4/12/2013

Analysis of
NIFTY

Angad Gandhi
WEALTHMANTRA, LKO

S&P

Acknowledgement:
I would like to wholeheartedly thank my microeconomics professor Mr Raj Prasad for being
the guiding light while conducting the analysis on the project. His valuable insights and
analysis skills helped me perform analysis of S&P Nifty (2012-2013).

Abstract:

A futures contract is a type of derivative instrument or financial contract in which two parties
agree to transact a set of financial instruments or physical commodities for future delivery at
a particular price. In other words, a future contract is a standardized agreement between the
seller (short position holder) of the contract and the buyer (long position holder), traded on a
futures exchange, to buy or sell a certain underlying instrument at a certain date in the future,
at a pre-set price. The future date is called the delivery date or final settlement date. The preset price is called the futures price. The price of the underlying asset on the delivery date is
called the settlement price.
Introduction to the INDEX:
The CNX Nifty is a well diversified 50 stock index accounting for 22 sectors of the economy.
It is used for a variety of purposes such as benchmarking fund portfolios, index based
derivatives and index funds.
CNX Nifty is owned and managed by India Index Services and Products Ltd. (IISL), which is
a joint venture between NSE and CRISIL. IISL is India's first specialised company focused
upon the index as a core product.
The CNX Nifty Index represents about 65.87% of the free float market capitalization
of the stocks listed on NSE as on December 31, 2012.
The total traded value for the last six months ending December 2012 of all index
constituents is approximately 50.23% of of the traded value of all stocks on the NSE.
Impact cost of the CNX Nifty for a portfolio size of Rs.50 lakhs is 0.06% for the
month December 2012.
CNX Nifty is professionally maintained and is ideal for derivatives trading.

INDEXING:
Indexing is an investment approach that seeks to match the investment returns of a
specified stock market benchmark, or Index. When Indexing, an investment manager
attempts to replicate the investment results of the target Index by holding all or in the case
of very large Indexes, a representative sample of the securities in the Index.

Method of Computation
CNX Nifty is computed using free float market capitalization weighted method, wherein the
level of the index reflects the total market value of all the stocks in the index relative to a
particular base period. The method also takes into account constituent changes in the index
and importantly corporate actions such as stock splits, rights, etc. without affecting the index
value.
Base Date and Value
The base period selected for CNX Nifty index is the close of prices on November 3, 1995,
which marks the completion of one year of operations of NSE's Capital Market Segment. The
base value of the index has been set at 1000 and a base capital of Rs.2.06 trillion.
Criteria for Selection of Constituent Stocks
The constituents and the criteria for the selection judge the effectiveness of the index.
Selection of the index set is based on the following criteria:
Liquidity (Impact Cost)
For inclusion in the index, the security should have traded at an average impact cost of 0.50%
or less during the last six months for 90% of the observations for a basket size of Rs. 2
Crores.
Impact cost is cost of executing a transaction in a security in proportion to the weightage of
its free float market capitalisation as against the index free float market capitalisation at any
point of time. This is the percentage mark-up suffered while buying / selling the desired
quantity of a security compared to its ideal price (best buy + best sell) / 2
Floating Stock
Companies eligible for inclusion in CNX Nifty should have at least 10% floating stock. For
this purpose, floating stock shall mean stocks which are not held by the promoters and
associated entities (where identifiable) of such companies.
Others
a) A company which comes out with a IPO will be eligible for inclusion in the index, if it
fulfils the normal eligibility criteria for the index like impact cost, market capitalisation and
floating stock, for a 3 month period instead of a 6 month period.
b) Replacement of Stock from the Index:
A stock may be replaced from an index for the following reasons:
i.
Compulsory changes like corporate actions, delisting etc. In such a scenario, the stock
having largest free float market capitalization and satisfying other requirements related to
liquidity, turnover and free float will be considered for inclusion.
ii.
When a better candidate is available in the replacement pool, which can replace the
index stock i.e. the stock with the highest free float market capitalization in the replacement
pool has at least twice the free float market capitalization of the index stock with the lowest
free float market capitalization.
With respect to (2) above, a maximum of 10% of the index size (number of stocks in the
index) may be changed in a calendar year. Changes carried out for (2) above are irrespective
of changes, if any, carried out for (1) above.
Trading in Nifty:
The National Stock Exchange of India Limited (NSE) commenced trading in derivatives with
index futures on June 12, 2000. The futures contracts on NSE are based on CNX Nifty. The
Exchange later introduced trading on index options based on Nifty on June 4, 2001.
The turnover in the derivatives segment has shown considerable growth in the last year, with
NSE turnover accounting for 60% of the total turnover in the year 2000-2001
RESEARCH METHODOLOGY

RESEARCH DESIGN:
The DESCRIPTIVE method of research used for the study portrays of performance of S&P
CNX NIFTY. Since descriptive research studies are concerned with describing the
characteristics of the particular individual, or of a group, the same is used for the study of
Performance S&P CNX NIFTY

METHOD OF DATA COLLECTION:

The data has been collected from various sources .The main source of data collection is done
by national stock exchange website and various books and journals.

TOOLS FOR ANALYSIS:

1. Absolute return
2. Standard deviation
3. Market capitalization method
4. Money flow ratio

ANALYSIS & INTERPRATATION

To determine the significance and meaning of S&P CNX NIFTY in future segment. It helps
to forecast the future earnings, consistency & volatility of a fund.
PRICE MOVEMENT OF S&P CNX NIFTY IN
FUTURE SEGMENT:
The price of the each day contract helps to identify the price moving trend of the S&P CNX
NIFTY in future segment. The price moving trend of S&P CNX NIFTY can viewed by using
the line charts.

ABSOLUTE RETURN:
Formulae
A.R = CURRENTCONTRACT

Formulae
A.R = CURRENT CONTRACT PRICE/ PREVIOUS CONTRACT PRICE
MEASURING THE VOLATILITY
BETWEEN 2010 AND 2011 CONTRACT
Standard deviation is the best measure of dispersion. It is also known as Mean square
Deviation.

STANDARD DEVIATION =

MONEY FLOW RATIO OF S&P CNX NIFTY

FUTURE CONTRACT.
A momentum indicator that is used to determine the conviction in a current trend by
analysing the price and volume of a given security. The MFI is used as a measure of the
strength of money going in and out of a security and can be used to predict a trend reversal

Typical Price = (High + Low + Close) / 3

Money Flow = Typical price * Volume
Money Ratio = Positive Money Flow/Negative Money
Flow
Money Flow Index = 110 - (110/ (1 + Money Ratio))

MEASURING THE WEIGHTAGE OF INDIVIDUAL SECURITY IN S&P CNX

NIFTY CONTRACT

The share which are listed out under the S&P CNX NIFTY has a individual market weight
age .The weight age of individual share can be measured by using The total market cap of a
company or the market capitalisation is the product of market price and the total number of
outstanding shares of the company.

MARKET CAPITALISATION =
OUTSTANDING EQUITY CAPITAL * PRICE INDIVIDUAL SHARE

CALCULATION:
SHOWING ABSOLUTE RETURN OF S&P NIFTY FROM 1ST APR 20122ND APR 2013:

date

financial year 2012

financial year 2011

absolute return

absolute return *100

02-Apr-12

5317.9

5826.05

0.912779671

91.27796706

03-Apr-12

5358.5

5908.45

0.906921443

90.6921443

04-Apr-12

5322.9

5910.05

0.900652279

90.06522787

09-Apr-12

5234.4

5891.75

0.888428735

88.84287351

10-Apr-12

5243.6

5885.7

0.890905075

89.0905075

11-Apr-12

5226.85

5842

0.894702157

89.47021568

12-Apr-12

5276.85

5785.7

0.9120504

91.20504001

13-Apr-12

5207.45

5911.5

0.880901632

88.09016324

16-Apr-12

5226.2

5824.55

0.897271034

89.72710338

17-Apr-12

5289.7

5729.1

0.923303835

92.33038348

18-Apr-12

5300

5740.75

0.923224317

92.32243174

19-Apr-12

5332.4

5851.65

0.911264344

91.12643442

20-Apr-12

5290.85

5884.7

0.899085765

89.90857648

23-Apr-12

5200.6

5874.5

0.885283854

88.52838539

24-Apr-12

5222.65

5868.4

0.889961489

88.99614887

25-Apr-12

5202

5833.9

0.891684808

89.16848078

26-Apr-12

5189

5785.45

0.896905167

89.69051673

27-Apr-12

5190.6

5749.5

0.902791547

90.27915471

28-Apr-12

5209

5701.3

0.913651273

91.36512725

30-Apr-12

5248.15

5565.25

0.943021428

94.30214276

02-May-12

5239.15

5537.15

0.9461817

94.61817

03-May-12

5188.4

5459.85

0.950282517

95.02825169

04-May-12

5086.85

5551.45

0.916310153

91.63101532

07-May-12

5114.15

5551.1

0.921285871

92.12858713

08-May-12

4999.95

5541.25

0.90231446

90.23144597

09-May-12

4974.8

5565.05

0.893936263

89.39362629

10-May-12

4965.7

5486.15

0.905133837

90.5133837

11-May-12

4928.9

5544.75

0.888930971

88.89309707

14-May-12

4907.8

5499

0.892489544

89.24895436

15-May-12

4942.8

5438.95

0.908778349

90.87783488

16-May-12

4858.25

5420.6

0.896256872

89.62568719

17-May-12

4870.2

5428.1

0.897220022

89.72200217

18-May-12

4891.45

5486.35

0.891567253

89.15672533

21-May-12

4906.05

5386.55

0.910796335

91.07963353

22-May-12

4860.5

5394.85

0.900951834

90.09518337

23-May-12

4835.65

5348.95

0.904037241

90.4037241

24-May-12

4921.4

5412.35

0.909290789

90.92907887

25-May-12

4920.4

5476.1

0.898522671

89.85226712

28-May-12

4985.65

5473.1

0.910937129

91.09371289

29-May-12

4990.1

5560.15

0.897475788

89.74757875

30-May-12

4950.75

5592

0.885327253

88.53272532

31-May-12

4924.25

5550.35

0.887196303

88.71963029

01-Jun-12

4841.6

5516.75

0.877618163

87.76181629

04-Jun-12

4848.15

5532.05

0.876374942

87.63749424

05-Jun-12

4863.3

5556.15

0.875300343

87.53003429

06-Jun-12

4997.1

5526.85

0.904149742

90.41497417

07-Jun-12

5049.65

5521.05

0.91461769

91.46176905

08-Jun-12

5068.35

5485.8

0.923903533

92.39035328

11-Jun-12

5054.1

5482.8

0.921810024

92.18100241

12-Jun-12

5115.9

5500.5

0.930079084

93.00790837

13-Jun-12

5121.45

5447.5

0.940146856

94.01468564

14-Jun-12

5054.75

5396.75

0.936628526

93.66285264

15-Jun-12

5139.05

5366.4

0.957634541

95.76345408

18-Jun-12

5064.25

5257.9

0.963169707

96.31697065

19-Jun-12

5103.85

5275.85

0.967398618

96.73986182

20-Jun-12

5120.55

5278.3

0.970113484

97.01134835

21-Jun-12

5165

5320

0.970864662

97.08646617

22-Jun-12

5146.05

5471.25

0.940562029

94.05620288

25-Jun-12

5114.65

5526.6

0.9254605

92.54605001

26-Jun-12

5120.8

5545.3

0.923448686

92.34486863

27-Jun-12

5141.9

5600.45

0.918122651

91.81226509

28-Jun-12

5149.15

5647.4

0.91177356

91.17735595

29-Jun-12

5278.9

5627.2

0.938104208

93.81042081

02-Jul-12

5278.6

5650.5

0.934182816

93.41828157

03-Jul-12

5287.95

5632.1

0.938894906

93.8894906

04-Jul-12

5302.55

5625.45

0.942600148

94.26001475

05-Jul-12

5327.3

5728.95

0.929891167

92.98911668

06-Jul-12

5316.95

5660.65

0.939282591

93.92825912

09-Jul-12

5275.15

5616.1

0.939290611

93.92906109

10-Jul-12

5345.35

5526.15

0.967282828

96.7282828

11-Jul-12

5306.3

5585.45

0.950021932

95.0021932

12-Jul-12

5235.25

5599.8

0.934899461

93.48994607

13-Jul-12

5227.25

5581.1

0.93659852

93.659852

16-Jul-12

5197.25

5567.05

0.933573437

93.35734366

17-Jul-12

5192.85

5613.55

0.925056337

92.50563369

18-Jul-12

5216.3

5567.05

0.936995357

93.69953566

19-Jul-12

5242.7

5541.6

0.946062509

94.6062509

20-Jul-12

5205.1

5633.95

0.923881114

92.38811136

23-Jul-12

5117.95

5680.3

0.900999947

90.09999472

24-Jul-12

5128.2

5574.85

0.919881252

91.98812524

25-Jul-12

5109.6

5546.8

0.921179779

92.11797793

26-Jul-12

5043

5487.75

0.918955856

91.89558562

27-Jul-12

5099.85

5482

0.93029004

93.02900401

30-Jul-12

5199.8

5516.8

0.942539153

94.25391531

31-Jul-12

5229

5456.55

0.958297826

95.82978255

01-Aug-12

5240.5

5404.8

0.969601095

96.96010953

02-Aug-12

5227.75

5331.8

0.980485014

98.04850144

03-Aug-12

5215.7

5211.25

1.000853922

100.0853922

06-Aug-12

5282.55

5118.5

1.032050405

103.2050405

07-Aug-12

5336.7

5072.85

1.052012183

105.2012183

08-Aug-12

5338

5161

1.034295679

103.4295679

09-Aug-12

5322.95

5138.3

1.03593601

103.593601

10-Aug-12

5320.4

5072.95

1.048778324

104.8778324

13-Aug-12

5347.9

5035.8

1.06197625

106.197625

14-Aug-12

5380.35

5056.6

1.064025234

106.4025234

16-Aug-12

5362.95

4944.15

1.084706168

108.4706168

17-Aug-12

5366.3

4845.65

1.107446885

110.7446885

21-Aug-12

5421

4898.8

1.106597534

110.6597534

22-Aug-12

5412.85

4948.9

1.093748106

109.3748106

23-Aug-12

5415.35

4888.9

1.10768271

110.768271

24-Aug-12

5386.7

4839.6

1.113046533

111.3046533

27-Aug-12

5350.25

4747.8

1.126890349

112.6890349

28-Aug-12

5334.6

4919.6

1.084356452

108.4356452

29-Aug-12

5287.8

5001

1.05734853

105.734853

30-Aug-12

5315.05

5040

1.054573413

105.4573413

31-Aug-12

5258.5

5017.2

1.048094555

104.8094555

03-Sep-12

5253.75

5064.3

1.037408921

103.7408921

04-Sep-12

5274

5124.65

1.029143454

102.9143454

05-Sep-12

5225.7

5153.25

1.014059089

101.4059089

06-Sep-12

5238.4

5059.45

1.035369457

103.5369457

07-Sep-12

5342.1

4946.8

1.079910245

107.9910245

08-Sep-12

5358.7

4940.95

1.084548518

108.4548518

10-Sep-12

5363.45

5012.55

1.070004289

107.0004289

11-Sep-12

5390

5075.7

1.061922493

106.1922493

12-Sep-12

5431

5084.25

1.068200816

106.8200816

13-Sep-12

5435.35

5031.95

1.080167728

108.0167728

14-Sep-12

5577.65

5140.2

1.085103692

108.5103692

17-Sep-12

5610

5133.25

1.092874884

109.2874884

18-Sep-12

5600.05

4923.65

1.137377758

113.7377758

20-Sep-12

5554.25

4867.75

1.14103025

114.103025

21-Sep-12

5691.15

4835.4

1.176976052

117.6976052

24-Sep-12

5669.6

4971.25

1.140477747

114.0477747

25-Sep-12

5673.9

4945.9

1.147192624

114.7192624

26-Sep-12

5663.45

5015.45

1.12920077

112.920077

27-Sep-12

5649.5

4943.25

1.142871593

114.2871593

28-Sep-12

5703.3

4849.5

1.176059388

117.6059388

01-Oct-12

5718.8

4772.15

1.198369708

119.8369708

03-Oct-12

5731.25

4751.3

1.206248816

120.6248816

04-Oct-12

5787.6

4888.05

1.184030442

118.4030442

05-Oct-12

5746.95

4979.6

1.154098723

115.4098723

08-Oct-12

5676

4974.35

1.141053605

114.1053605

09-Oct-12

5704.6

5099.4

1.118680629

111.8680629

10-Oct-12

5652.15

5077.85

1.113099048

111.3099048

11-Oct-12

5708.05

5132.3

1.112181673

111.2181673

12-Oct-12

5676.05

5118.25

1.108982562

110.8982562

15-Oct-12

5687.25

5037.5

1.12898263

112.898263

16-Oct-12

5648

5139.15

1.099014428

109.9014428

17-Oct-12

5660.25

5091.9

1.111618453

111.1618453

18-Oct-12

5718.7

5049.95

1.132427054

113.2427054

19-Oct-12

5684.25

5098.35

1.114919533

111.4919533

22-Oct-12

5717.15

5191.6

1.101230834

110.1230834

23-Oct-12

5691.4

5201.8

1.094121266

109.4121266

25-Oct-12

5705.3

5360.7

1.06428265

106.428265

26-Oct-12

5664.3

5326.6

1.063398791

106.3398791

29-Oct-12

5665.6

5257.95

1.077530216

107.7530216

30-Oct-12

5597.9

5258.45

1.064553243

106.4553243

31-Oct-12

5619.7

5265.75

1.067217395

106.7217395

01-Nov-12

5645.05

5284.2

1.068288483

106.8288483

02-Nov-12

5697.7

5289.35

1.077202303

107.7202303

05-Nov-12

5704.2

5221.05

1.092538857

109.2538857

06-Nov-12

5724.4

5168.85

1.107480387

110.7480387

07-Nov-12

5760.1

5148.35

1.118824478

111.8824478

08-Nov-12

5738.75

5068.5

1.132238335

113.2238335

09-Nov-12

5686.25

5030.45

1.130366071

113.0366071

12-Nov-12

5683.7

4934.75

1.151770606

115.1770606

13-Nov-12

5666.95

4905.8

1.155153084

115.5153084

15-Nov-12

5631

4778.35

1.178440257

117.8440257

16-Nov-12

5574.05

4812.35

1.158280258

115.8280258

19-Nov-12

5571.4

4706.45

1.183779707

118.3779707

20-Nov-12

5571.55

4756.45

1.171367301

117.1367301

21-Nov-12

5614.8

4710.05

1.192089256

119.2089256

22-Nov-12

5627.75

4851.3

1.160049884

116.0049884

23-Nov-12

5626.6

4805.1

1.170964184

117.0964184

26-Nov-12

5635.9

4832.05

1.166357964

116.6357964

27-Nov-12

5727.45

4936.85

1.160142601

116.0142601

29-Nov-12

5825

5050.15

1.153431086

115.3431086

30-Nov-12

5879.85

5039.15

1.166833692

116.6833692

03-Dec-12

5870.95

5062.6

1.15967092

115.967092

04-Dec-12

5889.25

4943.65

1.191275677

119.1275677

05-Dec-12

5900.5

4866.7

1.212423203

121.2423203

06-Dec-12

5930.9

4764.6

1.244784452

124.4784452

07-Dec-12

5907.4

4800.6

1.230554514

123.0554514

10-Dec-12

5908.9

4763.25

1.240518554

124.0518554

11-Dec-12

5898.8

4746.35

1.242807631

124.2807631

12-Dec-12

5888

4651.6

1.265801015

126.5801015

13-Dec-12

5851.5

4613.1

1.268452884

126.8452884

14-Dec-12

5879.6

4544.2

1.293869108

129.3869108

17-Dec-12

5857.9

4693.15

1.248180859

124.8180859

18-Dec-12

5896.8

4733.85

1.245666846

124.5666846

19-Dec-12

5929.6

4714

1.257870174

125.7870174

20-Dec-12

5916.4

4779

1.237999582

123.7999582

21-Dec-12

5847.7

4750.5

1.230965162

123.0965162

24-Dec-12

5855.75

4705.8

1.244368651

124.4368651

26-Dec-12

5905.6

4646.25

1.271046543

127.1046543

27-Dec-12

5870.1

4624.3

1.269402937

126.9402937

28-Dec-12

5908.35

4636.75

1.274243813

127.4243813

31-Dec-12

5905.1

4765.3

1.239187459

123.9187459

01-Jan-13

5950.85

4749.65

1.252902845

125.2902845

02-Jan-13

5993.25

4749.95

1.261750124

126.1750124

03-Jan-13

6009.5

4754.1

1.264066805

126.4066805

04-Jan-13

6016.15

4746.9

1.26738503

126.738503

07-Jan-13

5988.4

4742.8

1.26262967

126.262967

08-Jan-13

6001.7

4849.55

1.237578744

123.7578744

09-Jan-13

5971.5

4860.95

1.228463572

122.8463572

10-Jan-13

5968.65

4831.25

1.235425614

123.5425614

11-Jan-13

5951.3

4866

1.223037402

122.3037402

14-Jan-13

6024.05

4873.9

1.235981452

123.5981452

15-Jan-13

6056.6

4967.3

1.219294184

121.9294184

16-Jan-13

6001.85

4955.8

1.211075911

121.1075911

17-Jan-13

6039.2

5018.4

1.203411446

120.3411446

18-Jan-13

6064.4

5048.6

1.201204294

120.1204294

21-Jan-13

6082.3

5046.25

1.205310874

120.5310874

22-Jan-13

6048.5

5127.35

1.179654207

117.9654207

23-Jan-13

6054.3

5158.3

1.173700638

117.3700638

24-Jan-13

6019.35

5204.7

1.15652199

115.652199

25-Jan-13

6074.65

5087.3

1.19408134

119.408134

28-Jan-13

6074.8

5199.25

1.168399288

116.8399288

29-Jan-13

6049.9

5235.7

1.155509292

115.5509292

30-Jan-13

6055.75

5269.9

1.149120477

114.9120477

31-Jan-13

6034.75

5325.85

1.133105514

113.3105514

01-Feb-13

5998.9

5361.65

1.118853338

111.8853338

04-Feb-13

5987.25

5335.15

1.122227116

112.2227116

05-Feb-13

5956.9

5368.15

1.109674655

110.9674655

06-Feb-13

5959.2

5412.35

1.101037442

110.1037442

07-Feb-13

5938.8

5381.6

1.103537981

110.3537981

08-Feb-13

5903.5

5390.2

1.095228377

109.5228377

11-Feb-13

5897.85

5416.05

1.08895782

108.895782

12-Feb-13

5922.5

5531.95

1.070598975

107.0598975

13-Feb-13

5932.95

5521.95

1.074430228

107.4430228

14-Feb-13

5896.95

5564.3

1.059782902

105.9782902

15-Feb-13

5887.4

5607.15

1.049980828

104.9980828

18-Feb-13

5898.2

5505.35

1.071357861

107.1357861

19-Feb-13

5939.7

5483.3

1.083234549

108.3234549

20-Feb-13

5943.05

5429.3

1.094625458

109.4625458

21-Feb-13

5852.25

5281.2

1.108128834

110.8128834

22-Feb-13

5850.3

5375.5

1.088326667

108.8326667

25-Feb-13

5854.75

5385.2

1.087192676

108.7192676

26-Feb-13

5761.35

5339.75

1.078955007

107.8955007

27-Feb-13

5796.9

5359.35

1.081642363

108.1642363

28-Feb-13

5693.05

5359.4

1.062255103

106.2255103

01-Mar-13

5719.7

5280.35

1.083204712

108.3204712

04-Mar-13

5698.5

5222.4

1.091164982

109.1164982

05-Mar-13

5784.25

5220.45

1.107998353

110.7998353

06-Mar-13

5818.6

5333.55

1.09094318

109.094318

07-Mar-13

5863.3

5359.55

1.0939911

109.39911

08-Mar-13

5945.7

5429.5

1.095073211

109.5073211

11-Mar-13

5942.35

5463.9

1.087565658

108.7565658

12-Mar-13

5914.1

5380.5

1.099172939

109.9172939

13-Mar-13

5851.2

5317.9

1.100283947

110.0283947

14-Mar-13

5908.95

5257.05

1.124004908

112.4004908

15-Mar-13

5872.6

5274.85

1.113320758

111.3320758

18-Mar-13

5835.25

5364.95

1.087661581

108.7661581

19-Mar-13

5745.95

5228.45

1.098977708

109.8977708

20-Mar-13

5694.4

5278.2

1.078852639

107.8852639

21-Mar-13

5658.75

5184.25

1.091527222

109.1527222

22-Mar-13

5651.35

5243.15

1.077853962

107.7853962

25-Mar-13

5633.85

5194.75

1.084527648

108.4527648

26-Mar-13

5641.6

5178.85

1.089353814

108.9353814

28-Mar-13

5682.55

5295.55

1.073080228

107.3080228

01-Apr-13

5704.4

5317.9

1.072679065

107.2679065

INTERPRETATION
The Above Table Clearly shows that the January month has the return of 1.23
.The highest value of contract is 6036 and the lowest value is 5962.

STANDARD DEVIATION IN ABSOLUTE RETURN

Date
01-Apr-11
04-Apr-11
05-Apr-11
06-Apr-11
07-Apr-11
08-Apr-11
11-Apr-11
13-Apr-11
15-Apr-11
18-Apr-11
19-Apr-11
20-Apr-11
21-Apr-11
25-Apr-11
26-Apr-11
27-Apr-11
28-Apr-11
29-Apr-11
02-May-11
03-May-11
04-May-11
05-May-11
06-May-11
09-May-11
10-May-11
11-May-11
12-May-11
13-May-11
16-May-11
17-May-11
18-May-11
19-May-11
20-May-11
23-May-11
24-May-11
25-May-11
26-May-11
27-May-11
30-May-11
31-May-11
01-Jun-11

2012
5317.9
5358.5
5322.9
5234.4
5243.6
5226.85
5276.85
5207.45
5226.2
5289.7
5300
5332.4
5290.85
5200.6
5222.65
5202
5189
5190.6
5209
5248.15
5239.15
5188.4
5086.85
5114.15
4999.95
4974.8
4965.7
4928.9
4907.8
4942.8
4858.25
4870.2
4891.45
4906.05
4860.5
4835.65
4921.4
4920.4
4985.65
4990.1
4950.75

2011 mf
5826.05
5908.45
5910.05
5891.75
5885.7
5842
5785.7
5911.5
5824.55
5729.1
5740.75
5851.65
5884.7
5874.5
5868.4
5833.9
5785.45
5749.5
5701.3
5565.25
5537.15
5459.85
5551.45
5551.1
5541.25
5565.05
5486.15
5544.75
5499
5438.95
5420.6
5428.1
5486.35
5386.55
5394.85
5348.95
5412.35
5476.1
5473.1
5560.15
5592

0.91278
0.906921
0.900652
0.888429
0.890905
0.894702
0.91205
0.880902
0.897271
0.923304
0.923224
0.911264
0.899086
0.885284
0.889961
0.891685
0.896905
0.902792
0.913651
0.943021
0.946182
0.950283
0.91631
0.921286
0.902314
0.893936
0.905134
0.888931
0.89249
0.908778
0.896257
0.89722
0.891567
0.910796
0.900952
0.904037
0.909291
0.898523
0.910937
0.897476
0.885327

02-Jun-11
03-Jun-11
06-Jun-11
07-Jun-11
08-Jun-11
09-Jun-11
10-Jun-11
13-Jun-11
14-Jun-11
15-Jun-11
16-Jun-11
17-Jun-11
20-Jun-11
21-Jun-11
22-Jun-11
23-Jun-11
24-Jun-11
27-Jun-11
28-Jun-11
29-Jun-11
30-Jun-11
01-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
08-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11

4924.25
4841.6
4848.15
4863.3
4997.1
5049.65
5068.35
5054.1
5115.9
5121.45
5054.75
5139.05
5064.25
5103.85
5120.55
5165
5146.05
5114.65
5120.8
5141.9
5149.15
5278.9
5278.6
5287.95
5302.55
5327.3
5316.95
5275.15
5345.35
5306.3
5235.25
5227.25
5197.25
5192.85
5216.3
5242.7
5205.1
5117.95
5128.2
5109.6
5043
5099.85
5199.8
5229
5240.5
5227.75

5550.35
5516.75
5532.05
5556.15
5526.85
5521.05
5485.8
5482.8
5500.5
5447.5
5396.75
5366.4
5257.9
5275.85
5278.3
5320
5471.25
5526.6
5545.3
5600.45
5647.4
5627.2
5650.5
5632.1
5625.45
5728.95
5660.65
5616.1
5526.15
5585.45
5599.8
5581.1
5567.05
5613.55
5567.05
5541.6
5633.95
5680.3
5574.85
5546.8
5487.75
5482
5516.8
5456.55
5404.8
5331.8

0.887196
0.877618
0.876375
0.8753
0.90415
0.914618
0.923904
0.92181
0.930079
0.940147
0.936629
0.957635
0.96317
0.967399
0.970113
0.970865
0.940562
0.925461
0.923449
0.918123
0.911774
0.938104
0.934183
0.938895
0.9426
0.929891
0.939283
0.939291
0.967283
0.950022
0.934899
0.936599
0.933573
0.925056
0.936995
0.946063
0.923881
0.901
0.919881
0.92118
0.918956
0.93029
0.942539
0.958298
0.969601
0.980485

05-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
26-Aug-11
29-Aug-11
30-Aug-11
02-Sep-11
05-Sep-11
06-Sep-11
07-Sep-11
08-Sep-11
09-Sep-11
12-Sep-11
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
19-Sep-11
20-Sep-11
21-Sep-11
22-Sep-11
23-Sep-11
26-Sep-11
27-Sep-11
28-Sep-11
29-Sep-11
30-Sep-11
03-Oct-11
04-Oct-11
05-Oct-11
07-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11

5215.7
5282.55
5336.7
5338
5322.95
5320.4
5347.9
5380.35
5362.95
5366.3
5421
5412.85
5415.35
5386.7
5350.25
5334.6
5287.8
5315.05
5258.5
5253.75
5274
5225.7
5238.4
5342.1
5358.7
5363.45
5390
5431
5435.35
5577.65
5610
5600.05
5554.25
5691.15
5669.6
5673.9
5663.45
5649.5
5703.3
5718.8
5731.25
5787.6
5746.95
5676
5704.6
5652.15

5211.25
5118.5
5072.85
5161
5138.3
5072.95
5035.8
5056.6
4944.15
4845.65
4898.8
4948.9
4888.9
4839.6
4747.8
4919.6
5001
5040
5017.2
5064.3
5124.65
5153.25
5059.45
4946.8
4940.95
5012.55
5075.7
5084.25
5031.95
5140.2
5133.25
4923.65
4867.75
4835.4
4971.25
4945.9
5015.45
4943.25
4849.5
4772.15
4751.3
4888.05
4979.6
4974.35
5099.4
5077.85

1.000854
1.03205
1.052012
1.034296
1.035936
1.048778
1.061976
1.064025
1.084706
1.107447
1.106598
1.093748
1.107683
1.113047
1.12689
1.084356
1.057349
1.054573
1.048095
1.037409
1.029143
1.014059
1.035369
1.07991
1.084549
1.070004
1.061922
1.068201
1.080168
1.085104
1.092875
1.137378
1.14103
1.176976
1.140478
1.147193
1.129201
1.142872
1.176059
1.19837
1.206249
1.18403
1.154099
1.141054
1.118681
1.113099

14-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
28-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
08-Nov-11
09-Nov-11
11-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec-11
02-Dec-11
05-Dec-11
07-Dec-11
08-Dec-11
09-Dec-11
12-Dec-11
13-Dec-11
14-Dec-11
15-Dec-11
16-Dec-11
19-Dec-11
20-Dec-11
21-Dec-11
22-Dec-11

5708.05
5676.05
5687.25
5648
5660.25
5718.7
5684.25
5717.15
5691.4
5705.3
5664.3
5665.6
5597.9
5619.7
5645.05
5697.7
5704.2
5724.4
5760.1
5738.75
5686.25
5683.7
5666.95
5631
5574.05
5571.4
5571.55
5614.8
5627.75
5626.6
5635.9
5727.45
5825
5879.85
5870.95
5889.25
5900.5
5930.9
5907.4
5908.9
5898.8
5888
5851.5
5879.6
5857.9
5896.8

5132.3
5118.25
5037.5
5139.15
5091.9
5049.95
5098.35
5191.6
5201.8
5360.7
5326.6
5257.95
5258.45
5265.75
5284.2
5289.35
5221.05
5168.85
5148.35
5068.5
5030.45
4934.75
4905.8
4778.35
4812.35
4706.45
4756.45
4710.05
4851.3
4805.1
4832.05
4936.85
5050.15
5039.15
5062.6
4943.65
4866.7
4764.6
4800.6
4763.25
4746.35
4651.6
4613.1
4544.2
4693.15
4733.85

1.112182
1.108983
1.128983
1.099014
1.111618
1.132427
1.11492
1.101231
1.094121
1.064283
1.063399
1.07753
1.064553
1.067217
1.068288
1.077202
1.092539
1.10748
1.118824
1.132238
1.130366
1.151771
1.155153
1.17844
1.15828
1.18378
1.171367
1.192089
1.16005
1.170964
1.166358
1.160143
1.153431
1.166834
1.159671
1.191276
1.212423
1.244784
1.230555
1.240519
1.242808
1.265801
1.268453
1.293869
1.248181
1.245667

23-Dec-11
26-Dec-11
27-Dec-11
28-Dec-11
29-Dec-11
30-Dec-11
02-Jan-12
03-Jan-12
04-Jan-12
05-Jan-12
06-Jan-12
07-Jan-12
09-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
01-Feb-12
02-Feb-12
03-Feb-12
06-Feb-12
07-Feb-12
08-Feb-12
09-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
21-Feb-12
22-Feb-12
23-Feb-12
24-Feb-12
27-Feb-12

5929.6
5916.4
5847.7
5855.75
5905.6
5870.1
5908.35
5905.1
5950.85
5993.25
6009.5
6016.15
5988.4
6001.7
5971.5
5968.65
5951.3
6024.05
6056.6
6001.85
6039.2
6064.4
6082.3
6048.5
6054.3
6019.35
6074.65
6074.8
6049.9
6055.75
6034.75
5998.9
5987.25
5956.9
5959.2
5938.8
5903.5
5897.85
5922.5
5932.95
5896.95
5887.4
5898.2
5939.7
5943.05
5852.25

4714
4779
4750.5
4705.8
4646.25
4624.3
4636.75
4765.3
4749.65
4749.95
4754.1
4746.9
4742.8
4849.55
4860.95
4831.25
4866
4873.9
4967.3
4955.8
5018.4
5048.6
5046.25
5127.35
5158.3
5204.7
5087.3
5199.25
5235.7
5269.9
5325.85
5361.65
5335.15
5368.15
5412.35
5381.6
5390.2
5416.05
5531.95
5521.95
5564.3
5607.15
5505.35
5483.3
5429.3
5281.2

1.25787
1.238
1.230965
1.244369
1.271047
1.269403
1.274244
1.239187
1.252903
1.26175
1.264067
1.267385
1.26263
1.237579
1.228464
1.235426
1.223037
1.235981
1.219294
1.211076
1.203411
1.201204
1.205311
1.179654
1.173701
1.156522
1.194081
1.168399
1.155509
1.14912
1.133106
1.118853
1.122227
1.109675
1.101037
1.103538
1.095228
1.088958
1.070599
1.07443
1.059783
1.049981
1.071358
1.083235
1.094625
1.108129

28-Feb-12
29-Feb-12
01-Mar-12
02-Mar-12
03-Mar-12
05-Mar-12
06-Mar-12
07-Mar-12
09-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12
16-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
23-Mar-12
26-Mar-12
27-Mar-12
28-Mar-12
29-Mar-12
30-Mar-12
02-Apr-12

5850.3
5854.75
5761.35
5796.9
5693.05
5719.7
5698.5
5784.25
5818.6
5863.3
5945.7
5942.35
5914.1
5851.2
5908.95
5872.6
5835.25
5745.95
5694.4
5658.75
5651.35
5633.85
5641.6
5682.55
5704.4

5375.5
5385.2
5339.75
5359.35
5359.4
5280.35
5222.4
5220.45
5333.55
5359.55
5429.5
5463.9
5380.5
5317.9
5257.05
5274.85
5364.95
5228.45
5278.2
5184.25
5243.15
5194.75
5178.85
5295.55
5317.9

Standard Deviation in
Absolute Returns=

1.088327
1.087193
1.078955
1.081642
1.062255
1.083205
1.091165
1.107998
1.090943
1.093991
1.095073
1.087566
1.099173
1.100284
1.124005
1.113321
1.087662
1.098978
1.078853
1.091527
1.077854
1.084528
1.089354
1.07308
1.072679

0.117079

This tells us that the 1 year average return deviates 0.1170

from the average vale of returns.

Market capitalization value of various stocks in S&P

Nifty:

(The market capitalization is given in accordance with 1st April 2013)

Stock Name

CMP

ITC LTD
RELIANCE
INDUSTRIES LTD
INFOSYS LIMITED
ICICI BANK LTD.
HDFC BANK LTD
HDFC LTD

Weightage

Value in Nifty

262.1

8.46

453.99

816.1

8.08

433.60

2351.05
962.15
595.1
713.3

6.75
6.61
6.43
6.39

362.23
354.71
345.05
342.91

These are the top 6 stocks of Nifty.

The combined weightage of these 6 stocks is 42.72% in the Nifty.
The last 6 stocks of Nifty

Stock Name

CMP

Weightage

Value in Nifty

516.15

0.47

25.22

209

0.45

24.15

SESA GOA LTD

RELIANCE INFRASTRUCTU LTD

187.1
510.5

0.43
0.41

23.08
22.00

SIEMENS LTD
STEEL AUTHORITY OF INDIA

658.5
83.15

0.33
0.29

17.71
15.56

RANBAXY LABS LTD

DLF LIMITED

ITC has maximum weightage in NIFTY OF 8.47%.

FINDINGS:

The overall absolute return in Nifty in year 2012 has decreased in comparison to the
year 2011.

The weightage of stocks and its calculation is dependent on the market performance
of the stock. E.g. The stock value of reliance has decreased from 12-14 % to 8%
current value due to fall in prices.

The year 2012 proved to be a slow year for the economy since the GDP (overall)
decreased. This can be seen by the apparent decrease in the absolute returns.

CONCLUSION
The movement of nifty and also the fundamental economic factors which are
affected the movement of nifty. The financial industry revolves around the
internet and it makes trading more convenient. But there are still investors who
prefer the old fashion of offline trading and mainly because of security reason.
Derivative market is one of the emerging markets in India where the equity
share prices of different companies are fluctuating each and every day and its s
very uncertain to determine profitable of S&P CNX NIFTY contracts for future.
Nowadays there are various avenues available for investment based on the risk
as well as return, Thus the Investors having chance to invest according to their
Convenience which is fluctuating less and increasing gradually in the market.