Beta, R2, Volatility and Returns of SENSEX Scrips for One Year Period (July 2007 - June 2008)
Scrip Code
Company
Beta Values
Co-efficient of Determination (R2)
Average Daily Volatility (%)
Returns (1 year) (%)
Weightage (%) in SENSEX as on 30/06/08
Free-float Adj. Factor as on 30/06/08
500410
A.C.C.
0.79
0.32
2.81
-44.05
0.64
0.60
532532
JAIPRAKASH ASSOCIATES
1.61
0.50
4.63
-2.90
1.10
0.60
532454
BHARTI TELEVENTURES
0.79
0.33
2.78
-13.67
5.20
0.35
500103
BHEL
1.09
0.51
3.11
-10.25
2.57
0.35
500087
CIPLA LTD.
0.47
0.20
2.13
1.27
1.16
0.65
532868
DLF LIMITED
1.37
0.55
3.71
-30.50
1.10
0.15
500300
GRASIM IND.
0.73
0.45
2.22
-30.00
1.38
0.75
500425
GUJARAT AMBUJA CEMENT
0.47
0.21
2.09
-39.22
0.69
0.55
500010
HDFC
1.02
0.47
3.02
-3.34
5.14
0.85
500180
HDFC BANK
1.02
0.55
2.78
-12.39
3.08
0.80
500440
HINDALCO
1.24
0.50
3.53
-11.27
1.32
0.70
500696
HINDUSTAN LEVER
0.54
0.23
2.26
9.13
2.44
0.50
532174
ICICI BANK
1.27
0.65
3.19
-34.03
7.61
1.00
500209
INFOSYS TECHNOLOGIES
0.73
0.33
2.56
-10.08
9.15
0.85
500875
ITC LTD.
0.68
0.31
2.45
20.88
5.35
0.70
500510
LARSEN & TOUBSO
1.11
0.56
3.00
-0.59
6.23
0.90
500520
MAHINDRA & MAHINDRA
0.73
0.34
2.54
-32.90
1.03
0.80
532500
MARUTI UDYOG
0.68
0.32
2.46
-16.87
0.97
0.50
532555
NATIONAL THERMAL POWER
1.15
0.55
3.14
-0.46
2.04
0.15
500312
ONGC
1.02
0.51
2.88
-9.69
3.78
0.20
500359
RANBAXY LAB.
0.59
0.24
2.42
47.36
1.48
0.70
500325
RELIANCE
1.15
0.74
2.71
23.11
16.51
0.50
532712
RELIANCE COMMUNICATIONS
1.15
0.57
3.08
-14.44
3.47
0.35
500390
RELIANCE ENERGY
1.73
0.54
4.77
27.80
1.30
0.65
500376
SATYAM COMPUTER
0.70
0.27
2.70
-6.45
3.03
0.95
500112
STATE BANK OF INDIA
1.04
0.58
2.76
-22.77
3.45
0.45
532540
TATA CONSULTANCY
0.74
0.36
2.51
-25.27
2.28
0.25
500570
TATA MOTORS
0.80
0.47
2.39
-36.32
1.07
0.60
500470
TATA STEEL
1.10
0.48
3.21
37.99
4.05
0.70
507685
WIPRO LTD.
0.79
0.37
2.64
-15.54
1.39
0.20
SENSEX
1.00
2.02
-8.12
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
