Calculation of Beta and Alpha

Daily Stock Price

DATE
CNX-NIFTY ICICI BANK HDFC BANK AXIS BANK
16-Jun-14
7533
1412
837
1762
17-Jun-14
7631
1450
847
1840
18-Jun-14
7558
1422
835
1849
19-Jun-14
7541
1412
826
1843
20-Jun-14
23-Jun-14
24-Jun-14
25-Jun-14
26-Jun-14
27-Jun-14
30-Jun-14
1-Jul-14
2-Jul-14
3-Jul-14
4-Jul-14

7511
7493
7580
7569
7493
7508
7611
7635
7725
7715
7751

1397
1414
1439
1421
1403
1385
1418
1438
1452
1454
1463

822
821
829
824
812
816
822
823
840
837
857

1866
1883
1925
1913
1928
1909
1919
1920
1927
1926
1936

CNX-NIFTY
1.3009425
-0.9566243
-0.2249272
-0.3978252
-0.2396485
1.1610837
-0.1451187
-1.0040957
0.2001868
1.37187
0.3153331
1.1787819
-0.1294498
0.4666235

f Beta and Alpha

Return
ICICI BANK HDFC BANK

BETA
AXIS BANK

CNX-NIFTY

2.6912181 1.19474313 4.42678774

-1.931034 -1.41676505 0.48913043
-0.703235 -1.07784431 -0.3244997
-1.062323 -0.4842615 1.24796527
1.2168933 -0.1216545 0.91103966
1.7680339 0.97442144 2.23048327
-1.250869 -0.60313631 -0.6233766
-1.266714 -1.45631068 0.78410873
-1.282965 0.49261084 -0.9854772
2.3826715 0.73529412 0.52383447
1.4104372
0.1216545 0.05211047
0.9735744 2.06561361 0.36458333
0.137741 -0.35714286 -0.0518941
0.6189821 2.38948626 0.5192108

ICICI BANK
1

1.597260883

HDFC BANK
1.24

ALPHA
CNX-NIFTY

Average
Std Dev
Sharpe Ratio

ICICI BANK
HDFC BANK
0
-0.066075968 -0.08112013

SHARPE RATIO
0.264458006 0.175479191
1.52047335 1.200986124
0.173931366 0.146112589

AXIS BANK
0.6965626

AXIS BANK
0.5389981

0.6831433
1.3424083
0.5088939

Calculation of Beta and Alpha

Daily Stock Price

Return

DATE
CNX-NIFTY MARUTI HONDA TATA
16-Jun-14
7533
2371
950
430
17-Jun-14
7631
2414
958
441
18-Jun-14
7558
2435
909
433
19-Jun-14
7541
2379
931
438

CNX-NIFTY

MARUTI

1.30094252 1.813581
-0.956624296 0.869925
-0.224927229 -2.29979

20-Jun-14
23-Jun-14
24-Jun-14
25-Jun-14
26-Jun-14
27-Jun-14
30-Jun-14

7511
7493
7580
7569
7493
7508
7611

2366
2380
2415
2471
2487
2455
2439

921
869
883
868
836
847
874

438
435
442
443
438
433
431

-0.397825222
-0.239648516
1.161083678
-0.145118734
-1.004095653
0.200186841
1.371870005

-0.54645
0.591716
1.470588
2.318841
0.647511
-1.28669
-0.65173

1-Jul-14
2-Jul-14
3-Jul-14
4-Jul-14

7635
7725
7715
7751

2485
2642
2629
2643

884
916
913
948

451
456
470
469

0.315333071 1.886019
1.178781925 6.317907
-0.129449838 -0.49205
0.466623461 0.532522

BETA
HONDA

TATA

CNX-NIFTY

0.842105 2.55814
-5.11482 -1.81406
2.420242 1.154734
-1.07411
0
-5.64604 -0.68493
1.611047 1.609195
-1.69875 0.226244
-3.68664 -1.12867
1.315789 -1.14155
3.187721 -0.46189
1.144165 4.640371
3.61991 1.108647
-0.32751 3.070175
3.833516 -0.21277

MARUTI
1

HONDA

TATA

0.931827196 2.898617 0.904058

ALPHA
CNX-NIFTY

MARUTI
0

HONDA TATA
0.60516198 -0.56936 0.450319

SHARPE RATIO
Average
Std Dev
Sharpe Ratio

0.797992437 0.030473 0.637403

2.058874073 3.112357 1.831644
0.387586812 0.009791 0.347995

Calculation of Beta and Alpha

Daily Stock Price

Return

DATE
CNX-NIFTY ASIAN
BARGER NEROLAC
16-Jun-14
7533
540
257
1331
17-Jun-14
7631
561
269
1360
18-Jun-14
7558
557
271
1368

CNX-NIFTY

ASIAN

1.30094252 3.888889
-0.9566243 -0.71301

19-Jun-14
20-Jun-14
23-Jun-14
24-Jun-14
25-Jun-14
26-Jun-14
27-Jun-14
30-Jun-14

7541
7511
7493
7580
7569
7493
7508
7611

568
569
574
580
587
585
585
594

278
273
279
274
274
278
284
290

1360
1357
1370
1349
1363
1366
1385
1445

-0.22492723
-0.39782522
-0.23964852
1.16108368
-0.14511873
-1.00409565
0.20018684
1.37187001

1.974865
0.176056
0.878735
1.045296
1.206897
-0.34072
0
1.538462

1-Jul-14
2-Jul-14
3-Jul-14
4-Jul-14

7635
7725
7715
7751

584
584
582
589

295
288
285
293

1504
1489
1598
1654

0.31533307
-1.6835
1.17878193
0
-0.12944984 -0.34247
0.46662346 1.202749

BETA
BERGER

NEROLAC

CNX-NIFTY

4.669261 2.178813
0.743494 0.588235
2.583026
-1.79856
2.197802
-1.79211
0
1.459854
2.158273
2.112676

-0.5848
-0.22059
0.957996
-1.53285
1.037806
0.220103
1.390922
4.33213

1.724138 4.083045
-2.37288 -0.99734
-1.04167 7.320349
2.807018 3.50438

ASIAN

BERGER

0.81408097 0.1401195

NEROLAC
0.30383

ALPHA
CNX-NIFTY

ASIAN
0

0.462410939

BERGER
NEROLAC
0.931741 1.528427

SHARPE RATIO
Average
Std Dev
Sharpe Ratio

0.630875227 0.960737
1.364193701 2.0792337
0.462452822 0.462063

1.591301
2.459856
0.646908