ACC.NS HINDUNILVR.NS INFY.NS TCS.NS MARUTI.NS HDFCBANK.NS TATASTEEL.

NS
Jan-10 700 200 125 273 1268 128 417
Feb-10 741 195 131 284 1333 134 421
Mar-10 764 198 132 291 1294 152 463
Apr-10 737 185 138 286 1168 157 454
May-10 666 196 134 277 1129 149 367
Jun-10 715 221 148 280 1300 151 356
Jul-10 676 208 148 317 1094 179 394
Aug-10 717 222 144 320 1148 179 390
Sep-10 815 259 162 351 1322 209 486
Oct-10 812 247 158 399 1423 192 439
Nov-10 810 254 166 408 1304 192 436
Dec-10 886 265 188 443 1304 197 507
Jan-11 817 230 170 441 1149 172 477
Feb-11 799 239 163 424 1108 173 453
Mar-11 885 243 177 452 1158 197 464
Apr-11 928 242 158 445 1209 193 460
May-11 857 258 152 442 1128 202 439
Jun-11 793 291 168 452 1064 211 455
Jul-11 844 274 160 440 1107 220 420
Aug-11 837 274 135 406 1001 213 357
Sep-11 927 291 146 404 1000 211 316
Oct-11 1008 294 166 434 1039 221 368
Nov-11 965 340 158 436 898 200 293
Dec-11 959 352 167 454 848 193 255
Jan-12 1006 327 166 443 1096 222 343
Feb-12 1102 328 174 481 1159 233 360
Mar-12 1147 332 173 460 1247 235 359
Apr-12 1057 361 149 490 1267 245 353
May-12 975 370 147 490 1016 228 307
Jun-12 1083 393 164 503 1080 254 336
Jul-12 1131 404 146 496 1048 270 316
Aug-12 1118 449 154 538 1056 273 284
Sep-12 1267 476 166 519 1255 289 315
Oct-12 1188 481 154 527 1336 291 308
Nov-12 1192 461 168 529 1369 323 303
Dec-12 1234 461 160 505 1385 311 336
Jan-13 1140 416 192 541 1470 295 318
Feb-13 1096 389 200 613 1258 287 268
Mar-13 999 410 199 637 1190 287 245
Apr-13 1080 414 154 557 1551 313 238
May-13 1068 516 166 606 1492 321 229
Jun-13 1071 514 189 614 1429 307 215
Jul-13 1028 538 225 747 1232 284 169
Aug-13 852 560 235 840 1155 277 222
Sep-13 983 557 228 797 1270 277 220
Oct-13 1003 541 251 873 1529 317 271
Nov-13 970 533 267 832 1567 308 325
Dec-13 980 511 277 901 1649 310 344
Jan-14 894 511 295 930 1529 293 289
Feb-14 977 492 304 948 1485 312 279
Mar-14 1237 542 261 888 1843 349 319
Apr-14 1143 508 253 912 1797 336 325
May-14 1182 540 234 892 2123 370 385
Jun-14 1299 567 291 1010 2280 383 428
Jul-14 1234 575 301 1095 2359 396 449
Aug-14 1334 673 321 1075 2602 400 425
Sep-14 1251 676 335 1166 2875 414 380
Oct-14 1340 688 362 1111 3133 432 406
Nov-14 1318 718 415 1131 3141 454 392
Dec-14 1251 694 375 1095 3126 451 331
Jan-15 1394 852 407 1062 3424 511 323
Feb-15 1495 811 431 1144 3383 500 290
Mar-15 1396 798 422 1097 3471 485 262
Apr-15 1296 777 369 1058 3497 469 298
May-15 1367 785 385 1121 3553 498 272
Jun-15 1306 838 374 1096 3777 506 252
Jul-15 1254 851 449 1099 4066 527 204
Aug-15 1216 789 456 1127 3912 495 192
Sep-15 1227 752 484 1137 4424 515 181
Oct-15 1257 725 473 1097 4201 529 210
Nov-15 1225 756 462 1052 4301 519 195
Dec-15 1239 803 469 1080 4364 521 222
Jan-16 1130 761 494 1060 3868 505 213
Feb-16 1088 773 460 970 3056 468 213
Mar-16 1265 810 517 1123 3509 516 273
Apr-16 1321 808 513 1130 3583 545 300
May-16 1399 790 530 1145 3930 569 285
Jun-16 1479 837 497 1137 3954 566 275
Jul-16 1546 868 466 1191 4492 610 303
Aug-16 1565 863 450 1148 4772 632 323
Sep-16 1474 817 450 1111 5208 623 327
Oct-16 1397 787 433 1097 5587 616 354
Nov-16 1237 794 433 1046 5007 587 363
Dec-16 1226 784 449 1087 5058 1159 342
Jan-17 1302 812 412 1025 5605 630 405
Feb-17 1300 822 449 1140 5631 680 422
Mar-17 1332 865 454 1124 5720 706 422
Apr-17 1511 887 408 1051 6204 757 392
May-17 1521 1013 434 1177 6857 801 441
Jun-17 1457 1025 415 1092 6863 809 477
Jul-17 1610 1107 463 1165 7369 879 495
Aug-17 1683 1168 419 1170 7322 875 567
Sep-17 1549 1124 412 1142 7662 890 580
Oct-17 1692 1185 422 1230 7886 891 626
Nov-17 1560 1219 453 1240 8258 913 617
Dec-17 1644 1319 484 1270 9344 922 651
Jan-18 1604 1320 534 1463 9133 988 658
Feb-18 1518 1270 544 1430 8500 928 627
Mar-18 1410 1285 525 1342 8510 929 533
Apr-18 1484 1455 557 1664 8465 958 555
May-18 1267 1553 572 1641 8199 1054 537
Jun-18 1280 1582 607 1756 8476 1045 530
Jul-18 1461 1682 638 1844 9143 1081 525
Aug-18 1566 1729 674 1979 8736 1022 570
Sep-18 1483 1562 683 2079 7182 995 552
Oct-18 1313 1575 642 1845 6467 948 526
Nov-18 1419 1713 631 1878 7489 1055 503
Dec-18 1441 1777 623 1806 7297 1052 495
Jan-19 1360 1722 709 1922 6491 1031 453
Feb-19 1359 1692 698 1896 6676 1030 475
Mar-19 1592 1667 707 1914 6522 1150 495
Apr-19 1589 1717 714 2161 6516 1149 529
May-19 1641 1747 701 2100 6715 1203 464
Jun-19 1521 1746 696 2130 6387 1212 479
Jul-19 1519 1699 765 2126 5346 1123 410
Aug-19 1479 1852 786 2183 5986 1111 336
Sep-19 1565 1950 777 2028 6656 1227 351
Oct-19 1526 2140 661 2193 7492 1230 371
Nov-19 1482 2013 687 2023 7181 1275 417
Dec-19 1407 1902 721 2130 7303 1272 460
Jan-20 1464 2012 766 2049 6852 1226 428
Feb-20 1286 2224 722 1975 6697 1178 372
Mar-20 943 2273 633 1803 4250 862 263
Apr-20 1165 2171 706 2004 5311 1002 291
May-20 1255 2035 682 1962 5561 952 288
Jun-20 1332 2156 736 2071 5786 1066 318
Jul-20 1425 2200 966 2276 6207 1033 357
Aug-20 1322 2117 929 2257 6779 1116 403
Sep-20 1393 2068 1008 2492 6743 1079 360
NESTLEIND.NS ^NSEI
2192 4882
2274 4922
2312 5249
2392 5278
2511 5086
2511 5313
2634 5368
2685 5402
2950 6030
3039 6018
3162 5863
3351 6135
2924 5506
3118 5333
3248 5834
3509 5750
3588 5473
3631 5647
3854 5482
3879 5001
3758 4943
3751 5327
3732 4832
3619 4624
3768 5199
3926 5385
4119 5296
4170 5248
4019 4924
4049 5279
3995 5229
4135 5259
3943 5703
4210 5620
4270 5880
4471 5905
4266 6035
4281 5693
4136 5683
4491 5930
4780 5986
4376 5842
4772 5742
4429 5472
4721 5735
5063 6299
4654 6176
4800 6304
4580 6090
4414 6277
4563 6704
4339 6696
4514 7230
4509 7611
4691 7721
5514 7954
5459 7965
5741 8322
5692 8588
5858 8283
6534 8809
6450 8845
6382 8491
6038 8182
6202 8434
5857 8369
5862 8533
5501 7949
5872 7949
5693 8066
5404 7935
5374 7946
5075 7564
4631 6987
5324 7738
5294 7850
5638 8160
6071 8288
6722 8639
6102 8786
6026 8611
6544 8638
5892 8225
5647 8186
5496 8561
5873 8880
6274 9174
6290 9304
6240 9621
6364 9521
6392 10077
6727 9918
6832 9789
 6853 10335
7255 10227
7452 10531
7101 11028
7379 10493
7799 10114
8933 10739
9178 10736
9391 10714
10080 11357
11087 11681
9302 10930
9732 10387
10324 10877
10631 10863
11079 10831
10252 10793
10562 11624
10508 11748
11104 11923
11556 11789
11327 11118
12490 11023
13682 11474
14724 11877
14238 12056
14565 12168
15189 12170
16356 11202
16120 8598
17726 9860
17346 9580
17111 10302
16522 11073
15950 11388
15919 11248
 ACC.NS HINDUNILVR.NS INFY.NS TCS.NS MARUTI.NS HDFCBANK.NS TATASTEEL.NS
Jan-10
Feb-10 5.73 -2.55 4.98 3.95 4.95 4.42 0.92
Mar-10 2.98 1.41 0.54 2.44 -2.92 12.59 9.57
Apr-10 -3.61 -6.91 4.57 -1.97 -10.26 3.40 -2.11
May-10 -10.05 5.93 -2.97 -2.96 -3.41 -5.76 -21.19
Jun-10 7.02 12.04 9.74 1.06 14.07 1.60 -3.05
Jul-10 -5.51 -6.21 -0.09 12.21 -17.21 16.88 10.05
Aug-10 5.81 6.38 -2.71 0.94 4.80 0.34 -0.99
Sep-10 12.87 15.57 11.69 9.40 14.10 15.39 22.08
Oct-10 -0.46 -4.75 -2.62 12.74 7.40 -8.79 -10.07
Nov-10 -0.16 2.73 5.32 2.17 -8.72 0.24 -0.78
Dec-10 8.92 4.29 12.08 8.38 -0.03 2.63 15.14
Jan-11 -8.13 -14.32 -9.92 -0.53 -12.64 -13.63 -6.17
Feb-11 -2.27 3.92 -3.94 -4.00 -3.63 0.24 -5.22
Mar-11 10.30 1.79 7.83 6.42 4.37 13.37 2.46
Apr-11 4.75 -0.66 -10.91 -1.55 4.30 -2.17 -0.93
May-11 -8.00 6.56 -4.24 -0.73 -6.87 4.43 -4.56
Jun-11 -7.77 12.08 10.29 2.31 -5.88 4.72 3.54
Jul-11 6.24 -5.89 -4.73 -2.70 3.95 3.83 -7.88
Aug-11 -0.87 -0.07 -16.96 -8.16 -10.02 -3.10 -16.43
Sep-11 10.22 6.11 7.80 -0.49 -0.14 -0.92 -12.05
Oct-11 8.42 0.70 12.75 7.30 3.83 4.67 15.05
Nov-11 -4.34 14.66 -5.38 0.53 -14.63 -10.20 -22.58
Dec-11 -0.65 3.47 5.99 3.96 -5.70 -3.60 -13.86
Jan-12 4.83 -7.24 -0.79 -2.46 25.64 14.22 29.59
Feb-12 9.04 0.33 4.88 8.16 5.58 4.96 4.71
Mar-12 4.01 1.25 -0.60 -4.45 7.35 0.53 -0.17
Apr-12 -8.13 8.13 -15.20 6.44 1.57 4.26 -1.73
May-12 -8.09 2.46 -1.34 -0.10 -22.06 -6.93 -13.86
Jun-12 10.56 6.01 11.02 2.54 6.13 10.73 8.95
Jul-12 4.33 2.79 -11.93 -1.39 -3.03 5.78 -6.31
Aug-12 -1.19 10.64 5.87 8.23 0.74 1.28 -10.69
Sep-12 12.48 5.80 7.08 -3.63 17.30 5.52 10.37
Oct-12 -6.39 1.16 -7.02 1.50 6.26 0.80 -2.19
Nov-12 0.35 -4.29 8.27 0.34 2.47 10.43 -1.54
Dec-12 3.43 0.04 -4.97 -4.53 1.09 -3.67 10.39
Jan-13 -7.92 -10.20 18.49 6.79 5.96 -5.38 -5.67
Feb-13 -3.90 -6.74 4.13 12.55 -15.51 -2.79 -17.03
Mar-13 -9.33 5.25 -0.61 3.80 -5.55 0.00 -8.76
Apr-13 7.87 1.00 -25.66 -13.38 26.48 8.72 -3.28
May-13 -1.19 21.88 7.59 8.35 -3.91 2.63 -3.70
Jun-13 0.32 -0.32 13.18 1.31 -4.32 -4.53 -6.37
Jul-13 -4.10 4.58 17.26 19.67 -14.79 -7.68 -23.83
Aug-13 -18.73 4.04 4.48 11.78 -6.44 -2.62 27.17
Sep-13 14.27 -0.64 -3.04 -5.32 9.43 -0.16 -0.90
Oct-13 2.04 -2.85 9.40 9.13 18.60 13.80 20.97
Nov-13 -3.43 -1.61 6.23 -4.84 2.41 -2.91 17.91
Dec-13 1.10 -4.14 3.83 8.04 5.10 0.69 5.72
Jan-14 -9.24 -0.10 6.00 3.13 -7.51 -5.77 -17.51
Feb-14 8.90 -3.73 3.29 1.89 -2.93 6.33 -3.50
Mar-14 23.64 9.76 -15.28 -6.47 21.58 11.18 13.62
Apr-14 -7.92 -6.49 -3.16 2.59 -2.50 -3.74 1.69
May-14 3.35 6.13 -7.89 -2.21 16.67 9.45 17.04
Jun-14 9.43 4.75 21.69 12.46 7.12 3.57 10.63
Jul-14 -5.12 1.40 3.39 8.10 3.41 3.20 4.62
Aug-14 7.74 15.77 6.64 -1.88 9.82 1.14 -5.44
Sep-14 -6.43 0.48 4.06 8.15 9.96 3.39 -11.14
Oct-14 6.88 1.72 7.79 -4.82 8.58 4.39 6.52
Nov-14 -1.61 4.34 13.66 1.74 0.27 4.85 -3.46
Dec-14 -5.23 -3.36 -10.00 -3.26 -0.49 -0.58 -16.99
Jan-15 10.84 20.45 8.24 -3.02 9.11 12.41 -2.27
Feb-15 6.99 -4.99 5.62 7.41 -1.18 -2.19 -10.75
Mar-15 -6.84 -1.54 -2.11 -4.16 2.55 -3.01 -10.17
Apr-15 -7.45 -2.69 -13.29 -3.60 0.77 -3.37 12.90
May-15 5.34 1.08 4.08 5.78 1.59 6.06 -9.25
Jun-15 -4.59 6.44 -2.73 -2.30 6.09 1.57 -7.55
Jul-15 -4.04 1.59 18.12 0.27 7.38 4.09 -21.00
Aug-15 -3.09 -7.51 1.60 2.53 -3.87 -6.37 -6.07
Sep-15 0.89 -4.82 5.99 0.93 12.32 3.95 -5.85
Oct-15 2.41 -3.72 -2.31 -3.65 -5.18 2.84 14.84
Nov-15 -2.54 4.21 -2.44 -4.13 2.35 -2.01 -7.40
Dec-15 1.16 6.06 1.60 2.63 1.46 0.41 12.62
Jan-16 -9.28 -5.46 5.24 -1.89 -12.08 -3.03 -3.97
Feb-16 -3.79 1.64 -7.19 -8.91 -23.55 -7.72 -0.24
Mar-16 15.09 4.60 11.68 14.65 13.82 9.73 24.95
Apr-16 4.34 -0.18 -0.84 0.60 2.09 5.56 9.37
May-16 5.78 -2.30 3.30 1.33 9.23 4.28 -4.89
Jun-16 5.53 5.77 -6.44 -0.64 0.61 -0.46 -3.78
Jul-16 4.40 3.73 -6.31 4.63 12.77 7.40 9.79
Aug-16 1.24 -0.60 -3.60 -3.69 6.04 3.55 6.49
Sep-16 -5.99 -5.51 0.02 -3.26 8.74 -1.43 1.12
Oct-16 -5.34 -3.68 -3.79 -1.33 7.03 -1.09 8.01
Nov-16 -12.21 0.89 -0.08 -4.71 -10.96 -4.84 2.34
Dec-16 -0.85 -1.27 3.53 3.86 1.01 68.04 -5.91
Jan-17 6.01 3.46 -8.46 -5.91 10.26 -61.04 16.85
Feb-17 -0.14 1.22 8.64 10.65 0.48 7.73 4.16
Mar-17 2.42 5.16 0.97 -1.41 1.56 3.70 0.00
Apr-17 12.61 2.51 -10.65 -6.75 8.12 6.96 -7.18
May-17 0.64 13.21 6.13 11.36 10.00 5.64 11.64
Jun-17 -4.31 1.17 -4.34 -7.51 0.09 0.96 7.82
Jul-17 10.01 7.71 10.84 6.45 7.12 8.37 3.84
Aug-17 4.44 5.39 -10.00 0.46 -0.64 -0.45 13.55
Sep-17 -8.30 -3.83 -1.66 -2.45 4.54 1.63 2.25
Oct-17 8.81 5.27 2.41 7.44 2.88 0.15 7.56
Nov-17 -8.15 2.79 7.10 0.77 4.62 2.47 -1.38
Dec-17 5.28 7.88 6.54 2.41 12.35 1.00 5.36
Jan-18 -2.48 0.11 9.88 14.17 -2.29 6.88 1.04
Feb-18 -5.53 -3.84 1.92 -2.28 -7.18 -6.25 -4.86
Mar-18 -7.39 1.18 -3.54 -6.32 0.11 0.10 -16.22
Apr-18 5.15 12.37 5.81 21.49 -0.52 3.04 4.10
May-18 -15.84 6.58 2.66 -1.43 -3.20 9.56 -3.30
Jun-18 1.05 1.83 5.94 6.78 3.32 -0.82 -1.38
Jul-18 13.25 6.12 5.12 4.88 7.58 3.31 -0.83
Aug-18 6.88 2.76 5.42 7.08 -4.56 -5.58 8.21
Sep-18 -5.42 -10.14 1.31 4.94 -19.58 -2.71 -3.26
Oct-18 -12.15 0.82 -6.17 -11.93 -10.49 -4.82 -4.83
Nov-18 7.74 8.41 -1.72 1.75 14.67 10.74 -4.50
Dec-18 1.51 3.67 -1.28 -3.90 -2.59 -0.32 -1.61
Jan-19 -5.78 -3.15 12.88 6.20 -11.70 -1.99 -8.90
Feb-19 -0.07 -1.75 -1.51 -1.32 2.80 -0.11 4.86
Mar-19 15.83 -1.50 1.29 0.91 -2.33 10.99 4.02
Apr-19 -0.21 2.94 1.00 12.15 -0.09 -0.06 6.72
May-19 3.25 1.74 -1.83 -2.86 3.01 4.55 -13.20
Jun-19 -7.63 -0.05 -0.78 1.39 -5.00 0.76 3.24
Jul-19 -0.11 -2.75 9.49 -0.16 -17.79 -7.57 -15.48
Aug-19 -2.63 8.61 2.64 2.65 11.30 -1.06 -19.95
Sep-19 5.65 5.18 -1.14 -7.36 10.61 9.92 4.42
Oct-19 -2.53 9.31 -16.14 7.80 11.83 0.24 5.41
Nov-19 -2.97 -6.14 3.85 -8.05 -4.24 3.56 11.63
Dec-19 -5.16 -5.68 4.88 5.15 1.68 -0.22 9.91
Jan-20 4.00 5.62 5.95 -3.90 -6.38 -3.67 -7.33
Feb-20 -13.03 10.00 -5.87 -3.64 -2.28 -4.05 -13.90
Mar-20 -31.03 2.21 -13.16 -9.10 -45.48 -31.21 -34.78
Apr-20 21.14 -4.61 10.92 10.54 22.28 15.04 10.12
May-20 7.44 -6.48 -3.48 -2.11 4.60 -5.14 -1.04
Jun-20 6.01 5.79 7.65 5.42 3.97 11.33 10.14
Jul-20 6.76 2.04 27.20 9.43 7.02 -3.15 11.44
Aug-20 -7.55 -3.85 -3.95 -0.84 8.82 7.73 12.00
Sep-20 5.28 -2.35 8.23 9.91 -0.53 -3.40 -11.24
NESTLEIND.NS ^NSEI
ACC.NS
3.64 0.82 Take Rf = 0.32 Jan-10
1.65 6.43 0.32 Feb-10 5.41
3.41 0.55 Mar-10 2.66
4.87 -3.70 Beta of ACC Apr-10 -3.93
0.01 4.35 1.12 May-10 -10.37
4.78 1.03 Jun-10 6.70
1.91 0.65 Jul-10 -5.83
9.40 10.99 Aug-10 5.49
2.98 -0.20 Sep-10 12.55
3.96 -2.61 Oct-10 -0.78
5.83 4.53 Nov-10 -0.48
-13.64 -10.81 Dec-10 8.60
6.43 -3.19 Jan-11 -8.45
4.08 8.97 Feb-11 -2.59
7.71 -1.45 Mar-11 9.98
2.22 -4.93 Apr-11 4.43
1.20 3.14 May-11 -8.32
5.95 -2.97 Jun-11 -8.09
0.66 -9.18 Jul-11 5.92
-3.17 -1.16 Aug-11 -1.19
-0.19 7.47 Sep-11 9.90
-0.50 -9.74 Oct-11 8.10
-3.07 -4.39 Nov-11 -4.66
4.04 11.72 Dec-11 -0.97
4.10 3.51 Jan-12 4.51
4.81 -1.68 Feb-12 8.72
1.22 -0.90 Mar-12 3.69
-3.68 -6.37 Apr-12 -8.45
0.75 6.95 May-12 -8.41
-1.34 -0.95 Jun-12 10.24
3.44 0.56 Jul-12 4.01
-4.76 8.12 Aug-12 -1.51
6.55 -1.48 Sep-12 12.16
1.42 4.53 Oct-12 -6.71
4.61 0.43 Nov-12 0.03
-4.70 2.17 Dec-12 3.11
0.34 -5.83 Jan-13 -8.24
-3.44 -0.18 Feb-13 -4.22
8.22 4.27 Mar-13 -9.65
6.24 0.94 Apr-13 7.55
-8.83 -2.43 May-13 -1.51
8.67 -1.73 Jun-13 0.00
-7.45 -4.82 Jul-13 -4.42
6.38 4.70 Aug-13 -19.05
6.98 9.38 Sep-13 13.95
 -8.42 -1.97 Oct-13 1.72
3.09 2.05 Nov-13 -3.75
-4.69 -3.46 Dec-13 0.78
-3.69 3.03 Jan-14 -9.56
3.32 6.58 Feb-14 8.58
-5.05 -0.12 Mar-14 23.32
3.95 7.67 Apr-14 -8.24
-0.11 5.14 May-14 3.03
3.95 1.43 Jun-14 9.11
16.17 2.97 Jul-14 -5.44
-1.00 0.13 Aug-14 7.42
5.03 4.39 Sep-14 -6.75
-0.85 3.15 Oct-14 6.56
2.87 -3.62 Nov-14 -1.93
10.93 6.16 Dec-14 -5.55
-1.30 0.40 Jan-15 10.52
-1.05 -4.08 Feb-15 6.67
-5.55 -3.71 Mar-15 -7.16
2.69 3.04 Apr-15 -7.77
-5.72 -0.78 May-15 5.02
0.08 1.94 Jun-15 -4.91
-6.36 -7.09 Jul-15 -4.36
6.53 0.00 Aug-15 -3.41
-3.09 1.46 Sep-15 0.57
-5.22 -1.63 Oct-15 2.09
-0.55 0.14 Nov-15 -2.86
-5.73 -4.94 Dec-15 0.84
-9.15 -7.93 Jan-16 -9.60
13.94 10.21 Feb-16 -4.11
-0.56 1.43 Mar-16 14.77
6.29 3.88 Apr-16 4.02
7.40 1.55 May-16 5.46
10.18 4.15 Jun-16 5.21
-9.67 1.70 Jul-16 4.08
-1.25 -2.01 Aug-16 0.92
8.25 0.31 Sep-16 -6.31
-10.50 -4.91 Oct-16 -5.66
-4.24 -0.47 Nov-16 -12.53
-2.72 4.49 Dec-16 -1.17
6.65 3.65 Jan-17 5.69
6.60 3.26 Feb-17 -0.46
0.26 1.41 Mar-17 2.10
-0.79 3.35 Apr-17 12.29
1.95 -1.05 May-17 0.32
0.45 5.68 Jun-17 -4.63
5.10 -1.59 Jul-17 9.69
1.55 -1.31 Aug-17 4.12
 0.31 5.43 Sep-17 -8.62
5.70 -1.06 Oct-17 8.49
2.67 2.93 Nov-17 -8.47
-4.82 4.61 Dec-17 4.96
3.84 -4.97 Jan-18 -2.80
5.54 -3.68 Feb-18 -5.85
13.58 6.00 Mar-18 -7.71
2.70 -0.03 Apr-18 4.83
2.29 -0.20 May-18 -16.16
7.09 5.82 Jun-18 0.73
9.52 2.81 Jul-18 12.93
-17.55 -6.64 Aug-18 6.56
4.52 -5.10 Sep-18 -5.74
5.90 4.61 Oct-18 -12.47
2.93 -0.13 Nov-18 7.42
4.13 -0.29 Dec-18 1.19
-7.76 -0.36 Jan-19 -6.10
2.97 7.42 Feb-19 -0.39
-0.51 1.06 Mar-19 15.51
5.52 1.48 Apr-19 -0.53
3.99 -1.13 May-19 2.93
-2.01 -5.86 Jun-19 -7.95
9.78 -0.86 Jul-19 -0.43
9.12 4.01 Aug-19 -2.95
7.34 3.45 Sep-19 5.33
-3.35 1.49 Oct-19 -2.85
2.27 0.93 Nov-19 -3.29
4.20 0.01 Dec-19 -5.48
7.40 -8.29 Jan-20 3.68
-1.45 -26.46 Feb-20 -13.35
9.50 13.70 Mar-20 -31.35
-2.16 -2.88 Apr-20 20.82
-1.36 7.26 May-20 7.12
-3.50 7.22 Jun-20 5.69
-3.53 2.80 Jul-20 6.44
-0.19 -1.24 Aug-20 -7.87
Sep-20 4.96

Average 319.92%
Beta 1.12

2500...

2000...

1500...

1000...

500
 2000...

1500...

1000...

500

0
0.20 0.40 0.60

-500.00%
 Excess Return Table
HINDUNILVR.NS INFY.NS TCS.NS MARUTI.NS HDFCBANK.NS TATASTEEL.NS NESTLEIND.NS

-2.87 4.66 3.63 4.63 4.10 0.60 3.32

1.09 0.22 2.12 -3.24 12.27 9.25 1.33
-7.23 4.25 -2.29 -10.58 3.08 -2.43 3.09
5.61 -3.29 -3.28 -3.73 -6.08 -21.51 4.55
11.72 9.42 0.74 13.75 1.28 -3.37 -0.31
-6.53 -0.41 11.89 -17.53 16.56 9.73 4.46
6.06 -3.03 0.62 4.48 0.02 -1.31 1.59
15.25 11.37 9.08 13.78 15.07 21.76 9.08
-5.07 -2.94 12.42 7.08 -9.11 -10.39 2.66
2.41 5.00 1.85 -9.04 -0.08 -1.10 3.64
3.97 11.76 8.06 -0.35 2.31 14.82 5.51
-14.64 -10.24 -0.85 -12.96 -13.95 -6.49 -13.96
3.60 -4.26 -4.32 -3.95 -0.08 -5.54 6.11
1.47 7.51 6.10 4.05 13.05 2.14 3.76
-0.98 -11.23 -1.87 3.98 -2.49 -1.25 7.39
6.24 -4.56 -1.05 -7.19 4.11 -4.88 1.90
11.76 9.97 1.99 -6.20 4.40 3.22 0.88
-6.21 -5.05 -3.02 3.63 3.51 -8.20 5.63
-0.39 -17.28 -8.48 -10.34 -3.42 -16.75 0.34
5.79 7.48 -0.81 -0.46 -1.24 -12.37 -3.49
0.38 12.43 6.98 3.51 4.35 14.73 -0.51
14.34 -5.70 0.21 -14.95 -10.52 -22.90 -0.82
3.15 5.67 3.64 -6.02 -3.92 -14.18 -3.39
-7.56 -1.11 -2.78 25.32 13.90 29.27 3.72
0.01 4.56 7.84 5.26 4.64 4.39 3.78
0.93 -0.92 -4.77 7.03 0.21 -0.49 4.49
7.81 -15.52 6.12 1.25 3.94 -2.05 0.90
2.14 -1.66 -0.42 -22.38 -7.25 -14.18 -4.00
5.69 10.70 2.22 5.81 10.41 8.63 0.43
2.47 -12.25 -1.71 -3.35 5.46 -6.63 -1.66
10.32 5.55 7.91 0.42 0.96 -11.01 3.12
5.48 6.76 -3.95 16.98 5.20 10.05 -5.08
0.84 -7.34 1.18 5.94 0.48 -2.51 6.23
-4.61 7.95 0.02 2.15 10.11 -1.86 1.10
-0.28 -5.29 -4.85 0.77 -3.99 10.07 4.29
-10.52 18.17 6.47 5.64 -5.70 -5.99 -5.02
-7.06 3.81 12.23 -15.83 -3.11 -17.35 0.02
4.93 -0.93 3.48 -5.87 -0.32 -9.08 -3.76
0.68 -25.98 -13.70 26.16 8.40 -3.60 7.90
21.56 7.27 8.03 -4.23 2.31 -4.02 5.92
-0.64 12.86 0.99 -4.64 -4.85 -6.69 -9.15
4.26 16.94 19.35 -15.11 -8.00 -24.15 8.35
3.72 4.16 11.46 -6.76 -2.94 26.85 -7.77
-0.96 -3.36 -5.64 9.11 -0.48 -1.22 6.06
-3.17 9.08 8.81 18.28 13.48 20.65 6.66
-1.93 5.91 -5.16 2.09 -3.23 17.59 -8.74
-4.46 3.51 7.72 4.78 0.37 5.40 2.77
-0.42 5.68 2.81 -7.83 -6.09 -17.83 -5.01
-4.05 2.97 1.57 -3.25 6.01 -3.82 -4.01
9.44 -15.60 -6.79 21.26 10.86 13.30 3.00
-6.81 -3.48 2.27 -2.82 -4.06 1.37 -5.37
5.81 -8.21 -2.53 16.35 9.13 16.72 3.63
4.43 21.37 12.14 6.80 3.25 10.31 -0.43
1.08 3.07 7.78 3.09 2.88 4.30 3.63
15.45 6.32 -2.20 9.50 0.82 -5.76 15.85
0.16 3.74 7.83 9.64 3.07 -11.46 -1.32
1.40 7.47 -5.14 8.26 4.07 6.20 4.71
4.02 13.34 1.42 -0.05 4.53 -3.78 -1.17
-3.68 -10.32 -3.58 -0.81 -0.90 -17.31 2.55
20.13 7.92 -3.34 8.79 12.09 -2.59 10.61
-5.31 5.30 7.09 -1.50 -2.51 -11.07 -1.62
-1.86 -2.43 -4.48 2.23 -3.33 -10.49 -1.37
-3.01 -13.61 -3.92 0.45 -3.69 12.58 -5.87
0.76 3.76 5.46 1.27 5.74 -9.57 2.37
6.12 -3.05 -2.62 5.77 1.25 -7.87 -6.04
1.27 17.80 -0.05 7.06 3.77 -21.32 -0.24
-7.83 1.28 2.21 -4.19 -6.69 -6.39 -6.68
-5.14 5.67 0.61 12.00 3.63 -6.17 6.21
-4.04 -2.63 -3.97 -5.50 2.52 14.52 -3.41
3.89 -2.76 -4.45 2.03 -2.33 -7.72 -5.54
5.74 1.28 2.31 1.14 0.09 12.30 -0.87
-5.78 4.92 -2.21 -12.40 -3.35 -4.29 -6.05
1.32 -7.51 -9.23 -23.87 -8.04 -0.56 -9.47
4.28 11.36 14.33 13.50 9.41 24.63 13.62
-0.50 -1.16 0.28 1.77 5.24 9.05 -0.88
-2.62 2.98 1.01 8.91 3.96 -5.21 5.97
5.45 -6.76 -0.96 0.29 -0.78 -4.10 7.08
3.41 -6.63 4.31 12.45 7.08 9.47 9.86
-0.92 -3.92 -4.01 5.72 3.23 6.17 -9.99
-5.83 -0.30 -3.58 8.42 -1.75 0.80 -1.57
-4.00 -4.11 -1.65 6.71 -1.41 7.69 7.93
0.57 -0.40 -5.03 -11.28 -5.16 2.02 -10.82
-1.59 3.21 3.54 0.69 67.72 -6.23 -4.56
3.14 -8.78 -6.23 9.94 -61.36 16.53 -3.04
0.90 8.32 10.33 0.16 7.41 3.84 6.33
4.84 0.65 -1.73 1.24 3.38 -0.32 6.28
2.19 -10.97 -7.07 7.80 6.64 -7.50 -0.06
12.89 5.81 11.04 9.68 5.32 11.32 -1.11
0.85 -4.66 -7.83 -0.23 0.64 7.50 1.63
7.39 10.52 6.13 6.80 8.05 3.52 0.13
5.07 -10.32 0.14 -0.96 -0.77 13.23 4.78
 -4.15 -1.98 -2.77 4.22 1.31 1.93 1.23
4.95 2.09 7.12 2.56 -0.17 7.24 -0.01
2.47 6.78 0.45 4.30 2.15 -1.70 5.38
7.56 6.22 2.09 12.03 0.68 5.04 2.35
-0.21 9.56 13.85 -2.61 6.56 0.72 -5.14
-4.16 1.60 -2.60 -7.50 -6.57 -5.18 3.52
0.86 -3.86 -6.64 -0.21 -0.22 -16.54 5.22
12.05 5.49 21.17 -0.84 2.72 3.78 13.26
6.26 2.34 -1.75 -3.52 9.24 -3.62 2.38
1.51 5.62 6.46 3.00 -1.14 -1.70 1.97
5.80 4.80 4.56 7.26 2.99 -1.15 6.77
2.44 5.10 6.76 -4.88 -5.90 7.89 9.20
-10.46 0.99 4.62 -19.90 -3.03 -3.58 -17.87
0.50 -6.49 -12.25 -10.81 -5.14 -5.15 4.20
8.09 -2.04 1.43 14.35 10.42 -4.82 5.58
3.35 -1.60 -4.22 -2.91 -0.64 -1.93 2.61
-3.47 12.56 5.88 -12.02 -2.31 -9.22 3.81
-2.07 -1.83 -1.64 2.48 -0.43 4.54 -8.08
-1.82 0.97 0.59 -2.65 10.67 3.70 2.65
2.62 0.68 11.83 -0.41 -0.38 6.40 -0.83
1.42 -2.15 -3.18 2.69 4.23 -13.52 5.20
-0.37 -1.10 1.07 -5.32 0.44 2.92 3.67
-3.07 9.17 -0.48 -18.11 -7.89 -15.80 -2.33
8.29 2.32 2.33 10.98 -1.38 -20.27 9.46
4.86 -1.46 -7.68 10.29 9.60 4.10 8.80
8.99 -16.46 7.48 11.51 -0.08 5.09 7.02
-6.46 3.53 -8.37 -4.56 3.24 11.31 -3.67
-6.00 4.56 4.83 1.36 -0.54 9.59 1.95
5.30 5.63 -4.22 -6.70 -3.99 -7.65 3.88
9.68 -6.19 -3.96 -2.60 -4.37 -14.22 7.08
1.89 -13.48 -9.42 -45.80 -31.53 -35.10 -1.77
-4.93 10.60 10.22 21.96 14.72 9.80 9.18
-6.80 -3.80 -2.43 4.28 -5.46 -1.36 -2.48
5.47 7.33 5.10 3.65 11.01 9.82 -1.68
1.72 26.88 9.11 6.70 -3.47 11.12 -3.82
-4.17 -4.27 -1.16 8.50 7.41 11.68 -3.85
-2.67 7.91 9.59 -0.85 -3.72 -11.56 -0.51

1885.01% 1383.11% 1686.13% 1381.21% 1928.78% -284.87% 1525.48%

0.41 0.55 0.37 1.46 0.88 1.37 0.57

2500...

2000...

1500...

1000...

500
 2000...

1500...

1000...

500

0
0.20 0.40 0.60 0.80 1.00 1.20 1.40 1.60

-500.00%
^NSEI

0.50
6.11
0.23 Beta of ACC
-4.02 1.12
4.03
0.71
0.33 By regression:
10.67
-0.52 SUMMARY OUTPUT
-2.93
4.21 Regression Statistics
-11.13 Multiple R 0.66977413378
45% of the ACC returns are explained by the market return.
-3.51 R Square 0.44859739028 The remaining 55% is called the unsystematic or idosyncratic
8.65 Adjusted R Square 0.44388454747 risk of ACC.
-1.77 Standard Error 0.05485153968
-5.25 Observations 119
2.82
-3.29 ANOVA
-9.50 df SS MS F
-1.48 Regression 1 0.28638576852 0.286386 95.1861557025
7.15 Residual 117 0.352016894364 0.003009
-10.06 Total 118 0.638402662885
-4.71
11.40 Coefficients Standard Error t Stat P-value
3.19 Intercept -0.00233612791 0.005054304255 -0.462206 0.64479221859
-2.00 X Variable 1 1.12 0.114581216024 9.756339 8.175965E-17
-1.22
-6.69
6.63
-1.27
0.24 Average Beta
7.80 0.03 1.12
-1.80 0.19 0.41
4.21 0.14 0.55
0.11 0.17 0.37
1.85 0.14 1.46
-6.15 0.19 0.88
-0.50 -0.03 1.37
3.95 0.15 0.57
0.62
-2.75
-2.05 SUMMARY OUTPUT
-5.14
4.38 Regression Statistics
9.06 Multiple R 0.64759463033
-2.29 R Square 0.41937880524
1.73 Adjusted R Square 0.32260860611
-3.78 Standard Error 0.06511931967
2.71 Observations 8
6.26
-0.44 ANOVA
7.35 df SS MS F
4.82 Regression 1 0.0183774205 0.018377 4.33375986636
1.11 Residual 6 0.025443154766 0.004241
2.65 Total 7 0.043820575266
-0.19
4.07 Coefficients Standard Error t Stat P-value
2.83 Intercept 0.22241643241 0.053098122297 4.188782 0.00575703855
-3.94 X Variable 1 -0.11847354774 0.056910050646 -2.081768 0.0825326365
5.84
0.08 This shows that for one unit of beta, the market is giving negative returns. This
-4.40 implies that CAPM does not hold true.
-4.03
2.72
-1.10
1.62
-7.41
-0.32
1.14
-1.95
-0.18
-5.26
-8.25
9.89
1.11
3.56
1.23
3.83
1.38
-2.33
-0.01
-5.23
-0.79
4.17
3.33
2.94
1.09
3.03
-1.37
5.36
-1.91
 -1.63
5.11
-1.38
2.61
4.29
-5.29
-4.00
5.68
-0.35
-0.52
5.50
2.49
-6.96
-5.42
4.29
-0.45
-0.61
-0.68
7.10
0.74
1.16
-1.45
-6.18
-1.18
3.69
3.13
1.17
0.61
-0.31
-8.61
-26.78
13.38
-3.20
6.94
6.90
2.48
-1.56

536.96%
1.00
ained by the market return.
nsystematic or idosyncratic
CC.

Significance F
8.175965E-17

Lower 95% Upper 95% Lower 95.0% Upper 95.0%

-0.01234591263 0.00767365682 -0.01234591263 0.00767365682
0.89097112191 1.34481531017 0.89097112191 1.34481531017
 Significance F
0.0825326365

Lower 95% Upper 95% Lower 95.0% Upper 95.0%

0.09249000769 0.35234285713 0.09249000769 0.35234285713
-0.25772742512 0.02078032963 -0.25772742512 0.02078032963
 Rm-Rf SMB HML WML
Feb-10 -1.226 -2.518 0.465 3.944 0 ACC.NS
Mar-10 3.785 -0.591 3.068 1.340 Jan-10
Apr-10 1.468 5.819 3.180 2.633 Feb-10 5.41
May-10 -3.890 0.731 -6.027 -2.477 Mar-10 2.66
Jun-10 4.332 2.777 -2.782 -1.580 Apr-10 -3.93
Jul-10 1.419 -0.050 4.292 5.292 May-10 -10.37
Aug-10 0.304 -0.858 3.567 4.135 Jun-10 6.70
Sep-10 7.805 -3.200 2.541 -0.292 Jul-10 -5.83
Oct-10 -0.188 0.212 5.664 3.371 Aug-10 5.49
Nov-10 -5.717 3.516 -9.724 5.412 Sep-10 12.55
Dec-10 2.517 -3.248 1.415 -6.113 Oct-10 -0.78
Jan-11 -10.404 -1.015 -1.917 4.811 Nov-10 -0.48
Feb-11 -4.514 4.786 -12.011 2.759 Dec-10 8.60
Mar-11 7.110 -6.881 6.515 1.311 Jan-11 -8.45
Apr-11 0.408 7.012 0.781 0.819 Feb-11 -2.59
May-11 -3.342 -1.225 -0.529 4.312 Mar-11 9.98
Jun-11 -0.512 -0.464 -2.770 4.707 Apr-11 4.43
Jul-11 -2.192 3.972 1.515 3.915 May-11 -8.32
Aug-11 -9.060 2.438 -7.392 10.510 Jun-11 -8.09
Sep-11 -2.351 3.999 -2.341 -1.084 Jul-11 5.92
Oct-11 4.117 -1.272 -1.259 -1.143 Aug-11 -1.19
Nov-11 -9.726 -2.128 -0.751 9.543 Sep-11 9.90
Dec-11 -6.420 -0.944 -2.323 7.528 Oct-11 8.10
Jan-12 12.456 -0.064 5.675 -20.239 Nov-11 -4.66
Feb-12 4.172 0.293 -0.355 -2.181 Dec-11 -0.97
Mar-12 -2.951 -0.239 -2.128 9.079 Jan-12 4.51
Apr-12 -1.233 3.240 -0.388 2.918 Feb-12 8.72
May-12 -6.508 -0.400 -1.891 7.039 Mar-12 3.69
Jun-12 5.265 -1.876 -1.245 -3.521 Apr-12 -8.45
Jul-12 -1.788 1.029 1.089 4.707 May-12 -8.41
Aug-12 -0.382 2.416 -1.385 7.422 Jun-12 10.24
Sep-12 7.111 -0.828 0.639 -8.701 Jul-12 4.01
Oct-12 -2.035 4.764 -2.709 4.063 Aug-12 -1.51
Nov-12 3.475 -4.983 9.299 -5.095 Sep-12 12.16
Dec-12 1.069 -0.962 0.629 0.098 Oct-12 -6.71
Jan-13 0.699 -4.260 -2.812 -1.246 Nov-12 0.03
Feb-13 -7.513 0.322 -9.540 8.611 Dec-12 3.11
Mar-13 -2.812 -1.011 -5.651 11.484 Jan-13 -8.24
Apr-13 3.317 -10.132 16.644 -1.993 Feb-13 -4.22
May-13 -0.021 -2.717 -2.166 6.816 Mar-13 -9.65
Jun-13 -4.573 -3.477 2.122 18.127 Apr-13 7.55
Jul-13 -3.034 -4.597 4.890 9.182 May-13 -1.51
Aug-13 -4.470 1.753 -3.158 -10.042 Jun-13 0.00
Sep-13 4.621 -3.475 3.924 -1.419 Jul-13 -4.42
Oct-13 7.097 -0.889 1.152 -4.558 Aug-13 -19.05
Nov-13 -1.205 3.861 4.808 -3.271 Sep-13 13.95
Dec-13 2.807 3.615 5.251 -1.810 Oct-13 1.72
Jan-14 -4.686 1.455 -6.696 9.686 Nov-13 -3.75
Feb-14 1.505 1.101 -3.492 4.502 Dec-13 0.78
Mar-14 7.137 -1.916 3.403 -9.646 Jan-14 -9.56
Apr-14 0.424 6.765 9.866 -4.031 Feb-14 8.58
May-14 11.526 2.015 12.615 -15.861 Mar-14 23.32
Jun-14 6.615 7.734 7.866 3.171 Apr-14 -8.24
Jul-14 -0.718 -0.558 -9.238 -2.244 May-14 3.03
Aug-14 2.017 2.558 -4.760 2.020 Jun-14 9.11
Sep-14 0.654 8.198 1.782 3.785 Jul-14 -5.44
Oct-14 2.781 -1.935 0.445 4.384 Aug-14 7.42
Nov-14 2.091 -0.634 -0.491 5.420 Sep-14 -6.75
Dec-14 -2.179 0.837 -3.025 2.099 Oct-14 6.56
Jan-15 4.376 -1.017 -0.034 4.713 Nov-14 -1.93
Feb-15 0.403 0.801 -2.760 -0.133 Dec-14 -5.55
Mar-15 -3.511 2.675 -8.199 5.016 Jan-15 10.52
Apr-15 -3.161 1.323 4.045 -1.362 Feb-15 6.67
May-15 2.781 0.480 -4.937 3.383 Mar-15 -7.16
Jun-15 -1.704 4.853 -8.007 1.710 Apr-15 -7.77
Jul-15 2.728 9.666 2.731 8.821 May-15 5.02
Aug-15 -6.836 3.693 -9.659 3.903 Jun-15 -4.91
Sep-15 -1.028 0.871 2.057 2.293 Jul-15 -4.36
Oct-15 1.190 2.490 4.293 -5.553 Aug-15 -3.41
Nov-15 -0.964 4.528 2.908 -0.332 Sep-15 0.57
Dec-15 0.619 2.490 1.243 3.038 Oct-15 2.09
Jan-16 -6.653 1.013 -7.041 3.364 Nov-15 -2.86
Feb-16 -8.556 -7.398 -4.990 -2.641 Dec-15 0.84
Mar-16 10.099 -3.348 5.074 -0.995 Jan-16 -9.60
Apr-16 1.884 3.842 2.979 0.641 Feb-16 -4.11
May-16 1.476 1.471 -4.844 0.913 Mar-16 14.77
Jun-16 3.094 4.472 5.166 -0.942 Apr-16 4.02
Jul-16 4.938 -1.895 0.692 2.401 May-16 5.46
Aug-16 1.428 -2.644 -1.862 1.091 Jun-16 5.21
Sep-16 -1.266 2.666 -1.105 -1.242 Jul-16 4.08
Oct-16 2.336 6.174 5.115 4.019 Aug-16 0.92
Nov-16 -5.809 -7.555 3.982 -1.013 Sep-16 -6.31
Dec-16 -2.148 2.189 -4.681 -0.484 Oct-16 -5.66
Jan-17 5.357 -0.417 7.121 1.625 Nov-16 -12.53
Feb-17 4.216 -0.040 2.272 -1.426 Dec-16 -1.17
Mar-17 3.134 0.240 0.616 3.107 Jan-17 5.69
Apr-17 2.680 3.615 4.679 5.126 Feb-17 -0.46
May-17 -0.052 -1.642 -7.281 3.130 Mar-17 2.10
Jun-17 -0.511 3.319 -1.544 2.315 Apr-17 12.29
Jul-17 4.891 -1.531 5.381 1.878 May-17 0.32
Aug-17 -0.884 -1.177 -1.235 9.210 Jun-17 -4.63
Sep-17 -1.409 3.149 -2.104 -0.684 Jul-17 9.69
Oct-17 7.134 -3.872 14.007 3.361 Aug-17 4.12
Nov-17 -0.165 5.257 -3.838 1.512 Sep-17 -8.62
Dec-17 3.431 2.799 1.953 -2.381 Oct-17 8.49
Jan-18 0.277 -4.148 -2.440 0.625 Nov-17 -8.47
Feb-18 -4.147 1.682 -9.837 1.190 Dec-17 4.96
Mar-18 -4.690 -3.276 -7.887 3.435 Jan-18 -2.80
Apr-18 6.269 1.213 -1.748 6.916 Feb-18 -5.85
May-18 -3.145 -4.624 -3.525 5.090 Mar-18 -7.71
Jun-18 -3.021 -6.091 -3.567 1.980 Apr-18 4.83
Jul-18 4.955 -1.731 -0.976 0.368 May-18 -16.16
Aug-18 3.242 -1.415 0.789 2.465 Jun-18 0.73
Sep-18 -9.756 -4.253 -10.879 8.468 Jul-18 12.93
Oct-18 -4.626 0.288 10.716 -4.139 Aug-18 6.56
Nov-18 2.666 0.922 -4.387 3.876 Sep-18 -5.74
Dec-18 0.683 -0.907 4.948 -4.989 Oct-18 -12.47
Jan-19 -3.256 -4.000 -2.281 5.760 Nov-18 7.42
Feb-19 -0.896 -2.779 -3.720 -1.043 Dec-18 1.19
Mar-19 6.910 -1.271 6.008 -3.918 Jan-19 -6.10
Apr-19 -0.339 -0.284 -5.113 5.927 Feb-19 -0.39
May-19 0.559 -0.013 -1.462 12.355 Mar-19 15.51
Jun-19 -2.007 -6.109 1.037 12.908 Apr-19 -0.53
Jul-19 -7.249 -3.004 -6.937 7.659 May-19 2.93
Aug-19 -0.712 0.534 -4.763 8.678 Jun-19 -7.95
Sep-19 3.880 3.572 -7.878 4.202 Jul-19 -0.43
Oct-19 4.271 -4.434 -3.867 -5.963 Aug-19 -2.95
Nov-19 -0.137 -2.335 0.013 -7.227 Sep-19 5.33
Dec-19 -0.183 -1.032 -4.163 5.060 Oct-19 -2.85
Nov-19 -3.29
Dec-19 -5.48
 Excess Return Table
HINDUNILVR.NS INFY.NS TCS.NS MARUTI.NS HDFCBANK.NS TATASTEEL.NS NESTLEIND.NS

-2.87 4.66 3.63 4.63 4.10 0.60 3.32

1.09 0.22 2.12 -3.24 12.27 9.25 1.33
-7.23 4.25 -2.29 -10.58 3.08 -2.43 3.09
5.61 -3.29 -3.28 -3.73 -6.08 -21.51 4.55
11.72 9.42 0.74 13.75 1.28 -3.37 -0.31
-6.53 -0.41 11.89 -17.53 16.56 9.73 4.46
6.06 -3.03 0.62 4.48 0.02 -1.31 1.59
15.25 11.37 9.08 13.78 15.07 21.76 9.08
-5.07 -2.94 12.42 7.08 -9.11 -10.39 2.66
2.41 5.00 1.85 -9.04 -0.08 -1.10 3.64
3.97 11.76 8.06 -0.35 2.31 14.82 5.51
-14.64 -10.24 -0.85 -12.96 -13.95 -6.49 -13.96
3.60 -4.26 -4.32 -3.95 -0.08 -5.54 6.11
1.47 7.51 6.10 4.05 13.05 2.14 3.76
-0.98 -11.23 -1.87 3.98 -2.49 -1.25 7.39
6.24 -4.56 -1.05 -7.19 4.11 -4.88 1.90
11.76 9.97 1.99 -6.20 4.40 3.22 0.88
-6.21 -5.05 -3.02 3.63 3.51 -8.20 5.63
-0.39 -17.28 -8.48 -10.34 -3.42 -16.75 0.34
5.79 7.48 -0.81 -0.46 -1.24 -12.37 -3.49
0.38 12.43 6.98 3.51 4.35 14.73 -0.51
14.34 -5.70 0.21 -14.95 -10.52 -22.90 -0.82
3.15 5.67 3.64 -6.02 -3.92 -14.18 -3.39
-7.56 -1.11 -2.78 25.32 13.90 29.27 3.72
0.01 4.56 7.84 5.26 4.64 4.39 3.78
0.93 -0.92 -4.77 7.03 0.21 -0.49 4.49
7.81 -15.52 6.12 1.25 3.94 -2.05 0.90
2.14 -1.66 -0.42 -22.38 -7.25 -14.18 -4.00
5.69 10.70 2.22 5.81 10.41 8.63 0.43
2.47 -12.25 -1.71 -3.35 5.46 -6.63 -1.66
10.32 5.55 7.91 0.42 0.96 -11.01 3.12
5.48 6.76 -3.95 16.98 5.20 10.05 -5.08
0.84 -7.34 1.18 5.94 0.48 -2.51 6.23
-4.61 7.95 0.02 2.15 10.11 -1.86 1.10
-0.28 -5.29 -4.85 0.77 -3.99 10.07 4.29
-10.52 18.17 6.47 5.64 -5.70 -5.99 -5.02
-7.06 3.81 12.23 -15.83 -3.11 -17.35 0.02
4.93 -0.93 3.48 -5.87 -0.32 -9.08 -3.76
0.68 -25.98 -13.70 26.16 8.40 -3.60 7.90
21.56 7.27 8.03 -4.23 2.31 -4.02 5.92
-0.64 12.86 0.99 -4.64 -4.85 -6.69 -9.15
4.26 16.94 19.35 -15.11 -8.00 -24.15 8.35
3.72 4.16 11.46 -6.76 -2.94 26.85 -7.77
-0.96 -3.36 -5.64 9.11 -0.48 -1.22 6.06
-3.17 9.08 8.81 18.28 13.48 20.65 6.66
-1.93 5.91 -5.16 2.09 -3.23 17.59 -8.74
-4.46 3.51 7.72 4.78 0.37 5.40 2.77
-0.42 5.68 2.81 -7.83 -6.09 -17.83 -5.01
-4.05 2.97 1.57 -3.25 6.01 -3.82 -4.01
9.44 -15.60 -6.79 21.26 10.86 13.30 3.00
-6.81 -3.48 2.27 -2.82 -4.06 1.37 -5.37
5.81 -8.21 -2.53 16.35 9.13 16.72 3.63
4.43 21.37 12.14 6.80 3.25 10.31 -0.43
1.08 3.07 7.78 3.09 2.88 4.30 3.63
15.45 6.32 -2.20 9.50 0.82 -5.76 15.85
0.16 3.74 7.83 9.64 3.07 -11.46 -1.32
1.40 7.47 -5.14 8.26 4.07 6.20 4.71
4.02 13.34 1.42 -0.05 4.53 -3.78 -1.17
-3.68 -10.32 -3.58 -0.81 -0.90 -17.31 2.55
20.13 7.92 -3.34 8.79 12.09 -2.59 10.61
-5.31 5.30 7.09 -1.50 -2.51 -11.07 -1.62
-1.86 -2.43 -4.48 2.23 -3.33 -10.49 -1.37
-3.01 -13.61 -3.92 0.45 -3.69 12.58 -5.87
0.76 3.76 5.46 1.27 5.74 -9.57 2.37
6.12 -3.05 -2.62 5.77 1.25 -7.87 -6.04
1.27 17.80 -0.05 7.06 3.77 -21.32 -0.24
-7.83 1.28 2.21 -4.19 -6.69 -6.39 -6.68
-5.14 5.67 0.61 12.00 3.63 -6.17 6.21
-4.04 -2.63 -3.97 -5.50 2.52 14.52 -3.41
3.89 -2.76 -4.45 2.03 -2.33 -7.72 -5.54
5.74 1.28 2.31 1.14 0.09 12.30 -0.87
-5.78 4.92 -2.21 -12.40 -3.35 -4.29 -6.05
1.32 -7.51 -9.23 -23.87 -8.04 -0.56 -9.47
4.28 11.36 14.33 13.50 9.41 24.63 13.62
-0.50 -1.16 0.28 1.77 5.24 9.05 -0.88
-2.62 2.98 1.01 8.91 3.96 -5.21 5.97
5.45 -6.76 -0.96 0.29 -0.78 -4.10 7.08
3.41 -6.63 4.31 12.45 7.08 9.47 9.86
-0.92 -3.92 -4.01 5.72 3.23 6.17 -9.99
-5.83 -0.30 -3.58 8.42 -1.75 0.80 -1.57
-4.00 -4.11 -1.65 6.71 -1.41 7.69 7.93
0.57 -0.40 -5.03 -11.28 -5.16 2.02 -10.82
-1.59 3.21 3.54 0.69 67.72 -6.23 -4.56
3.14 -8.78 -6.23 9.94 -61.36 16.53 -3.04
0.90 8.32 10.33 0.16 7.41 3.84 6.33
4.84 0.65 -1.73 1.24 3.38 -0.32 6.28
2.19 -10.97 -7.07 7.80 6.64 -7.50 -0.06
12.89 5.81 11.04 9.68 5.32 11.32 -1.11
0.85 -4.66 -7.83 -0.23 0.64 7.50 1.63
7.39 10.52 6.13 6.80 8.05 3.52 0.13
5.07 -10.32 0.14 -0.96 -0.77 13.23 4.78
 -4.15 -1.98 -2.77 4.22 1.31 1.93 1.23
4.95 2.09 7.12 2.56 -0.17 7.24 -0.01
2.47 6.78 0.45 4.30 2.15 -1.70 5.38
7.56 6.22 2.09 12.03 0.68 5.04 2.35
-0.21 9.56 13.85 -2.61 6.56 0.72 -5.14
-4.16 1.60 -2.60 -7.50 -6.57 -5.18 3.52
0.86 -3.86 -6.64 -0.21 -0.22 -16.54 5.22
12.05 5.49 21.17 -0.84 2.72 3.78 13.26
6.26 2.34 -1.75 -3.52 9.24 -3.62 2.38
1.51 5.62 6.46 3.00 -1.14 -1.70 1.97
5.80 4.80 4.56 7.26 2.99 -1.15 6.77
2.44 5.10 6.76 -4.88 -5.90 7.89 9.20
-10.46 0.99 4.62 -19.90 -3.03 -3.58 -17.87
0.50 -6.49 -12.25 -10.81 -5.14 -5.15 4.20
8.09 -2.04 1.43 14.35 10.42 -4.82 5.58
3.35 -1.60 -4.22 -2.91 -0.64 -1.93 2.61
-3.47 12.56 5.88 -12.02 -2.31 -9.22 3.81
-2.07 -1.83 -1.64 2.48 -0.43 4.54 -8.08
-1.82 0.97 0.59 -2.65 10.67 3.70 2.65
2.62 0.68 11.83 -0.41 -0.38 6.40 -0.83
1.42 -2.15 -3.18 2.69 4.23 -13.52 5.20
-0.37 -1.10 1.07 -5.32 0.44 2.92 3.67
-3.07 9.17 -0.48 -18.11 -7.89 -15.80 -2.33
8.29 2.32 2.33 10.98 -1.38 -20.27 9.46
4.86 -1.46 -7.68 10.29 9.60 4.10 8.80
8.99 -16.46 7.48 11.51 -0.08 5.09 7.02
-6.46 3.53 -8.37 -4.56 3.24 11.31 -3.67
-6.00 4.56 4.83 1.36 -0.54 9.59 1.95
^NSEI Multi-variant Regression for ACC:

0.50 SUMMARY OUTPUT

6.11
0.23 Regression Statistics
-4.02 Multiple R 0.690652109305
4.03 R Square 0.477000336088
0.71 Adjusted R Square 0.458649470688
0.33 Standard Error 5.411848422182
10.67 Observations 119
-0.52
-2.93 ANOVA
4.21 df SS MS
-11.13 Regression 4 3045.182847554 761.2957119
-3.51 Residual 114 3338.843781292 29.28810334
8.65 Total 118 6384.026628847
-1.77
-5.25 Coefficients Standard Error t Stat
2.82 Intercept -0.10094037665 0.539716890732 -0.18702468
-3.29 X Variable 1 1.280942307781 0.144051595406 8.892246588
-9.50 X Variable 2 -0.23809329312 0.143784263659 -1.65590647
-1.48 X Variable 3 -0.09317689664 0.113709354657 -0.81943035
7.15 X Variable 4 0.208271552764 0.105088836222 1.981861825
-10.06
-4.71
11.40
3.19
-2.00
-1.22 ACC.NS HUL INFY
-6.69 Ret 0.14 15.79 10.77
6.63 Beta 1.28 0.67 0.74
-1.27 SMB -0.24 -0.15 -0.13
0.24 HML -0.09 -0.22 -0.37
7.80 WML 0.21 0.29 0.32
-1.80
4.21
0.11
1.85
-6.15
-0.50 Ret Beta SMB
3.95 ACC.NS 0.14 1.28 -0.24
0.62 HUL 15.79 0.67 -0.15
-2.75 INFY 10.77 0.74 -0.13
-2.05 TCS 13.80 0.61 -0.18
-5.14 MARUTI 10.75 1.57 0.22
4.38 HDFCBANK 16.22 0.91 -0.07
 9.06 TATASTEEL -5.91 0.96 -0.32
-2.29 NESTLEIND 12.19 0.87 0.01
1.73
-3.78
We run regression between return and all other factors.
2.71
6.26 SUMMARY OUTPUT
-0.44
7.35 Regression Statistics
4.82 Multiple R 0.946100832614
1.11 R Square 0.895106785473
2.65 Adjusted R Square 0.755249166104
-0.19 Standard Error 3.914281969947
4.07 Observations 8
2.83
-3.94 ANOVA
5.84 df SS MS
0.08 Regression 4 392.2409426408 98.06023566
-4.40 Residual 3 45.96481002076 15.32160334
-4.03 Total 7 438.2057526615
2.72
-1.10 Coefficients Standard Error t Stat
1.62 Intercept 19.73097292778 9.801446177861 2.013067518
-7.41 X Variable 1 -12.0856031955 6.88305213927 -1.75584943
-0.32 X Variable 2 30.79818723983 13.00219725035 2.368690972
1.14 X Variable 3 -18.9718423234 15.2025639488 -1.24793702
-1.95 X Variable 4 4.724728241278 4.716514416008 1.001741503
-0.18
-5.26
-8.25
9.89
1.11
3.56
1.23
3.83
1.38
-2.33
-0.01
-5.23
-0.79
4.17
3.33
2.94
1.09
3.03
-1.37
5.36
-1.91
-1.63
5.11
-1.38
2.61
4.29
-5.29
-4.00
5.68
-0.35
-0.52
5.50
2.49
-6.96
-5.42
4.29
-0.45
-0.61
-0.68
7.10
0.74
1.16
-1.45
-6.18
-1.18
3.69
3.13
1.17
0.61
 F Significance F
25.99334286 2.53898609E-15

P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%

0.851973728 -1.17011538028 0.96823462698 -1.17011538028 0.96823462698
1.04403E-14 0.99557720677 1.56630740879 0.99557720677 1.56630740879
0.100490947 -0.522928812 0.04674222576 -0.522928812 0.04674222576
0.41425077 -0.31843425242 0.13208045914 -0.31843425242 0.13208045914
0.049901204 9.13776036E-05 0.41645172792 9.13776036E-05 0.41645172792

TCS MARUTI HDFCBANK TATASTEEL NESTLEIND

13.80 10.75 16.22 -5.91 12.19
0.61 1.57 0.91 0.96 0.87
-0.18 0.22 -0.07 -0.32 0.01
-0.24 -0.21 -0.39 -0.03 -0.14
0.33 -0.13 -0.11 -0.74 0.30

HML WML
-0.09 0.21
-0.22 0.29
-0.37 0.32
-0.24 0.33
-0.21 -0.13
-0.39 -0.11
 -0.03 -0.74
-0.14 0.30

F Significance F
6.400128856 0.079584847342

P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%

0.137574707 -11.4616032474 50.9235491029 -11.4616032474 50.9235491029
0.177376037 -33.9905470452 9.81934065418 -33.9905470452 9.81934065418
0.098620703 -10.5806073601 72.1769818398 -10.5806073601 72.1769818398
0.300585874 -67.3531857931 29.4095011463 -67.3531857931 29.4095011463
0.39028274 -10.2853256358 19.7347821183 -10.2853256358 19.7347821183
 Assets F1 F2 Return
Theory: If there is a risk, then there should be a A1 1.2 0.5 3.9
positive risk premium associated with it. Also, the
return are linearly dependent on the factor A2 0.8 1.5 6.1
sensitivity premium. A3 1.5 0.2 3.6

We construct a factor portfolio. Such

portfolios are exposed to only one type of
factor.
 Factor Portfolio 1
Units of Asset F1 F2 Return Poition
A1 3 3.6 1.5 11.7 Long
A2 1 0.8 1.5 6.1 Short
Net 2.8 0 5.6
Per unit exposure return 2

Factor Portfolio 2
Units of Asset F1 F2 Return Poition
A1 2 2.4 1 7.8 Short
A2 3 2.4 4.5 18.3 Long
Net 0 3.5 10.5
Per unit exposure return 3

Artificial Replicating Portfolio for A3

Portfolio 1 Portfolio 2 Returns
1.5 3
0.2 0.6
1.5 0.2 3.6

We can go long with the replicating

portfolio and short the A3 asset. The
risk will nullify and we get a return of
0.6.
 Stock Beta Return
Risk-free 0 6%
A 0.8 10%
B 1.5 11%

Here there is an arbitrage opportunity.

Excess return per beta of A 0.05
Hence, excess return for 1.5 beta 7.50%
However we get only 5% premium from B.

We replicate the portfolio for B.

Weight Beta Return
Investment 1.875 1.5 18.75%
Borrowing -0.875 0 -5.25%
Net 1.5 13.50%