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Jan 10, 2011

Sensex-Beta

The material has been taken from www.BSE-India.com and is strictly for academic purposes.

Beta, R2, Volatility and Returns of SENSEX Scrips for One Year Period
(Dec 2009 - Nov 2010)

Scrip code

Company

Beta Values

Co-efficient of Determination (R2)

Avg. Daily Volatility (%)

Returns (1 year) (%)

Weightage (%) in SENSEX as on 30/11/10

Free-float Adj.Factor as on 30/11/10

500410

ACC LTD.

0.66

0.18

1.57

23.96

0.66

0.55

500103

BHARAT HEAVY ELECTRICALS LTD.

0.79

0.41

1.27

-1.73

2.45

0.35

532454

BHARTI AIRTEL LTD.

0.77

0.13

2.14

20.25

3.11

0.35

500087

CIPLA LTD.

0.44

0.08

1.56

7.36

1.16

0.65

532868

DLF Ltd.

1.56

0.49

2.27

-12.61

0.85

0.25

500180

HDFC BANK LTD

0.86

0.41

1.36

29.15

5.51

0.80

500182

HERO HONDA MOTORS LTD

0.50

0.11

1.57

14.67

1.28

0.50

500440

HINDALCO INDUSTRIES LTD

1.83

0.56

2.48

49.26

1.80

0.70

500696

HINDUSTAN UNILEVER LTD.

0.49

0.12

1.44

4.79

2.12

0.50

500010

HOUSING DEVELOPMENT FIN. CORPN. LTD

1.05

0.47

1.55

24.74

5.87

0.90

532174

ICICI BANK LTD.

1.47

0.62

1.90

32.32

8.52

1.00

500209

INFOSYS TECHNOLOGIES LTD.

0.79

0.38

1.30

27.92

9.66

0.85

500875

ITC LTD.

0.66

0.23

1.40

32.66

5.98

0.70

532532

JAIPRAKASH ASSOCIATES LIMITED

1.58

0.48

2.32

-26.64

0.84

0.55

532286

JINDAL STEEL & POWERS LTD.

1.04

0.40

1.66

-7.26

1.74

0.45

500510

LARSEN & TOUBRO LTD.

0.96

0.44

1.47

20.80

6.93

0.90

500520

MAHINDRA & MAHINDRA LTD

1.18

0.37

1.98

49.05

2.23

0.75

532500

MARUTI SUZUKI INDIA LIMITED

0.69

0.18

1.67

-8.83

1.34

0.50

532555

NTPC LTD.

0.61

0.28

1.18

-12.16

1.97

0.20

500312

ONGC CORPN

0.63

0.20

1.44

4.10

3.47

0.20

532712

RELIANCE COMMUNICATIONS LTD.

1.11

0.24

2.31

-23.20

0.62

0.35

500325

RELIANCE INDUSTRIES LTD.

1.11

0.54

1.53

-7.15

11.53

0.55

500390

RELIANCE INFRASTRUCTURE LTD

1.12

0.36

1.91

-19.42

0.80

0.60

500112

STATE BANK OF INDIA

1.09

0.42

1.70

33.78

5.56

0.45

500900

STERLITE INDUSTRIES.

1.61

0.50

2.31

-24.58

1.76

0.50

532540

TATA CONSULTANCY SERVICES LIMITED

0.82

0.27

1.59

56.68

4.10

0.30

500570

TATA MOTORS LTD.

1.52

0.43

2.36

87.18

2.69

0.65

500400

TATA POWER CO. LTD.

0.71

0.30

1.31

-4.35

1.39

0.70

500470

TATA STEEL LIMITED.

1.56

0.52

2.20

1.53

2.40

0.70

507685

WIPRO LTD.

0.94

0.33

1.67

11.36

1.67

0.25

SENSEX

1.00

1.01

15.33

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

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