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Pakistan Premier Fund - Fund Manager Performance Analysis- Beta Calculation

Pakistan Premier Fund - Fund Manager Performance Analysis- Beta Calculation

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Published by PinkAlert

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Published by: PinkAlert on Jan 28, 2009
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08/19/2010

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PAKISTAN PREMIER FUND
S.NoMonthStock ReturnIndexMarket ReturnRisk free ExcessExcessXYClosing stock rate Market ReturnStock Return(Rs)(Rf) (X)(Y)
1 15-Jan-05 14.25 6,559.83 0.042 15-Feb-05 14.85 0.042 7,402.80 0.13 0.05 0.08 -0.005 0 0.013 15-Mar-05 14.90 0.003 10,303.13 0.39 0.05 0.34 -0.046 -0.02 0.124 15-Apr-05 14.00 -0.060 7,512.91 -0.27 0.06 -0.33 -0.119 0.04 0.115 16-May-05 14.60 0.043 7,315.50 -0.03 0.07 -0.1 -0.027 0 0.016 15-Jun-05 14.65 0.003 7,488.73 0.02 0.07 -0.05 -0.071 0 07 15-Jul-05 16.25 0.109 7,535.81 0.01 0.08 -0.07 0.033 0 08 15-Aug-05 15.40 -0.052 7,122.98 -0.05 0.08 -0.13 -0.131 0.02 0.029 15-Sep-05 11.85 -0.231 7,979.48 0.12 0.08 0.04 -0.312 -0.01 010 14-Oct-05 13.10 0.105 8,863.87 0.11 0.08 0.03 0.024 0 011 15-Nov-05 13.25 0.011 8,889.72 0 0.08 -0.08 -0.070 0.01 0.0112 15-Dec-05 14.15 0.068 9,488.70 0.07 0.08 -0.01 -0.013 0 013 16-Jan-06 15.80 0.117 10,093.52 0.06 0.08 -0.02 0.036 0 014 16-Feb-06 15.70 -0.006 11,259.29 0.12 0.08 0.03 -0.087 0 015 16-Mar-06 14.65 -0.067 10,392.91 -0.08 0.08 -0.16 -0.148 0.02 0.0216 14-Apr-06 15.90 0.085 12,136.83 0.17 0.08 0.09 0.004 0 0.0117 15-May-06 15.25 -0.041 11,096.86 -0.09 0.08 -0.17 -0.122 0.02 0.0318 15-Jun-06 13.90 -0.089 9,177.46 -0.17 0.08 -0.26 -0.171 0.04 0.0719 15-Jul-06 14.20 0.022 10,027.09 0.09 0.08 0.01 -0.062 0 020 14-Aug-06 14.50 0.021 10,317.41 0.03 0.09 -0.06 -0.066 0 021 15-Sep-06 11.70 -0.193 9,984.57 -0.03 0.09 -0.12 -0.280 0.03 0.01
x
2
 
22 15-Oct-06 12.70 0.085 10,909.31 0.09 0.09 0.01 -0.001 0 023 16-Nov-06 12.40 -0.024 10,811.86 -0.01 0.09 -0.1 -0.110 0.01 0.0124 15-Dec-06 12.50 0.008 10,551.87 -0.02 0.09 -0.11 -0.078 0.01 0.0125 15-Jan-07 12.20 -0.024 10,507.52 0 0.09 -0.09 -0.110 0.01 0.0126 15-Feb-07 11.80 -0.033 11,467.96 0.09 0.09 0.01 -0.119 0 027 15-Mar-07 11.05 -0.064 11,310.90 -0.01 0.09 -0.1 -0.150 0.02 0.0128 15-Apr-07 11.50 0.041 12,004.59 0.06 0.09 -0.03 -0.046 0 029 16-May-07 12.85 0.117 12,370.99 0.03 0.09 -0.06 0.030 0 030 15-Jun-07 14.15 0.101 13,438.47 0.09 0.09 0 0.014 0 031 15-Jul-07 15.75 0.113 13,945.03 0.04 0.09 -0.05 0.026 0 032 16-Aug-07 15.75 0.000 12,786.60 -0.08 0.09 -0.17 -0.091 0.02 0.0333 15-Sep-07 11.40 -0.276 12,779.68 0 0.09 -0.09 -0.367 0.03 0.0134 14-Oct-07 12.85 0.127 14,590.17 0.14 0.09 0.05 0.037 0 035 17-Nov-07 12.20 -0.051 13,110.81 -0.1 0.09 -0.19 -0.141 0.03 0.0436 14-Dec-07 12.75 0.045 14,556.53 0.11 0.09 0.02 -0.049 0 037 15-Jan-08 12.55 -0.016 14,055.27 -0.03 0.09 -0.12 -0.106 0.01 0.02
TOTAL -1.95 -2.891 0.29 0.56
 
CALCULATION OF BETA
METHOD NO : 1METHOD NO : 2
B = (R s,m * Ss) / Sm
N36.0000Sm0.11XY0.2912Ss0.1x-1.9523y-2.8910R s,m0.350.5597(x)23.8116Nx220.1480NXY10.4840
B= N∑XY - (∑x) * (∑Y)/N * (∑x
2
)-(∑x)
2
∑ x
2

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