5 estimating cost of equity
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7/23/2019 5 Estimating Cost of Equity
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RIL TATA SBI Infosys Biocon Nifty Portfolio
SD 1.62% 2.12% 2.46% 1.74% 2.54% 1.42% 1.50%
Sys Risk 1.12% 1.07% 1.37% 0.85% 0.21% 1.42% 1.18%Unsys Risk 0.50% 1.06% 1.08% 0.89% 2.33% 0.00% 0.32%
Percenatge of Sys Risk 69.05% 50.14% 55.97% 49.00% 8.23% 100.00% 78.39%
Percenatge of Unsys Ris 30.95% 49.86% 44.03% 51.00% 91.77% 0.00% 21.61%
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RIL TATA SBI Infosys Biocon Nifty
RIL 1.00
TATA 0.52 1.00
SBI 0.64 0.61 1.00
Infosys 0.54 0.41 0.44 1.00
Biocon 0.25 0.19 0.19 0.24 1.00
Nifty 0.83 0.71 0.75 0.70 0.29 1.00
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!60.*$* I1.P15-1"RIL TAT A SBI Info sys B ioco n Nifty Portfo lio
AM 0.25% -0.25% 0.19% -0.12% 0.15% 0.07% 0.06%SD 1.62% 2.12% 2.46% 1.74% 2.54% 1.42% 1.39%
Variance 0.03% 0 .04% 0.06% 0.03% 0.06% 0.02% 0.02%
Co-efficient of Variation 6.56 -8.59 12.76 -14.50 16.53 19.72 24.62
Beta 0.95 1.06 1.30 0.86 0.51 1.00 0.87
RSQ 69% 50% 56% 49% 8% 100% 78%
Sys Risk 1.12% 1.07% 1.37% 0.85% 0.21% 1.42% 1.08%
Unsys Risk 0.50% 1.06% 1.08% 0.89% 2.33% 0.00% 0.30%
Weight 40.10% 12.41% 0.00% 31.10% 16.39% 100.00%
Mean Variance Ratio 9.470 -5.529 3.217 -3.985 2.406 3.613 2.928
Mean SD Ratio 0.152 -0.116 0.078 -0.069 0.060 0.051 0.041Percenatge of Sys Risk 69.05% 50.14% 55.97% 49.00% 8.23% 100.00% 78.23%
Percenatge of Unsys Ris 30.95% 49.86% 44.03% 51.00% 91.77% 0.00% 21.77%
RIL TATA SBI Infosys Biocon Nifty Portfolio
AM 0.25% -0.25% 0.19% -0.12% 0.15% 0.07% 0.25%
SD 1.62% 2.12% 2.46% 1.74% 2.54% 1.42% 1.62%
Variance 0.03% 0 .04% 0.06% 0.03% 0.06% 0.02% 0.03%
Co-efficient of Variation 6.56 -8.59 12.76 -14.50 16.53 19.72 6.56
Beta 0.95 1.06 1.30 0.86 0.51 1.00 0.95
RSQ 69% 50% 56% 49% 8% 100% 69%
Sys Risk 1.12% 1.07% 1.37% 0.85% 0.21% 1.42% 1.12%
Unsys Risk 0.50% 1.06% 1.08% 0.89% 2.33% 0.00% 0.50%
Weight 100.00% 0.00% 0.00% 0.00% 0.00% 100.00%
Mean Variance Ratio 9.470 -5.529 3.217 -3.985 2.406 3.613 9.392
Mean SD Ratio 0.152 -0.116 0.078 -0.069 0.060 0.051 0.152
Percenatge of Sys Risk 69.05% 50.14% 55.97% 49.00% 8.23% 100.00% 69.05%
Percenatge of Unsys Ris 30.95% 49.86% 44.03% 51.00% 91.77% 0.00% 30.95%
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Risk Free Rate Beta
Market
Return
Risk
Premium
Expected
Return
Actual
Return
Actual Return -
Expected Return
RIL 5.50% 0.95 19.64% 14.14% 18.98% 85.55% 66.57%
TATA 5.50% 1.06 19.64% 14.14% 20.53% -46.16% -66.69%
SBI 5.50% 1.30 19.64% 14.14% 23.86% 61.70% 37.84%
Infosys 5.50% 0.86 19.64% 14.14% 17.70% -25.98% -43.69%
Biocon 5.50% 0.51 19.64% 14.14% 12.77% 46.69% 33.93%
Nifty 5.50% 1.00 19.64% 14.14% 19.64% 19.64% 0.00%
Portfolio 5.50% 0.94 19.64% 14.14% 18.77% 11.94% -6.82%
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Return Risk Return Risk Market RF Return Risk
0.07% 1.42% 0.01% 0% 0% 100% 0.01% 0.00%
0.07% 1.42% 0.01% 0% 10% 90% 0.02% 0.14%
0.07% 1.42% 0.01% 0% 20% 80% 0.02% 0.28%
0.07% 1.42% 0.01% 0% 30% 70% 0.03% 0.42%
0.07% 1.42% 0.01% 0% 40% 60% 0.03% 0.57%
0.07% 1.42% 0.01% 0% 50% 50% 0.04% 0.71%
0.07% 1.42% 0.01% 0% 60% 40% 0.05% 0.85%
0.07% 1.42% 0.01% 0% 70% 30% 0.05% 0.99%
0.07% 1.42% 0.01% 0% 80% 20% 0.06% 1.13%
0.07% 1.42% 0.01% 0% 90% 10% 0.06% 1.27%
0.07% 1.42% 0.01% 0% 100% 0% 0.07% 1.42%
0.07% 1.42% 0.01% 0% 110% -10% 0.08% 1.56%
0.07% 1.42% 0.01% 0% 120% -20% 0.08% 1.70%
0.07% 1.42% 0.01% 0% 130% -30% 0.09% 1.84%
0.07% 1.42% 0.01% 0% 140% -40% 0.09% 1.98%
0.07% 1.42% 0.01% 0% 150% -50% 0.10% 2.12%
0.07% 1.42% 0.01% 0% 160% -60% 0.11% 2.26%
0.07% 1.42% 0.01% 0% 170% -70% 0.11% 2.41%
0.07% 1.42% 0.01% 0% 180% -80% 0.12% 2.55%
0.07% 1.42% 0.01% 0% 190% -90% 0.12% 2.69%
0.07% 1.42% 0.01% 0% 200% -100% 0.13% 2.83%
Market Risk Free Asset Weighted AssetWeights
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RIL TATA SBI Infosys Biocon Nifty Portfolio
SD 1.624% 2.124% 2.456% 1.745% 2.535% 1.415% 1.500%
Return 0.25% -0.25% 0.19% -0.12% 0.15% 0.07% 0.05%
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