From the macro to the book.
How each holding, each sector and the whole portfolio have moved with the market, crude, the rupee, global rates and volatility. Then a what-if panel to size a regime change.
Apply a shock to every factor · estimated one-month impact from the betas
- Nifty 500+0.00%
- Brent crude−0.04%
- USD/INR+1.82%
- US 10-year yield−0.33%
- India VIX+0.00%
Linear, one-month, from historical betas. It tells you the direction and rough size the book has shown in the past, not what will happen.
Sector betas · Brent crude
- Media · 1.5% · 1 names+0.4
- Automobile · 4.5% · 3 names+0.3
- NBFC · 7.0% · 2 names+0
- HealthCare · 6.2% · 5 names+0
- Banking · 21.1% · 5 names+0
- Info Tech · 5.3% · 3 names+0
- Building Materials · 5.2% · 2 names+0
- Industrials · 4.0% · 3 names-0
- Chemicals · 1.5% · 2 names-0
- Telecom · 4.0% · 1 names-0.1
- Insurance · 7.1% · 3 names-0.1
- FMCG · 9.4% · 4 names-0.2
- Misc · 2.7% · 1 names-0.2
- Retail · 2.5% · 2 names-0.2
Brent front-month future in US dollars.
Most exposed to Brent crude · beta, with the estimate's reliability
- PVR Inox · t +2.9 · 1.5%+0.4
- Bajaj Auto · t +3.1 · 1.6%+0.3
- Ramkrishna Forgings · t +1.6 · 2.1%+0.3
- Kaynes Technology India · t +0.7 · 2.4%+0.2
- Infosys · t +1.7 · 0.7%+0.2
- State Bank of India · t +1.9 · 4.0%+0.2
- Glenmark Pharmaceuticals · t +0.8 · 2.4%+0.1
- Varroc Engineering · t +0.5 · 0.8%+0.1
- UltraTech Cement · t +1.1 · 2.8%+0.1
- ICICI Bank · t +1.0 · 7.0%+0.1
- Trent · t −2.0 · 3.1%-0.3
- Campus Activewear · t −1.6 · 1.2%-0.3
- IDFC First Bank · t −2.2 · 2.3%-0.3
- One 97 Communications · t −0.7 · 2.2%-0.2
- Varun Beverages · t −1.3 · 1.0%-0.2
- InterGlobe Aviation · t −1.6 · 2.7%-0.2
- Hindustan Unilever · t −1.6 · 3.3%-0.1
- Dr Reddy's Laboratories · t −1.3 · 0.7%-0.1
- Max Financial Services · t −0.9 · 2.9%-0.1
- Dilip Buildcon · t −0.6 · 0.6%-0.1
|t| above 2 marks a beta that is unlikely to be noise; most macro betas on single stocks are not, which is itself information: the book is driven by the market and by stock-specific factors more than by crude or the rupee.
Every holding · betas, market beta, fit
| Company | Weight ↓ | Market β (univariate) | Nifty 500 | Brent crude | USD/INR | US 10-year yield | India VIX | R² | Months | Shock impact |
|---|---|---|---|---|---|---|---|---|---|---|
| ICICI Bank Banking | 7.0% | +1.06 | +1.05* | +0.07 | +0.28 | −0.02 | −0.01 | 0.46 | 44 | +0.7% |
| Axis Bank Banking | 6.0% | +0.68 | +0.81* | +0.04 | +0.84 | +0.01 | +0.01 | 0.15 | 44 | +3.5% |
| State Bank of India Banking | 4.0% | +1.06 | +1.23* | +0.19 | +0.70 | −0.00 | +0.05 | 0.37 | 44 | +3.8% |
| Bharti Airtel Telecom | 4.0% | +0.62 | +0.84* | −0.08 | +0.96 | +0.05 | +0.04 | 0.27 | 44 | +4.6% |
| Bajaj Finance NBFC | 3.5% | +0.92 | +1.15* | +0.03 | +4.01* | −0.08 | −0.07 | 0.32 | 44 | +8.5% |
| Shriram Finance NBFC | 3.5% | +0.69 | +0.51 | +0.06 | +1.15 | −0.08 | −0.12* | 0.20 | 44 | +0.2% |
| Hindustan Unilever FMCG | 3.3% | +0.79 | +1.10* | −0.13 | +2.26 | −0.05 | +0.05 | 0.38 | 44 | +3.2% |
| Trent FMCG | 3.1% | +1.70 | +1.19* | −0.33 | −3.88 | +0.11 | −0.08 | 0.39 | 44 | −9.2% |
| ICICI Lombard General Insurance Insurance | 3.1% | +1.19 | +1.15* | −0.09 | +0.27 | +0.01 | −0.04 | 0.45 | 44 | +0.6% |
| Max Financial Services Insurance | 2.9% | +0.96 | +0.81 | −0.12 | −1.15 | +0.03 | −0.02 | 0.19 | 44 | −3.2% |
| UltraTech Cement Building Materials | 2.8% | +1.29 | +1.36* | +0.09 | +1.15 | −0.06* | −0.00 | 0.56 | 44 | +1.1% |
| InterGlobe Aviation Misc | 2.7% | +1.14 | +0.87* | −0.18 | −1.53 | −0.03 | −0.04 | 0.36 | 44 | −7.9% |
| Glenmark Pharmaceuticals HealthCare | 2.4% | +1.15 | +0.90* | +0.11 | −2.47 | +0.01 | +0.00 | 0.26 | 44 | −5.6% |
| Kaynes Technology India Info Tech | 2.4% | +1.86 | +2.55* | +0.22 | +3.14 | −0.05 | +0.22* | 0.31 | 32 | +9.2% |
| Larsen & Toubro Industrials | 2.4% | +1.14 | +0.99* | +0.06 | −1.23 | −0.02 | −0.00 | 0.43 | 44 | −3.9% |
| Dalmia Bharat Building Materials | 2.4% | +0.84 | +1.03* | −0.07 | +2.47 | −0.05 | −0.02 | 0.22 | 44 | +4.3% |
| IDFC First Bank Banking | 2.3% | +1.36 | +1.57* | −0.27* | +1.49 | +0.08 | −0.00 | 0.40 | 44 | +5.9% |
| One 97 Communications Info Tech | 2.2% | +0.29 | +0.37 | −0.23 | +2.82 | −0.09 | −0.06 | 0.05 | 42 | +1.6% |
| Ramkrishna Forgings Automobile | 2.1% | +1.33 | +1.16 | +0.32 | +0.45 | +0.08 | −0.14 | 0.31 | 44 | +8.5% |
| Britannia Industries FMCG | 2.0% | +0.96 | +1.07* | −0.03 | +0.12 | −0.04 | +0.06 | 0.38 | 44 | −2.0% |
| HDFC Bank Banking | 1.8% | +0.79 | +0.58* | −0.08 | −1.06 | −0.03 | −0.03 | 0.40 | 44 | −5.6% |
| Aurobindo Pharma HealthCare | 1.6% | +1.17 | +1.05* | +0.03 | −0.90 | −0.02 | −0.01 | 0.25 | 44 | −3.4% |
| Bajaj Auto Automobile | 1.6% | +0.88 | +0.93* | +0.32* | +0.27 | −0.04 | +0.02 | 0.36 | 44 | +2.0% |
| PVR Inox Media | 1.5% | +0.86 | +1.04* | +0.42* | +1.49 | −0.04 | +0.02 | 0.29 | 44 | +6.8% |
| Avenue Supermarts Retail | 1.3% | +0.90 | +0.68 | −0.06 | −0.99 | −0.03 | −0.04 | 0.20 | 44 | −5.3% |
| Campus Activewear Retail | 1.2% | +0.97 | +1.99* | −0.32 | +6.89* | +0.05 | +0.08 | 0.35 | 37 | +19.8% |
| SBI Life Insurance Company Insurance | 1.1% | +1.21 | +1.40* | −0.08 | +1.89 | −0.02 | +0.00 | 0.42 | 44 | +3.7% |
| Varun Beverages FMCG | 1.0% | +1.15 | +1.12* | −0.19 | −1.38 | +0.07 | +0.03 | 0.26 | 44 | −2.4% |
| Astral Industrials | 1.0% | +0.74 | +1.16* | −0.10 | +2.52 | +0.11* | +0.03 | 0.32 | 44 | +12.1% |
| Chambal Fertilisers Chemicals | 0.9% | +1.31 | +1.08* | −0.06 | −0.35 | −0.00 | −0.09 | 0.24 | 44 | −1.7% |
| Medplus Health Services HealthCare | 0.8% | +0.64 | +0.51 | +0.05 | −1.70 | −0.03 | +0.04 | 0.10 | 41 | −5.9% |
| Varroc Engineering Automobile | 0.8% | +1.03 | +1.09 | +0.09 | −0.30 | +0.07 | +0.01 | 0.15 | 44 | +3.6% |
| Granules India HealthCare | 0.7% | +1.22 | +1.13* | −0.07 | +0.73 | +0.03 | −0.10 | 0.29 | 44 | +3.1% |
| Infosys Info Tech | 0.7% | +0.80 | +1.07* | +0.20 | +3.29* | −0.09* | −0.01 | 0.30 | 44 | +7.1% |
| Dr Reddy's Laboratories HealthCare | 0.7% | +0.66 | +0.27 | −0.12 | −2.58* | +0.04 | −0.07 | 0.31 | 44 | −6.7% |
| Archean Chemical Industries Chemicals | 0.6% | +0.62 | +0.67 | −0.01 | −0.36 | −0.01 | +0.09 | 0.07 | 32 | −1.6% |
| Dilip Buildcon Industrials | 0.6% | +1.80 | +1.87* | −0.10 | +3.60 | −0.03 | −0.14* | 0.38 | 44 | +8.2% |
* |t| ≥ 2. For each holding, monthly return = a + Σ beta × factor move, ordinary least squares over the window (up to 60 months). Betas are multivariate: each is the sensitivity holding the other factors constant. A beta of 0.3 on crude means a 10% rise in Brent has gone with a 3% move in the stock, other things equal. Historical association, not causation; t above 2 in magnitude is the usual bar for a reliable estimate.
Not fitted (under 24 months of prices): Vedanta Aluminium Metal, Indegene, Indo-MIM.
Factors: Nifty 500 (Yahoo Finance ^CRSLDX, monthly); Brent crude (Yahoo Finance BZ=F, monthly); USD/INR (Yahoo Finance INR=X, monthly); US 10-year yield (Yahoo Finance ^TNX, monthly); India VIX (Yahoo Finance ^INDIAVIX, monthly). Holding returns from reference closes, month-end to month-end.