report fin 637

North South University

FIN 637.1

Investment Theory

Report on Portfolio Management

Submitted to: Dr. Rafiqul Matin

Submitted by:

Md. Shafiqul Islam Masud -101-0405-560

Mofakhkharul Karim -101-0572-460

Md. Monjur Rashed - 082-443-060

Md. Tariqul Islam - 091-0566-060

Shamsul Arefin - 082-597-060

Investment Theory Project

Index

1. Objective 3

2. Portfolio Selection 4

3. Analysis 6

3.1 Return 6

3.2 Beta and Risk 49

3.3 Alpha 51

3.4 Correlation 53

4. Summary and Conclusion 59

5. References 63

2 23/08/2010


1. Objectives:

The objective of this project was to form a portfolio based on cash account and a portfolio based on

margin account; both consisting of five stocks of pharmaceutical sector, four stocks of insurance sector

and one stocks from telecommunication sector. We then collected data for some two and half months

with a view to calculating some parameters regarding individual stocks and portfolios. We basically

collected the closing price of each stock, the market indices- DSE general index and also the daily market

return.

We formed the cash account portfolio allocating one hundred thousand BDT for each of the ten stocks

and the margin account was formed allocating two hundred thousand BDT for each of the stocks

considering fifty (50% ) percent margin account. So, total portfolio investment for cash account was one

million BDT while total investment for margin account was two million BDT. The initial margin for the

margin account was fifty (50% ) percent and hence out of the two( 2 )million BDT of margin account, one

million was financed by debt. The maintenance margin was thirty (30%) percent and the interest rate on

the loan amount was fourteen percent annual compounded daily. Here following parameters will be

investigated:

3 23/08/2010

Parameters to be determined

1. Cash account2. Margin account3. Daily return – from each stock4. Daily return from Mkt. index5. Daily portfolio return6. Beta for each stock7. Alpha for each stock8. Beta/alpha for portfolio9. Risk for each stock10. Risk for portfolio11. Correlation of each stock12. Correlation with Mkt.13. Portfolio risk with help of correlation14. TR15. Comparison16. Dividend17. And more….


2. Portfolio Selection

As per instruction we have to select five companies from pharmaceuticals, four insurance company and

one from telecommunication sector. Based on capital structure on each sector, we selected the top

capitalized company from each sector.

For pharmaceuticals sector the pie chart based on market capitalization is below. From the pie chart we

have selected SquarPharma, Bex Pharma, Renata, Marico and Glaxo Smith.

SquarPharma

BexpharmaRenata

Marico

GlaxoSmith

Beacon

ACI LtdReckit

ACI FormulaActive Infu Bxsynth

SquarPharmaBexpharmaRenataMaricoGlaxoSmithBeaconACI LtdReckitACI FormulaActive InfuBxsynth

Figure: Capital Structure of Pharmaceuticals

For Insurance company we plot the pie chart based on the current market capital structure and Rupali

Life Insurance, National Life insurance, Greendelta and Fareeast life insurance selected.

4 23/08/2010

Sl No Sector No. of firms1 Pharmaceutical 52 Insurance 43 Telecommunication 1


RupaliLife

NatlifeIns

GreenDeltFareEast

DeltaLife

PopularLife

MeghnaLife

pragatilife

PrimeLifeSandhani

RupaliLifeNatlifeInsGreenDeltFareEastDeltaLifePopularLifeMeghnaLifepragatilifePrimeLifeSandhani

Figure: Capital Structure of Insurance company

There is only one Telecommunication Company enlisted in DSE, that is grameenphone Ltd. So based on above discussion we have selected the following company.

Table: Company in the portfolio

Sector CompanyPharmaceuticals SquarPharma

BexPharmaRenataMaricoGlaxo

Insurance RupaliInsNatelife InsGreenDelta

Telecommunication GP

5 23/08/2010


3. Analysis

3.1 The detail of Cash Account Portfolio:

We formed the cash account portfolio allocating one hundred thousand BDT for each of the ten stocks. So, total portfolio investment for cash account was one million BDT. Allocation of one million cash is given below:

Table: Composition of Cash Account

Sector Company Name Purchase Price No. of Securities Initial Value

Pharmaceutical SQURPHARMA 3280.75 30 98422.50

Pharmaceutical BXPHARMA 121.90 820 99958.00

Pharmaceutical RENATA 12014.25 8 96114.00

Pharmaceutical MARICO 589.80 169 99676.20

Pharmaceutical GLAXOSMITH 976.40 102 99592.80

Insurance RUPALIINS 134.50 743 99933.50

Insurance NATLIFEINS 6084.50 16 97352.00

Insurance GREENDELT 240.20 416 99923.20

Insurance FAREASTLIF 318.60 313 99721.80

Telecom GP 213.00 469 99897.00

Total Portfolio Investment 990591.00

6 23/08/2010


The detail of Margin Account Portfolio:

Our nargin loan facility was 50:50 ratios. So the margin account was formed allocating two hundred thousand BDT for each of the stocks where one hundred thousand was taken as loan against our one hundred thousand cash. So, total portfolio investment for margin account was two million BDT. The initial margin for the margin account was fifty percent and hence out of the two million BDT of margin account, one million was financed by debt. The maintenance margin was forty percent and the interest rate on the loan amount was fourteen percent annual compounded daily. The margin call would have been generated as soon as the total asset value of the portfolio went below BDT 1662822.25.

The Total interest accrued on the debt of the margin account during the observation period has been calculated as BDT. 21411.65.

Purchase price for companies and their number of securities according to their weight are given below:

Table: composition of Margin Account

Sector Company Name Purchase Price No. of Securities Initial Value

Pharmaceutical SQURPHARMA 3280.75 60 196845.00

Pharmaceutical BXPHARMA 121.90 1640 199916.00

Pharmaceutical RENATA 12014.25 16 192228.00

Pharmaceutical MARICO 589.80 338 199352.40

Pharmaceutical GLAXOSMITH 976.40 204 199185.60

Insurance RUPALIINS 134.50 1486 199867.00

Insurance NATLIFEINS 6084.50 32 194704.00

Insurance GREENDELT 240.20 832 199846.40

Insurance FAREASTLIF 318.60 626 199443.60

Telecom GP 213.00 938 199794.00

Total Portfolio Investment 1981182.00

7 23/08/2010


Daily Returns for SQURPHARMA:

The daily returns were calculated as percentage of price change compared to the previous day’s price based on the closing price of stocks. The formula used is as given below:

% Daily Return= (CPT-CPY) X100/CPY

Where, CPT = Closing Price of today

CPY= Closing Price of yesterday

Date Price Total Value % Change

7-Feb 3262.75 97882.50 -0.5487%

8-Feb 3373.00 101190.00 3.3791%

9-Feb 3321.75 99652.50 -1.5194%

10-Feb 3365.00 100950.00 1.3020%

13-Feb 3142.75 94282.50 -6.6048%

14-Feb 2985.75 89572.50 -4.9956%

15-Feb 3107.00 93210.00 4.0610%

20-Feb 3262.25 97867.50 4.9968%

22-Feb 3153.50 94605.00 -3.3336%

23-Feb 3124.00 93720.00 -0.9355%

24-Feb 3092.25 92767.50 -1.0163%

27-Feb 2972.50 89175.00 -3.8726%

28-Feb 2873.75 86212.50 -3.3221%

1-Mar 3030.50 90915.00 5.4545%

2-Mar 2910.40 87312.00 -3.9630%

3-Mar 3016.25 90487.50 3.6370%

6-Mar 3033.00 90990.00 0.5553%

7-Mar 3147.75 94432.50 3.7834%

8-Mar 3193.50 95805.00 1.4534%

8 23/08/2010


9-Mar 3206.00 96180.00 0.3914%

10-Mar 3304.75 99142.50 3.0802%

13-Mar 3155.00 94650.00 -4.5314%

14-Mar 3217.75 96532.50 1.9889%

15-Mar 3197.00 95910.00 -0.6449%

16-Mar 3212.75 96382.50 0.4926%

20-Mar 3282.75 98482.50 2.1788%

21-Mar 3302.25 99067.50 0.5940%

22-Mar 3281.50 98445.00 -0.6284%

23-Mar 3240.75 97222.50 -1.2418%

24-Mar 3217.00 96510.00 -0.7329%

27-Mar 3200.75 96022.50 -0.5051%

28-Mar 3233.75 97012.50 1.0310%

29-Mar 3247.00 97410.00 0.4097%

30-Mar 3251.50 97545.00 0.1386%

31-Mar 3272.00 98160.00 0.6305%

3-Apr 3266.50 97995.00 -0.1681%

4-Apr 3265.00 97950.00 -0.0459%

5-Apr 3259.50 97785.00 -0.1685%

6-Apr 3252.00 97560.00 -0.2301%

7-Apr 3320.00 99600.00 2.0910%

10-Apr 3389.75 101692.50 2.1009%

11-Apr 3389.75 101692.50 0.0000%

12-Apr 3367.75 101032.50 -0.6490%

13-Apr 3332.00 99960.00 -1.0615%

9 23/08/2010


17-Apr 3315.75 99472.50 -0.4877%

18-Apr 3338.25 100147.50 0.6786%

19-Apr 3333.25 99997.50 -0.1498%

20-Apr 3298.25 98947.50 -1.0500%

21-Apr 3303.00 99090.00 0.1440%

24-Apr 3289.75 98692.50 -0.4012%

25-Apr 3252.25 97567.50 -1.1399%

26-Apr 3251.25 97537.50 -0.0307%

27-Apr 3335.75 100072.50 2.5990%

28-Apr 3286.00 98580.00 -1.4914%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Market Vs SquarePharma

Daily Return of MarketDaily Return of Squre

Date

%D

ail

y R

etu

rn

Figure: Market Vs SquarePharma

According to the graph and table above we can summarize that, return of this stocks are more volatile up to the month of march after that a stabilized return of this particular stock remains more or less same.

10 23/08/2010


Daily Returns for Beximco Pharma:

Date Price Total Value %Change

7-Feb 117.40 96268.00 -3.6916%

8-Feb 124.30 101926.00 5.8773%

9-Feb 118.50 97170.00 -4.6661%

10-Feb 118.10 96842.00 -0.3376%

13-Feb 110.60 90692.00 -6.3506%

14-Feb 99.60 81672.00 -9.9458%

15-Feb 109.10 89462.00 9.5382%

20-Feb 119.90 98318.00 9.8992%

22-Feb 114.80 94136.00 -4.2535%

23-Feb 114.50 93890.00 -0.2613%

24-Feb 110.40 90528.00 -3.5808%

27-Feb 102.50 84050.00 -7.1558%

28-Feb 102.90 84378.00 0.3902%

1-Mar 113.10 92742.00 9.9125%

2-Mar 102.10 83722.00 -9.7259%

3-Mar 110.80 90856.00 8.5211%

6-Mar 114.00 93480.00 2.8881%

7-Mar 116.00 95120.00 1.7544%

8-Mar 121.60 99712.00 4.8276%

9-Mar 124.50 102090.00 2.3849%

10-Mar 127.90 104878.00 2.7309%

13-Mar 118.30 97006.00 -7.5059%

14-Mar 124.80 102336.00 5.4945%

11 23/08/2010


15-Mar 120.10 98482.00 -3.7660%

16-Mar 123.30 101106.00 2.6644%

20-Mar 128.80 105616.00 4.4607%

21-Mar 126.90 104058.00 -1.4752%

22-Mar 125.80 103156.00 -0.8668%

23-Mar 122.40 100368.00 -2.7027%

24-Mar 119.10 97662.00 -2.6961%

27-Mar 118.30 97006.00 -0.6717%

28-Mar 123.00 100860.00 3.9730%

29-Mar 121.70 99794.00 -1.0569%

30-Mar 120.80 99056.00 -0.7395%

31-Mar 120.60 98892.00 -0.1656%

3-Apr 119.90 98318.00 -0.5804%

4-Apr 120.80 99056.00 0.7506%

5-Apr 120.50 98810.00 -0.2483%

6-Apr 119.70 98154.00 -0.6639%

7-Apr 121.30 99466.00 1.3367%

10-Apr 117.30 96186.00 -3.2976%

11-Apr 116.10 95202.00 -1.0230%

12-Apr 116.10 95202.00 0.0000%

13-Apr 115.40 94628.00 -0.6029%

17-Apr 113.90 93398.00 -1.2998%

18-Apr 113.90 93398.00 0.0000%

19-Apr 111.20 91184.00 -2.3705%

20-Apr 109.90 90118.00 -1.1691%

21-Apr 112.10 91922.00 2.0018%

12 23/08/2010


24-Apr 120.90 99138.00 7.8501%

25-Apr 110.20 90364.00 -8.8503%

26-Apr 113.70 93234.00 3.1760%

27-Apr 117.80 96596.00 3.6060%

28-Apr 113.90 93398.00 -3.3107%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs BexPharma

Daily Return of MarketDaily Return of Bxpharma

Date

%D

ail

y R

etu

rn

Figure: Market Vs BexPharma Daily Return

From the above graph and table we found out that return was volatile over the period but from 21st march to 18th April return of Beximco was stable with the volatility of only 5%.

13 23/08/2010


Daily Returns for Renata Ltd. :


6-Feb 12014.25 96114.00 0.0000%

7-Feb 11759.75 94078.00 -2.1183%

8-Feb 11798.25 94386.00 0.3274%

9-Feb 11861.50 94892.00 0.5361%

10-Feb 11730.50 93844.00 -1.1044%

13-Feb 11479.25 91834.00 -2.1419%

14-Feb 11180.00 89440.00 -2.6069%

15-Feb 11457.25 91658.00 2.4799%

20-Feb 11655.00 93240.00 1.7260%

22-Feb 11525.25 92202.00 -1.1133%

23-Feb 11297.50 90380.00 -1.9761%

24-Feb 11036.75 88294.00 -2.3080%

27-Feb 10744.50 85956.00 -2.6480%

28-Feb 10474.50 83796.00 -2.5129%

1-Mar 10720.00 85760.00 2.3438%

2-Mar 10480.00 83840.00 -2.2388%

3-Mar 10252.25 82018.00 -2.1732%

6-Mar 10275.00 82200.00 0.2219%

7-Mar 10536.75 84294.00 2.5474%

8-Mar 10833.50 86668.00 2.8163%

9-Mar 11505.00 92040.00 6.1984%

10-Mar 11130.00 89040.00 -3.2595%

14 23/08/2010


13-Mar 11144.75 89158.00 0.1325%

14-Mar 11420.25 91362.00 2.4720%

15-Mar 11320.50 90564.00 -0.8734%

16-Mar 11500.00 92000.00 1.5856%

20-Mar 11729.00 93832.00 1.9913%

21-Mar 11966.50 95732.00 2.0249%

22-Mar 11973.50 95788.00 0.0585%

23-Mar 12262.75 98102.00 2.4158%

24-Mar 12048.00 96384.00 -1.7512%

27-Mar 12195.50 97564.00 1.2243%

28-Mar 12127.75 97022.00 -0.5555%

29-Mar 12424.50 99396.00 2.4469%

30-Mar 12721.75 101774.00 2.3925%

31-Mar 13016.00 104128.00 2.3130%

3-Apr 13311.00 106488.00 2.2664%

4-Apr 13205.00 105640.00 -0.7963%

5-Apr 13290.00 106320.00 0.6437%

6-Apr 13406.00 107248.00 0.8728%

7-Apr 13700.00 109600.00 2.1930%

10-Apr 13956.25 111650.00 1.8704%

11-Apr 13956.25 111650.00 0.0000%

12-Apr 13435.25 107482.00 -3.7331%

13-Apr 13431.00 107448.00 -0.0316%

17-Apr 13276.00 106208.00 -1.1540%

18-Apr 13044.00 104352.00 -1.7475%

19-Apr 12784.00 102272.00 -1.9933%

15 23/08/2010


20-Apr 12523.00 100184.00 -2.0416%

21-Apr 12714.00 101712.00 1.5252%

24-Apr 12416.75 99334.00 -2.3380%

25-Apr 12118.75 96950.00 -2.4000%

26-Apr 11844.50 94756.00 -2.2630%

27-Apr 12127.00 97016.00 2.3851%

28-Apr 12427.00 99416.00 2.4738%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Market Vs Renata

Daily Return of MarketDaily Return of Renata

Date

%D

ail

y R

etu

rn

Figure: Market Vs Renata Daily Return

Return of Renata fluctuated between 5% to negative 5% over the three months time. From this stock we can found the we could make short time profit by buying the share when price is low and selling the stocks when return is high.

16 23/08/2010


Daily Returns for Marico Bangladesh Limited :

Date Price Total value % Change

6-Feb 589.80 99676.20 0.0000%

7-Feb 509.80 86156.20 -13.5639%

8-Feb 548.00 92612.00 7.4931%

9-Feb 541.50 91513.50 -1.1861%

10-Feb 529.00 89401.00 -2.3084%

13-Feb 499.30 84381.70 -5.6144%

14-Feb 461.90 78061.10 -7.4905%

15-Feb 498.90 84314.10 8.0104%

20-Feb 536.20 90617.80 7.4764%

22-Feb 501.30 84719.70 -6.5088%

23-Feb 490.50 82894.50 -2.1544%

24-Feb 483.90 81779.10 -1.3456%

27-Feb 475.70 80393.30 -1.6946%

28-Feb 440.70 74478.30 -7.3576%

1-Mar 477.70 80731.30 8.3957%

2-Mar 451.90 76371.10 -5.4009%

3-Mar 460.00 77740.00 1.7924%

6-Mar 491.20 83012.80 6.7826%

7-Mar 522.50 88302.50 6.3721%

8-Mar 539.40 91158.60 3.2344%

9-Mar 545.20 92138.80 1.0753%

10-Mar 565.00 95485.00 3.6317%

17 23/08/2010


13-Mar 528.20 89265.80 -6.5133%

14-Mar 533.50 90161.50 1.0034%

15-Mar 511.20 86392.80 -4.1799%

16-Mar 524.60 88657.40 2.6213%

20-Mar 559.50 94555.50 6.6527%

21-Mar 552.80 93423.20 -1.1975%

22-Mar 577.22 97550.18 4.4175%

23-Mar 595.50 100639.50 3.1669%

24-Mar 604.60 102177.40 1.5281%

27-Mar 621.10 104965.90 2.7291%

28-Mar 628.20 106165.80 1.1431%

29-Mar 636.50 107568.50 1.3212%

30-Mar 632.70 106926.30 -0.5970%

31-Mar 656.60 110965.40 3.7775%

3-Apr 634.70 107264.30 -3.3354%

4-Apr 644.20 108869.80 1.4968%

5-Apr 638.70 107940.30 -0.8538%

6-Apr 637.90 107805.10 -0.1253%

7-Apr 635.50 107399.50 -0.3762%

10-Apr 632.20 106841.80 -0.5193%

11-Apr 632.20 106841.80 0.0000%

12-Apr 621.70 105067.30 -1.6609%

13-Apr 615.40 104002.60 -1.0134%

17-Apr 609.00 102921.00 -1.0400%

18-Apr 598.70 101180.30 -1.6913%

19-Apr 590.80 99845.20 -1.3195%

18 23/08/2010


20-Apr 580.90 98172.10 -1.6757%

21-Apr 589.80 99676.20 1.5321%

24-Apr 567.60 95924.40 -3.7640%

25-Apr 509.60 86122.40 -10.2185%

26-Apr 505.40 85412.60 -0.8242%

27-Apr 533.90 90229.10 5.6391%

28-Apr 516.20 87237.80 -3.3152%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

Market Vs Marico

Daily Return of MarketDaily Retun of Marico

Date

%D

ail

y R

etu

rn

Figure: Market Vs Marico daily Return

Return of the Marico Bangladesh stocks was more fickle during the 7th February to 21st March and last 5days of April other than that return of this stock was almost no volatility.

Daily Returns for Glaxo SmithKline:

19 23/08/2010



6-Feb 976.40 99592.80 0.0000%

7-Feb 918.20 93656.40 -5.9607%

8-Feb 938.70 95747.40 2.2326%

9-Feb 916.20 93452.40 -2.3969%

10-Feb 867.40 88474.80 -5.3263%

13-Feb 742.70 75755.40 -14.3763%

14-Feb 693.40 70726.80 -6.6379%

15-Feb 738.80 75357.60 6.5474%

20-Feb 789.90 80569.80 6.9166%

22-Feb 778.90 79447.80 -1.3926%

23-Feb 769.00 78438.00 -1.2710%

24-Feb 794.60 81049.20 3.3290%

27-Feb 746.30 76122.60 -6.0785%

28-Feb 695.50 70941.00 -6.8069%

1-Mar 739.40 75418.80 6.3120%

2-Mar 719.60 73399.20 -2.6778%

3-Mar 729.40 74398.80 1.3619%

6-Mar 763.80 77907.60 4.7162%

7-Mar 763.80 77907.60 0.0000%

8-Mar 815.70 83201.40 6.7950%

9-Mar 845.60 86251.20 3.6656%

10-Mar 890.30 90810.60 5.2862%

13-Mar 829.50 84609.00 -6.8292%

20 23/08/2010


14-Mar 832.10 84874.20 0.3134%

15-Mar 802.80 81885.60 -3.5212%

16-Mar 805.70 82181.40 0.3612%

20-Mar 865.30 88260.60 7.3973%

21-Mar 890.70 90851.40 2.9354%

22-Mar 878.60 89617.20 -1.3585%

23-Mar 911.90 93013.80 3.7901%

24-Mar 907.20 92534.40 -0.5154%

27-Mar 892.80 91065.60 -1.5873%

28-Mar 906.40 92452.80 1.5233%

29-Mar 934.70 95339.40 3.1222%

30-Mar 994.50 101439.00 6.3978%

31-Mar 1057.00 107814.00 6.2846%

3-Apr 1054.40 107548.80 -0.2460%

4-Apr 1017.00 103734.00 -3.5470%

5-Apr 994.90 101479.80 -2.1731%

6-Apr 1002.00 102204.00 0.7136%

7-Apr 1048.20 106916.40 4.6108%

10-Apr 1053.20 107426.40 0.4770%

11-Apr 1053.20 107426.40 0.0000%

12-Apr 1005.10 102520.20 -4.5670%

13-Apr 1001.00 102102.00 -0.4079%

17-Apr 972.70 99215.40 -2.8272%

18-Apr 950.30 96930.60 -2.3029%

19-Apr 944.90 96379.80 -0.5682%

20-Apr 918.00 93636.00 -2.8469%

21 23/08/2010


21-Apr 923.60 94207.20 0.6100%

24-Apr 912.10 93034.20 -1.2451%

25-Apr 857.70 87485.40 -5.9643%

26-Apr 851.00 86802.00 -0.7812%

27-Apr 890.20 90800.40 4.6063%

28-Apr 915.40 93370.80 2.8308%

06-Feb

11-Feb

16-Feb

21-Feb

26-Feb

03-Mar

08-Mar

13-Mar

18-Mar

23-Mar

28-Mar

02-Apr

07-Apr

12-Apr

17-Apr

22-Apr

27-Apr

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs Glaxo

Daily Return of MarketDaily Return of Glaxo

Axis Title

Axi

s Ti

tle

Figure: Market Vs Glaxosmith Daily return

Stock price of Glaxo SmithKline has sharply fall from 8th February to 14th February then its again sharply rise by 18th February. After that price and therefore return was almost same volatile during the period.

Daily Returns for Rupali Insurance:

22 23/08/2010



23 23/08/2010


6-Feb 134.50 99933.50 0.0000%

7-Feb 124.70 92652.10 -7.2862%

8-Feb 135.80 100899.40 8.9014%

9-Feb 124.60 92577.80 -8.2474%

10-Feb 117.40 87228.20 -5.7785%

13-Feb 106.70 79278.10 -9.1141%

14-Feb 96.10 71402.30 -9.9344%

15-Feb 101.90 75711.70 6.0354%

20-Feb 111.80 83067.40 9.7154%

22-Feb 114.40 84999.20 2.3256%

23-Feb 110.50 82101.50 -3.4091%

24-Feb 106.90 79426.70 -3.2579%

27-Feb 96.80 71922.40 -9.4481%

28-Feb 87.50 65012.50 -9.6074%

1-Mar 96.00 71328.00 9.7143%

2-Mar 90.60 67315.80 -5.6250%

3-Mar 92.80 68950.40 2.4283%

6-Mar 101.80 75637.40 9.6983%

7-Mar 111.60 82918.80 9.6267%

8-Mar 121.40 90200.20 8.7814%

9-Mar 135.60 100750.80 11.6969%

10-Mar 143.30 106471.90 5.6785%

13-Mar 132.20 98224.60 -7.7460%

14-Mar 143.90 106917.70 8.8502%

15-Mar 157.40 116948.20 9.3815%

16-Mar 165.70 123115.10 5.2732%

24 23/08/2010


20-Mar 155.00 115165.00 -6.4575%

21-Mar 145.50 108106.50 -6.1290%

22-Mar 149.70 111227.10 2.8866%

23-Mar 144.50 107363.50 -3.4736%

24-Mar 140.50 104391.50 -2.7682%

27-Mar 140.50 104391.50 0.0000%

28-Mar 147.50 109592.50 4.9822%

29-Mar 143.20 106397.60 -2.9153%

30-Mar 142.40 105803.20 -0.5587%

31-Mar 146.80 109072.40 3.0899%

3-Apr 145.90 108403.70 -0.6131%

4-Apr 145.00 107735.00 -0.6169%

5-Apr 144.50 107363.50 -0.3448%

6-Apr 148.60 110409.80 2.8374%

7-Apr 146.30 108700.90 -1.5478%

10-Apr 147.30 109443.90 0.6835%

11-Apr 147.30 109443.90 0.0000%

12-Apr 147.40 109518.20 0.0679%

13-Apr 144.10 107066.30 -2.2388%

17-Apr 144.30 107214.90 0.1388%

18-Apr 141.10 104837.30 -2.2176%

19-Apr 136.60 101493.80 -3.1892%

20-Apr 136.40 101345.20 -0.1464%

21-Apr 139.40 103574.20 2.1994%

24-Apr 134.50 99933.50 -3.5151%

25 23/08/2010


25-Apr 130.30 96812.90 -3.1227%

26-Apr 130.60 97035.80 0.2302%

27-Apr 137.40 102088.20 5.2067%

28-Apr 136.50 101419.50 -0.6550%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs RUPALIINS

Daily Return of MarketDaily Return of RUPALIINS

Date

%D

ail

y R

etu

rn

Figure: Market Vs RUPLIINS daily Return

During half of the period share price of the Rupali Insurance sharply fail and sharply went up. Volatility of the Return was up 10% and negative 10%. Other then this last half of the period share price did not fluctuated that much therefor return was between 5% volatility.

Daily Returns for National Life Insurance:


26 23/08/2010


6-Feb 6084.50 97352.00 0.0000%

7-Feb 5866.00 93856.00 -3.5911%

8-Feb 6033.00 96528.00 2.8469%

9-Feb 5809.00 92944.00 -3.7129%

10-Feb 5594.00 89504.00 -3.7012%

13-Feb 5384.25 86148.00 -3.7496%

14-Feb 5182.50 82920.00 -3.7470%

15-Feb 5261.75 84188.00 1.5292%

20-Feb 5457.25 87316.00 3.7155%

22-Feb 5309.75 84956.00 -2.7028%

23-Feb 5134.75 82156.00 -3.2958%

24-Feb 4986.25 79780.00 -2.8921%

27-Feb 4800.00 76800.00 -3.7353%

28-Feb 4622.75 73964.00 -3.6927%

1-Mar 4796.00 76736.00 3.7478%

2-Mar 4610.00 73760.00 -3.8782%

3-Mar 4612.00 73792.00 0.0434%

6-Mar 4616.50 73864.00 0.0976%

7-Mar 4801.00 76816.00 3.9965%

8-Mar 4988.25 79812.00 3.9002%

9-Mar 5200.00 83200.00 4.2450%

10-Mar 5344.75 85516.00 2.7837%

13-Mar 5200.50 83208.00 -2.6989%

14-Mar 5394.75 86316.00 3.7352%

15-Mar 5371.25 85940.00 -0.4356%

16-Mar 5544.00 88704.00 3.2162%

27 23/08/2010


20-Mar 5751.75 92028.00 3.7473%

21-Mar 5919.50 94712.00 2.9165%

22-Mar 5773.25 92372.00 -2.4706%

23-Mar 5711.50 91384.00 -1.0696%

24-Mar 5501.00 88016.00 -3.6855%

27-Mar 5464.25 87428.00 -0.6681%

28-Mar 5668.75 90700.00 3.7425%

29-Mar 5881.25 94100.00 3.7486%

30-Mar 6101.75 97628.00 3.7492%

31-Mar 6331.00 101296.00 3.7571%

3-Apr 6509.75 104156.00 2.8234%

4-Apr 6434.00 102944.00 -1.1636%

5-Apr 6314.25 101028.00 -1.8612%

6-Apr 6372.00 101952.00 0.9146%

7-Apr 6675.00 106800.00 4.7552%

10-Apr 6779.25 108468.00 1.5618%

11-Apr 6779.25 108468.00 0.0000%

12-Apr 6940.00 111040.00 2.3712%

13-Apr 7147.00 114352.00 2.9827%

17-Apr 7415.00 118640.00 3.7498%

18-Apr 7693.00 123088.00 3.7492%

19-Apr 7484.50 119752.00 -2.7103%

20-Apr 7323.25 117172.00 -2.1545%

21-Apr 7597.00 121552.00 3.7381%

24-Apr 7487.00 119792.00 -1.4479%

28 23/08/2010


25-Apr 7210.00 115360.00 -3.6997%

26-Apr 7145.50 114328.00 -0.8946%

27-Apr 7411.50 118584.00 3.7226%

28-Apr 7397.00 118352.00 -0.1956%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Market Vs Natelife

Daily Return of MarketDaily Natelife

Date

%D

ail

y R

etu

rn

Figure: Market Vs Natelife Ins

Return of National Life Insurance fluctuated between 5% to negative 5% over the three months time. From this stock we can found the we could make short time profit by buying the share when price is low and selling the stocks when return is high.

Daily Returns for Green Delta Insurance:


6-Feb 240.20 99923.20 0.0000%

7-Feb 232.50 96720.00 -3.2057%

29 23/08/2010


8-Feb 251.70 104707.20 8.2581%

9-Feb 248.80 103500.80 -1.1522%

10-Feb 236.50 98384.00 -4.9437%

13-Feb 217.00 90272.00 -8.2452%

14-Feb 198.10 82409.60 -8.7097%

15-Feb 211.40 87942.40 6.7138%

20-Feb 229.80 95596.80 8.7039%

22-Feb 228.10 94889.60 -0.7398%

23-Feb 219.70 91395.20 -3.6826%

24-Feb 208.00 86528.00 -5.3254%

27-Feb 189.80 78956.80 -8.7500%

28-Feb 172.40 71718.40 -9.1675%

1-Mar 189.50 78832.00 9.9188%

2-Mar 174.00 72384.00 -8.1794%

3-Mar 183.10 76169.60 5.2299%

6-Mar 194.30 80828.80 6.1169%

7-Mar 211.50 87984.00 8.8523%

8-Mar 228.90 95222.40 8.2270%

9-Mar 235.20 97843.20 2.7523%

10-Mar 245.80 102252.80 4.5068%

13-Mar 226.80 94348.80 -7.7299%

14-Mar 246.40 102502.40 8.6420%

15-Mar 246.60 102585.60 0.0812%

16-Mar 265.20 110323.20 7.5426%

20-Mar 283.20 117811.20 6.7873%

21-Mar 263.00 109408.00 -7.1328%

30 23/08/2010


22-Mar 260.60 108409.60 -0.9125%

23-Mar 259.70 108035.20 -0.3454%

24-Mar 250.40 104166.40 -3.5811%

27-Mar 253.50 105456.00 1.2380%

28-Mar 266.00 110656.00 4.9310%

29-Mar 256.40 106662.40 -3.6090%

30-Mar 255.30 106204.80 -0.4290%

31-Mar 257.90 107286.40 1.0184%

3-Apr 259.10 107785.60 0.4653%

4-Apr 260.60 108409.60 0.5789%

5-Apr 265.70 110531.20 1.9570%

6-Apr 265.40 110406.40 -0.1129%

7-Apr 264.00 109824.00 -0.5275%

10-Apr 266.40 110822.40 0.9091%

11-Apr 266.40 110822.40 0.0000%

12-Apr 259.50 107952.00 -2.5901%

13-Apr 245.50 102128.00 -5.3950%

17-Apr 231.60 96345.60 -5.6619%

18-Apr 236.90 98550.40 2.2884%

19-Apr 233.60 97177.60 -1.3930%

20-Apr 222.10 92393.60 -4.9229%

21-Apr 226.60 94265.60 2.0261%

24-Apr 219.70 91395.20 -3.0450%

25-Apr 207.40 86278.40 -5.5985%

26-Apr 204.10 84905.60 -1.5911%

31 23/08/2010


27-Apr 221.90 92310.40 8.7212%

28-Apr 228.00 94848.00 2.7490%

06-Feb

11-Feb

16-Feb

21-Feb

26-Feb

03-Mar

08-Mar

13-Mar

18-Mar

23-Mar

28-Mar

02-Apr

07-Apr

12-Apr

17-Apr

22-Apr

27-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs GreenDelta

Daily Return of MarketDaily Greendelta

Date

%d

aily

Re

turn

Figure: Market Vs GreenDelta

While analyzing the Return on the stock of Green Delta Insurance we found a interesting trend up to the first half of the investment period. Here we saw that return of the stock steadily declined when it started to decline but it suddenly rise sharply and after that again a steady fall of return.

Daily Returns for Fareast Islami Life Insurance Co. Ltd:


6-Feb 318.60 99721.80 0.0000%

32 23/08/2010


7-Feb 306.60 95965.80 -3.7665%

8-Feb 333.00 104229.00 8.6106%

9-Feb 322.30 100879.90 -3.2132%

10-Feb 312.60 97843.80 -3.0096%

13-Feb 288.30 90237.90 -7.7735%

14-Feb 263.10 82350.30 -8.7409%

15-Feb 277.60 86888.80 5.5112%

20-Feb 301.80 94463.40 8.7176%

22-Feb 295.20 92397.60 -2.1869%

23-Feb 283.20 88641.60 -4.0650%

24-Feb 271.00 84823.00 -4.3079%

27-Feb 256.00 80128.00 -5.5351%

28-Feb 234.70 73461.10 -8.3203%

1-Mar 255.20 79877.60 8.7346%

2-Mar 237.50 74337.50 -6.9357%

3-Mar 255.60 80002.80 7.6211%

6-Mar 269.00 84197.00 5.2426%

7-Mar 292.50 91552.50 8.7361%

8-Mar 313.80 98219.40 7.2821%

9-Mar 325.30 101818.90 3.6648%

10-Mar 339.50 106263.50 4.3652%

13-Mar 310.40 97155.20 -8.5714%

14-Mar 336.80 105418.40 8.5052%

15-Mar 330.00 103290.00 -2.0190%

16-Mar 347.50 108767.50 5.3030%

20-Mar 368.30 115277.90 5.9856%

33 23/08/2010


21-Mar 349.60 109424.80 -5.0774%

22-Mar 347.50 108767.50 -0.6007%

23-Mar 341.20 106795.60 -1.8129%

24-Mar 332.50 104072.50 -2.5498%

27-Mar 330.60 103477.80 -0.5714%

28-Mar 349.20 109299.60 5.6261%

29-Mar 340.60 106607.80 -2.4628%

30-Mar 349.50 109393.50 2.6130%

31-Mar 352.10 110207.30 0.7439%

3-Apr 347.50 108767.50 -1.3064%

4-Apr 348.00 108924.00 0.1439%

5-Apr 351.60 110050.80 1.0345%

6-Apr 350.10 109581.30 -0.4266%

7-Apr 355.20 111177.60 1.4567%

10-Apr 363.10 113650.30 2.2241%

11-Apr 363.10 113650.30 0.0000%

12-Apr 355.20 111177.60 -2.1757%

13-Apr 352.10 110207.30 -0.8727%

17-Apr 352.60 110363.80 0.1420%

18-Apr 351.10 109894.30 -0.4254%

19-Apr 344.70 107891.10 -1.8228%

20-Apr 335.10 104886.30 -2.7850%

21-Apr 342.40 107171.20 2.1785%

24-Apr 336.90 105449.70 -1.6063%

25-Apr 325.70 101944.10 -3.3244%

34 23/08/2010


26-Apr 322.60 100973.80 -0.9518%

27-Apr 341.60 106920.80 5.8896%

28-Apr 331.90 103884.70 -2.8396%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Market Vs FareEast

Daily Return of MarketDaily Retunr of Fareeast

Date

%D

ail

y R

etu

rn

Figure: market Vs FareEast

Another interesting thing is to notice that return of Fareast Islami Life Insurance Co. Ltd. And Green Delta Insurance was almost same other than a silly change in the return during 11th April and 18th april where as Green Delta Insurance return was negative on the other hand Fareast Islami Life Insurance Co. Ltd return was almost zero.

Daily Returns for Grameenphone Ltd:


6-Feb 213.00 99897.00 0.0000%

7-Feb 209.70 98349.30 -1.5493%

35 23/08/2010


8-Feb 219.10 102757.90 4.4826%

9-Feb 210.80 98865.20 -3.7882%

10-Feb 206.30 96754.70 -2.1347%

13-Feb 190.10 89156.90 -7.8526%

14-Feb 172.60 80949.40 -9.2057%

15-Feb 185.50 86999.50 7.4739%

20-Feb 185.50 86999.50 0.0000%

22-Feb 177.30 83153.70 -4.4205%

23-Feb 172.20 80761.80 -2.8765%

24-Feb 162.20 76071.80 -5.8072%

27-Feb 149.80 70256.20 -7.6449%

28-Feb 139.90 65613.10 -6.6088%

1-Mar 153.80 72132.20 9.9357%

2-Mar 144.40 67723.60 -6.1118%

3-Mar 152.10 71334.90 5.3324%

6-Mar 158.30 74242.70 4.0763%

7-Mar 167.20 78416.80 5.6222%

8-Mar 175.50 82309.50 4.9641%

9-Mar 179.10 83997.90 2.0513%

10-Mar 189.20 88734.80 5.6393%

13-Mar 172.10 80714.90 -9.0381%

14-Mar 184.20 86389.80 7.0308%

15-Mar 176.80 82919.20 -4.0174%

16-Mar 178.10 83528.90 0.7353%

20-Mar 178.30 83622.70 0.1123%

36 23/08/2010


21-Mar 174.80 81981.20 -1.9630%

22-Mar 171.70 80527.30 -1.7735%

23-Mar 169.50 79495.50 -1.2813%

24-Mar 163.80 76822.20 -3.3628%

27-Mar 163.30 76587.70 -0.3053%

28-Mar 168.30 78932.70 3.0618%

29-Mar 165.50 77619.50 -1.6637%

30-Mar 166.80 78229.20 0.7855%

31-Mar 173.90 81559.10 4.2566%

3-Apr 170.40 79917.60 -2.0127%

4-Apr 170.10 79776.90 -0.1761%

5-Apr 168.70 79120.30 -0.8230%

6-Apr 168.50 79026.50 -0.1186%

7-Apr 169.10 79307.90 0.3561%

10-Apr 170.40 79917.60 0.7688%

11-Apr 170.40 79917.60 0.0000%

12-Apr 168.80 79167.20 -0.9390%

13-Apr 170.40 79917.60 0.9479%

17-Apr 169.50 79495.50 -0.5282%

18-Apr 167.70 78651.30 -1.0619%

19-Apr 166.00 77854.00 -1.0137%

20-Apr 162.90 76400.10 -1.8675%

21-Apr 163.10 76493.90 0.1228%

24-Apr 160.30 75180.70 -1.7167%

25-Apr 153.10 71803.90 -4.4916%

37 23/08/2010


26-Apr 154.00 72226.00 0.5879%

27-Apr 158.80 74477.20 3.1169%

28-Apr 157.20 73726.80 -1.0076%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs GP

Daily Return of MarketDaily Retune of GP

Date

%D

ail

y R

etu

rn

Figure: market Vs GP

Up to 28th February there was a steady decline of the return of Grameen phonewithout a sharp rise in return on 15th February. And after 14 March there was less volatility on the return of Grameen Phone limited.

Daily Returns for Market:

The change in DSE General Index was taken as the daily market return from the data that we collected over the observation period [Given in the appendix].

38 23/08/2010


Date General Index Change in General Index

6-Feb 6719.04492 0

7-Feb 6394.53057 -4.83%

8-Feb 6822.8539 6.70%

9-Feb 6673.40903 -2.19%

10-Feb 6527.19014 -2.19%

13-Feb 6052.41152 -7.27%

14-Feb 5579.50483 -7.81%

15-Feb 5926.3544 6.22%

20-Feb 6389.62535 7.82%

22-Feb 6173.38598 -3.38%

23-Feb 6018.48371 -2.51%

24-Feb 5800.93944 -3.61%

27-Feb 5463.35178 -5.82%

28-Feb 5203.08482 -4.76%

1-Mar 5601.59856 7.66%

2-Mar 5292.17471 -5.52%

3-Mar 5428.40494 2.57%

6-Mar 5536.91098 2.00%

7-Mar 5779.91477 4.39%

8-Mar 6051.10958 4.69%

9-Mar 6316.53817 4.39%

10-Mar 6609.5 4.64%

13-Mar 6179.52546 -6.51%

14-Mar 6457.98383 4.51%

39 23/08/2010


15-Mar 6318.1512 -2.17%

16-Mar 6411.91628 1.48%

20-Mar 6469.9063 0.90%

21-Mar 6528.20755 0.90%

22-Mar 6451.84516 -1.17%

23-Mar 6340.91359 -1.72%

24-Mar 6164.81944 -2.78%

27-Mar 6094.6394 -1.14%

28-Mar 6243.52934 2.44%

29-Mar 6221.67138 -0.35%

30-Mar 6249.35375 0.44%

31-Mar 6352.1018 1.64%

3-Apr 6451.13164 1.56%

4-Apr 6535.8749 1.31%

5-Apr 6455.80872 -1.23%

6-Apr 6454.04659 -0.03%

7-Apr 6540.6 1.34%

10-Apr 6556.51979 0.24%

11-Apr 6262.6935 -4.48%

12-Apr 6423.22618 2.56%

13-Apr 6386.35862 -0.57%

17-Apr 6346.98844 -0.62%

18-Apr 6318.22798 -0.45%

19-Apr 6249.99564 -1.08%

20-Apr 6132.5616 -1.88%

21-Apr 6192.6181 0.98%

40 23/08/2010


24-Apr 6076.31885 -1.88%

25-Apr 5863.97576 -3.49%

26-Apr 5806.30841 -0.98%

27-Apr 6083.28302 4.77%

28-Apr 6050.84566 -0.53%

06-F

eb

11-F

eb

16-F

eb

21-F

eb

26-F

eb

03-M

ar

08-M

ar

13-M

ar

18-M

ar

23-M

ar

28-M

ar

02-A

pr

07-A

pr

12-A

pr

17-A

pr

22-A

pr

27-A

pr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Daily Return of Market

Daily Return of Market

Figure : Daily Return of Market

Return of the market was 10% unstable during the period. Return on the market was more volatile in the first phase of the period after that there was stability in the return of the market.

Daily Returns for Portfolio:

The daily return on the portfolio was calculated in the same manner like the individual stocks. Here the total price of the portfolio was calculated based on the closing price of individual stocks first and then using similar formula the daily percentage of return was determined.

% Daily Return= (PCPT-PCPY) X100/PCPY

41 23/08/2010


Where, PCPT = Portfolio Closing Price of today

PCPY= Portfolio Closing Price of yesterday

Cash Account

Date No of securities Total Portfolio % Portfolio Return

6-Feb 3086 990591.00 0

7-Feb 3086 945584.30 -4.54%

8-Feb 3086 994982.90 5.22%

9-Feb 3086 965448.10 -2.97%

10-Feb 3086 939226.50 -2.72%

13-Feb 3086 872038.50 -7.15%

14-Feb 3086 809504.00 -7.17%

15-Feb 3086 855732.10 5.71%

20-Feb 3086 908056.20 6.11%

22-Feb 3086 885506.60 -2.48%

23-Feb 3086 864378.60 -2.39%

24-Feb 3086 841047.30 -2.70%

27-Feb 3086 793760.30 -5.62%

28-Feb 3086 749574.90 -5.57%

1-Mar 3086 804472.90 7.32%

2-Mar 3086 760165.20 -5.51%

3-Mar 3086 785750.00 3.37%

6-Mar 3086 816360.30 3.90%

7-Mar 3086 857744.70 5.07%

8-Mar 3086 902308.50 5.20%

42 23/08/2010


9-Mar 3086 936310.80 3.77%

10-Mar 3086 968595.10 3.45%

13-Mar 3086 908340.30 -6.22%

14-Mar 3086 952810.50 4.90%

15-Mar 3086 944917.40 -0.83%

16-Mar 3086 974766.00 3.16%

20-Mar 3086 1004651.40 3.07%

21-Mar 3086 986764.60 -1.78%

22-Mar 3086 985859.88 -0.09%

23-Mar 3086 982419.60 -0.35%

24-Mar 3086 962736.40 -2.00%

27-Mar 3086 963965.00 0.13%

28-Mar 3086 992693.90 2.98%

29-Mar 3086 990895.20 -0.18%

30-Mar 3086 1003999.00 1.32%

31-Mar 3086 1029380.60 2.53%

3-Apr 3086 1026644.50 -0.27%

4-Apr 3086 1023039.30 -0.35%

5-Apr 3086 1020428.90 -0.26%

6-Apr 3086 1024347.10 0.38%

7-Apr 3086 1038792.30 1.41%

10-Apr 3086 1046098.90 0.70%

11-Apr 3086 1045114.90 -0.09%

12-Apr 3086 1030159.00 -1.43%

13-Apr 3086 1021811.80 -0.81%

17-Apr 3086 1013274.70 -0.84%

43 23/08/2010


18-Apr 3086 1011029.70 -0.22%

19-Apr 3086 993847.00 -1.70%

20-Apr 3086 973254.80 -2.07%

21-Apr 3086 989664.30 1.69%

24-Apr 3086 977874.20 -1.19%

25-Apr 3086 930688.60 -4.83%

26-Apr 3086 927211.30 -0.37%

27-Apr 3086 969094.60 4.52%

28-Apr 3086 964233.60 -0.50%

06-Feb

12-Feb

18-Feb

24-Feb

02-Mar

08-Mar

14-Mar

20-Mar

26-Mar

01-Apr

07-Apr

13-Apr

19-Apr

25-Apr

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Market Vs Portfolio Cash

Daily Return of MarketDaily Return of Portfolio Cash

Date

%D

aily

Re

turn

Figure: market Vs Portfolio return

Daily return of portfolio on cash account during the first half of the period is more volatile than the second half. First half of the period return is full of sharp rise and down. Second half of the period return is less volatile.

Margin Account

Date

DSE General Index

Daily Return of

Portfolio Cash Account

Daily Return of

Portfolio Margin Account

Principal + Interest

Interest

Net Profit Daily Portfolio

44 23/08/2010


Market

Portfolio Cash

margin

06-Feb

6,719.04492

0.00 991,084.10

-

1,992,861.05

996840.15

410.15

07-Feb

6,394.53057

-4.83 953,083.10

(3.83)

1,916,547.55

997250.48

410.32

(76,723.82)

(7.70)

08-Feb

6822.8539

6.70 1,003,011.90

5.24

2,016,723.40

997660.97

410.49

99,765.36

10.01

09-Feb

6673.40903

-2.19 973,566.90

(2.94)

1,957,516.15

998071.63

410.66

(59,617.91)

(5.98)

10-Feb

6,527.19014

-2.19 947,242.10

(2.70)

1,904,634.30

998482.46

410.83

(53,292.68)

(5.35)

13-Feb

6,052.41152

-7.27 879,679.50

(7.13)

1,768,925.50

999715.97

1,233.51

(136,942.31)

(13.74)

14-Feb

5,579.50483

-7.81 816,621.20

(7.17)

1,642,372.75

1000127.48

411.51

(126,964.26)

(12.74)

15-Feb

5,926.35440

6.22 863,450.80

5.73

1,736,296.55

1002600.08

2,472.60

91,451.20

9.18

20-Feb

6,389.62535

7.82 916,309.80

6.12

1,842,426.30

1003012.78

412.69

105,717.06

10.61

22-Feb

6,173.38598

-3.38 897,025.00

(2.10)

1,803,592.35

1003425.64

412.86

(39,246.81)

(3.94)

23-Feb

6,018.48371

-2.51 871,771.30

(2.82)

1,752,853.05

1003838.68

413.03

(51,152.33)

(5.13)

24-Feb

5,800.93944

-3.61 848,374.40

(2.68)

1,705,891.00

1004251.88

413.20

(47,375.25)

(4.75)

27-Feb

5,463.35178

-5.82 801,118.60

(5.57)

1,611,002.60

1005492.51

1,240.63

(96,129.03)

(9.65)

28-Feb

5,203.08482

-4.76 756,432.90

(5.58)

1,521,285.20

1005906.40

413.89

(90,131.29)

(9.05)

01-Ma

5,601.59856

7.66 811,884.4

7.33

1,632,584

1006320.46

414.06

110,885.2

11.13

45 23/08/2010


r 0 .50 4 02-Mar

5,292.17471

-5.52 767,176.80

(5.51)

1,542,828.60

1006734.68

414.23

(90,170.13)

(9.05)

03-Mar

5,428.40494

2.57 792,889.60

3.35

1,594,381.75

1007149.08

414.40

51,138.75

5.13

06-Mar

5,536.91098

2.00 823,926.10

3.91

1,656,525.60

1008393.29

1,244.21

60,899.64

6.11

07-Mar

5,779.91477

4.39 865,732.70

5.07

1,740,456.75

1008808.37

415.08

83,516.07

8.38

08-Mar

6,051.10958

4.69 912,482.90

5.40

1,834,280.15

1009223.62

415.25

93,408.15

9.37

09-Mar

6,316.53817

4.39 941,446.90

3.17

1,892,460.10

1009639.04

415.42

57,764.53

5.80

10-Mar

6,639.18150

5.11 976,803.60

3.76

1,963,479.50

1010054.63

415.59

70,603.81

7.09

13-Mar

6179.52546

-6.92 916,042.50

(6.22)

1,841,574.30

1010886.33

831.70

(122,736.90)

(12.32)

14-Mar

6457.98383

4.51 960,405.80

4.84

1,930,584.30

1011302.44

416.11

88,593.89

8.89

15-Mar

6318.1512

-2.17 951,812.20

(0.89)

1,913,329.65

1011718.71

416.28

(17,670.93)

(1.77)

16-Mar

6411.91628

1.48 981,766.90

3.15

1,973,440.05

1012135.16

416.45

59,693.95

5.99

20-Mar

6469.9063

0.90 1,012,550.20

3.14

2,035,333.50

1013802.67

1,667.51

60,225.94

6.04

21-Mar

6528.20755

0.90 994,707.40

(1.76)

1,999,847.55

1014219.97

417.31

(35,903.26)

(3.60)

22-Mar

6,451.84516

-1.17 994,180.56

(0.05)

1,998,615.87

1014637.45

417.48

(1,649.16)

(0.17)

23-Mar

6,340.91359

-1.72 991,185.30

(0.30)

1,992,548.75

1015055.10

417.65

(6,484.77)

(0.65)

24- 6,164.819 -2.78 1015472.

46 23/08/2010


Mar

44 971,746.30

(1.96) 1,953,422.10

92 417.82 (39,544.47)

(3.97)

27-Mar

6,094.63940

-1.14 973,286.50

0.16

1,956,434.60

1016727.42

1,254.50

1,758.00

0.18

28-Mar

6,243.52934

2.44 1,002,028.90

2.95

2,014,182.50

1017145.93

418.51

57,329.39

5.75

29-Mar

6,221.67138

-0.35 1,000,465.30

(0.16)

2,011,302.25

1017564.61

418.68

(3,298.93)

(0.33)

30-Mar

6,249.35375

0.44 1,013,521.80

1.31

2,037,700.55

1017983.47

418.85

25,979.45

2.61

31-Mar

6,352.10180

1.64 1,039,272.10

2.54

2,089,524.90

1018402.49

419.03

51,405.32

5.16

03-Apr

6,451.13164

1.56 1,036,133.30

(0.30)

2,083,413.55

1019660.61

1,258.12

(7,369.47)

(0.74)

04-Apr

6,535.87490

1.31 1,032,727.10

(0.33)

2,076,485.30

1020080.33

419.72

(7,347.97)

(0.74)

05-Apr

6,455.80872

-1.23 1,030,025.80

(0.26)

2,070,933.45

1020500.22

419.89

(5,971.74)

(0.60)

06-Apr

6,454.04659

-0.03 1,033,845.30

0.37

2,078,633.70

1020920.28

420.06

7,280.19

0.73

07-Apr

6,540.60000

1.34 1,048,296.00

1.40

2,107,950.60

1021340.51

420.24

28,896.66

2.90

10-Apr

6,556.51979

0.24 1,055,527.80

0.69

2,122,595.50

1022602.26

1,261.75

13,383.15

1.34

11-Apr

6,262.69350

-4.48 1,054,543.80

(0.09)

2,120,627.50

1023023.19

420.93

(2,388.93)

(0.24)

12-Apr

6,423.22618

2.56 1,039,378.50

(1.44)

2,090,386.05

1023444.29

421.10

(30,662.55)

(3.08)

13-Apr

6,386.35862

-0.57 1,030,974.50

(0.81)

2,073,743.50

1023865.56

421.27

(17,063.82)

(1.71)

17-Apr

6,346.98844

-0.62 1,022,312.30

(0.84)

2,056,641.85

1025552.40

1,686.83

(18,788.48)

(1.89)

47 23/08/2010


18-Apr

6,318.22798

-0.45 1,019,934.10

(0.23)

2,052,158.55

1025974.54

422.14

(4,905.44)

(0.49)

19-Apr

6,249.99564

-1.08 1,002,684.90

(1.69)

2,017,435.05

1026396.85

422.32

(35,145.82)

(3.53)

20-Apr

6,132.56160

-1.88 981,899.00

(2.07)

1,975,636.80

1026819.34

422.49

(42,220.74)

(4.24)

21-Apr

6,192.61810

0.98 998,424.90

1.68

2,008,975.90

1027242.01

422.66

32,916.44

3.30

24-Apr

6,076.31885

-1.88 986,305.50

(1.21)

1,984,594.65

1028511.04

1,269.04

(25,650.29)

(2.57)

25-Apr

5,863.97576

-3.49 938,090.70

(4.89)

1,887,784.75

1028934.40

423.36

(97,233.26)

(9.76)

26-Apr

5,806.30841

-0.98 934,524.50

(0.38)

1,880,581.35

1029357.94

423.53

(7,626.93)

(0.77)

27-Apr

6,083.28302

4.77 976,832.30

4.53

1,965,598.25

1029781.65

423.71

84,593.19

8.49

28-Apr

6,050.84566

-0.53 971,643.30

(0.53)

1,955,178.70

1030205.53

423.88

(10,843.43)

(1.09)

06-Feb

11-Feb

16-Feb

21-Feb

26-Feb

03-Mar

08-Mar

13-Mar

18-Mar

23-Mar

28-Mar

02-Apr

07-Apr

12-Apr

17-Apr

22-Apr

27-Apr

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Market Vs Portfolio Margin

Daily Return of MarketDaily Portfolio margin

Date

%Da

ily R

etur

n

Figure: market vs margin account

48 23/08/2010


Daily return on margin account has ups and down in first half but this volatility is durable and second half is less volatile more or less margin account is giving us a negative return.

Yearly Return of Market, Portfolio and Stocks:

Table: Yearly Return, periodic return

Daily Return(period)

Annual Return

Market -6.75 -29.65Portfolio 2.34 10.30Portfolio (margin) -7.13 -31.34Squrepharma 1.70 7.48Bxpharma -0.99 -4.37Renata 4.41 19.38Marico 1.98 8.72Glaxosmith -0.94 -4.13Rupaliins 7.98 35.09

49 23/08/2010


NatelifeIns 22.03 96.85GreenDelt 2.54 11.15FareEast 10.27 45.16GP -25.56 -112.36

Mar

ket

Portfolio

Portfolio

(mar

gin)

Squre

pharm

a

Bxphar

ma

Renat

a

Mar

ico

Glaxo

smith

Rupaliin

s

Natel

ifeIn

s

Green

Delt

Fare

East

GP

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

-29.65

10.30

-31.34

7.48

-4.37

19.388.72

-4.13

35.09

96.85

11.15

45.16

-112.36

Return

Daily Return(period)Annual Return

Figure: Return of market, portfolio, stocks

From above graph of yearly return, we can see that Beximco Pharma, Marico, Glaxo Smith Kline and GP will give a negative return and other stocks will give a positive return. National Life Insurance will give highest yearly return of 97% where as GP will give a negative return of 113%. Market return of general DSE general index is negative of 30%, so it is normal that half of the securities will give negative return. We will get a positive portfolio return of 3% and if we invest in Margin Account we will get a negative 1%.

3.2 Beta of each stock

For calculating beta of each stock ,we have to run the regression analysis taking daily return of stock as Dependent variable and daily return of DSEGEN as the independent variable. The co-efficient is recorded for each stock and also portfolios, which is the beta of the stock or portfolio. We also find the beta of each stock based on data from 24th Nov-2009 till 5th may 2011.

50 23/08/2010


Table: Beta for the period and also for last 1.5 years

SD Beta

Statistical Beta (5th may'11-24th nov-09)

% change in Beta

Market 3.71 1.00 Portfolio 3.52 0.89 Portfolio (margin) 6.40 1.59 Squrepharma 2.41 0.57 0.42 34.519878Bxpharma 4.68 1.03 0.58 78.579027Renata 1.97 0.32 0.23 35.4019405Marico 4.27 0.90 0.60 49.4277183Glaxosmith 4.46 0.88 0.70 25.9057744Rupaliins 5.91 1.28 1.29 -1.0620664NatelifeIns 3.05 0.64 0.67 -5.6883835GreenDelt 5.41 1.23 1.14 7.14129278FareEast 4.85 1.15 1.02 13.0533972GP 4.15 0.97 1.03 -6.1326084

We can see that risk of each stock with the market increase for the last 3 months compare to the last one and half years. The risk of stocks with respect to market in pharmaceuticals sector significantly increase where as in insurance and pharmaceuticals sectors it is almost remain the same.

Market

Portfolio

Portfolio

(marg

in)

Squrep

harma

Bxpharm

a

Renata

Marico

Glaxosm

ith

Rupaliins

Natelife

Ins

GreenDelt

FareE

ast GP0.000.200.400.600.801.001.201.401.601.80

BetaStatistical Beta (5th may'11-24th nov-09)

51 23/08/2010


Figure: periodic Beta and historical Beta of stocks

We found from analysis that market risk of squarpharma, Renata, Marico, National Ins, GP is less and Beximco Pharma, Glaxosmith, Rupali Ins, Green Delta, FareEast is more risky than the market. And expected return from these stock should also be high.

Standard Deviation of each stock, Portfolio and Market:

Standard Deviations of the returns of the stocks and the same for portfolio and market were calculated

by formula of Microsoft Excel.

Table: SD, Beta, Return

SD BetaDaily Return(period) Annual

Statistical Beta (5th may'11-24th nov-09)

Market 3.71 1.00 -6.75 -29.65 Portfolio 3.52 0.89 2.34 10.30 Portfolio 6.40 1.59 -7.13 -31.34

52 23/08/2010


(margin)Squrepharma 2.41 0.57 1.70 7.48 0.42Bxpharma 4.68 1.03 -0.99 -4.37 0.58Renata 1.97 0.32 4.41 19.38 0.23Marico 4.27 0.90 1.98 8.72 0.60Glaxosmith 4.46 0.88 -0.94 -4.13 0.70Rupaliins 5.91 1.28 7.98 35.09 1.29NatelifeIns 3.05 0.64 22.03 96.85 0.67GreenDelt 5.41 1.23 2.54 11.15 1.14FareEast 4.85 1.15 10.27 45.16 1.02GP 4.15 0.97 -25.56 -112.36 1.03

Standard deviation of margin account is much higher (6.40) compare to the cash account (3.52) and market (3.71). Standard deviation of individual stocks is almost equal to the market.

Mar

ket

Portfolio

Portfolio

(mar

gin)

Squre

pharm

a

Bxphar

ma

Renat

a

Mar

ico

Glaxosm

ith

Rupaliin

s

Nateli

feIn

s

Green

Delt

Fare

East

GP0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

SDBetaStatistical Beta (5th may'11-24th nov-09)

Figure: SD, Beta

Market SD is 3.71% where as portfolio risk is 3.52 %. More share would be helpful to reduce the risk below the market level.

3.3 Alphas for stocks and portfolio

53 23/08/2010


We derived the expected return based on the statistical Beta of each stock from last 1.5 years data. The

actual return is then deducted from the expected return and alpha is calculated.

We have the below formula involving the estimated return, Alpha and Beta of a particular stock or

portfolio and the return of the market along with the error of estimation.

Ri=Alphai + Betai XRM +Ei

Where, Ri= Estimated Return on stock i

Alphai= Alpha of stock i

Betai= Beta of stock i

Ei= Difference between the estimated return and realized return for stock i

For our case as we are dealing with historical data that we have collected over the observation period,

we can exclude the error term and subtracting the product of beta of a particular stock and market

return from the return of that particular stock we calculated the alpha of the stock. It is worth

mentioning that the returns of the stocks, portfolio and market were calculated over the observation

period.

Table: Beta, Expected Return, Actual Return and Alpha

SD Beta

Actual Annual Return

Correlation With Market

Statistical Beta (5th may'11-24th nov-09) EXP (Re) Alpha

Market 3.71 1.00 -29.65 1.00 16.9748 -46.63Portfolio 3.52 0.89 10.30 0.94 Portfolio (margin) 6.40 1.59 -31.34 0.93 Squrepharma 2.41 0.57 7.48 0.89 0.42 10.07703 -2.60Bxpharma 4.68 1.03 -4.37 0.83 0.58 11.93355 -16.30Renata 1.97 0.32 19.38 0.60 0.23 7.78798 11.59Marico 4.27 0.90 8.72 0.79 0.60 12.23961 -3.52Glaxosmith 4.46 0.88 -4.13 0.73 0.70 13.36478 -17.49Rupaliins 5.91 1.28 35.09 0.81 1.29 20.44382 14.65NatelifeIns 3.05 0.64 96.85 0.78 0.67 13.06762 83.78GreenDelt 5.41 1.23 11.15 0.85 1.14 18.71013 -7.56

54 23/08/2010


FareEast 4.85 1.15 45.16 0.89 1.02 17.20736 27.96GP 4.15 0.97 -112.36 0.86 1.03 17.37068 -129.73

Almost all alpha value was negative for this period. Market alpha is -46.63%. This is due to the unrest in the share market. Only Renata in pharmaceuticals sector gave the positive alpha but all other company gave negative alpha. RupaliIns, NatelifeIns, FareEast gave positive alpha and greendelta gave negative alpha. Suppose FareEast Ins gave positive alpha. it’s expected return should be 17% where as it gave a return of 45%. It is because it has a beta greater than 1.0. highly correlation with the market. High SD so higher return. but for NateLifeIns though lower beta, lower SD it gave high return. So for Natelife this high return must be due to the company factors.

0 0.2 0.4 0.6 0.8 1 1.2 1.40

5

10

15

20

25

EXP (Re)Linear (EXP (Re))

Beta

Ex(R

)

Figure: Expected Return from the Beta (RF=5%)

55 23/08/2010


Market

Portfolio

Portfolio

(marg

in)

Squrep

harma

Bxpharm

a

Renata

Marico

Glaxosm

ith

Rupaliins

Natelife

Ins

GreenDelt

FareE

ast GP

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

AnnualEXP (Re)Alpha

Figure: Beta, Expected Return (from Beta), Actual Return and Alpha

Alpha is negative as those share are over valued.

3.4 Correlation

Correlation with the market:

The correlation among market returns and the same of portfolio and stocks were calculation by the

Microsoft Excel formula.

Table: Correlation of stock with market and portfolio.

Market Portfolio

Market 1.0000 0.9394

Portfolio 0.9394 1.0000

Squrepharma 0.8876 0.8966

Bxpharma 0.8284 0.8488

Renata 0.5994 0.6668

Marico 0.7918 0.8677

56 23/08/2010


Glaxosmith 0.7366 0.8061

Rupaliins 0.8086 0.8508

NatelifeIns 0.7802 0.7789

GreenDelt 0.8775 0.9330

FareEast 0.8911 0.9616

GP 0.8799 0.9237

The correlation of the stocks in the portfolio is highly positive. Correlation of the portfolio with the

market is 0.94 which means portfolio will change positively with the change in market. Among the stocks

squarfarma and fareeast is strongly sensitive to the market. Correlation of Renata with the market is

lowest 0.60 lowest of all correlation value. As all these correlation values are positive hence

diversification did not work properly. Hence portfolio total risk measured by SD is higher than the

market standard deviation.

Mar

ket

Portfolio

Cash

Portfolio

Mar

gin

Squar

ePhar

ma

BexPhar

ma

Renata

Mar

ico

GlaxoSm

ith

RupaliIns

Natelife

Green

delta

Fare

east GP

-

0.20

0.40

0.60

0.80

1.00

1.20

MarketPortfolio Cash

57 23/08/2010


Figure: Correlation of stocks with market and portfolio

Correlation with portfolio is higher than the correlation of stock with market.

Correlations among stocks: we calculated the correlation among the stocks using the daily return.

Table: Correlation Co-efficient

MarketPortfolio

Portfolio

SquarePharm

BexPharma

Renata Marico

GlaxoSmith RupaliIns Natelife

Greendelta Fareeast GP

Market 1.00 Portfolio Cash 0.94 1.00 Portfolio Margin 0.93 1.00 1.00

SquarePharma 0.89 0.89 0.88 1.00 BexPharma 0.83 0.85 0.84 0.82 1.00 Renata 0.60 0.67 0.67 0.52 0.39 1.00 Marico 0.79 0.87 0.86 0.78 0.73 0.58 1.00 GlaxoSmith 0.73 0.80 0.81 0.72 0.62 0.68 0.72 1.00 RupaliIns 0.81 0.85 0.85 0.68 0.64 0.49 0.65 0.57 1.00 Natelife 0.78 0.78 0.79 0.67 0.60 0.68 0.59 0.66 0.62 1.00 Greendelta 0.85 0.93 0.93 0.81 0.76 0.61 0.79 0.68 0.81 0.65 1.00 Fareeast 0.89 0.96 0.96 0.87 0.81 0.56 0.81 0.69 0.82 0.72 0.94 1.00 GP 0.86 0.91 0.90 0.83 0.77 0.55 0.74 0.68 0.77 0.69 0.84 0.89 1.00

The correlations among returns of the stocks were also calculated using Microsoft Excel formula.

Portfolio risk with help of correlation:

We had ten stocks each with equal weitage of 0.1. The variance term was calculated summing the

products of square of weightage of each stock and the square of standard deviation of each stock. On

the other hand, for determining the covariance we had to determine the all the unique correlations

among the stocks. We then calculated the product of the weightages of the stocks involved, standard

deviations of the stocks involved and correlation of among the involved stocks and then multiplied this

product by two to take care of the fact that unique correlations comes twice when it comes to

determine the covariance term. Then we sum up all these products to have the covariance term.

Finally adding the variance and covariance terms we get the variance of the portfolio based on the

correlations. And to get the standard deviation (risk) we just calculate the square root of the portfolio

variance.

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W SDW^2*SD^2

SquarPharma 0.10 2.41 0.06BexPharma 0.10 4.68 0.22

Renata 0.10 1.97 0.04

Marico 0.10 4.27 0.18

Glaxo 0.10 4.46 0.20

RupaliIns 0.10 5.91 0.35NateLifeins 0.10 3.05 0.09GreenDelta 0.10 5.41 0.29

FareEast 0.10 4.85 0.23

GP 0.10 4.15 0.17

Sum of Variance 1.8407

Correlation Sdi SDj 2xCorr(WixSDi)x(WjxSDj)

Cor(Squar, Bextex) 0.82 2.41 4.68 0.18Cor(Squar, renata) 0.52 2.41 1.97 0.05

Cor(Squar, Marico) 0.78 2.41 4.27 0.16

Cor(Squar, Glaxo) 0.72 2.41 4.46 0.16

Cor(Squar, Rupaliins) 0.68 2.41 5.91 0.19

Cor(Squar, Natelifes) 0.67 2.41 3.05 0.10Cor(Squar, GreenDelt) 0.81 2.41 5.41 0.21Cor(Squar, Fareeast) 0.87 2.41 4.85 0.20

Cor(Squar, GP) 0.83 2.41 4.15 0.17

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Cor(Bex,Renata) 0.39 4.68 1.97 0.07

Cor(Bex,Marico) 0.73 4.68 4.27 0.29

Cor(Bex,Glaxo) 0.62 4.68 4.46 0.26Cor(Bex,Rupaliins) 0.64 4.68 5.91 0.35Cor(Bex,Natelife) 0.60 4.68 3.05 0.17Cor(Bex,GreenDelt) 0.76 4.68 5.41 0.38Cor(Bex,Fareeast) 0.81 4.68 4.85 0.37Cor(Bex,GP) 0.77 4.68 4.15 0.30Cor(Renata,Marico) 0.58 1.97 4.27 0.10Cor(Renata,Glaxo) 0.68 1.97 4.46 0.12Cor(Renata,Rupali) 0.49 1.97 5.91 0.11Cor(Renata,Natelife) 0.68 1.97 3.05 0.08Cor(Renata,GreenDelt) 0.61 1.97 5.41 0.13Cor(Renata,Fareeast) 0.56 1.97 4.85 0.11Cor(Renata,GP) 0.55 1.97 4.15 0.09Cor(Marico,Glaxo) 0.72 4.27 4.46 0.28Cor(Marico,Rupali) 0.65 4.27 5.91 0.33Cor(Marico,Natelife) 0.59 4.27 3.05 0.15Cor(Marico,Greendelt) 0.79 4.27 5.41 0.36Cor(Marico,FareEast) 0.81 4.27 4.85 0.34Cor(Marico, GP) 0.74 4.27 4.15 0.26Cor(Glaxo, Rupali) 0.57 4.46 5.91 0.30Cor(Glaxo,Natelife) 0.66 4.46 3.05 0.18Cor(Glaxo,Greendelt) 0.68 4.46 5.41 0.33Cor(Glaxo,Farest) 0.69 4.46 4.85 0.30Cor(Glaxo,GP) 0.68 4.46 4.15 0.25Cor(Rupali, Natelife) 0.62 5.91 3.05 0.22Cor(Rupali,GreenDelt) 0.81 5.91 5.41 0.52Cor(Rupali,Farest) 0.82 5.91 4.85 0.47Cor(Rupali,GP) 0.77 5.91 4.15 0.38Cor(Natelifeins, Greendelt) 0.65 3.05 5.41 0.21Cor(Natelifeins,Fareeast) 0.72 3.05 4.85 0.21Cor(Natelifeins,GP) 0.69 3.05 4.15 0.17Cor(Greendelt, Fareast) 0.94 5.41 4.85 0.49Cor(Greendelt, GP) 0.84 5.41 4.15 0.38Cor(Fareeast, GP) 0.89 4.85 4.15 0.36

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Sum of Covariance 10.864544

Total Variance of Portfolio 10.86Standard Deviation of Portfolio 3.29SD calculated earlier 3.52

The variance of portfolio found is 10.86 and standard deviation of portfolio found 3.29 found from the

correlation of the stocks in the portfolio. The standard deviation found earlier was 3.52 for the portfolio.

4. Summary and Conclusion

The expected market return should be +16.97% as per CAPM method but we found the actual yearly

market return for last 3 months was almost -29.65% with a alpha of -46.63%.The return on the cash

account was around ten (10%) percent where as the return on the margin account excluding the interest

accrued was around negative one point twenty eight (-31%) percent. The less return on the margin

account was due to the fact the interest payable on the debt dominated the return from additional

investment by the debt. It is worth mentioning that no margin call was issued during the observation

period since portfolio asset value remained steady above 60% and did not decline below 60% at any

time for any stock. Insurance company gave high positive return as those have higher beta. Beximco,

Glaxo, GP gave negative return but all other stock somewhat gave positive return.

The risk (SD) of the portfolio was found to lower than the average of the same of individual stocks and

the market risk was higher than that of the portfolio implying that diversification reduces the risk of

individual stock but not that much. The portfolio risk calculated as the standard deviation of the

portfolio returns found 3.51 and the same calculated on the basis of correlations were 3.29 close to each

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other but was not exactly the same. The SD of margin account is 6.40 which is higher than the market

and portfolio of cash account.

We found positive correlation among the stock. Almost all the correlation is strongly positive. Hence the

diversification did not reduce the risk too much. We see that all SD values lies around 4.0 and market SD

and also portfolio SD also around 4.0.

We see that there is huge difference from the actual return from the expected return. We found that

expected cash portfolio return is +15% but actual portfolio return found 10 %. This is due to the fact that

portfolio is less risky than the market (0.89). Also less risky share in the portfolio like square pharma,

renata, Marico, Natelife help to reduce the total risk. During this time market was very much

vulnerable. Free fall happened many times. But we got positive return for squarepharma, renata,

rupaliins, natelife, green delta, fareeast. This is due to low beta for each stocks. Market vulnerability did

not affect too much to the insurance sector.

We observed the portfolio performance over a period of just two and half months. It would be much

better if we could have a considerable longer period as the randomness would be flattened out to some

extent when observed during longer period of time and the parameters that we calculated would have

revealed much more accurate and sensible data.

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References:

1. Dhaka Stock Exchange: http://www.dsebd.org/

2. Stock Bangladesh: http://www.stockbangladesh.com/resources/individual_return/1

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report fin 637

Documents

cash account portfolio

bdt of margin account

percent margin account

daily portfolio

portfolio risk

stocks of insurance

portfolio managementsubmitted

portfolio selectionas