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Beta, R2,  Volatility and Returns of SENSEX Scrips for One Year Period
(Feb 2011 to Jan 2012)
Scrip code
Company
Beta Values
Co-efficient of Determination (R2)
Avg. Daily Volatility (%)
Returns (1 year) (%)
Weightage (%) in SENSEX as on 31/01/2012
Free-float Adj.Factor as on 31/01/2012
500325
RELIANCE
1.18
0.61
2.00
-11.29%
10.31%
0.55
500209
INFOSYS LTD
0.97
0.46
1.90
-11.97%
9.40%
0.85
500875
ITC LTD.
0.64
0.33
1.46
24.79%
7.79%
0.70
532174
ICICI BANK
1.44
0.70
2.28
-11.57%
7.30%
1.00
500010
HDFC
0.99
0.56
1.75
10.64%
6.84%
0.95
500180
HDFC BANK
0.93
0.58
1.61
20.15%
6.45%
0.80
500510
LARSEN & TOU
1.21
0.53
2.21
-20.14%
5.07%
0.90
532540
TCS LTD.
0.97
0.45
1.91
-2.30%
4.66%
0.30
500112
STATE BANK
1.16
0.52
2.14
-21.96%
4.14%
0.45
532454
BHARTI ARTL
0.79
0.30
1.91
14.55%
3.41%
0.35
500312
ONGC CORPN
0.59
0.20
1.76
-6.30%
3.31%
0.20
500570
TATA MOTORS
1.57
0.54
2.83
6.07%
2.99%
0.65
500696
HIND UNI LT
0.39
0.12
1.46
39.90%
2.88%
0.50
500520
MAH & MAH
1.05
0.41
2.17
-5.51%
2.18%
0.75
500470
TATA STEEL
1.27
0.57
2.21
-29.28%
2.13%
0.70
532555
NTPC LTD
0.81
0.40
1.68
-9.03%
1.99%
0.20
507685
WIPRO LTD.
0.88
0.43
1.79
-5.75%
1.78%
0.25
532977
BAJAJ AUTO
0.71
0.27
1.81
28.21%
1.63%
0.50
532286
JINDAL STE
1.24
0.52
2.28
-18.26%
1.60%
0.45
524715
SUN PHARMA.
0.56
0.20
1.65
24.30%
1.59%
0.40
500103
BHEL
0.93
0.34
2.12
-43.51%
1.51%
0.35
533278
COAL INDIA
0.58
0.13
2.19
7.12%
1.44%
0.10
500440
HINDALCO
1.45
0.50
2.72
-36.07%
1.38%
0.70
532155
GAIL (I) LTD
0.52
0.21
1.51
-20.85%
1.33%
0.40
500182
HEROMOTOCO
0.48
0.10
2.03
14.31%
1.31%
0.50
500087
CIPLA LTD.
0.44
0.17
1.42
5.09%
1.28%
0.65
500900
STERLITE IN
1.44
0.59
2.49
-29.46%
1.23%
0.45
500400
TATA POWER
0.79
0.30
1.91
-16.33%
1.21%
0.70
532500
MARUTISUZUK
0.76
0.26
1.98
-5.21%
1.20%
0.50
532868
DLF LIMITED
1.42
0.44
2.84
-3.57%
0.64%
0.25
               
  SENSEX 1.00   1.32 -6.19%    

 

Beta = Co-variance(SENSEX, Stock)/ Variance(SENSEX)
R2 = (Correlation)2
Average 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