Sensex valuation, Aug 2011
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This is the output for Index valuation of sensex previously uploaded. This shows the average market or what I think is 'Ideal' value of Sensex taking into account present earnings.
Transcript of Sensex valuation, Aug 2011
Date Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10
implied growth rate 0.0831 0.0775 0.0830 0.0783 0.0576 0.0482 0.0500 0.0496 0.0485 0.0451 0.0625 0.0766 0.0846 0.0854 0.0883 0.0904 0.0916 0.1067 0.1067 0.1068
mean Implied Growth Rate 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865
Rate of Inflation 7.69% 8.33% 9.02% 9.77% 10.45% 10.45% 9.70% 10.45% 9.63% 8.03% 8.70% 8.63% 9.29% 11.89% 11.72% 11.64% 11.49% 13.51% 14.97% 16.22%
GDP Growth 7.80% 7.80% 7.80% 7.50% 7.50% 7.50% 6.10% 6.10% 6.10% 5.80% 5.80% 5.80% 6.00% 6.00% 6.00% 8.60% 8.60% 8.60% 6.50% 6.50%
Benchmark Intrest Rate 6.00% 6.00% 6.00% 6.00% 6.00% 6.00% 5.50% 4.50% 4.00% 3.75% 3.38% 3.25% 3.25% 3.25% 3.25% 3.25% 3.25% 3.25% 3.25% 3.25%
FII Activity -10577.70 -1012.90 -2065.80 -7937.00 -14248.60 -2820.30 1330.90 -3009.50 -2690.50 269.00 7384.20 20606.90 3224.90 11625.30 4028.70 19939.50 8304.10 5317.80 10367.20 5902.40
MF Activity 3186.90 1412.50 -368.90 2292.10 1429.50 -975.40 340.70 -864.20 -1521.10 1477.20 38.90 2291.00 839.20 1825.60 570.60 -2333.70 -5194.40 -695.30 -1761.50 -1311.10
DII Activity 8627.97 1527.19 2972.38 9212.96 10796.3 2874.15 1906.28 3718.14 2774.56 3951.53 -782.33 -82.45 2633.78 5818.98 4984.71 696.04 -47.51 2391.04 49.67 12222.03
Date Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11Date Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11
implied growth rate 0.1068 0.0922 0.0790 0.1066 0.0930 0.0963 0.0975 0.1009 0.1022 0.1035 0.1029 0.1029 0.1030 0.0985 0.0977 0.0969 0.0956 0.0971 0.0955 0.0899
mean Implied Growth Rate 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865 0.0865
Rate of Inflation 16.22% 14.86% 14.86% 13.33% 13.91% 13.73% 11.25% 9.88% 9.82% 9.70% 8.33% 0.00% 0.00%
GDP Growth 6.50% 6.50% 8.60% 8.60% 8.60% 8.90% 8.90% 8.90% 8.90% 8.90% 8.90% 0.00% 0.00%
Benchmark Intrest Rate 3.25% 3.25% 3.38% 3.63% 3.75% 3.75% 4.08% 4.50% 5.00% 5.00% 5.25% 5.25% 5.50%
FII Activity 5902.40 2113.50 18833.60 9764.50 -8629.90 10244.60 17120.60 11185.30 29195.80 24770.80 18519.90 1476.10 -5429.70
MF Activity -1311.10 -697.40 -3806.40 -1616.50 98.70 -1092.50 -4404.80 -3169.60 -7236.00 -5802.10 -99.90 1376.60 199.20
DII Activity 12222.03 1311.95 -5135.85 2190.66 6361.19 -4777.05 -6271.92 -4552.68 -11866.63 -11812.9 2468.82 634.99 5237.14
Std. Dev 0.0187Std. Dev 0.0187
Mean 0.0865
Mean + 1std dev 0.1051
Mean - 1 Std dev 0.0678
Correlation
implied
growth
rate
Rate of
Inflation
GDP
Growth
Benchmark
Intrest Rate
FII Activity MF Activity DII Activity
implied growth rate 1 0.1076031 0.09226169 -0.229776159 0.439903223 -0.33962303 -0.262849473
Rate of Inflation 1 0.68901215 -0.542216427 0.213976599 -0.302406421 -0.017656025
GDP Growth 1 -0.090794059 0.334812603 -0.438435812 -0.294267163
taking average implied growth rate for the period (June 2008 to
Present), SENSEX value comes out to be14105
0.1000
0.1200
GDP Growth 1 -0.090794059 0.334812603 -0.438435812 -0.294267163
Benchmark Intrest Rate 1 -0.411550422 0.204742384 0.128870543
FII Activity 1 -0.648251557 -0.765945237
MF Activity 1 0.747331529
DII Activity 1
Above sheet shows that implied growth rate is not correlated with anything any of the macroeconomic factors, hence their
impact can be ignored
Calculation of Ideal Sensex value 0.0200
0.0400
0.0600
0.0800
0.1000
0.1200
implied growth rate
mean Implied Growth Rate
Calculation of Ideal Sensex value
Here ideal sensex value is calculated using average 'implied growth rate' and trailing twlelve months EPS
0.0000
0.0200
0.0400
0.0600
0.0800
0.1000
0.1200
Jun
-08
Au
g-0
8
Oct
-08
De
c-0
8
Fe
b-0
9
Ap
r-0
9
Jun
-09
Au
g-0
9
Oct
-09
De
c-0
9
Fe
b-1
0
Ap
r-1
0
Jun
-10
Au
g-1
0
Oct
-10
De
c-1
0
Fe
b-1
1
Ap
r-1
1
Jun
-11
Au
g-1
1
implied growth rate
mean Implied Growth Rate
