.85 -1.96 -1.87 3.4969

03-May-2012 1206.85 -0.50 -0.41 0.1681

04-May-2012 1208.45 0.13 0.22 0.0484

07-May-2012 1235.00 2.20 2.29 5.2441

08-May-2012 1221.85 -1.07 -0.98 0.9604

09-May-2012 1201.90 -1.63 -1.54 2.3716

10-May-2012 1199.05 -0.24 -0.15 0.0225

11-May-2012 1165.95 -2.76 -2.67 7.1289

14-May-2012 1173.30 0.63 0.72 0.5184

15-May-2012 1174.35 0.09 0.18 0.0324

16-May-2012 1172.45 -0.16 -0.07 0.0049

17-May-2012 1170.90 -0.13 -0.04 0.0016

18-May-2012 1159.90 -0.94 -0.85 0.7225

21-May-2012 1145.10 -1.28 -1.19 1.4161

22-May-2012 1130.20 -1.30 -1.21 1.4641

23-May-2012 1130.45 0.02 0.11 0.0121

24-May-2012 1155.50 2.22 2.31 5.3361

25-May-2012 1144.20 -0.98 -0.89 0.7921

28-May-2012 1163.95 1.73 1.82 3.3124

29-May-2012 1137.95 -2.23 -2.14 4.5796

30-May-2012 1162.50 2.16 2.25 5.0625

31-May-2012 1140.95 -1.85 -1.76 3.0976

01-Jun-2012 1126.85 -1.24 -1.15 1.3225

04-Jun-2012 1125.35 -0.13 -0.04 0.0016

05-Jun-2012 1129.70 0.39 0.48 0.2304

06-Jun-2012 1158.65 2.56 2.65 7.0225

07-Jun-2012 1154.60 -0.35 -0.26 0.0676

08-Jun-2012 1147.60 -0.61 -0.52 0.2704

11-Jun-2012 1149.40 0.16 0.25 0.0625

12-Jun-2012 1188.00 3.36 3.45 11.9025

13-Jun-2012 1180.10 -0.67 -0.58 0.3364

14-Jun-2012 1189.95 0.84 0.93 0.8649

15-Jun-2012 1223.25 2.80 2.89 8.3521

18-Jun-2012 1225.55 0.19 0.28 0.0784

19-Jun-2012 1227.95 0.20 0.29 0.0841

20-Jun-2012 1271.20 3.52 3.61 13.0321

21-Jun-2012 1253.70 -1.38 -1.29 1.6641

22-Jun-2012 1215.05 -3.08 -2.99 8.9401

25-Jun-2012 1208.95 -0.50 -0.41 0.1681

26-Jun-2012 1220.55 0.96 1.05 1.1025

27-Jun-2012 1204.40 -1.32 -1.23 1.5129

28-Jun-2012 1223.40 1.58 1.67 2.7889

29-Jun-2012 1268.05 3.65 3.74 13.9876

Total -5.78 229.0239

Rs = ∑ *�


= !4.89

:7

= -0.09%


(

= √ (229.0239/63) = 1.90%

Calculation of Beta

Date Return of

ACC Ltd.

EQ

Stock(Rs)

(Rs-Rs)

Market

index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

02-Apr-2012 -1.28 -1.19 0.42 0.4202 0.176568 -0.50004

03-Apr-2012 1.66 1.75 0.76 0.7602 0.577904 1.33035

04-Apr-2012 -1.43 -1.34 -0.66 -0.6598 0.435336 0.884132

09-Apr-2012 -2.42 -2.33 -1.66 -1.6598 2.754936 3.867334

10-Apr-2012 -0.92 -0.83 0.18 0.1802 0.032472 -0.14957

11-Apr-2012 -4.89 -4.8 -0.32 -0.3198 0.102272 1.53504

12-Apr-2012 3.48 3.57 0.96 0.9602 0.921984 3.427914

13-Apr-2012 -1.63 -1.54 -1.32 -1.3198 1.741872 2.032492

16-Apr-2012 -1.67 -1.58 0.36 0.3602 0.129744 -0.56912

17-Apr-2012 1.37 1.46 1.22 1.2202 1.488888 1.781492

18-Apr-2012 3.39 3.48 0.19 0.1902 0.036176 0.661896

19-Apr-2012 -3.82 -3.73 0.61 0.6102 0.372344 -2.27605

20-Apr-2012 -1.66 -1.57 -0.78 -0.7798 0.608088 1.224286

23-Apr-2012 1.35 1.44 -1.71 -1.7098 2.923416 -2.46211

24-Apr-2012 -2.36 -2.27 0.42 0.4202 0.176568 -0.95385

25-Apr-2012 -1.60 -1.51 -0.39 -0.3898 0.151944 0.588598

26-Apr-2012 2.02 2.11 -0.25 -0.2498 0.0624 -0.52708

27-Apr-2012 -1.95 -1.86 0.03 0.0302 0.000912 -0.05617

28-Apr-2012 0.86 0.95 0.35 0.3502 0.12264 0.33269

30-Apr-2012 2.64 2.73 0.75 0.7502 0.5628 2.048046

02-May-2012 -1.96 -1.87 -0.17 -0.1698 0.028832 0.317526

03-May-2012 -0.50 -0.41 -0.97 -0.9698 0.940512 0.397618

04-May-2012 0.13 0.22 -1.96 -1.9598 3.840816 -0.43116

07-May-2012 2.20 2.29 0.54 0.5402 0.291816 1.237058

08-May-2012 -1.07 -0.98 -2.23 -2.2298 4.972008 2.185204

09-May-2012 -1.63 -1.54 -0.50 -0.4998 0.2498 0.769692

10-May-2012 -0.24 -0.15 -0.18 -0.1798 0.032328 0.02697

11-May-2012 -2.76 -2.67 -0.74 -0.7398 0.547304 1.975266

14-May-2012 0.63 0.72 -0.43 -0.4298 0.184728 -0.30946

15-May-2012 0.09 0.18 0.71 0.7102 0.504384 0.127836

16-May-2012 -0.16 -0.07 -1.71 -1.7098 2.923416 0.119686

17-May-2012 -0.13 -0.04 0.25 0.2502 0.0626 -0.01001

18-May-2012 -0.94 -0.85 0.44 0.4402 0.193776 -0.37417

21-May-2012 -1.28 -1.19 0.29 0.2902 0.084216 -0.34534

22-May-2012 -1.30 -1.21 -0.93 -0.9298 0.864528 1.125058

23-May-2012 0.02 0.11 -0.51 -0.5098 0.259896 -0.05608

24-May-2012 2.22 2.31 1.77 1.7702 3.133608 4.089162

25-May-2012 -0.98 -0.89 -0.02 -0.0198 0.000392 0.017622

28-May-2012 1.73 1.82 1.33 1.3302 1.769432 2.420964

29-May-2012 -2.23 -2.14 0.09 0.0902 0.008136 -0.19303

30-May-2012 2.16 2.25 -0.79 -0.7898 0.623784 -1.77705

31-May-2012 -1.85 -1.76 -0.54 -0.5398 0.291384 0.950048

01-Jun-2012 -1.24 -1.15 -1.68 -1.6798 2.821728 1.93177

04-Jun-2012 -0.13 -0.04 0.14 0.1402 0.019656 -0.00561

05-Jun-2012 0.39 0.48 0.31 0.3102 0.096224 0.148896

06-Jun-2012 2.56 2.65 2.75 2.7502 7.5636 7.28803

07-Jun-2012 -0.35 -0.26 1.05 1.0502 1.10292 -0.27305

08-Jun-2012 -0.61 -0.52 0.37 0.3702 0.137048 -0.1925

11-Jun-2012 0.16 0.25 -0.28 -0.2798 0.078288 -0.06995

12-Jun-2012 3.36 3.45 1.22 1.2202 1.488888 4.20969

13-Jun-2012 -0.67 -0.58 0.11 0.1102 0.012144 -0.06392

14-Jun-2012 0.84 0.93 -1.30 -1.2998 1.68948 -1.20881

15-Jun-2012 2.80 2.89 1.67 1.6702 2.789568 4.826878

18-Jun-2012 0.19 0.28 -1.46 -1.4598 2.131016 -0.40874

19-Jun-2012 0.20 0.29 0.78 0.7802 0.608712 0.226258

20-Jun-2012 3.52 3.61 0.33 0.3302 0.109032 1.192022

21-Jun-2012 -1.38 -1.29 0.87 0.8702 0.757248 -1.12256

22-Jun-2012 -3.08 -2.99 -0.37 -0.3698 0.136752 1.105702

25-Jun-2012 -0.50 -0.41 -0.61 -0.6098 0.371856 0.250018

26-Jun-2012 0.96 1.05 0.12 0.1202 0.014448 0.12621

27-Jun-2012 -1.32 -1.23 0.41 0.4102 0.168264 -0.50455

28-Jun-2012 1.58 1.67 0.14 0.1402 0.019656 0.234134

29-Jun-2012 3.65 3.74 2.52 2.5202 6.351408 9.425548

Total -5.78 -0.01 63.6549 51.5992



∑CRm;RmE2n

= 4&.4<<

:7.:46< = 0.81

In Case of Future Stocks:

1. ICICI BANK LTD.


Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

02-Apr-2012 891.70

03-Apr-2012 913.00 2.39 2.44 5.9536

04-Apr-2012 888.60 -2.67 -2.62 6.8644

09-Apr-2012 870.35 -2.05 -2 4

10-Apr-2012 863.45 -0.79 -0.74 0.5476

11-Apr-2012 866.50 0.35 0.4 0.16

12-Apr-2012 881.30 1.71 1.76 3.0976

13-Apr-2012 866.10 -1.72 -1.67 2.7889

16-Apr-2012 878.95 1.48 1.53 2.3409

17-Apr-2012 892.55 1.55 1.6 2.56

18-Apr-2012 885.65 -0.77 -0.72 0.5184

19-Apr-2012 883.35 -0.26 -0.21 0.0441

20-Apr-2012 861.70 -2.45 -2.4 5.76

23-Apr-2012 844.65 -1.98 -1.93 3.7249

24-Apr-2012 852.35 0.91 0.96 0.9216

25-Apr-2012 840.55 -1.38 -1.33 1.7689

26-Apr-2012 843.75 0.38 0.43 0.1849

27-Apr-2012 859.65 1.88 1.93 3.7249

28-Apr-2012 866.30 0.77 0.82 0.6724

30-Apr-2012 876.45 1.17 1.22 1.4884

02-May-2012 873.05 -0.39 -0.34 0.1156

03-May-2012 853.95 -2.19 -2.14 4.5796

04-May-2012 828.95 -2.93 -2.88 8.2944

07-May-2012 845.25 1.97 2.02 4.0804

08-May-2012 824.65 -2.44 -2.39 5.7121

09-May-2012 815.05 -1.16 -1.11 1.2321

10-May-2012 805.65 -1.15 -1.1 1.21

11-May-2012 807.40 0.22 0.27 0.0729

14-May-2012 792.55 -1.84 -1.79 3.2041

15-May-2012 808.80 2.05 2.1 4.41

16-May-2012 787.10 -2.68 -2.63 6.9169

17-May-2012 777.85 -1.18 -1.13 1.2769

18-May-2012 796.00 2.33 2.38 5.6644

21-May-2012 800.35 0.55 0.6 0.36

22-May-2012 787.70 -1.58 -1.53 2.3409

23-May-2012 782.55 -0.65 -0.6 0.36

24-May-2012 808.05 3.26 3.31 10.9561

25-May-2012 804.60 -0.43 -0.38 0.1444

28-May-2012 821.95 2.16 2.21 4.8841

29-May-2012 823.35 0.17 0.22 0.0484

30-May-2012 799.35 -2.91 -2.86 8.1796

31-May-2012 788.90 -1.31 -1.26 1.5876

01-Jun-2012 783.80 -0.65 -0.6 0.36

04-Jun-2012 794.60 1.38 1.43 2.0449

05-Jun-2012 793.70 -0.11 -0.06 0.0036

06-Jun-2012 809.95 2.05 2.1 4.41

07-Jun-2012 827.20 2.13 2.18 4.7524

08-Jun-2012 831.00 0.46 0.51 0.2601

11-Jun-2012 826.15 -0.58 -0.53 0.2809

12-Jun-2012 842.65 1.99 2.04 4.1616

13-Jun-2012 848.70 0.72 0.77 0.5929

14-Jun-2012 822.00 -3.15 -3.1 9.61

15-Jun-2012 847.75 3.13 3.18 10.1124

18-Jun-2012 816.20 -3.72 -3.67 13.4689

19-Jun-2012 828.10 1.46 1.51 2.2801

20-Jun-2012 835.65 0.91 0.96 0.9216

21-Jun-2012 852.75 2.05 2.1 4.41

22-Jun-2012 852.95 0.02 0.07 0.0049

25-Jun-2012 846.80 -0.72 -0.67 0.4489

26-Jun-2012 845.85 -0.11 -0.06 0.0036

27-Jun-2012 850.95 0.60 0.65 0.4225

28-Jun-2012 858.10 0.84 0.89 0.7921

29-Jun-2012 - - - -

Total -2.93 182.0934

Where, Rs= Company stock return

= �� =��> �� !"��# �$� �=��> �� %&''

"��# �$� �=��> �� %

Rs = ∑ *�


= !.<7

:&

= -0.05%


(

= √ (182.0934/61)

= 1.72%

Calculation of Beta

Date Return of

ICICI

BANK

Future

Stock(Rs)

(Rs-Rs)

Market

index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

03-Apr-2012 2.39 2.44 0.76 0.767 0.588289 1.87148

04-Apr-2012 -2.67 -2.62 -0.66 -0.653 0.426409 1.71086

09-Apr-2012 -2.05 -2 -1.66 -1.653 2.732409 3.306

10-Apr-2012 -0.79 -0.74 0.18 0.187 0.034969 -0.13838

11-Apr-2012 0.35 0.4 -0.32 -0.313 0.097969 -0.1252

12-Apr-2012 1.71 1.76 0.96 0.967 0.935089 1.70192

13-Apr-2012 -1.72 -1.67 -1.32 -1.313 1.723969 2.19271

16-Apr-2012 1.48 1.53 0.36 0.367 0.134689 0.56151

17-Apr-2012 1.55 1.6 1.22 1.227 1.505529 1.9632

18-Apr-2012 -0.77 -0.72 0.19 0.197 0.038809 -0.14184

19-Apr-2012 -0.26 -0.21 0.61 0.617 0.380689 -0.12957

20-Apr-2012 -2.45 -2.4 -0.78 -0.773 0.597529 1.8552

23-Apr-2012 -1.98 -1.93 -1.71 -1.703 2.900209 3.28679

24-Apr-2012 0.91 0.96 0.42 0.427 0.182329 0.40992

25-Apr-2012 -1.38 -1.33 -0.39 -0.383 0.146689 0.50939

26-Apr-2012 0.38 0.43 -0.25 -0.243 0.059049 -0.10449

27-Apr-2012 1.88 1.93 0.03 0.037 0.001369 0.07141

28-Apr-2012 0.77 0.82 0.35 0.357 0.127449 0.29274

30-Apr-2012 1.17 1.22 0.75 0.757 0.573049 0.92354

02-May-2012 -0.39 -0.34 -0.17 -0.163 0.026569 0.05542

03-May-2012 -2.19 -2.14 -0.97 -0.963 0.927369 2.06082

04-May-2012 -2.93 -2.88 -1.96 -1.953 3.814209 5.62464

07-May-2012 1.97 2.02 0.54 0.547 0.299209 1.10494

08-May-2012 -2.44 -2.39 -2.23 -2.223 4.941729 5.31297

09-May-2012 -1.16 -1.11 -0.50 -0.493 0.243049 0.54723

10-May-2012 -1.15 -1.1 -0.18 -0.173 0.029929 0.1903

11-May-2012 0.22 0.27 -0.74 -0.733 0.537289 -0.19791

14-May-2012 -1.84 -1.79 -0.43 -0.423 0.178929 0.75717

15-May-2012 2.05 2.1 0.71 0.717 0.514089 1.5057

16-May-2012 -2.68 -2.63 -1.71 -1.703 2.900209 4.47889

17-May-2012 -1.18 -1.13 0.25 0.257 0.066049 -0.29041

18-May-2012 2.33 2.38 0.44 0.447 0.199809 1.06386

21-May-2012 0.55 0.6 0.29 0.297 0.088209 0.1782

22-May-2012 -1.58 -1.53 -0.93 -0.923 0.851929 1.41219

23-May-2012 -0.65 -0.6 -0.51 -0.503 0.253009 0.3018

24-May-2012 3.26 3.31 1.77 1.777 3.157729 5.88187

25-May-2012 -0.43 -0.38 -0.02 -0.013 0.000169 0.00494

28-May-2012 2.16 2.21 1.33 1.337 1.787569 2.95477

29-May-2012 0.17 0.22 0.09 0.097 0.009409 0.02134

30-May-2012 -2.91 -2.86 -0.79 -0.783 0.613089 2.23938

31-May-2012 -1.31 -1.26 -0.54 -0.533 0.284089 0.67158

01-Jun-2012 -0.65 -0.6 -1.68 -1.673 2.798929 1.0038

04-Jun-2012 1.38 1.43 0.14 0.147 0.021609 0.21021

05-Jun-2012 -0.11 -0.06 0.31 0.317 0.100489 -0.01902

06-Jun-2012 2.05 2.1 2.75 2.757 7.601049 5.7897

07-Jun-2012 2.13 2.18 1.05 1.057 1.117249 2.30426

08-Jun-2012 0.46 0.51 0.37 0.377 0.142129 0.19227

11-Jun-2012 -0.58 -0.53 -0.28 -0.273 0.074529 0.14469

12-Jun-2012 1.99 2.04 1.22 1.227 1.505529 2.50308

13-Jun-2012 0.72 0.77 0.11 0.117 0.013689 0.09009

14-Jun-2012 -3.15 -3.1 -1.30 -1.293 1.671849 4.0083

15-Jun-2012 3.13 3.18 1.67 1.677 2.812329 5.33286

18-Jun-2012 -3.72 -3.67 -1.46 -1.453 2.111209 5.33251

19-Jun-2012 1.46 1.51 0.78 0.787 0.619369 1.18837

20-Jun-2012 0.91 0.96 0.33 0.337 0.113569 0.32352

21-Jun-2012 2.05 2.1 0.87 0.877 0.769129 1.8417

22-Jun-2012 0.02 0.07 -0.37 -0.363 0.131769 -0.02541

25-Jun-2012 -0.72 -0.67 -0.61 -0.603 0.363609 0.40401

26-Jun-2012 -0.11 -0.06 0.12 0.127 0.016129 -0.00762

27-Jun-2012 0.60 0.65 0.41 0.417 0.173889 0.27105

28-Jun-2012 0.84 0.89 0.14 0.147 0.021609 0.13083

29-Jun-2012 0 0 2.52 2.527 6.385729 0

Total -2.93 -0.43 63.47552 86.91608



∑CRm;RmE2n

= 9:.<&:'9

:7.6844 = 1.37

2. ITC LTD.


Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

02-Apr-2012 229.25

03-Apr-2012 229.25 0 -0.17 0.0289

04-Apr-2012 229.25 0 -0.17 0.0289

09-Apr-2012 229.25 0 -0.17 0.0289

10-Apr-2012 229.25 0 -0.17 0.0289

11-Apr-2012 229.25 0 -0.17 0.0289

12-Apr-2012 229.25 0 -0.17 0.0289

13-Apr-2012 234.95 2.49 2.32 5.3824

16-Apr-2012 241 2.58 2.41 5.8081

17-Apr-2012 248 2.90 2.73 7.4529

18-Apr-2012 245.3 -1.09 -1.26 1.5876

19-Apr-2012 246.7 0.57 0.4 0.16

20-Apr-2012 246 -0.28 -0.45 0.2025

23-Apr-2012 246 0 -0.17 0.0289

24-Apr-2012 246.65 0.26 0.09 0.0081

25-Apr-2012 246 -0.26 -0.43 0.1849

26-Apr-2012 248 0.81 0.64 0.4096

27-Apr-2012 247.25 -0.30 -0.47 0.2209

28-Apr-2012 247.25 0 -0.17 0.0289

30-Apr-2012 247.1 -0.06 -0.23 0.0529

02-May-2012 245.9 -0.49 -0.66 0.4356

03-May-2012 242.8 -1.26 -1.43 2.0449

04-May-2012 239 -1.57 -1.74 3.0276

07-May-2012 237.1 -0.79 -0.96 0.9216

08-May-2012 228 -3.84 -4.01 16.0801

09-May-2012 240.2 5.35 5.18 26.8324

10-May-2012 239.2 -0.42 -0.59 0.3481

11-May-2012 234.5 -1.96 -2.13 4.5369

14-May-2012 234.25 -0.11 -0.28 0.0784

15-May-2012 231.55 -1.15 -1.32 1.7424

16-May-2012 228 -1.53 -1.7 2.89

17-May-2012 233.25 2.30 2.13 4.5369

18-May-2012 238.45 2.23 2.06 4.2436

21-May-2012 234.5 -1.66 -1.83 3.3489

22-May-2012 231 -1.49 -1.66 2.7556

23-May-2012 229.55 -0.63 -0.8 0.64

24-May-2012 231.85 1.00 0.83 0.6889

25-May-2012 229.8 -0.88 -1.05 1.1025

28-May-2012 232.55 1.19 1.02 1.0404

29-May-2012 228.75 -1.63 -1.8 3.24

30-May-2012 228.7 -0.02 -0.19 0.0361

31-May-2012 226.85 -0.81 -0.98 0.9604

01-Jun-2012 229.65 1.23 1.06 1.1236

04-Jun-2012 226.4 -1.42 -1.59 2.5281

05-Jun-2012 221.85 -2.01 -2.18 4.7524

06-Jun-2012 230.75 4.01 3.84 14.7456

07-Jun-2012 232.5 0.76 0.59 0.3481

08-Jun-2012 235.5 1.29 1.12 1.2544

11-Jun-2012 240.75 2.23 2.06 4.2436

12-Jun-2012 244.35 1.49 1.32 1.7424

13-Jun-2012 245.2 0.35 0.18 0.0324

14-Jun-2012 245.35 0.06 -0.11 0.0121

15-Jun-2012 249.05 1.51 1.34 1.7956

18-Jun-2012 243.9 -2.07 -2.24 5.0176

19-Jun-2012 250.4 2.67 2.5 6.25

20-Jun-2012 247.05 -1.34 -1.51 2.2801

21-Jun-2012 252.35 2.15 1.98 3.9204

22-Jun-2012 251.4 -0.38 -0.55 0.3025

25-Jun-2012 250.25 -0.46 -0.63 0.3969

26-Jun-2012 247.55 -1.08 -1.25 1.5625

27-Jun-2012 248.1 0.22 0.05 0.0025

28-Jun-2012 251.65 1.43 1.26 1.5876

29-Jun-2012 - - - -

Total 10.09 157.1308

Rs = ∑ *�


= &'.'<

:&

= 0.17%


(

= √ (157.1308/61) = 1.61%

Calculation of Beta

Date Return of ITC

Future

Stock(Rs)

(Rs-Rs)

Market index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

03-Apr-2012 0 -0.17 0.76 0.767 0.588289 -0.13039

04-Apr-2012 0 -0.17 -0.66 -0.653 0.426409 0.11101

09-Apr-2012 0 -0.17 -1.66 -1.653 2.732409 0.28101

10-Apr-2012 0 -0.17 0.18 0.187 0.034969 -0.03179

11-Apr-2012 0 -0.17 -0.32 -0.313 0.097969 0.05321

12-Apr-2012 0 -0.17 0.96 0.967 0.935089 -0.16439

13-Apr-2012 2.49 2.32 -1.32 -1.313 1.723969 -3.04616

16-Apr-2012 2.58 2.41 0.36 0.367 0.134689 0.88447

17-Apr-2012 2.90 2.73 1.22 1.227 1.505529 3.34971

18-Apr-2012 -1.09 -1.26 0.19 0.197 0.038809 -0.24822

19-Apr-2012 0.57 0.4 0.61 0.617 0.380689 0.2468

20-Apr-2012 -0.28 -0.45 -0.78 -0.773 0.597529 0.34785

23-Apr-2012 0 -0.17 -1.71 -1.703 2.900209 0.28951

24-Apr-2012 0.26 0.09 0.42 0.427 0.182329 0.03843

25-Apr-2012 -0.26 -0.43 -0.39 -0.383 0.146689 0.16469

26-Apr-2012 0.81 0.64 -0.25 -0.243 0.059049 -0.15552

27-Apr-2012 -0.30 -0.47 0.03 0.037 0.001369 -0.01739

28-Apr-2012 0 -0.17 0.35 0.357 0.127449 -0.06069

30-Apr-2012 -0.06 -0.23 0.75 0.757 0.573049 -0.17411

02-May-2012 -0.49 -0.66 -0.17 -0.163 0.026569 0.10758

03-May-2012 -1.26 -1.43 -0.97 -0.963 0.927369 1.37709

04-May-2012 -1.57 -1.74 -1.96 -1.953 3.814209 3.39822

07-May-2012 -0.79 -0.96 0.54 0.547 0.299209 -0.52512

08-May-2012 -3.84 -4.01 -2.23 -2.223 4.941729 8.91423

09-May-2012 5.35 5.18 -0.50 -0.493 0.243049 -2.55374

10-May-2012 -0.42 -0.59 -0.18 -0.173 0.029929 0.10207

11-May-2012 -1.96 -2.13 -0.74 -0.733 0.537289 1.56129

14-May-2012 -0.11 -0.28 -0.43 -0.423 0.178929 0.11844

15-May-2012 -1.15 -1.32 0.71 0.717 0.514089 -0.94644

16-May-2012 -1.53 -1.7 -1.71 -1.703 2.900209 2.8951

17-May-2012 2.30 2.13 0.25 0.257 0.066049 0.54741

18-May-2012 2.23 2.06 0.44 0.447 0.199809 0.92082

21-May-2012 -1.66 -1.83 0.29 0.297 0.088209 -0.54351

22-May-2012 -1.49 -1.66 -0.93 -0.923 0.851929 1.53218

23-May-2012 -0.63 -0.8 -0.51 -0.503 0.253009 0.4024

24-May-2012 1.00 0.83 1.77 1.777 3.157729 1.47491

25-May-2012 -0.88 -1.05 -0.02 -0.013 0.000169 0.01365

28-May-2012 1.19 1.02 1.33 1.337 1.787569 1.36374

29-May-2012 -1.63 -1.8 0.09 0.097 0.009409 -0.1746

30-May-2012 -0.02 -0.19 -0.79 -0.783 0.613089 0.14877

31-May-2012 -0.81 -0.98 -0.54 -0.533 0.284089 0.52234

01-Jun-2012 1.23 1.06 -1.68 -1.673 2.798929 -1.77338

04-Jun-2012 -1.42 -1.59 0.14 0.147 0.021609 -0.23373

05-Jun-2012 -2.01 -2.18 0.31 0.317 0.100489 -0.69106

06-Jun-2012 4.01 3.84 2.75 2.757 7.601049 10.58688

07-Jun-2012 0.76 0.59 1.05 1.057 1.117249 0.62363

08-Jun-2012 1.29 1.12 0.37 0.377 0.142129 0.42224

11-Jun-2012 2.23 2.06 -0.28 -0.273 0.074529 -0.56238

12-Jun-2012 1.49 1.32 1.22 1.227 1.505529 1.61964

13-Jun-2012 0.35 0.18 0.11 0.117 0.013689 0.02106

14-Jun-2012 0.06 -0.11 -1.30 -1.293 1.671849 0.14223

15-Jun-2012 1.51 1.34 1.67 1.677 2.812329 2.24718

18-Jun-2012 -2.07 -2.24 -1.46 -1.453 2.111209 3.25472

19-Jun-2012 2.67 2.5 0.78 0.787 0.619369 1.9675

20-Jun-2012 -1.34 -1.51 0.33 0.337 0.113569 -0.50887

21-Jun-2012 2.15 1.98 0.87 0.877 0.769129 1.73646

22-Jun-2012 -0.38 -0.55 -0.37 -0.363 0.131769 0.19965

25-Jun-2012 -0.46 -0.63 -0.61 -0.603 0.363609 0.37989

26-Jun-2012 -1.08 -1.25 0.12 0.127 0.016129 -0.15875

27-Jun-2012 0.22 0.05 0.41 0.417 0.173889 0.02085

28-Jun-2012 1.43 1.26 0.14 0.147 0.021609 0.18522

29-Jun-2012 0 0 2.52 2.527 6.385729 0

Total 10.09 -0.43 63.47552 41.87384



∑CRm;RmE2n

= 6&.98796

:7.6844 = 0.66

3. ACC LTD.


Date

Script Value

Return(Rs) in %

(Rs-Rs)

(Rs-Rs)2

02-Apr-2012 1354.8

03-Apr-2012 1380 1.86 2.01 4.0401

04-Apr-2012 1350 -2.17 -2.02 4.0804

09-Apr-2012 1350 0 0.15 0.0225

10-Apr-2012 1317.75 -2.39 -2.24 5.0176

11-Apr-2012 1249.8 -5.16 -5.01 25.1001

12-Apr-2012 1286.75 2.96 3.11 9.6721

13-Apr-2012 1286.75 0 0.15 0.0225

16-Apr-2012 1249 -2.93 -2.78 7.7284

17-Apr-2012 1261 0.96 1.11 1.2321

18-Apr-2012 1300.4 3.12 3.27 10.6929

19-Apr-2012 1271 -2.26 -2.11 4.4521

20-Apr-2012 1230.15 -3.21 -3.06 9.3636

23-Apr-2012 1245.9 1.28 1.43 2.0449

24-Apr-2012 1224.3 -1.73 -1.58 2.4964

25-Apr-2012 1208.25 -1.31 -1.16 1.3456

26-Apr-2012 1208.95 0.06 0.21 0.0441

27-Apr-2012 1207.4 -0.13 0.02 0.0004

28-Apr-2012 1205 -0.19 -0.04 0.0016

30-Apr-2012 1236.05 2.58 2.73 7.4529

02-May-2012 1216.5 -1.58 -1.43 2.0449

03-May-2012 1204.85 -0.96 -0.81 0.6561

04-May-2012 1206.2 0.11 0.26 0.0676

07-May-2012 1226.85 1.71 1.86 3.4596

08-May-2012 1213.25 -1.11 -0.96 0.9216

09-May-2012 1203.45 -0.81 -0.66 0.4356

10-May-2012 1201.95 -0.12 0.03 0.0009

11-May-2012 1160.1 -3.48 -3.33 11.0889

14-May-2012 1178 1.54 1.69 2.8561

15-May-2012 1180.35 0.19 0.34 0.1156

16-May-2012 1177.25 -0.26 -0.11 0.0121

17-May-2012 1177.25 0 0.15 0.0225

18-May-2012 1167.5 -0.83 -0.68 0.4624

21-May-2012 1151.15 -1.40 -1.25 1.5625

22-May-2012 1135.55 -1.36 -1.21 1.4641

23-May-2012 1133.65 -0.17 -0.02 0.0004

24-May-2012 1156.25 1.99 2.14 4.5796

25-May-2012 1148 -0.71 -0.56 0.3136

28-May-2012 1166.6 1.62 1.77 3.1329

29-May-2012 1140.15 -2.27 -2.12 4.4944

30-May-2012 1161.45 1.87 2.02 4.0804

31-May-2012 1142.65 -1.62 -1.47 2.1609

01-Jun-2012 1127 -1.37 -1.22 1.4884

04-Jun-2012 1126.4 -0.05 0.1 0.01

05-Jun-2012 1126.7 0.03 0.18 0.0324

06-Jun-2012 1154.85 2.49 2.64 6.9696

07-Jun-2012 1152.55 -0.19 -0.04 0.0016

08-Jun-2012 1149.9 -0.23 -0.08 0.0064

11-Jun-2012 1153.5 0.31 0.46 0.2116

12-Jun-2012 1192.7 3.39 3.54 12.5316

13-Jun-2012 1184.85 -0.66 -0.51 0.2601

14-Jun-2012 1192.7 0.66 0.81 0.6561

15-Jun-2012 1225.2 2.72 2.87 8.2369

18-Jun-2012 1215.25 -0.81 -0.66 0.4356

19-Jun-2012 1228.6 1.09 1.24 1.5376

20-Jun-2012 1254.25 2.09 2.24 5.0176

21-Jun-2012 1253.7 -0.04 0.11 0.0121

22-Jun-2012 1219.3 -2.74 -2.59 6.7081

25-Jun-2012 1212 -0.59 -0.44 0.1936

26-Jun-2012 1224.45 1.03 1.18 1.3924

27-Jun-2012 1207.95 -1.35 -1.2 1.44

28-Jun-2012 1221.9 1.15 1.3 1.69

29-Jun-2012 - - -

Total -9.38 187.5747

Rs = ∑ *�


= !<.79

:&

= -0.15%


(

= √ (187.5747/61) = 1.75%

Calculation of Beta

Date Return of

ACC Ltd.

Future

Stock(Rs)

(Rs-Rs)

Market

index

return(Rm)

(Rm-Rm)

(Rm-Rm)2

(Rs-Rs)×

(Rm-Rm)

03-Apr-2012 1.86 2.01 0.76 0.767 0.588289 1.54167

04-Apr-2012 -2.17 -2.02 -0.66 -0.653 0.426409 1.31906

09-Apr-2012 0 0.15 -1.66 -1.653 2.732409 -0.24795

10-Apr-2012 -2.39 -2.24 0.18 0.187 0.034969 -0.41888

11-Apr-2012 -5.16 -5.01 -0.32 -0.313 0.097969 1.56813

12-Apr-2012 2.96 3.11 0.96 0.967 0.935089 3.00737

13-Apr-2012 0 0.15 -1.32 -1.313 1.723969 -0.19695

16-Apr-2012 -2.93 -2.78 0.36 0.367 0.134689 -1.02026

17-Apr-2012 0.96 1.11 1.22 1.227 1.505529 1.36197

18-Apr-2012 3.12 3.27 0.19 0.197 0.038809 0.64419

19-Apr-2012 -2.26 -2.11 0.61 0.617 0.380689 -1.30187

20-Apr-2012 -3.21 -3.06 -0.78 -0.773 0.597529 2.36538

23-Apr-2012 1.28 1.43 -1.71 -1.703 2.900209 -2.43529

24-Apr-2012 -1.73 -1.58 0.42 0.427 0.182329 -0.67466

25-Apr-2012 -1.31 -1.16 -0.39 -0.383 0.146689 0.44428

26-Apr-2012 0.06 0.21 -0.25 -0.243 0.059049 -0.05103

27-Apr-2012 -0.13 0.02 0.03 0.037 0.001369 0.00074

28-Apr-2012 -0.19 -0.04 0.35 0.357 0.127449 -0.01428

30-Apr-2012 2.58 2.73 0.75 0.757 0.573049 2.06661

02-May-2012 -1.58 -1.43 -0.17 -0.163 0.026569 0.23309

03-May-2012 -0.96 -0.81 -0.97 -0.963 0.927369 0.78003

04-May-2012 0.11 0.26 -1.96 -1.953 3.814209 -0.50778

07-May-2012 1.71 1.86 0.54 0.547 0.299209 1.01742

08-May-2012 -1.11 -0.96 -2.23 -2.223 4.941729 2.13408

09-May-2012 -0.81 -0.66 -0.50 -0.493 0.243049 0.32538

10-May-2012 -0.12 0.03 -0.18 -0.173 0.029929 -0.00519

11-May-2012 -3.48 -3.33 -0.74 -0.733 0.537289 2.44089

14-May-2012 1.54 1.69 -0.43 -0.423 0.178929 -0.71487

15-May-2012 0.19 0.34 0.71 0.717 0.514089 0.24378

16-May-2012 -0.26 -0.11 -1.71 -1.703 2.900209 0.18733

17-May-2012 0 0.15 0.25 0.257 0.066049 0.03855

18-May-2012 -0.83 -0.68 0.44 0.447 0.199809 -0.30396

21-May-2012 -1.40 -1.25 0.29 0.297 0.088209 -0.37125

22-May-2012 -1.36 -1.21 -0.93 -0.923 0.851929 1.11683

23-May-2012 -0.17 -0.02 -0.51 -0.503 0.253009 0.01006

24-May-2012 1.99 2.14 1.77 1.777 3.157729 3.80278

25-May-2012 -0.71 -0.56 -0.02 -0.013 0.000169 0.00728

28-May-2012 1.62 1.77 1.33 1.337 1.787569 2.36649

29-May-2012 -2.27 -2.12 0.09 0.097 0.009409 -0.20564

30-May-2012 1.87 2.02 -0.79 -0.783 0.613089 -1.58166

31-May-2012 -1.62 -1.47 -0.54 -0.533 0.284089 0.78351

01-Jun-2012 -1.37 -1.22 -1.68 -1.673 2.798929 2.04106

04-Jun-2012 -0.05 0.1 0.14 0.147 0.021609 0.0147

05-Jun-2012 0.03 0.18 0.31 0.317 0.100489 0.05706

06-Jun-2012 2.49 2.64 2.75 2.757 7.601049 7.27848

07-Jun-2012 -0.19 -0.04 1.05 1.057 1.117249 -0.04228

08-Jun-2012 -0.23 -0.08 0.37 0.377 0.142129 -0.03016

11-Jun-2012 0.31 0.46 -0.28 -0.273 0.074529 -0.12558

12-Jun-2012 3.39 3.54 1.22 1.227 1.505529 4.34358

13-Jun-2012 -0.66 -0.51 0.11 0.117 0.013689 -0.05967

14-Jun-2012 0.66 0.81 -1.30 -1.293 1.671849 -1.04733

15-Jun-2012 2.72 2.87 1.67 1.677 2.812329 4.81299

18-Jun-2012 -0.81 -0.66 -1.46 -1.453 2.111209 0.95898

19-Jun-2012 1.09 1.24 0.78 0.787 0.619369 0.97588

20-Jun-2012 2.09 2.24 0.33 0.337 0.113569 0.75488

21-Jun-2012 -0.04 0.11 0.87 0.877 0.769129 0.09647

22-Jun-2012 -2.74 -2.59 -0.37 -0.363 0.131769 0.94017

25-Jun-2012 -0.59 -0.44 -0.61 -0.603 0.363609 0.26532

26-Jun-2012 1.03 1.18 0.12 0.127 0.016129 0.14986

27-Jun-2012 -1.35 -1.2 0.41 0.417 0.173889 -0.5004

28-Jun-2012 1.15 1.3 0.14 0.147 0.021609 0.1911

29-Jun-2012 - - 2.52 2.527 6.385729 0

Total -9.38 -0.43 63.47552 40.83049

β � ∑BCRs;RsECRm;RmEF

n ∑CRm;RmE2

n

= 6'.97'4

:7.6844

= 0.64

4.2 References

Books:

• Khan M Y, Jain P K, Financial Management, sixth edition, pp-22.1 to 22.4 & pp-28.1 to

28.3.

• Sasidharan K, Mathews Alex K, Security Analysis and Portfolio Management, pp-284 to

310.

Websites:

• http://www.sharetipsinfo.com/stock-market-types.html

Viewed at 12.20P.M on date July 14, 2012

• http://nseindia.com/products/content/equities/indices/historical_index_data.htm


• http://nseindia.com/products/content/equities/equities/eq_security.htm


• http://nseindia.com/products/content/derivatives/equities/historical_fo.htm


• http://www.slideshare.net/hemanthcrpatna/a-study-on-performance-evaluation-of-equity-

shares-mutual-funds


• http://www.scribd.com/doc/24538633/Comparative-Analysis-of-Equity-and-Derivative-

Market


• http://www.nseindia.com/content/nsccl/nsccl_eqcatmargins.htm


• http://financelearners.blogspot.in/2011/04/advantages-disadvantages-futures.html

Viewed at 7.00P.M on date June 16, 2012

• http://daytrading.about.com/od/daytradingbasics/a/MarketPricesMove.htm


comparative study between equity and derivative stocks of three selected companies

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