Beta Values for S&P SENSEX Scrips
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Home Indices Market Report Beta Values for S&P SENSEX Scrips
Beta, R2, Volatility and Returns of S&P SENSEX
scrips for June-2012 to May-2013
Scrip code Company Beta Values Co-efficient of Determination (R2) Avg. Daily Volatility (%) Returns (1 year) (%) Weightage (%) in SENSEX as on 31/05/2012 Free-float Adj.Factor as on 31/05/2012
500010 HOUSING DEVE 0.93 0.56 1.57 -4.79 7.10 1.00
500087 CIPLA LTD. 0.42 0.14 1.42 -5.41 1.19 0.65
500103 BHEL 1.18 0.39 2.40 -45.70 1.33 0.35
500112 STATE BANK O 1.28 0.52 2.24 -11.76 4.05 0.40
500180 HDFC BANK LT 0.91 0.55 1.56 5.88 6.98 0.80
500182 HEROMOTOCO 0.57 0.14 1.89 -1.30 1.35 0.50
500209 INFOSYS LTD 0.99 0.40 1.97 -13.23 8.75 0.85
500312 ONG CORP LTD 0.56 0.19 1.64 -9.91 3.99 0.25
500325 RELIANCE 1.24 0.60 2.01 -25.43 9.34 0.55
500400 TATA POWER 0.97 0.32 2.18 -24.94 1.14 0.70
500440 HINDALCO IN 1.57 0.50 2.82 -40.85 1.15 0.70
500470 TATA STL 1.43 0.57 2.40 -30.81 2.01 0.70
500510 LARSEN & TOU 1.25 0.51 2.22 -30.32 4.75 0.90
500520 MAHINDRA & M 0.92 0.36 1.95 -3.54 2.20 0.75
500570 TATA MOTORS 1.54 0.48 2.81 8.02 3.23 0.70
500696 HIND UNI LT 0.31 0.08 1.37 37.67 3.39 0.50
500875 I T C LTD 0.52 0.22 1.37 18.75 9.26 0.70
500900 STERLITE IN 1.65 0.60 2.68 -45.73 1.05 0.45
507685 WIPRO LTD. 0.78 0.30 1.80 -8.60 1.85 0.25
524715 SUN PHARMACE 0.48 0.16 1.55 20.55 1.73 0.40
532155 GAIL INDIA 0.54 0.19 1.55 -28.72 1.20 0.40
532174 ICICI BANK L 1.52 0.70 2.29 -27.72 6.64 1.00
532286 JINDAL STEEL 1.42 0.49 2.55 -32.65 1.36 0.45
532454 BHARTI ARTL 0.84 0.28 2.02 -20.80 2.95 0.35
532500 MARUTISUZUK 0.65 0.17 2.00 -11.41 1.17 0.50
532540 TCS LTD. 0.94 0.34 2.03 6.00 5.37 0.30
532555 NTPC LTD 0.76 0.35 1.61 -15.94 1.78 0.20
532868 DLF LIMITED 1.53 0.44 2.92 -21.83 0.58 0.25
532977 BAJAJ AUTO 0.68 0.23 1.77 13.03 1.61 0.50
533278 COAL INDIA 0.65 0.17 1.99 -22.43 1.49 0.10
               
  SENSEX 1.00   1.26 -12.84%    
Scrip CodeCompanyBeta ValuesCo-efficient of Determination (R2)Avg. Daily Volatility (%)Returns (1 year) (%)Weightage (%) in S&P SENSEXFree-float Adj.Factor
500010HOUSING DEVELOPMENT FINANCE CORP.LTD.0.970.321.4026.117.851.00
500087CIPLA LTD.0.530.101.3927.881.270.65
500103BHARAT HEAVY ELECTRICALS LTD.1.420.332.01-14.000.990.35
500112STATE BANK OF INDIA1.450.441.795.833.650.40
500124DR.REDDY'S LABORATORIES LTD.0.310.051.2014.941.550.75
500180HDFC BANK LTD.1.020.471.2224.077.790.80
500182HERO MOTOCORP LTD.0.760.181.45-26.720.990.50
500209INFOSYS LTD.0.920.112.26-9.586.550.85
500312OIL AND NATURAL GAS CORPORATION LTD.0.960.241.5922.484.200.25
500325RELIANCE INDUSTRIES LTD.1.020.361.396.038.420.55
500400TATA POWER CO.LTD.1.020.251.65-8.050.950.70
500440HINDALCO INDUSTRIES LTD.1.430.381.90-18.960.780.70
500470TATA STEEL LTD.1.390.461.67-34.471.240.70
500510LARSEN & TOUBRO LTD.1.550.521.7624.495.030.90
500520MAHINDRA & MAHINDRA LTD.0.900.281.3929.102.550.75
500570TATA MOTORS LTD.1.590.312.31-1.713.410.70
500696HINDUSTAN UNILEVER LTD.0.470.051.7437.323.790.50
500875ITC LTD.0.680.161.3834.5210.930.70
500900STERLITE INDUSTRIES (INDIA) LTD.1.620.382.15-9.140.870.45
507685WIPRO LTD.0.710.101.82-3.471.290.25
524715SUN PHARMACEUTICAL INDUSTRIES LTD.0.490.101.2559.122.370.40
532155GAIL (INDIA) LTD.0.710.131.577.021.070.40
532174ICICI BANK LTD.1.640.641.6831.928.061.00
532286JINDAL STEEL & POWER LTD.1.550.332.23-39.650.770.45
532454BHARTI AIRTEL LTD.0.860.122.010.252.540.35
532500MARUTI SUZUKI INDIA LTD.0.950.171.9125.281.450.50
532540TATA CONSULTANCY SERVICES LTD.0.410.071.278.564.850.30
532555NTPC LTD.0.640.171.26-1.471.950.25
532977BAJAJ AUTO LTD.0.610.111.4918.121.640.50
533278COAL INDIA LTD.0.560.131.24-7.851.210.10


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