Professional Documents
Culture Documents
Investment Analysis
Investment Theory
Presented By:
Md. Shafiqul Islam Masud
-101-0405-560
- 082-443-060
- 082-597-060
Objective
Formation
of portfolio
Return calculation
Daily return of each stock
Portfolio return
Market Return
Total
risk calculation
Beta calculation
Expected return calculation
Alpha calculation
Correlation among stock and finding risk
from correlation
Analysis on risk and return
Telecommunication; 10%
Pharmaceuticals; 50%
Insurance; 40%
Portfolio selection
SquarPharma
Bexpharma
Reckit ACI Formula Active Infu Bxsynth
Pharmaceuticals
ACI Ltd
Beacon
GlaxoSmith
SquarPharma
Renata
Marico
GlaxoSmith
Beacon
ACI Ltd
Marico
Renata Bexpharma
Reckit
ACI Formula
Active Infu
Bxsynth
RupaliLife
PrimeLife
pragatilife
MeghnaLife
Insurance
Sandhani
RupaliLife
GreenDelt
FareEast
DeltaLife
PopularLife
DeltaLife
NatlifeIns
PopularLife
NatlifeIns
FareEast GreenDelt
MeghnaLife
pragatilife
PrimeLife
Sandhani
%Daily Return
-5.00
-10.00
Date
%Daily Return
0.00
-5.00
-10.00
-15.00
Date
%Daily Return
-5.00
-10.00
Date
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.
Market Vs Marico
10.00
5.00
%Daily Return
0.00
-5.00
-10.00
-15.00
Date
0.00
-5.00
-10.00
-15.00
-20.00
Axis Title
%Daily Return
0.00
-5.00
-10.00
-15.00
Date
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.
Market Vs Natelife
10.00
5.00
%Daily Return
Daily Natelife
-5.00
-10.00
Date
Return of National Life Insurance fluctuated between 5% to negative 5% over the three m
time. From this stock we can found the we could make short time profit by buying the sh
when price is low and selling the stocks when return is high.
Market Vs GreenDelta
15.00
10.00
5.00
%daily Return
0.00
Daily Greendelta
-5.00
-10.00
-15.00
Date
%Daily Return
-5.00
-10.00
Date
Market Vs GP
15.00
10.00
5.00
%Daily Return
0.00
Daily Retune of GP
-5.00
-10.00
-15.00
Date
0.00
-5.00
-10.00
0.00
-5.00
-10.00
Date
0.00
-5.00
-10.00
-15.00
Date
Yearly Return
Daily
Return(period)
Annual 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
50.00
10.30
7.48
0.00
-50.00
19.38
-4.37
-29.65
45.16
35.09
11.15
8.72
Annual Return
-4.13
-31.34
-100.00
-150.00
Daily Return(period)
-112.36
Beta
Market
Portfolio
Portfolio
(margin)
Squrepharma
Bxpharma
SD
Beta
3.71
3.52
Statistical
Beta (5th
may'1124th nov09)
1.00
0.89
% change in
Beta
6.40
2.41
4.68
1.59
0.57
1.03
0.42
0.58
34.519878
78.579027
Renata
1.97
0.32
0.23
35.4019405
Marico
4.27
0.90
0.60
49.4277183
Glaxosmith
4.46
0.88
0.70
25.9057744
Rupaliins
5.91
1.28
1.29
-1.0620664
NatelifeIns
3.05
0.64
0.67
-5.6883835
GreenDelt
5.41
1.23
1.14
7.14129278
FareEast
4.85
1.15
1.02
13.0533972
GP
4.15
0.97
1.03
-6.1326084
Beta
0.60
0.40
0.20
0.00
SD, Beta
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00
SD
Beta
Statistical Beta (5th may'11-24th
nov-09)
CAPM E(R)
25
20
15
Ex(R)
EXP (Re)
10
0
0
0.2
0.4
0.6
Beta
0.8
1.2
1.4
SD
Beta
Actual
Annual
Return
Statistical
Beta (5th
may'11Correlation 24th novWith Market 09)
EXP (Re)
Alpha
Market
3.71
1.00
-29.65
1.00
16.9748
-46.63
Portfolio
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
-2.60
Bxpharma
4.68
1.03
-4.37
0.83
0.58
11.93355
-16.30
Renata
1.97
0.32
19.38
0.60
0.23
7.78798
11.59
Marico
4.27
0.90
8.72
0.79
0.60
12.23961
-3.52
Glaxosmith
4.46
0.88
-4.13
0.73
0.70
13.36478
-17.49
Rupaliins
5.91
1.28
35.09
0.81
1.29
20.44382
14.65
NatelifeIns
3.05
0.64
96.85
0.78
0.67
13.06762
83.78
GreenDelt
5.41
1.23
11.15
0.85
1.14
18.71013
-7.56
FareEast
4.85
1.15
45.16
0.89
1.02
17.20736
27.96
GP
4.15
0.97
-112.36
0.86
1.03
17.37068
-129.73
100.00
50.00
Annual
0.00
EXP (Re)
Alpha
-50.00
-100.00
-150.00
1.00
0.80
0.60
Market
0.40
0.20
Portfolio Cash
Correlation Co-efficient
10.8
6
3.29
SD calculated earlier
3.52
Summary
Market return found from the CAPM method is 16 %
Actual yearly market return for last 3 months was almost
-30%.
The return on the cash account was around three (10%)
Return on the margin account (-31%)
No Margin Call
High SD of stock than portfolio
Strong positive correlation
Alpha is high and alpha are positive for most stock
Pharmaceuticals is less risky than market and insurance
and telecom is high risky to market.