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-
Mofakhkharul Karim
-101-0572-
Md. Monjur Rashed
560
460
082-443-
060
Md. Tariqul Islam
Shamsul Arefin
060
- 091-0566-060
-
082-597-
Investment Theory Project
Index
1. Objective
2. Portfolio Selection
4
3. Analysis
3.1 Return
3.2 Beta and Risk

49
3.3 Alpha
51
3.4 Correlation
53
4. Summary and Conclusion
59
5. References
63
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:
23/08/2010
Sl No
1
2
3
Sector
Pharmaceutical
Insurance
Telecommunication
No. of firms
5
4
1
Parameters to be determined
1. Cash account
2. Margin account
3. Daily return from each stock
4. Daily return from Mkt. index
5. Daily portfolio return
6. Beta for each stock
7. Alpha for each stock
8. Beta/alpha for portfolio
2.
Portfolio
9. Risk for each stock
Selection
10. Risk for portfolio
11. Correlation of each stock
12. Correlation with Mkt.
As
per
instruction
we
13. Portfolio risk with help of
have to select correlation
five companies
from
14. TR
15. Comparison
16. Dividend
17. And more.
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.
23/08/2010
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
Bexpharma
ReckitACI Formula Active Infu Bxsynth
ACI Ltd
Beacon
GlaxoSmith
Renata
Marico
SquarPharma
GlaxoSmith
Beacon
ACI Ltd
Marico
Reckit
Renata Bexpharma
ACI Formula
Active Infu
Bxsynth
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.
RupaliLife
PrimeLife
pragatilife
MeghnaLife
NatlifeIns
Sandhani
RupaliLife
GreenDelt
FareEast
DeltaLife
PopularLife
DeltaLife
PopularLife
NatlifeIns
MeghnaLife
pragatilife
FareEast GreenDelt
PrimeLife
Sandhani
Figure: Capital Structure of Insurance company

5
23/08/2010
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
Pharmaceuticals
Insurance
Telecommunication
Company
SquarPharma
BexPharma
Renata
Marico
Glaxo
RupaliIns
Natelife Ins
GreenDelta
GP
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
Pharmaceutical
Pharmaceutical
Pharmaceutical
Pharmaceutical
Pharmaceutical
Company
Name
SQURPHARMA
BXPHARMA
RENATA
MARICO
GLAXOSMITH
Purchase
Price
3280.75
121.90
12014.25
589.80
976.40
6
No. of
Securities
30
820
8
169
102
Initial
Value
98422.50
99958.00
96114.00
99676.20
99592.80
23/08/2010
Insurance
Insurance
Insurance
Insurance
Telecom
RUPALIINS
NATLIFEINS
GREENDELT
FAREASTLIF
GP
134.50
743
6084.50
16
240.20
416
318.60
313
213.00
469
Total Portfolio Investment
99933.50
97352.00
99923.20
99721.80
99897.00
990591.00
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
Pharmaceutica
l
Pharmaceutica
Company
Name
SQURPHARMA
Purchase
Price
3280.75
No. of
Securities
60
Initial
Value
196845.00
BXPHARMA
121.90
1640
199916.00
23/08/2010
l
Pharmaceutica
l
Pharmaceutica
l
Pharmaceutica
l
Insurance
Insurance
Insurance
Insurance
Telecom
RENATA
12014.25
16
192228.00
MARICO
589.80
338
199352.40
GLAXOSMITH
976.40
204
199185.60
RUPALIINS
NATLIFEINS
GREENDELT
FAREASTLIF
GP
134.50
1486
6084.50
32
240.20
832
318.60
626
213.00
938
Total Portfolio Investment
199867.00
194704.00
199846.40
199443.60
199794.00
1981182.00
Daily Returns for SQURPHARMA:

The daily returns were calculated as percentage of price change compared to the
previous days 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
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
Price
3262.75
3373.00
3321.75
3365.00
3142.75
2985.75
3107.00
3262.25
3153.50
3124.00
3092.25
2972.50
2873.75
3030.50
2910.40
3016.25
3033.00
Total Value
97882.50
101190.00
99652.50
100950.00
94282.50
89572.50
93210.00
97867.50
94605.00
93720.00
92767.50
89175.00
86212.50
90915.00
87312.00
90487.50
90990.00
8
% Change
-0.5487%
3.3791%
-1.5194%
1.3020%
-6.6048%
-4.9956%
4.0610%
4.9968%
-3.3336%
-0.9355%
-1.0163%
-3.8726%
-3.3221%
5.4545%
-3.9630%
3.6370%
0.5553%
23/08/2010
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
3147.75
3193.50
3206.00
3304.75
3155.00
3217.75
3197.00
3212.75
3282.75
3302.25
3281.50
3240.75
3217.00
3200.75
3233.75
3247.00
3251.50
3272.00
3266.50
3265.00
3259.50
3252.00
3320.00
3389.75
3389.75
3367.75
3332.00
3315.75
3338.25
3333.25
3298.25
3303.00
3289.75
3252.25
3251.25
3335.75
3286.00
94432.50
95805.00
96180.00
99142.50
94650.00
96532.50
95910.00
96382.50
98482.50
99067.50
98445.00
97222.50
96510.00
96022.50
97012.50
97410.00
97545.00
98160.00
97995.00
97950.00
97785.00
97560.00
99600.00
101692.50
101692.50
101032.50
99960.00
99472.50
100147.50
99997.50
98947.50
99090.00
98692.50
97567.50
97537.50
100072.50
98580.00
3.7834%
1.4534%
0.3914%
3.0802%
-4.5314%
1.9889%
-0.6449%
0.4926%
2.1788%
0.5940%
-0.6284%
-1.2418%
-0.7329%
-0.5051%
1.0310%
0.4097%
0.1386%
0.6305%
-0.1681%
-0.0459%
-0.1685%
-0.2301%
2.0910%
2.1009%
0.0000%
-0.6490%
-1.0615%
-0.4877%
0.6786%
-0.1498%
-1.0500%
0.1440%
-0.4012%
-1.1399%
-0.0307%
2.5990%
-1.4914%
23/08/2010
Market Vs SquarePharma
10.00
5.00
Daily Return of Market
%Daily Return
0.00
40
58
40 0
59
40 6
60
40 9
62
40 3
63
40 6
65
40 0
66
1
Daily Return of Squre
-5.00
-10.00
Date
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.
Daily Returns for Beximco Pharma:
Date
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
Price
117.40
124.30
118.50
118.10
110.60
99.60
109.10
119.90
114.80
114.50
110.40
102.50
102.90
113.10
102.10
110.80
114.00
116.00
121.60
124.50
127.90
Total Value
96268.00
101926.00
97170.00
96842.00
90692.00
81672.00
89462.00
98318.00
94136.00
93890.00
90528.00
84050.00
84378.00
92742.00
83722.00
90856.00
93480.00
95120.00
99712.00
102090.00
104878.00
10
%Change
-3.6916%
5.8773%
-4.6661%
-0.3376%
-6.3506%
-9.9458%
9.5382%
9.8992%
-4.2535%
-0.2613%
-3.5808%
-7.1558%
0.3902%
9.9125%
-9.7259%
8.5211%
2.8881%
1.7544%
4.8276%
2.3849%
2.7309%
23/08/2010
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
118.30
124.80
120.10
123.30
128.80
126.90
125.80
122.40
119.10
118.30
123.00
121.70
120.80
120.60
119.90
120.80
120.50
119.70
121.30
117.30
116.10
116.10
115.40
113.90
113.90
111.20
109.90
112.10
120.90
110.20
113.70
117.80
113.90
97006.00
102336.00
98482.00
101106.00
105616.00
104058.00
103156.00
100368.00
97662.00
97006.00
100860.00
99794.00
99056.00
98892.00
98318.00
99056.00
98810.00
98154.00
99466.00
96186.00
95202.00
95202.00
94628.00
93398.00
93398.00
91184.00
90118.00
91922.00
99138.00
90364.00
93234.00
96596.00
93398.00
11
-7.5059%
5.4945%
-3.7660%
2.6644%
4.4607%
-1.4752%
-0.8668%
-2.7027%
-2.6961%
-0.6717%
3.9730%
-1.0569%
-0.7395%
-0.1656%
-0.5804%
0.7506%
-0.2483%
-0.6639%
1.3367%
-3.2976%
-1.0230%
0.0000%
-0.6029%
-1.2998%
0.0000%
-2.3705%
-1.1691%
2.0018%
7.8501%
-8.8503%
3.1760%
3.6060%
-3.3107%
23/08/2010
Market Vs BexPharma
15.00
10.00
5.00
%Daily Return
0.00
Daily Return of Bxpharma
40
58
40 0
60
40 2
62
40 2
63
40 9
65
9
-5.00
-10.00
-15.00
Date
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%.
Daily Returns for Renata Ltd. :
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
Price
12014.25
11759.75
11798.25
11861.50
11730.50
11479.25
11180.00
11457.25
11655.00
11525.25
Total Value
96114.00
94078.00
94386.00
94892.00
93844.00
91834.00
89440.00
91658.00
93240.00
92202.00
12
% Change
0.0000%
-2.1183%
0.3274%
0.5361%
-1.1044%
-2.1419%
-2.6069%
2.4799%
1.7260%
-1.1133%
23/08/2010
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
11297.50
11036.75
10744.50
10474.50
10720.00
10480.00
10252.25
10275.00
10536.75
10833.50
11505.00
11130.00
11144.75
11420.25
11320.50
11500.00
11729.00
11966.50
11973.50
12262.75
12048.00
12195.50
12127.75
12424.50
12721.75
13016.00
13311.00
13205.00
13290.00
13406.00
13700.00
13956.25
13956.25
13435.25
13431.00
13276.00
13044.00
12784.00
12523.00
12714.00
12416.75
12118.75
11844.50
12127.00
12427.00
90380.00
88294.00
85956.00
83796.00
85760.00
83840.00
82018.00
82200.00
84294.00
86668.00
92040.00
89040.00
89158.00
91362.00
90564.00
92000.00
93832.00
95732.00
95788.00
98102.00
96384.00
97564.00
97022.00
99396.00
101774.00
104128.00
106488.00
105640.00
106320.00
107248.00
109600.00
111650.00
111650.00
107482.00
107448.00
106208.00
104352.00
102272.00
100184.00
101712.00
99334.00
96950.00
94756.00
97016.00
99416.00
13
-1.9761%
-2.3080%
-2.6480%
-2.5129%
2.3438%
-2.2388%
-2.1732%
0.2219%
2.5474%
2.8163%
6.1984%
-3.2595%
0.1325%
2.4720%
-0.8734%
1.5856%
1.9913%
2.0249%
0.0585%
2.4158%
-1.7512%
1.2243%
-0.5555%
2.4469%
2.3925%
2.3130%
2.2664%
-0.7963%
0.6437%
0.8728%
2.1930%
1.8704%
0.0000%
-3.7331%
-0.0316%
-1.1540%
-1.7475%
-1.9933%
-2.0416%
1.5252%
-2.3380%
-2.4000%
-2.2630%
2.3851%
2.4738%
23/08/2010
Market Vs Renata
10.00
5.00
Daily Return of Renata
40
58
40 0
59
40 4
60
40 5
61
40 7
63
40 0
64
40 0
65
3
%Daily Return

0.00
-5.00
-10.00
Date
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.
Daily Returns for Marico Bangladesh Limited :
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
Price
589.80
509.80
548.00
541.50
529.00
499.30
461.90
498.90
536.20
501.30
490.50
483.90
475.70
440.70
477.70
Total value
99676.20
86156.20
92612.00
91513.50
89401.00
84381.70
78061.10
84314.10
90617.80
84719.70
82894.50
81779.10
80393.30
74478.30
80731.30
14
% Change
0.0000%
-13.5639%
7.4931%
-1.1861%
-2.3084%
-5.6144%
-7.4905%
8.0104%
7.4764%
-6.5088%
-2.1544%
-1.3456%
-1.6946%
-7.3576%
8.3957%
23/08/2010
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
451.90
460.00
491.20
522.50
539.40
545.20
565.00
528.20
533.50
511.20
524.60
559.50
552.80
577.22
595.50
604.60
621.10
628.20
636.50
632.70
656.60
634.70
644.20
638.70
637.90
635.50
632.20
632.20
621.70
615.40
609.00
598.70
590.80
580.90
589.80
567.60
509.60
505.40
533.90
516.20
76371.10
77740.00
83012.80
88302.50
91158.60
92138.80
95485.00
89265.80
90161.50
86392.80
88657.40
94555.50
93423.20
97550.18
100639.50
102177.40
104965.90
106165.80
107568.50
106926.30
110965.40
107264.30
108869.80
107940.30
107805.10
107399.50
106841.80
106841.80
105067.30
104002.60
102921.00
101180.30
99845.20
98172.10
99676.20
95924.40
86122.40
85412.60
90229.10
87237.80
15
-5.4009%
1.7924%
6.7826%
6.3721%
3.2344%
1.0753%
3.6317%
-6.5133%
1.0034%
-4.1799%
2.6213%
6.6527%
-1.1975%
4.4175%
3.1669%
1.5281%
2.7291%
1.1431%
1.3212%
-0.5970%
3.7775%
-3.3354%
1.4968%
-0.8538%
-0.1253%
-0.3762%
-0.5193%
0.0000%
-1.6609%
-1.0134%
-1.0400%
-1.6913%
-1.3195%
-1.6757%
1.5321%
-3.7640%
-10.2185%
-0.8242%
5.6391%
-3.3152%
23/08/2010
Market Vs Marico
10.00
%Daily Return
0.00
40
58
40 0
59
40 4
60
40 5
61
40 7
63
40 0
64
40 0
65
3
5.00
Daily Retun of Marico
-5.00
-10.00
-15.00
Date
Figure: Market Vs Marico daily Return

Return of the Marico Bangladesh stocks was more fickle during the 7 th 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:
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
Price
976.40
918.20
938.70
916.20
867.40
742.70
693.40
738.80
789.90
778.90
769.00
794.60
746.30
Total Value
99592.80
93656.40
95747.40
93452.40
88474.80
75755.40
70726.80
75357.60
80569.80
79447.80
78438.00
81049.20
76122.60
16
% Change
0.0000%
-5.9607%
2.2326%
-2.3969%
-5.3263%
-14.3763%
-6.6379%
6.5474%
6.9166%
-1.3926%
-1.2710%
3.3290%
-6.0785%
23/08/2010
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
695.50
739.40
719.60
729.40
763.80
763.80
815.70
845.60
890.30
829.50
832.10
802.80
805.70
865.30
890.70
878.60
911.90
907.20
892.80
906.40
934.70
994.50
1057.00
1054.40
1017.00
994.90
1002.00
1048.20
1053.20
1053.20
1005.10
1001.00
972.70
950.30
944.90
918.00
923.60
912.10
857.70
851.00
890.20
915.40
70941.00
75418.80
73399.20
74398.80
77907.60
77907.60
83201.40
86251.20
90810.60
84609.00
84874.20
81885.60
82181.40
88260.60
90851.40
89617.20
93013.80
92534.40
91065.60
92452.80
95339.40
101439.00
107814.00
107548.80
103734.00
101479.80
102204.00
106916.40
107426.40
107426.40
102520.20
102102.00
99215.40
96930.60
96379.80
93636.00
94207.20
93034.20
87485.40
86802.00
90800.40
93370.80
17
-6.8069%
6.3120%
-2.6778%
1.3619%
4.7162%
0.0000%
6.7950%
3.6656%
5.2862%
-6.8292%
0.3134%
-3.5212%
0.3612%
7.3973%
2.9354%
-1.3585%
3.7901%
-0.5154%
-1.5873%
1.5233%
3.1222%
6.3978%
6.2846%
-0.2460%
-3.5470%
-2.1731%
0.7136%
4.6108%
0.4770%
0.0000%
-4.5670%
-0.4079%
-2.8272%
-2.3029%
-0.5682%
-2.8469%
0.6100%
-1.2451%
-5.9643%
-0.7812%
4.6063%
2.8308%
23/08/2010
Market Vs Glaxo
15.00
10.00
5.00
0.00
-5.00
40
58
40 0
58
40 7
59
40 7
60
40 4
61
40 1
61
40 8
62
40 6
63
40 3
64
40 0
65
40 0
65
7
Axis Title
Daily Return of Glaxo
-10.00
-15.00
-20.00
Axis Title
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:
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
Price
134.50
124.70
135.80
124.60
117.40
106.70
96.10
101.90
111.80
114.40
110.50
106.90
Total value
99933.50
92652.10
100899.40
92577.80
87228.20
79278.10
71402.30
75711.70
83067.40
84999.20
82101.50
79426.70
18
% Change
0.0000%
-7.2862%
8.9014%
-8.2474%
-5.7785%
-9.1141%
-9.9344%
6.0354%
9.7154%
2.3256%
-3.4091%
-3.2579%
23/08/2010
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
96.80
87.50
96.00
90.60
92.80
101.80
111.60
121.40
135.60
143.30
132.20
143.90
157.40
165.70
155.00
145.50
149.70
144.50
140.50
140.50
147.50
143.20
142.40
146.80
145.90
145.00
144.50
148.60
146.30
147.30
147.30
147.40
144.10
144.30
141.10
136.60
136.40
139.40
134.50
130.30
130.60
137.40
136.50
71922.40
65012.50
71328.00
67315.80
68950.40
75637.40
82918.80
90200.20
100750.80
106471.90
98224.60
106917.70
116948.20
123115.10
115165.00
108106.50
111227.10
107363.50
104391.50
104391.50
109592.50
106397.60
105803.20
109072.40
108403.70
107735.00
107363.50
110409.80
108700.90
109443.90
109443.90
109518.20
107066.30
107214.90
104837.30
101493.80
101345.20
103574.20
99933.50
96812.90
97035.80
102088.20
101419.50
19
-9.4481%
-9.6074%
9.7143%
-5.6250%
2.4283%
9.6983%
9.6267%
8.7814%
11.6969%
5.6785%
-7.7460%
8.8502%
9.3815%
5.2732%
-6.4575%
-6.1290%
2.8866%
-3.4736%
-2.7682%
0.0000%
4.9822%
-2.9153%
-0.5587%
3.0899%
-0.6131%
-0.6169%
-0.3448%
2.8374%
-1.5478%
0.6835%
0.0000%
0.0679%
-2.2388%
0.1388%
-2.2176%
-3.1892%
-0.1464%
2.1994%
-3.5151%
-3.1227%
0.2302%
5.2067%
-0.6550%
23/08/2010
Market Vs RUPALIINS
15.00
10.00
5.00
Daily Return of RUPALIINS
40
58
40 0
59
40 7
61
40 1
62
40 6
64
40 0
65
7
%Daily Return
0.00
-5.00
-10.00
-15.00
Date
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:
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
Price
6084.50
5866.00
6033.00
5809.00
5594.00
5384.25
5182.50
5261.75
5457.25
5309.75
5134.75
4986.25
Total value
97352.00
93856.00
96528.00
92944.00
89504.00
86148.00
82920.00
84188.00
87316.00
84956.00
82156.00
79780.00
20
% Change
0.0000%
-3.5911%
2.8469%
-3.7129%
-3.7012%
-3.7496%
-3.7470%
1.5292%
3.7155%
-2.7028%
-3.2958%
-2.8921%
23/08/2010
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
4800.00
4622.75
4796.00
4610.00
4612.00
4616.50
4801.00
4988.25
5200.00
5344.75
5200.50
5394.75
5371.25
5544.00
5751.75
5919.50
5773.25
5711.50
5501.00
5464.25
5668.75
5881.25
6101.75
6331.00
6509.75
6434.00
6314.25
6372.00
6675.00
6779.25
6779.25
6940.00
7147.00
7415.00
7693.00
7484.50
7323.25
7597.00
7487.00
7210.00
7145.50
7411.50
7397.00
76800.00
73964.00
76736.00
73760.00
73792.00
73864.00
76816.00
79812.00
83200.00
85516.00
83208.00
86316.00
85940.00
88704.00
92028.00
94712.00
92372.00
91384.00
88016.00
87428.00
90700.00
94100.00
97628.00
101296.00
104156.00
102944.00
101028.00
101952.00
106800.00
108468.00
108468.00
111040.00
114352.00
118640.00
123088.00
119752.00
117172.00
121552.00
119792.00
115360.00
114328.00
118584.00
118352.00
21
-3.7353%
-3.6927%
3.7478%
-3.8782%
0.0434%
0.0976%
3.9965%
3.9002%
4.2450%
2.7837%
-2.6989%
3.7352%
-0.4356%
3.2162%
3.7473%
2.9165%
-2.4706%
-1.0696%
-3.6855%
-0.6681%
3.7425%
3.7486%
3.7492%
3.7571%
2.8234%
-1.1636%
-1.8612%
0.9146%
4.7552%
1.5618%
0.0000%
2.3712%
2.9827%
3.7498%
3.7492%
-2.7103%
-2.1545%
3.7381%
-1.4479%
-3.6997%
-0.8946%
3.7226%
-0.1956%
23/08/2010
Market Vs Natelife
10.00
5.00
Daily Natelife
40
58
40 0
59
40 6
60
40 9
62
3
40
63
40 6
65
40 0
66
1
%Daily Return

0.00
-5.00
-10.00
Date
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:

Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
Price
240.20
232.50
251.70
248.80
236.50
217.00
198.10
211.40
229.80
228.10
Total value
99923.20
96720.00
104707.20
103500.80
98384.00
90272.00
82409.60
87942.40
95596.80
94889.60
22
% Change
0.0000%
-3.2057%
8.2581%
-1.1522%
-4.9437%
-8.2452%
-8.7097%
6.7138%
8.7039%
-0.7398%
23/08/2010
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
219.70
208.00
189.80
172.40
189.50
174.00
183.10
194.30
211.50
228.90
235.20
245.80
226.80
246.40
246.60
265.20
283.20
263.00
260.60
259.70
250.40
253.50
266.00
256.40
255.30
257.90
259.10
260.60
265.70
265.40
264.00
266.40
266.40
259.50
245.50
231.60
236.90
233.60
222.10
226.60
219.70
207.40
204.10
221.90
228.00
91395.20
86528.00
78956.80
71718.40
78832.00
72384.00
76169.60
80828.80
87984.00
95222.40
97843.20
102252.80
94348.80
102502.40
102585.60
110323.20
117811.20
109408.00
108409.60
108035.20
104166.40
105456.00
110656.00
106662.40
106204.80
107286.40
107785.60
108409.60
110531.20
110406.40
109824.00
110822.40
110822.40
107952.00
102128.00
96345.60
98550.40
97177.60
92393.60
94265.60
91395.20
86278.40
84905.60
92310.40
94848.00
23
-3.6826%
-5.3254%
-8.7500%
-9.1675%
9.9188%
-8.1794%
5.2299%
6.1169%
8.8523%
8.2270%
2.7523%
4.5068%
-7.7299%
8.6420%
0.0812%
7.5426%
6.7873%
-7.1328%
-0.9125%
-0.3454%
-3.5811%
1.2380%
4.9310%
-3.6090%
-0.4290%
1.0184%
0.4653%
0.5789%
1.9570%
-0.1129%
-0.5275%
0.9091%
0.0000%
-2.5901%
-5.3950%
-5.6619%
2.2884%
-1.3930%
-4.9229%
2.0261%
-3.0450%
-5.5985%
-1.5911%
8.7212%
2.7490%
23/08/2010
Market Vs GreenDelta
15.00
10.00
5.00
0.00
Daily Greendelta
40
58
40 0
58
40 8
60
40 1
60
40 9
61
40 7
62
40 6
63
40 6
64
40 4
65
40 3
66
1
%daily Return
-5.00
-10.00
-15.00
Date
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:
Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
Price
318.60
306.60
333.00
322.30
312.60
288.30
263.10
Total Value
99721.80
95965.80
104229.00
100879.90
97843.80
90237.90
82350.30
24
% Change
0.0000%
-3.7665%
8.6106%
-3.2132%
-3.0096%
-7.7735%
-8.7409%
23/08/2010
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
277.60
301.80
295.20
283.20
271.00
256.00
234.70
255.20
237.50
255.60
269.00
292.50
313.80
325.30
339.50
310.40
336.80
330.00
347.50
368.30
349.60
347.50
341.20
332.50
330.60
349.20
340.60
349.50
352.10
347.50
348.00
351.60
350.10
355.20
363.10
363.10
355.20
352.10
352.60
351.10
344.70
335.10
342.40
336.90
325.70
322.60
86888.80
94463.40
92397.60
88641.60
84823.00
80128.00
73461.10
79877.60
74337.50
80002.80
84197.00
91552.50
98219.40
101818.90
106263.50
97155.20
105418.40
103290.00
108767.50
115277.90
109424.80
108767.50
106795.60
104072.50
103477.80
109299.60
106607.80
109393.50
110207.30
108767.50
108924.00
110050.80
109581.30
111177.60
113650.30
113650.30
111177.60
110207.30
110363.80
109894.30
107891.10
104886.30
107171.20
105449.70
101944.10
100973.80
25
5.5112%
8.7176%
-2.1869%
-4.0650%
-4.3079%
-5.5351%
-8.3203%
8.7346%
-6.9357%
7.6211%
5.2426%
8.7361%
7.2821%
3.6648%
4.3652%
-8.5714%
8.5052%
-2.0190%
5.3030%
5.9856%
-5.0774%
-0.6007%
-1.8129%
-2.5498%
-0.5714%
5.6261%
-2.4628%
2.6130%
0.7439%
-1.3064%
0.1439%
1.0345%
-0.4266%
1.4567%
2.2241%
0.0000%
-2.1757%
-0.8727%
0.1420%
-0.4254%
-1.8228%
-2.7850%
2.1785%
-1.6063%
-3.3244%
-0.9518%
23/08/2010
27-Apr
28-Apr
341.60
331.90
106920.80
103884.70
5.8896%
-2.8396%
Market Vs FareEast
10.00
5.00
Daily Retunr of Fareeast
40
58
40 0
59
40 8
61
40 5
63
40 1
64
6
%Daily Return

0.00
-5.00
-10.00
Date
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:

Date
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
Price
213.00
209.70
219.10
210.80
206.30
190.10
172.60
185.50
Total Value
99897.00
98349.30
102757.90
98865.20
96754.70
89156.90
80949.40
86999.50
26
% Change
0.0000%
-1.5493%
4.4826%
-3.7882%
-2.1347%
-7.8526%
-9.2057%
7.4739%
23/08/2010
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
185.50
177.30
172.20
162.20
149.80
139.90
153.80
144.40
152.10
158.30
167.20
175.50
179.10
189.20
172.10
184.20
176.80
178.10
178.30
174.80
171.70
169.50
163.80
163.30
168.30
165.50
166.80
173.90
170.40
170.10
168.70
168.50
169.10
170.40
170.40
168.80
170.40
169.50
167.70
166.00
162.90
163.10
160.30
153.10
154.00
158.80
86999.50
83153.70
80761.80
76071.80
70256.20
65613.10
72132.20
67723.60
71334.90
74242.70
78416.80
82309.50
83997.90
88734.80
80714.90
86389.80
82919.20
83528.90
83622.70
81981.20
80527.30
79495.50
76822.20
76587.70
78932.70
77619.50
78229.20
81559.10
79917.60
79776.90
79120.30
79026.50
79307.90
79917.60
79917.60
79167.20
79917.60
79495.50
78651.30
77854.00
76400.10
76493.90
75180.70
71803.90
72226.00
74477.20
27
0.0000%
-4.4205%
-2.8765%
-5.8072%
-7.6449%
-6.6088%
9.9357%
-6.1118%
5.3324%
4.0763%
5.6222%
4.9641%
2.0513%
5.6393%
-9.0381%
7.0308%
-4.0174%
0.7353%
0.1123%
-1.9630%
-1.7735%
-1.2813%
-3.3628%
-0.3053%
3.0618%
-1.6637%
0.7855%
4.2566%
-2.0127%
-0.1761%
-0.8230%
-0.1186%
0.3561%
0.7688%
0.0000%
-0.9390%
0.9479%
-0.5282%
-1.0619%
-1.0137%
-1.8675%
0.1228%
-1.7167%
-4.4916%
0.5879%
3.1169%
23/08/2010
28-Apr
157.20
73726.80
-1.0076%
Market Vs GP
15.00
10.00
5.00
Daily Retune of GP
40
58
40 0
59
40 7
61
40 1
62
40 6
64
40 0
65
7
%Daily Return
0.00
-5.00
-10.00
-15.00
Date
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 15 th 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].
Date
General Index
6-Feb
7-Feb
8-Feb
9-Feb
6719.04492
6394.53057
6822.8539
6673.40903
Change in General
Index
0
-4.83%
6.70%
-2.19%
28
23/08/2010
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
6527.19014
6052.41152
5579.50483
5926.3544
6389.62535
6173.38598
6018.48371
5800.93944
5463.35178
5203.08482
5601.59856
5292.17471
5428.40494
5536.91098
5779.91477
6051.10958
6316.53817
6609.5
6179.52546
6457.98383
6318.1512
6411.91628
6469.9063
6528.20755
6451.84516
6340.91359
6164.81944
6094.6394
6243.52934
6221.67138
6249.35375
6352.1018
6451.13164
6535.8749
6455.80872
6454.04659
6540.6
6556.51979
6262.6935
6423.22618
6386.35862
6346.98844
6318.22798
6249.99564
6132.5616
6192.6181
-2.19%
-7.27%
-7.81%
6.22%
7.82%
-3.38%
-2.51%
-3.61%
-5.82%
-4.76%
7.66%
-5.52%
2.57%
2.00%
4.39%
4.69%
4.39%
4.64%
-6.51%
4.51%
-2.17%
1.48%
0.90%
0.90%
-1.17%
-1.72%
-2.78%
-1.14%
2.44%
-0.35%
0.44%
1.64%
1.56%
1.31%
-1.23%
-0.03%
1.34%
0.24%
-4.48%
2.56%
-0.57%
-0.62%
-0.45%
-1.08%
-1.88%
0.98%
29
23/08/2010
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
6076.31885
5863.97576
5806.30841
6083.28302
6050.84566
-1.88%
-3.49%
-0.98%
4.77%
-0.53%

10.00
5.00
40
58
40 0
58
40 4
59
40 4
60
40 1
60
40 5
61
40 1
61
40 7
62
40 4
63
40 0
63
40 6
64
40 0
64
40 6
65
40 3
65
9
0.00
-5.00
-10.00
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
Where, PCPT = Portfolio Closing Price of today
PCPY= Portfolio Closing Price of yesterday
30
23/08/2010
Cash Account
Date
No of securities
Total Portfolio
6-Feb
7-Feb
8-Feb
9-Feb
10-Feb
13-Feb
14-Feb
15-Feb
20-Feb
22-Feb
23-Feb
24-Feb
27-Feb
28-Feb
1-Mar
2-Mar
3-Mar
6-Mar
7-Mar
8-Mar
9-Mar
10-Mar
13-Mar
14-Mar
15-Mar
16-Mar
20-Mar
21-Mar
22-Mar
23-Mar
24-Mar
27-Mar
28-Mar
29-Mar
30-Mar
31-Mar
3-Apr
4-Apr
5-Apr
6-Apr
7-Apr
10-Apr
11-Apr
12-Apr
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
990591.00
945584.30
994982.90
965448.10
939226.50
872038.50
809504.00
855732.10
908056.20
885506.60
864378.60
841047.30
793760.30
749574.90
804472.90
760165.20
785750.00
816360.30
857744.70
902308.50
936310.80
968595.10
908340.30
952810.50
944917.40
974766.00
1004651.40
986764.60
985859.88
982419.60
962736.40
963965.00
992693.90
990895.20
1003999.00
1029380.60
1026644.50
1023039.30
1020428.90
1024347.10
1038792.30
1046098.90
1045114.90
1030159.00
31
% Portfolio
Return
0
-4.54%
5.22%
-2.97%
-2.72%
-7.15%
-7.17%
5.71%
6.11%
-2.48%
-2.39%
-2.70%
-5.62%
-5.57%
7.32%
-5.51%
3.37%
3.90%
5.07%
5.20%
3.77%
3.45%
-6.22%
4.90%
-0.83%
3.16%
3.07%
-1.78%
-0.09%
-0.35%
-2.00%
0.13%
2.98%
-0.18%
1.32%
2.53%
-0.27%
-0.35%
-0.26%
0.38%
1.41%
0.70%
-0.09%
-1.43%
23/08/2010
13-Apr
17-Apr
18-Apr
19-Apr
20-Apr
21-Apr
24-Apr
25-Apr
26-Apr
27-Apr
28-Apr
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
3086
1021811.80
1013274.70
1011029.70
993847.00
973254.80
989664.30
977874.20
930688.60
927211.30
969094.60
964233.60
-0.81%
-0.84%
-0.22%
-1.70%
-2.07%
1.69%
-1.19%
-4.83%
-0.37%
4.52%
-0.50%
Market Vs Portfolio Cash

10.00
5.00
0.00
Daily Return of Portfolio Cash
40
58
40 0
59
40 4
60
40 5
61
40 7
63
40 0
64
40 0
65
3
%Daily Return
-5.00
-10.00
Date
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
Da
te
DSE
General
Index
Daily
Retur
n of
Mark
et
06
Fe
b
6,719.0
4492
0.00
Portfolio
Cash
Account
Daily
Retur
n of
Portf
olio
Cash
Portfolio
Margin
Account
991,084
.10
1,992,8
61.05
32
Princip
al +
Interes
t
996840
.15
Inter
est
Net
Profit
Daily
Portf
olio
marg
in
410.
15
23/08/2010
07
Fe
b
08
Fe
b
09
Fe
b
10
Fe
b
13
Fe
b
14
Fe
b
15
Fe
b
20
Fe
b
22
Fe
b
23
Fe
b
24
Fe
b
27
6,394.5
3057
-4.83
6822.8
539
6.70
6673.4
0903
-2.19
6,527.1
9014
-2.19
6,052.4
1152
-7.27
5,579.5
0483
-7.81
5,926.3
5440
6.22
6,389.6
2535
7.82
6,173.3
8598
-3.38
6,018.4
8371
-2.51
5,800.9
3944
-3.61
5,463.3
-5.82
953,083
.10
(3.83
)
1,916,5
47.55
1,003,0
11.90
5.24
2,016,7
23.40
973,566
.90
(2.94
)
1,957,5
16.15
947,242
.10
(2.70
)
1,904,6
34.30
879,679
.50
(7.13
)
1,768,9
25.50
816,621
.20
(7.17
)
1,642,3
72.75
863,450
.80
5.73
1,736,2
96.55
916,309
.80
6.12
1,842,4
26.30
897,025
.00
(2.10
)
1,803,5
92.35
871,771
.30
(2.82
)
1,752,8
53.05
848,374
.40
(2.68
)
1,705,8
91.00
997250
.48
997660
.97
998071
.63
998482
.46
999715
.97
100012
7.48
100260
0.08
100301
2.78
100342
5.64
100383
8.68
100425
1.88
410.
32
(76,723
.82)
(7.70
)
410.
49
99,765.
36
10.0
1
410.
66
(59,617
.91)
(5.98
)
410.
83
(53,292
.68)
(5.35
)
1,23
3.51
(136,94
2.31)
(13.7
4)
411.
51
(126,96
4.26)
(12.7
4)
2,47
2.60
91,451.
20
9.18
412.
69
105,71
7.06
10.6
1
412.
86
(39,246
.81)
(3.94
)
413.
03
(51,152
.33)
(5.13
)
413.
20
(47,375
.25)
(4.75
)
100549
33
23/08/2010
Fe
b
28
Fe
b
01
Ma
r
02
Ma
r
03
Ma
r
06
Ma
r
07
Ma
r
08
Ma
r
09
Ma
r
10
Ma
r
13
Ma
r
14
-
5178
801,118
.60
5,203.0
8482
-4.76
5,601.5
9856
7.66
5,292.1
7471
-5.52
5,428.4
0494
2.57
5,536.9
1098
2.00
5,779.9
1477
4.39
6,051.1
0958
4.69
6,316.5
3817
4.39
6,639.1
8150
5.11
6179.5
2546
-6.92
6457.9
8383
4.51
756,432
.90
(5.57
)
(5.58
)
1,611,0
02.60
1,521,2
85.20
811,884
.40
7.33
1,632,5
84.50
767,176
.80
(5.51
)
1,542,8
28.60
792,889
.60
3.35
1,594,3
81.75
823,926
.10
3.91
1,656,5
25.60
865,732
.70
5.07
1,740,4
56.75
912,482
.90
5.40
1,834,2
80.15
941,446
.90
3.17
1,892,4
60.10
976,803
.60
3.76
1,963,4
79.50
916,042
.50
960,405
(6.22
)
4.84
1,841,5
74.30
1,930,5
34
2.51
100590
6.40
100632
0.46
100673
4.68
100714
9.08
100839
3.29
100880
8.37
100922
3.62
100963
9.04
101005
4.63
101088
6.33
101130
2.44
1,24
0.63
(96,129
.03)
(9.65
)
413.
89
(90,131
.29)
(9.05
)
414.
06
110,88
5.24
11.1
3
414.
23
(90,170
.13)
(9.05
)
414.
40
51,138.
75
5.13
1,24
4.21
60,899.
64
6.11
415.
08
83,516.
07
8.38
415.
25
93,408.
15
9.37
415.
42
57,764.
53
5.80
415.
59
70,603.
81
7.09
831.
70
(122,73
6.90)
(12.3
2)
416.
88,593.
8.89
23/08/2010
Ma
r
15
Ma
r
16
Ma
r
20
Ma
r
21
Ma
r
22
Ma
r
23
Ma
r
24
Ma
r
27
Ma
r
28
Ma
r
29
Ma
r
30
Ma
.80
6318.1
512
-2.17
6411.9
1628
1.48
6469.9
063
0.90
6528.2
0755
0.90
6,451.8
4516
-1.17
6,340.9
1359
-1.72
6,164.8
1944
-2.78
6,094.6
3940
-1.14
6,243.5
2934
2.44
6,221.6
7138
-0.35
6,249.3
5375
0.44
84.30
951,812
.20
(0.89
)
1,913,3
29.65
981,766
.90
3.15
1,973,4
40.05
1,012,5
50.20
3.14
2,035,3
33.50
994,707
.40
(1.76
)
1,999,8
47.55
994,180
.56
(0.05
)
1,998,6
15.87
991,185
.30
(0.30
)
1,992,5
48.75
971,746
.30
(1.96
)
1,953,4
22.10
973,286
.50
0.16
1,956,4
34.60
1,002,0
28.90
2.95
2,014,1
82.50
1,000,4
65.30
(0.16
)
2,011,3
02.25
1,013,5
21.80
1.31
2,037,7
00.55
35
101171
8.71
101213
5.16
101380
2.67
101421
9.97
101463
7.45
101505
5.10
101547
2.92
101672
7.42
101714
5.93
101756
4.61
101798
3.47
11
89
416.
28
(17,670
.93)
(1.77
)
416.
45
59,693.
95
5.99
1,66
7.51
60,225.
94
6.04
417.
31
(35,903
.26)
(3.60
)
417.
48
(1,649.
16)
(0.17
)
417.
65
(6,484.
77)
(0.65
)
417.
82
(39,544
.47)
(3.97
)
1,25
4.50
1,758.0
0
0.18
418.
51
57,329.
39
5.75
418.
68
(3,298.
93)
(0.33
)
418.
85
25,979.
45
2.61
23/08/2010
r
31
Ma
r
03
Ap
r
04
Ap
r
05
Ap
r
06
Ap
r
07
Ap
r
10
Ap
r
11
Ap
r
12
Ap
r
13
Ap
r
17
Ap
r
6,352.1
0180
1.64
6,451.1
3164
1.56
6,535.8
7490
1.31
6,455.8
0872
-1.23
6,454.0
4659
-0.03
6,540.6
0000
1.34
6,556.5
1979
0.24
6,262.6
9350
-4.48
6,423.2
2618
2.56
6,386.3
5862
-0.57
6,346.9
8844
-0.62
1,039,2
72.10
2.54
2,089,5
24.90
1,036,1
33.30
(0.30
)
2,083,4
13.55
1,032,7
27.10
(0.33
)
2,076,4
85.30
1,030,0
25.80
(0.26
)
2,070,9
33.45
1,033,8
45.30
0.37
2,078,6
33.70
1,048,2
96.00
1.40
2,107,9
50.60
1,055,5
27.80
0.69
2,122,5
95.50
1,054,5
43.80
(0.09
)
2,120,6
27.50
1,039,3
78.50
(1.44
)
2,090,3
86.05
1,030,9
74.50
1,022,3
12.30
(0.81
)
(0.84
)
2,073,7
43.50
2,056,6
41.85
36
101840
2.49
101966
0.61
102008
0.33
102050
0.22
102092
0.28
102134
0.51
102260
2.26
102302
3.19
102344
4.29
102386
5.56
102555
2.40
419.
03
51,405.
32
5.16
1,25
8.12
(7,369.
47)
(0.74
)
419.
72
(7,347.
97)
(0.74
)
419.
89
(5,971.
74)
(0.60
)
420.
06
7,280.1
9
0.73
420.
24
28,896.
66
2.90
1,26
1.75
13,383.
15
1.34
420.
93
(2,388.
93)
(0.24
)
421.
10
(30,662
.55)
(3.08
)
421.
27
(17,063
.82)
(1.71
)
1,68
6.83
(18,788
.48)
(1.89
)
23/08/2010
18
Ap
r
19
Ap
r
20
Ap
r
21
Ap
r
24
Ap
r
25
Ap
r
26
Ap
r
27
Ap
r
28
Ap
r
6,318.2
2798
-0.45
6,249.9
9564
-1.08
6,132.5
6160
-1.88
6,192.6
1810
0.98
6,076.3
1885
-1.88
5,863.9
7576
-3.49
5,806.3
0841
-0.98
6,083.2
8302
4.77
6,050.8
4566
-0.53
1,019,9
34.10
(0.23
)
2,052,1
58.55
1,002,6
84.90
(1.69
)
2,017,4
35.05
981,899
.00
(2.07
)
1,975,6
36.80
998,424
.90
1.68
2,008,9
75.90
986,305
.50
(1.21
)
1,984,5
94.65
938,090
.70
(4.89
)
1,887,7
84.75
934,524
.50
(0.38
)
1,880,5
81.35
976,832
.30
4.53
1,965,5
98.25
971,643
.30
(0.53
)
1,955,1
78.70
37
102597
4.54
102639
6.85
102681
9.34
102724
2.01
102851
1.04
102893
4.40
102935
7.94
102978
1.65
103020
5.53
422.
14
(4,905.
44)
(0.49
)
422.
32
(35,145
.82)
(3.53
)
422.
49
(42,220
.74)
(4.24
)
422.
66
32,916.
44
3.30
1,26
9.04
(25,650
.29)
(2.57
)
423.
36
(97,233
.26)
(9.76
)
423.
53
(7,626.
93)
(0.77
)
423.
71
84,593.
19
8.49
423.
88
(10,843
.43)
(1.09
)
23/08/2010
Market Vs Portfolio Margin

15.00
10.00
5.00
%Daily Return
0.00
Daily Portfolio margin
-5.00
-10.00
-15.00
Date
Figure: market vs margin account
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.
38
23/08/2010
Yearly Return of Market, Portfolio and Stocks:

Table: Yearly Return, periodic return
Daily
Return(peri Annual
od)
Return
-6.75
-29.65
2.34
10.30
Market
Portfolio
Portfolio
(margin)
Squrepharma
Bxpharma
Renata
Marico
Glaxosmith
Rupaliins
NatelifeIns
GreenDelt
FareEast
GP
-7.13
1.70
-0.99
4.41
1.98
-0.94
7.98
22.03
2.54
10.27
-25.56
-31.34
7.48
-4.37
19.38
8.72
-4.13
35.09
96.85
11.15
45.16
-112.36
Return
150.00
96.85
100.00
-100.00
-31.34
-4.13
Daily Return(period)
Annual Return
G
P
a
Sq
ur
ep
ha
rm
M
ar
ke
t
-50.00 -29.65
-4.37
11.15
8.72
at
el
ife
In
s
7.48
45.16
10.30
0.00
19.38
35.09
M
ar
ic
o
50.00
-112.36
-150.00
Figure: Return of market, portfolio, stocks
39
23/08/2010
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.
Table: Beta for the period and also for last 1.5 years
Market
Portfolio
Portfolio
(margin)
Squrepharm
a
Bxpharma
Renata
Marico
Glaxosmith
Rupaliins
SD
Beta
3.7
1
1.00
3.5
2
0.89
6.4
0
1.59
2.4
1
0.57
4.6
8
1.03
1.9
7
0.32
4.2
7
0.90
4.4
6
0.88
5.9
1.28
Statisti
cal
Beta
(5th
may'11
-24th
nov-09)
0.42
0.58
0.23
0.60
0.70
1.29
%
change
in Beta
34.51987
8
78.57902
7
35.40194
05
49.42771
83
25.90577
44
40
23/08/2010
FareEast
3.0
5
5.4
1
4.8
5
GP
4.1
5
NatelifeIns
GreenDelt
0.64
0.67
1.23
1.14
1.15
1.02
0.97
1.03
1.062066
4
5.688383
5
7.141292
78
13.05339
72
6.132608
4
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.
1.80
1.60
1.40
1.20
1.00
0.80
0.60
0.40
0.20
0.00
Beta
Statistical Beta (5th may'1124th nov-09)
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.
41
23/08/2010
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
Market
Portfolio
Portfolio
(margin)
Squrepharm
a
Bxpharma
Renata
SD
Beta
3.7
1
1.00
3.5
2
0.89
6.4
0
1.59
2.4
1
0.57
4.6
8
1.03
1.9
7
0.32
Daily
Return(peri
od)
Annua
l
Statist
ical
Beta
(5th
may'1
1-24th
nov09)
-6.75
-29.65
2.34
10.30
-7.13
-31.34
1.70
7.48
0.42
-0.99
-4.37
0.58
4.41
19.38
0.23
42
23/08/2010
FareEast
4.2
7
4.4
6
5.9
1
3.0
5
5.4
1
4.8
5
GP
4.1
5
Marico
Glaxosmith
Rupaliins
NatelifeIns
GreenDelt
0.90
1.98
8.72
0.60
0.88
-0.94
-4.13
0.70
1.28
7.98
35.09
1.29
0.64
22.03
96.85
0.67
1.23
2.54
11.15
1.14
1.15
10.27
1.02
0.97
-25.56
45.16
112.3
6
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.
7.00
6.00
5.00
4.00
SD
3.00
Beta
2.00
Statistical Beta (5th may'1124th nov-09)
1.00
G
P
at
el
ife
In
s
N
M
ar
ic
o
a
Sq
ur
ep
ha
rm
M
ar
ke
t
0.00
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.
43
23/08/2010
3.3 Alphas for stocks and portfolio

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
Correlatio
n With
Market
Market
3.71
1.00
-29.65 1.00
Portfolio
Portfolio
(margin)
3.52
0.89
10.30 0.94
6.40
1.59
-31.34 0.93
44
Statistica
l Beta
(5th
may'1124th
nov-09)
EXP (Re)
16.9748
Alpha
-46.63
23/08/2010
Squrephar
ma
2.41
0.57
7.48 0.89
0.42
Bxpharma
4.68
1.03
-4.37 0.83
0.58
Renata
1.97
0.32
19.38 0.60
0.23
Marico
4.27
0.90
8.72 0.79
0.60
Glaxosmith
4.46
0.88
-4.13 0.73
0.70
Rupaliins
5.91
1.28
35.09 0.81
1.29
NatelifeIns
3.05
0.64
96.85 0.78
0.67
GreenDelt
5.41
1.23
11.15 0.85
1.14
FareEast
4.85
1.15
1.02
GP
4.15
45.16 0.89
0.97 112.36 0.86
1.03
10.0770
3
11.9335
5
7.78798
12.2396
1
13.3647
8
20.4438
2
13.0676
2
18.7101
3
17.2073
6
17.3706
8
-2.60
-16.30
11.59
-3.52
-17.49
14.65
83.78
-7.56
27.96
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. its 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.
45
23/08/2010
25
20
15
Ex(R)
EXP (Re)
10
Linear (EXP (Re))
0
0
0.2
0.4
0.6
0.8
1.2
1.4
Beta
Figure: Expected Return from the Beta (RF=5%)

150.00
100.00
50.00
Annual
0.00
EXP (Re)
Alpha
-50.00
-100.00
-150.00
Figure: Beta, Expected Return (from Beta), Actual Return and Alpha
Alpha is negative as those share are over valued.
46
23/08/2010
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
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.
47
23/08/2010
1.20
1.00
0.80
0.60
Market
0.40
Portfolio Cash
0.20
G
P
at
el
ife
N
M
ar
ic
o
a
Sq
ua
re
Ph
ar
m
M
ar
ke
t
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
The correlations among returns of the stocks were also calculated using Microsoft
Excel formula.
48
23/08/2010
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.
W
SquarPha
rma
BexPhar
ma
SD
W^2*S
D^2
0.10
2.41
0.06
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
NateLifei
ns
GreenDel
ta
0.10
5.91
0.35
0.10
3.05
0.09
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
49
23/08/2010
Correlati
on
Sdi
SDj
4.6
8
1.9
7
2xCorr(WixSDi)x(Wj
xSDj)
Cor(Squar, Bextex)
0.82
Cor(Squar, renata)
0.52
2.4
1
2.4
1
Cor(Squar, Marico)
0.78
2.4
1
4.2
7
0.16
Cor(Squar, Glaxo)
0.72
2.4
1
4.4
6
0.16
Cor(Squar,
Rupaliins)
0.68
2.4
1
5.9
1
0.19
0.87
2.4
1
2.4
1
2.4
1
3.0
5
5.4
1
4.8
5
Cor(Squar, GP)
0.83
2.4
1
4.1
5
0.17
Cor(Bex,Renata)
0.39
4.6
8
1.9
7
0.07
Cor(Bex,Marico)
0.73
4.6
8
4.2
7
0.29
4.6
8
4.6
8
4.6
8
4.6
8
4.6
8
4.6
8
1.9
7
1.9
7
1.9
7
4.4
6
5.9
1
3.0
5
5.4
1
4.8
5
4.1
5
4.2
7
4.4
6
5.9
1
Cor(Squar,
Natelifes)
Cor(Squar,
GreenDelt)
Cor(Squar,
Fareeast)
0.67
0.81
Cor(Bex,Glaxo)
0.62
Cor(Bex,Rupaliins)
0.64
Cor(Bex,Natelife)
0.60
Cor(Bex,GreenDelt)
0.76
Cor(Bex,Fareeast)
0.81
Cor(Bex,GP)
0.77
Cor(Renata,Marico)
0.58
Cor(Renata,Glaxo)
0.68
Cor(Renata,Rupali)
0.49
50
0.18
0.05
0.10
0.21
0.20
0.26
0.35
0.17
0.38
0.37
0.30
0.10
0.12
0.11
23/08/2010
Cor(Renata,Natelife
)
Cor(Renata,GreenD
elt)
Cor(Renata,Fareeas
t)
0.68
0.61
0.56
Cor(Renata,GP)
0.55
Cor(Marico,Glaxo)
0.72
Cor(Marico,Rupali)
0.65
Cor(Marico,Natelife)
Cor(Marico,Greende
lt)
Cor(Marico,FareEast
)
0.59
Cor(Marico, GP)
0.74
Cor(Glaxo, Rupali)
0.57
Cor(Glaxo,Natelife)
Cor(Glaxo,Greendel
t)
0.66
Cor(Glaxo,Farest)
0.69
Cor(Glaxo,GP)
Cor(Rupali,
Natelife)
Cor(Rupali,GreenDe
lt)
0.68
Cor(Rupali,Farest)
0.82
Cor(Rupali,GP)
Cor(Natelifeins,
Greendelt)
Cor(Natelifeins,Fare
east)
0.77
Cor(Natelifeins,GP)
Cor(Greendelt,
Fareast)
0.69
Cor(Greendelt, GP)
Cor(Fareeast, GP)
0.84
0.89
0.79
0.81
0.68
0.62
0.81
0.65
0.72
0.94
1.9
7
1.9
7
1.9
7
1.9
7
4.2
7
4.2
7
4.2
7
4.2
7
4.2
7
4.2
7
4.4
6
4.4
6
4.4
6
4.4
6
4.4
6
5.9
1
5.9
1
5.9
1
5.9
1
3.0
5
3.0
5
3.0
5
5.4
1
5.4
1
4.8
3.0
5
5.4
1
4.8
5
4.1
5
4.4
6
5.9
1
3.0
5
5.4
1
4.8
5
4.1
5
5.9
1
3.0
5
5.4
1
4.8
5
4.1
5
3.0
5
5.4
1
4.8
5
4.1
5
5.4
1
4.8
5
4.1
5
4.8
5
4.1
5
4.1
51
0.08
0.13
0.11
0.09
0.28
0.33
0.15
0.36
0.34
0.26
0.30
0.18
0.33
0.30
0.25
0.22
0.52
0.47
0.38
0.21
0.21
0.17
0.49
0.38
0.36
23/08/2010
Sum of Covariance
10.864544
Total Variance of Portfolio

Standard Deviation of Portfolio
SD calculated earlier
10.86
3.29
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
52
23/08/2010
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 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.
53
23/08/2010
References:
1. Dhaka Stock Exchange: http://www.dsebd.org/
2. Stock
Bangladesh:
http://www.stockbangladesh.com/resources/individual_return/1
54
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North South University

Report on Portfolio Management

Md. Monjur Rashed

Investment Theory Project

3.2 Beta and Risk

Investment Theory Project

calculating some parameters regarding individual stocks and portfolios.

Investment Theory Project

Investment Theory Project

Figure: Capital Structure of Pharmaceuticals

Figure: Capital Structure of Insurance company

Investment Theory Project

There is only one Telecommunication Company enlisted in DSE, that is

Investment Theory Project

The detail of Margin Account Portfolio:

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Daily Returns for SQURPHARMA:

Investment Theory Project

Investment Theory Project

Daily Return of Squre

Figure: Market Vs SquarePharma

Investment Theory Project

Investment Theory Project

Daily Return of Market

Daily Return of Bxpharma

Figure: Market Vs BexPharma Daily Return

Daily Returns for Renata Ltd. :

Investment Theory Project

Investment Theory Project

Daily Return of Market

Figure: Market Vs Renata Daily Return

Investment Theory Project

Investment Theory Project

Daily Return of Market

Daily Retun of Marico

Figure: Market Vs Marico daily Return

Daily Returns for Glaxo SmithKline:

Investment Theory Project

Investment Theory Project

Daily Return of Glaxo

Figure: Market Vs Glaxosmith Daily return

Daily Returns for Rupali Insurance:

Investment Theory Project

Investment Theory Project

Daily Return of RUPALIINS

Daily Return of Market

Figure: Market Vs RUPLIINS daily Return

Daily Returns for National Life Insurance:

Investment Theory Project

Investment Theory Project

Daily Return of Market

Figure: Market Vs Natelife Ins

Daily Returns for Green Delta Insurance:

Investment Theory Project

Investment Theory Project

Daily Return of Market

Figure: Market Vs GreenDelta

Daily Returns for Fareast Islami Life Insurance Co. Ltd:

Investment Theory Project

Investment Theory Project

Daily Return of Market

Figure: market Vs FareEast

Daily Returns for Grameenphone Ltd:

Investment Theory Project