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Correlation among the returns of various sectors in 2016
Correlation among the returns of various sectors in 2016
·
Correlation between the Banking and the Finance
sectors as well as between Power and Utilities Sector were the highest (0.96)
followed by correlation between Energy and Oil & Gas sector (0.93), between
Auto and Manufacturing Sector (0.9), Infrastructure and PSU Sector (0.9), Infrastructure
and Power sector (0.89), Infrastructure and Utilities sector (0.89)
·
Telecom sector is least correlated with many
sectors like Health care (0.32), Energy (0.34), Oil & Gas (0.34), FMCG
(0.37) and Metal (0.37). Similarly Technology sector is less correlated with
Health care sector (0.35) during 2016.
·
Stock Market performance of various sectors in India in 2016
Stock Market performance of various sectors in India in 2016
|
Sector
|
Mean Annual Return (%)
|
Annualized Std Deviation (%)
|
Skewness
|
Kurtosis
|
|
Auto
|
8.18
|
21.18
|
-0.29
|
1.58
|
|
Banking
|
6.58
|
20.77
|
0.18
|
0.79
|
|
Basic Materials
|
27.33
|
21.6
|
-0.63
|
1.76
|
|
Capital Goods
|
-4.41
|
22.76
|
1.07
|
5.62
|
|
Consumer Durables
|
-7.02
|
18.64
|
-0.41
|
1.98
|
|
Energy
|
14.44
|
17.57
|
-0.45
|
1.64
|
|
FMCG
|
3.25
|
16.02
|
0.06
|
1.81
|
|
Finance
|
6.38
|
18.61
|
-0.17
|
0.83
|
|
Healthcare
|
-14.25
|
17.29
|
-0.29
|
1.01
|
|
Infrastructure
|
10.49
|
20.38
|
-0.67
|
1.61
|
|
Manufacturing
|
3.21
|
15.77
|
-0.24
|
1.1
|
|
Metal
|
31.08
|
26.78
|
0.23
|
2.55
|
|
Oilgas
|
23.96
|
18.67
|
-0.22
|
0.6
|
|
Power
|
0.64
|
19.09
|
-0.8
|
1.91
|
|
PSU
|
11.48
|
19.15
|
-0.15
|
1.48
|
|
Realty
|
-8.27
|
30.57
|
-1.05
|
4.41
|
|
Technology
|
-9.45
|
16.32
|
0.09
|
1.71
|
|
Telecom
|
-24.7
|
22.87
|
-0.03
|
1.25
|
|
Utilities
|
9.1
|
18.13
|
-0.74
|
2.09
|
Analysis
·
Metal sector has shown 31.08% growth during the
year followed by Basic materials (23.33%) and Oil & Gas sectors (23.96%).
These three sectors along with Energy (14.44%) and PSU (11.48%) have generated
stupendous growth in 2016.
·
Telecom sector has lost badly during 2016 having
fallen by 24.7% in value, followed by health care sector (drop by 14.25%) and
Technology sector (9.45% drop)
·
Many other core sectors like Realty, Consumer
durables and capital goods have shown negative growth during the year thus
impacting the market as a whole
·
Realty sector continued to be the most volatile
of all sectors registering an annual standard deviation of 30.57%. Metal sector
though had a big positive growth has high volatility as well (26.78%). Telecom
sector also registered high volatility during the period apart from registering
the worst growth during the year.
·
Manufacturing, FMCG and Technology occupied the
top three slots respectively with respect to more consistent and less
volatility in performance during the year 2016
·
Capital goods sector is the only sector with
highly positively skewed returns where a couple of days had extremely high positive
returns. Realty, Power and Utilities sectors registering high negative Skewness
during the period indicating couple of days of sudden drastic fall in prices
·
Kurtosis values of Capital Goods, Realty, Metal
and utilities sectors were phenomenally higher highlighting more number of
extreme movements during the periods and heavy tails whereas Oil & Gas,
Finance and Banking Industries had very few drastic extreme movements during
the period
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