Beta, R2 ,Volatility and Returns of SENSEX scrips for one year period (May 2007 - April 2008)
Code
Name
Beta Values
Co-efficient of determination (R 2 )
Avg. Daily Volatility (%)
Returns (1 Year) (%)
Weightage (%) in SENSEX as on 30/04/08
Free-float Adj. Factor as on 30/04/08
500410
A.C.C.
0.79
0.30
2.77
-9.56
0.72
0.60
532532
JAIPRAKASH ASSOCIATS
2.28
0.14
11.52
-55.01
1.61
0.60
532454
BHARTI TELEVENTURES
0.79
0.34
2.63
10.68
5.04
0.35
500103
BHEL
1.12
0.52
2.98
52.54
2.74
0.35
500087
CIPLA LTD.
0.46
0.18
2.09
1.04
0.91
0.65
532868
DLF Ltd.
1.58
0.54
3.80
23.72
1.52
0.15
500300
GRASIM IND.
0.77
0.46
2.19
-1.62
1.39
0.75
500425
GUJARAT AMBUJA CEMENT
0.37
0.16
1.76
-3.43
0.81
0.55
500010
HDFC
1.02
0.46
2.88
68.99
5.72
0.85
500180
HDFC BANK
0.99
0.51
2.66
47.62
3.63
0.80
500440
HINDALCO
1.23
0.49
3.35
32.60
1.40
0.70
500696
HINDUSTAN LEVER
0.54
0.22
2.22
25.13
2.29
0.50
532174
ICICI BANK
1.26
0.64
3.04
1.56
8.25
1.00
500209
INFOSYS TECHNOLOGIES
0.71
0.32
2.41
-14.42
7.20
0.85
500875
ITC LTD.
0.66
0.31
2.30
37.38
4.89
0.70
500510
LARSEN & TOUBRO
1.11
0.55
2.87
77.04
6.67
0.90
500520
MAHINDRA & MAHINDRA
0.73
0.34
2.42
-13.92
1.11
0.80
532500
MARUTI UDYOG
0.65
0.29
2.29
-7.62
0.90
0.50
532555
NATIONAL THERMAL POWER
1.18
0.55
3.07
23.59
2.05
0.15
500312
ONGC
1.06
0.58
2.69
13.32
3.73
0.20
500359
RANBAXY LAB.
0.63
0.30
2.21
29.27
1.06
0.70
500325
RELIANCE
1.17
0.76
2.57
67.61
16.04
0.50
532712
RELIANCE COMMUNICATIONS
1.19
0.60
2.95
21.52
3.54
0.35
500390
RELIANCE ENERGY
1.66
0.50
4.53
180.42
1.98
0.70
500376
SATYAM COMPUTER
0.68
0.25
2.61
1.92
2.59
0.95
500112
STATE BANK OF INDIA
1.03
0.54
2.70
70.34
4.26
0.45
532540
TATA CONSULTANCY
0.70
0.34
2.33
-27.35
1.90
0.25
500570
TATA MOTORS
0.77
0.45
2.21
-11.76
1.29
0.60
500470
TATA STEEL
1.13
0.48
3.16
68.32
3.53
0.70
507685
WIPRO LTD.
0.76
0.35
2.45
-14.47
1.21
0.20
SENSEX
1.00
1.91
24.62
Beta = Co-variance(SENSEX, Stock)/ Variance(SENSEX) R2 = (Correlation)2 Avg. Daily Volatility = One standard deviation of daily returns of individual stock price for last one year Returns = % variation in the stock price over last one year
