fin460 assignment group2

Week 1 sl. Company Name N0. of Shares Date Buying Price(TK)

1 LAFARGE SURMA CEMENT LTD. 2,500 5/29/2014 79.92 UNITED COMMERCIAL BANK LTD. 2,500 5/29/2014 26.43 ACI LIMITED 500 5/29/2014 238.64 BSRM STEELS LIMITED 1,000 5/29/2014 74.95 Eastern Housing Limited 600 5/29/2014 62.1

Total 7,100

Week 2

sl. Company name No of shares Date Price1 LAFARGE SURMA CEMENT LTD. 2,500 5/6/2014 89.52 UNITED COMMERCIAL BANK LTD. 2,500 5/6/2014 25.73 ACI LIMITED 500 5/6/2014 260.34 BSRM STEELS LIMITED 1,000 5/6/2014 85.95 Eastern Housing Limited 600 5/6/2014 59.4

Total 7,100

Week 3 sl. Company name No of shares Date Price

1 LAFARGE SURMA CEMENT LTD. 2,500 11/6/2014 79.82 UNITED COMMERCIAL BANK LTD. 2,500 11/6/2014 25.83 ACI LIMITED 500 11/6/2014 246.14 BSRM STEELS LIMITED 1,000 11/6/2014 88.55 Eastern Housing Limited 600 11/16/2014 64.8

Total 7,100

Week 4sl. Company name No of shares Date Price

1 LAFARGE SURMA CEMENT LTD. 2,500 18/02014 84.62 UNITED COMMERCIAL BANK LTD. 2,500 18/02015 26.83 ACI LIMITED 500 18/02016 249.94 BSRM STEELS LIMITED 1,000 18/02017 89.85 Eastern Housing Limited 600 18/02018 61

Total 7,100


1 LAFARGE SURMA CEMENT LTD. 2,500 18/02014 82.82 UNITED COMMERCIAL BANK LTD. 2,500 18/02015 26.73 ACI LIMITED 500 18/02016 268

4 BSRM STEELS LIMITED 1,000 18/02017 835 Eastern Housing Limited 600 18/02018 59.1

Total 7,100


1 LAFARGE SURMA CEMENT LTD.(buy) 2,500 18/02014 81.12 UNITED COMMERCIAL BANK LTD.(Sold) 2,500 18/02015 27.43 ACI LIMITED 500 18/02016 257.54 BSRM STEELS LIMITED 1,000 18/02017 82.15 Eastern Housing Limited 600 18/02018 59.9

Total 7,100

Total Value(TK)199,750

66,000119,300

74,90037,260

497,210

Total Value Return(tk) % Return AM 223750 9.6 0.12015019 0.057593

64250 -0.7 -0.02651515130150 21.7 0.09094719

85900 11 0.1468624835640 -2.7 -0.04347826

539690

Total Value Return(tk) % Return AM 199500 -9.7 -0.10837989 -0.007573

64500 0.1 0.00389105123050 -14.2 -0.05455244

88500 2.6 0.0302677538880 5.4 0.09090909

514430

Total Value Return(tk) % Return AM 211500 4.8 0.06015038 0.01408

67000 1 0.03875969124950 3.8 0.01544088

89800 1.3 0.0146892736600 -3.8 -0.05864198

529850

Total Value Return(tk) % Return AM weight 207000 -1.8 -0.0212766 -0.01189 0.393379069

66750 -0.1 -0.00373134 0.126850497134000 18.1 0.07242897 0.254651185

83000 -6.8 -0.07572383 0.15773170435460 -1.9 -0.03114754 0.067387545

526210 1

Total Value Return(tk) % Return AM weight 202750 -1.7 -0.0205314 -0.00616 0.391379044

68500 0.7 0.02621723 0.132229171128750 -10.5 -0.0391791 0.248532932

82100 -0.9 -0.01084337 0.15848197135940 0.8 0.01353638 0.069376882

518040 1

WEEK 2 DATA CACULATIONCalculation Of GM

Return (1+R) GM(1+GM) GM0.12015019 1.12015 1.05468572 0.054686-0.0265152 0.9734850.09094719 1.0909470.14686248 1.146862-0.0434783 0.956522

Calculation of Expected return for of the each stock Possible return calculation LSC Ucbl ACI EHL BSRM

0.12 -0.026 0.09 -0.04 0.140.11 0.01 0.1 0.01 0.110.13 0.05 0.11 -0.03 0.150.06 0.034 0.07 0.03 0.16

Expected Return for LSC Expected return for UCBL Expected Retrun for ACI0.105 0.017 0.0925

Calculation of SD

SD for LSC SD for UCBL SD for ACI0.0310912635 0.033045423 0.017078

Calculation of Correlation

Corelation between LSC & UCBL Correlation between LSC & ACI Correlation between LSC & EHL-0.201150328 0.91025899 -0.859887

Correlation between UCBL & LSC Correlation between UCBL &ACI Correlation between UCBL & EHL-0.201150328 0.147660398 0.357197

Correlation between ACI & LSC Correlation between ACI &UCBL Correlation between ACI & EHL0.9102589898 -0.147660398 -0.6055

Correlation between EHL & LSC Correlation between EHL & UCBL Correlation between EHL & ACI-0.859886682 0.357197379 -0.6055

Correlation between BSRM & LSC Correlation between BSRM & UCBL Correlation between BSRM & ACI-0.397033334 0.410909997 -0.451754

CACULAITON OF PRICE WEIGHTED INDEXsl. Company Name Buying Price(TK) PRICE IN WEEK 2

1 LAFARGE SURMA CEMENT LTD. 79.9 89.52 UNITED COMMERCIAL BANK LTD. 26.4 25.73 ACI LIMITED 238.6 260.34 BSRM STEELS LIMITED 74.9 85.95 Eastern Housing Limited 62.1 59.4

PORTFOILO INDEX 96.38 104.16DIVISOR=5

Calculaiton of value weighted index

Company Name Buying Price(TK) No. of Shares Total ValueLAFARGE SURMA CEMENT LTD. 79.9 2,500 199750UNITED COMMERCIAL BANK LTD. 26.4 2,500 66000ACI LIMITED 238.6 500 119300BSRM STEELS LIMITED 74.9 1,000 74900Eastern Housing Limited 62.1 600 37260

497210

Assuming beginning index value is 100

Portfolio index in week 2 1085.436737

Expected Retrun for ACI Expected return for EHL Expected return for BSRM-0.0075 0.14

SD for EHL SD for BSRM0.0330403793 0.021602

Correlation between LSC & EHL Correlation between LSC & BSRM-0.3970333336

Correlation between UCBL & EHL Correlation between UCBL & BSRM0.4109099974

Correlation between ACI & EHL Correlation between ACI & BSRM-0.4517539515

Correlation between EHL & ACI Correlation between EHL & BSRM0.00212

Correlation between BSRM & ACI Correlation between BSRM & EHL0.00212

PRICE IN WEEK 2

Total Value PRICE IN WEEK 2 No. of Shares Total value89.5 2,500 22375025.7 2,500 64250

260.3 500 13015085.9 1,000 8590059.4 600 35640

539690


Return (1+R) GM (1+GM) GM-0.1083799 0.89162 0.99003035 -0.009970.00389101 1.003891-0.0545524 0.9454480.03026775 1.0302680.09090909 1.090909


0.02 -0.026 -0.09 0.04 0.110.08 0.01 -0.04 0.01 0.19

0.1 0.05 0.01 0.03 0.060.09 0.034 0.07 0.03 0.05

Expected Return for LSC Expected return for UCBL Expected Retrun for ACI0.065 0.017 -0.0125

Calculation of SD



Corelation between LSC & UCBL Correlation between LSC & ACI Correlation between LSC & EHL0.9570763376 0.802284311 -0.497532

Correlation between UCBL & LSC Correlation between UCBL &ACI Correlation between UCBL & EHL0.9570763376 0.835000837 -0.232477

Correlation between ACI & LSC Correlation between ACI &UCBL Correlation between ACI & EHL0.802284311 -0.835000837 -0.087018

Correlation between EHL & LSC Correlation between EHL & UCBL Correlation between EHL & ACI-0.49753211 -0.232476601 -0.087018

Correlation between BSRM & LSC Correlation between BSRM & UCBL Correlation between BSRM & ACI

-0.2646161 -0.509354122 -0.629554




Calculaiton of value weighted index


497210


Portfolio index in week 31034.6332536

Expected Retrun for ACI Expected return for EHL Expected return for BSRM0.0275 0.1025



Correlation between UCBL & EHL Correlation between UCBL & BSRM-0.5093541224

Correlation between ACI & EHL Correlation between ACI & BSRM-0.6295540908


Correlation between BSRM & ACI Correlation between BSRM & EHL

0.00212

PRICE IN WEEK 2 PRICE IN WEEK 379.825.8

246.188.564.8101

Total Value PRICE IN WEEK 2 No. of Shares Total value PRICE IN WEEK 389.5 2,500 223750 79.825.7 2,500 64250 25.8

260.3 500 130150 246.185.9 1,000 85900 88.559.4 600 35640 64.8

539690

Expected return for BSRM

PRICE IN WEEK 3 No. of Shares Total value2,500 1995002,500 64500

500 1230501,000 88500

600 38880514430


Company % Return (1+R) GM (1+GM) GMLSC 0.06015 1.06015038 1.0132696114 0.01327UCBL 0.03876 1.03875969ACI 0.015441 1.01544088BSRM 0.014689 1.01468927EHL -0.058642 0.941358


0.03 0.04 0.0134 -0.0125 0.0910.05 0.05 0.012 0.01 0.08210.08 0.06 0.02 0.034 0.060.09 0.065 -0.0123 -0.053 0.05

Expected Return for LSC Expected return for UCBL Expected Retrun for ACI0.055 0.05375 0.008275

Calculation of SD



Corelation between LSC & UCBL Correlation between LSC & ACI Correlation between LSC & EHL0.99626795 -0.490697 -0.190186

Correlation between UCBL & LSC Correlation between UCBL &ACI Correlation between UCBL & EHL0.99626795 -0.515408 -0.202672

Correlation between ACI & LSC Correlation between ACI &UCBL Correlation between ACI & EHL-0.4906974 0.515408 0.930956

Correlation between EHL & LSC Correlation between EHL & UCBL Correlation between EHL & ACI-0.1901863 -0.202672 0.930956

Correlation between BSRM & LSC Correlation between BSRM & UCBL Correlation between BSRM & ACI-0.9921319 -0.982757 0.553505




Calculaiton of value weighted index Base Calculation


497210



Calculation of Unweighted Index WEEK 4

Stock Price in Week 1 Price in Week 4 HPR HPYLSC 79.9 84.6 1.058824 0.058824UCBL 26.4 26.8 1.015152 0.015152ACI 238.6 249.9 1.04736 0.04736BSRM 74.9 89.8 1.198932 0.198932EHL 62.1 61 0.982287 -0.017713

AM Assuming beginning index value is 10000.06051064

INDEX VALUE

1060.5106

Expected Retrun for ACI Expected return for EHL Expected return for BSRM-0.005375 0.070775



Correlation between UCBL & EHL Correlation between UCBL & BSRM-0.982757

Correlation between ACI & EHL Correlation between ACI & BSRM0.553505



PRICE IN WEEK 2 PRICE IN WEEK 3 Price in Week 479.8 84.625.8 26.8

246.1 249.988.5 89.864.8 61101 102.42

Total Value PRICE IN WEEK 4 No. of Shares Total value84.6 2,500 21150026.8 2,500 67000

249.9 500 12495089.8 1,000 89800

61 600 36600529850


Company % Return (1+R) GM (1+GM) GMLSC -0.0212766 0.9787234 0.9587156367 -0.041284UCBL -0.0037313 0.9962687ACI -0.07242 0.92758BSRM -0.07572 0.92428EHL -0.0311475 0.9688525


-0.0312 -0.04 -0.0134 -0.0125 -0.191-0.011 0.012 0.012 -0.01 -0.021

0.02 -0.023 -0.02 0.034 0.010.001 0.02 -0.0123 -0.033 0.02

Expected Return for LSC Expected return for UCBL Expected Retrun for ACI0.00945 -0.00775 -0.008425

Calculation of SD



Corelation between LSC & UCBL Correlation between LSC & ACI Correlation between LSC & EHL0.2789607 -0.337184 0.56871

Correlation between UCBL & LSC Correlation between UCBL &ACI Correlation between UCBL & EHL0.2789607 0.527798 -0.509993

Correlation between ACI & LSC Correlation between ACI &UCBL Correlation between ACI & EHL-0.337184 -0.527798 -0.343405

Correlation between EHL & LSC Correlation between EHL & UCBL Correlation between EHL & ACI0.56871006 -0.509993 -0.343405

Correlation between BSRM & LSC Correlation between BSRM & UCBL Correlation between BSRM & ACI0.85776804 0.730126 0.079053






497210




Stock Price in Week 1 Price in Week 5 HPR HPYLSC 79.9 82.8 1.036295 0.0362953692UCBL 26.4 26.7 1.011364 0.0113636364ACI 238.6 268 1.123219 0.1232187762BSRM 74.9 83 1.108144 0.1081441923EHL 62.1 59.1 0.951691 -0.0483091787


INDEX VALUE

1041.426

Calculaiton of Expected Return & Standard Deviation of the Portfolio

Company Name Expected Return weight Standard Deviation LSC 0.00945 0.3933 0.0214715UCBL -0.00775 0.1268 0.028477ACI -0.00843 0.2546 0.0140135BSRM -0.00538 0.1577 0.0282EHL -0.0455 0.0673 0.09855

-0.00332287

0.122588056

Possible returnsProbability LSC Ucbl ACI EHL BSRM Market

0.25 -0.0312 -0.04 -0.0134 -0.0125 -0.191 -0.0320.25 -0.011 0.012 0.012 -0.01 -0.021 0.0450.25 0.02 -0.023 -0.02 0.034 0.01 0.080.25 0.001 0.02 -0.0123 -0.033 0.02 0.05

Covariance(LSC,M) Covariance(UCBL,M) Covariance(ACI,M)0.00072783 0.0005220625 -1.035625E-05

Variance(M)0.00227892

Calcultion of Beta

LSC 0.31937324UCBL 0.229083629ACI -0.00454437EHL 0.196214393BSRM 1.478059751

E(R)=

Sd(P)=

Expected Retrun for ACI Expected return for EHL Expected return for BSRM-0.005375 -0.0455


Correlation between LSC & EHL Correlation between LSC & BSRM0.857768

Correlation between UCBL & EHL Correlation between UCBL & BSRM0.730126

Correlation between ACI & EHL Correlation between ACI & BSRM0.079053



PRICE IN WEEK 2 PRICE IN WEEK 3 Price in Week 4 Price in Week 579.8 84.6 82.825.8 26.8 26.7

246.1 249.9 26888.5 89.8 8364.8 61 59.1101 102.42 103.92

Total Value PRICE IN WEEK 5 No. of Shares Total value82.8 2,500 20700026.7 2,500 66750268 500 134000

83 1,000 8300059.1 600 35460

526210

Return on Market 0.086

Covariance(EHL,M) Covariance(BSRM,M)0.000447 0.003368


Company % Return (1+R) GM (1+GM) GMLSC -0.02534 0.97466 0.9925852536 -0.007415UCBL 0.02621 1.02621ACI -0.03917 0.96083BSRM -0.01084 0.98916EHL 0.01353 1.01353


0.012 0.021 0.1 0.0123 0.012-0.011 -0.012 0.07 0.02 0.0750.034 0.023 0.05 0.034 0.010.032 0.02 0.0123 0.032 0.02

Expected Return for LSC Expected return for UCBL0.02375 0.013

Calculation of SD

SD for LSC SD for UCBL0.02099802 0.016713


Corelation between LSC & UCBL Correlation between LSC & ACI0.88807719 -0.590033

Correlation between UCBL & LSC Correlation between UCBL &ACI0.88807719 -0.197275

Correlation between ACI & LSC Correlation between ACI &UCBL-0.5900334 0.197275

Correlation between EHL & LSC Correlation between EHL & UCBL0.71365211 0.315804

Correlation between BSRM & LSC Correlation between BSRM & UCBL

-0.8558363 -0.996419

CACULAITON OF PRICE WEIGHTED INDEXsl. Company Name Buying Price(TK)

1 LAFARGE SURMA CEMENT LTD. 79.92 UNITED COMMERCIAL BANK LTD. 26.43 ACI LIMITED 238.64 BSRM STEELS LIMITED 74.95 Eastern Housing Limited 62.1

PORTFOILO INDEX 96.38DIVISOR=5


Company Name Buying Price(TK) No. of Shares LAFARGE SURMA CEMENT LTD. 79.9 2,500UNITED COMMERCIAL BANK LTD. 26.4 2,500ACI LIMITED 238.6 500BSRM STEELS LIMITED 74.9 1,000Eastern Housing Limited 62.1 600




Stock Price in Week 1 Price in Week 6 HPR HPYLSC 79.9 81.1 1.015019 0.0150187735UCBL 26.4 27.4 1.037879 0.0378787879ACI 238.6 257.5 1.079212 0.0792120704BSRM 74.9 82.1 1.096128 0.0961281709EHL 62.1 59.9 0.964573 -0.035426731


INDEX VALUE1038.5622

Calculaiton of Expected Return & Standard Deviation of the Portfolio

Company Name Expected Return weight Standard Deviation LSC 0.02375 0.3933 0.020998

UCBL 0.013 0.1268 0.016713ACI 0.058075 0.2546 0.03679BSRM 0.024575 0.1577 0.010256EHL 0.02925 0.0673 0.030804

0.031619173

0.126372455

Possible returnsProbability LSC Ucbl ACI EHL BSRM Market

0.25 0.012 0.021 0.1 0.0123 0.012 0.0870.25 -0.011 -0.012 0.07 0.02 0.075 0.0150.25 0.034 0.023 0.05 0.034 0.01 0.080.25 0.032 0.02 0.0123 0.032 0.02 0.07

Covariance(LSC,M) Covariance(UCBL,M) Covariance(ACI,M)0.0004045 0.00040275 -5.975E-06

Variance(M)0.00107267

Calcultion of Beta

LSC 0.377097576UCBL 0.375466128ACI -0.00557023EHL 0.031976383BSRM -0.69965817

E(Rp)=

Sd(P)=

Expected Retrun for ACI Expected return for EHL Expected return for BSRM0.058075 0.024575 0.02925

SD for ACI SD for EHL SD for BSRM0.03679 0.010256 0.030804

Correlation between LSC & EHL Correlation between LSC & BSRM0.713652 -0.855836

Correlation between UCBL & EHL Correlation between UCBL & BSRM0.315804 -0.996419

Correlation between ACI & EHL Correlation between ACI & BSRM-0.870318 0.118012

Correlation between EHL & ACI Correlation between EHL & BSRM-0.870318 0.00212

Correlation between BSRM & ACI Correlation between BSRM & EHL

0.118012 0.00212

PRICE IN WEEK 2 PRICE IN WEEK 3 Price in Week 4 Price in Week 589.5 79.8 84.6 82.825.7 25.8 26.8 26.7

260.3 246.1 249.9 26885.9 88.5 89.8 8359.4 64.8 61 59.1

104.16 101 102.42 103.92

Total Value PRICE IN WEEK 6 No. of Shares Total value199750 81.1 2,500 202750

66000 27.4 2,500 68500119300 257.5 500 128750

74900 82.1 1,000 8210037260 59.9 600 35940

497210 518040


Covariance(EHL,M) Covariance(BSRM,M)3.43E-05 -0.000751

Expected return for BSRM

Price in Week 5 Price in Week 681.127.4

257.582.159.9

101.6

Summary of The Porfolio Management Company Name Buying Price(TK) No. of Shares Total ValueLAFARGE SURMA CEMENT LTD. 79.9 2,500 199750UNITED COMMERCIAL BANK LTD. 26.4 2,500 66000ACI LIMITED 238.6 500 119300BSRM STEELS LIMITED 74.9 1,000 74900Eastern Housing Limited 62.1 600 37260

497210AM0.006949463

Company % Return (1+R) GM (1+GM) GMLSC -0.00884 0.99116 1.005629015 0.005629UCBL 0.003774 1.003774ACI 0.06724 1.06724BSRM 0.050697 1.050697EHL -0.07813 0.92187

Holding Period Return

LSC Buying Price(TK) Selling Price HPR HPYUCBL 79.9 79.2 0.991239 -0.008761ACI 26.4 26.5 1.003788 0.003788BSRM 238.6 255.8 1.072087 0.072087EHL 74.9 78.9 1.053405 0.053405

62.1 57.6 0.927536 -0.072464

Expected Return of the Portfolio Week 1 Week 2 Week 3 Week 4 Week 5

LSC 0.12015 -0.10838 0.06015038 -0.021277 -0.02534UCBL -0.026515 0.003891 0.03875969 -0.003731 0.02621ACI 0.090947 -0.054552 0.01544088 -0.07242 -0.03917BSRM 0.146862 0.030268 0.01468927 -0.07572 -0.01084EHL -0.043478 0.090909 -0.058642 -0.031148 0.01353

Expected Return for LSC Expected return for UCBL Expected Retrun for ACI0.005060814 0.007723 -0.011951

Calculation of SD

SD for LSC SD for UCBL SD for ACI

0.08770275 0.025609 0.066239


Corelation between LSC & UCBL Correlation between LSC & ACI Correlation between LSC & BSRM-0.22889048 0.886684 0.583229

Correlation between UCBL & LSC Correlation between UCBL &ACI Correlation between UCBL & BSMR-0.22889048 -0.341954 -0.483834

Correlation between ACI & LSC Correlation between ACI &UCBL Correlation between ACI & BSRM0.886683682 0.341954 0.888347

Correlation between EHL & LSC Correlation between EHL & UCBL Correlation between EHL & ACI-0.85637125 -0.011788 -0.527466

Correlation between BSRM & LSC Correlation between BSRM & UCBL Correlation between BSRM & ACI0.583228993 -0.483834 0.888347

Calculaiton of Expected Return & Standard Deviation of the Portfolio Company Name Expected Return weight Standard Deviation LSC 0.005061 0.3933 0.087703UCBL 0.007723 0.1268 0.0256ACI 0.1567 0.2546 0.066239BSRM 0.21238 0.1577 0.081141EHL -0.00577 0.0673 0.060375

0.99970.07597

0.112302

Possible returnsWeek 1 Week 2 Week 3 Week 4 Week 5

LSC 0.12015 -0.10838 0.06015038 -0.021277 -0.02534UCBL -0.026515 0.003891 0.03875969 -0.003731 0.02621ACI 0.090947 -0.054552 0.01544088 -0.07242 -0.03917BSRM 0.146862 0.030268 0.01468927 -0.07572 -0.01084

E(Rp)=

Sd(P)=

EHL -0.043478 0.090909 -0.058642 -0.031148 0.01353Market 0.1 0.11 0.09 0.12 0.15

Covariance(LSC,M) Covariance(UCBL,M) Covariance(ACI,M)-0.00074642 6.93177E-05 -0.000654

Variance(M)0.00053

Calcultion of Beta

LSC -1.408337UCBL 0.130788ACI -1.234065EHL 0.736854BSRM -1.273301

Stock Valuation

CAPM

Rf= 0.075 RPI= 0.0250.1

0.039792

0.07827

0.044148

E(REHL) 0.093421

0.043167

VALUATION

NAME REQUIRED RETURN ESTIMATED RETRUN VALUATION0.039792 -0.0088 OVER VALUED

0.07827 0.00377 OVER VALUED0.044148 0.06724 UNDER VALUED0.093421 0.05069 OVER VALUED0.043167 -0.078125 OVER VALUED

Rm=

E(RLSC)

E(RUCBL)

E(RACI)

E(RBSRM)

Total Value Selling Price No. of Shares Total Value Total Retrun% 79.2 2,500 198000 -0.0088383838426.5 2,500 66250 0.003773584906

255.8 500 127900 0.06724003127478.9 1,000 78900 0.05069708491857.6 600 34560 -0.078125

505610 0.016613595459

Expected Retrun for ACI Expected return for BSRM Expected return for EHL0.021052 -0.005766

SD for BSRM SD for EHL

0.081141 0.060375322218

Correlation between LSC & BSRM Correlation between LSC & EHL-0.856371

Correlation between UCBL & BSMR Correlation between UCBL & EHL-0.011788

Correlation between ACI & BSRM Correlation between ACI & BSRM-0.527466

Correlation between EHL & ACI Correlation between EHL & BSRM-0.085549

Correlation between BSRM & ACI Correlation between BSRM & EHL-0.085549


Covariance(EHL,M) Covariance(BSRM,M)0.000391 -0.000675

Expected return for EHL

fin460 assignment group2

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