Beta, R2, Volatility and Returns of SENSEX Scrips for One Year Period
(August 2007 - July 2008)
Scrip Code
Company
Beta Values
Co-efficient of Determination (R2)
Average Daily Volatility (%)
Returns (1 year) (%)
Weightage (%) in SENSEX as on 31/07/08
Free-float Adj. Factor as on 31/07/08
500410
ACC LTD.
0.74
0.34
2.85
-44.87
0.65
0.60
532532
JAIPRAKASH ASSOCIATES LIMITED
1.59
0.53
4.87
-6.08
1.10
0.60
532454
BHARTI AIRTEL LTD.
0.78
0.36
2.88
-11.54
5.28
0.35
500103
BHARAT HEAVY ELECTRICALS LTD.
1.09
0.55
3.28
-3.04
2.86
0.35
500900
STERLITE INDUSTRIES.
1.06
0.42
3.64
-4.41
1.78
0.40
532868
DLF LIMITED
1.40
0.60
4.05
-16.74
1.30
0.15
500300
GRASIM INDUSTRIES LTD
0.69
0.46
2.28
-39.12
1.23
0.75
500400
TATA POWER CO. LTD.
1.22
0.41
4.23
58.04
1.78
0.70
500010
HOUSING DEVELOPMENT FIN. CORPN. LTD
1.15
0.56
3.43
12.90
5.47
0.85
500180
HDFC BANK LTD
1.09
0.60
3.14
-8.63
3.93
0.85
500440
HINDALCO INDUSTRIES LTD
1.13
0.50
3.59
-17.05
1.21
0.70
500696
HINDUSTAN UNILEVER LTD.
0.48
0.23
2.24
16.16
2.60
0.50
532174
ICICI BANK LTD.
1.37
0.71
3.64
-31.52
7.02
1.00
500209
INFOSYS TECHNOLOGIES LTD.
0.71
0.35
2.70
-19.92
7.66
0.85
500875
ITC LTD.
0.68
0.36
2.55
10.02
4.93
0.70
500510
LARSEN & TOUBRO LTD.
1.10
0.61
3.16
-0.15
6.81
0.90
500520
MAHINDRA & MAHINDRA LTD
0.74
0.37
2.71
-28.61
1.02
0.80
532500
MARUTI SUZUKI INDIA LIMITED
0.72
0.34
2.75
-31.82
0.83
0.50
532555
NTPC LTD.
1.03
0.51
3.21
2.90
2.10
0.15
500312
ONGC CORPN
0.96
0.51
2.99
8.98
4.24
0.20
500359
RANBAXY LABORATORIES LTD
0.59
0.21
2.85
28.01
1.30
0.70
500325
RELIANCE INDUSTRIES LTD.
1.10
0.74
2.85
16.59
15.95
0.50
532712
RELIANCE COMMUNICATIONS LTD.
1.19
0.60
3.45
-10.51
3.59
0.35
500390
RELIANCE INFRASTRUCTURE LTD
1.76
0.60
5.05
21.64
1.44
0.65
500376
SATYAM COMPUTER SERVICES LTD.
0.65
0.26
2.83
-21.30
2.42
0.95
500112
STATE BANK OF INDIA
1.06
0.60
3.05
-7.70
4.02
0.45
532540
TATA CONSULTANCY SERVICES LIMITED
0.75
0.39
2.68
-28.13
2.03
0.25
500570
TATA MOTORS LTD.
0.81
0.50
2.54
-42.34
0.93
0.60
500470
TATA STEEL LIMITED.
1.06
0.48
3.43
13.07
3.33
0.70
507685
WIPRO LTD.
0.78
0.39
2.80
-16.07
1.21
0.20
SENSEX
1.00
2.22
-7.69
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
